backtest

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backtest

import "github.com/cinar/indicator/v2/backtest"

Package backtest contains the backtest functions.

This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.

License

Copyright (c) 2021-2024 Onur Cinar.
The source code is provided under GNU AGPLv3 License.
https://github.com/cinar/indicator

Disclaimer

The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

Index

• Constants
• func RegisterReportBuilder(name string, builder ReportBuilderFunc)
• type Backtest
  • func NewBacktest(repository asset.Repository, report Report) *Backtest
  • func (b *Backtest) Run() error
• type DataReport
  • func NewDataReport() *DataReport
  • func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error
  • func (*DataReport) AssetEnd(_ string) error
  • func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error
  • func (*DataReport) End() error
  • func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error
• type DataStrategyResult
• type HTMLReport
  • func NewHTMLReport(outputDir string) *HTMLReport
  • func (h *HTMLReport) AssetBegin(name string, strategies []strategy.Strategy) error
  • func (h *HTMLReport) AssetEnd(name string) error
  • func (h *HTMLReport) Begin(assetNames []string, _ []strategy.Strategy) error
  • func (h *HTMLReport) End() error
  • func (h *HTMLReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error
• type Report
  • func NewReport(name, config string) (Report, error)
• type ReportBuilderFunc

Constants

const (
    // DefaultBacktestWorkers is the default number of backtest workers.
    DefaultBacktestWorkers = 1

    // DefaultLastDays is the default number of days backtest should go back.
    DefaultLastDays = 365
)

const (
    // DefaultWriteStrategyReports is the default state of writing individual strategy reports.
    DefaultWriteStrategyReports = true
)

const (
    // HTMLReportBuilderName is the name for the HTML report builder.
    HTMLReportBuilderName = "html"
)

func RegisterReportBuilder

func RegisterReportBuilder(name string, builder ReportBuilderFunc)

RegisterReportBuilder registers the given builder.

type Backtest

Backtest function rigorously evaluates the potential performance of the specified strategies applied to a defined set of assets. It generates comprehensive visual representations for each strategy-asset pairing.

type Backtest struct {

    // Names is the names of the assets to backtest.
    Names []string

    // Strategies is the list of strategies to apply.
    Strategies []strategy.Strategy

    // Workers is the number of concurrent workers.
    Workers int

    // LastDays is the number of days backtest should go back.
    LastDays int

    // Logger is the slog logger instance.
    Logger *slog.Logger
    // contains filtered or unexported fields
}

func NewBacktest

func NewBacktest(repository asset.Repository, report Report) *Backtest

NewBacktest function initializes a new backtest instance.

func (*Backtest) Run

func (b *Backtest) Run() error

Run executes a comprehensive performance evaluation of the designated strategies, applied to a specified collection of assets. In the absence of explicitly defined assets, encompasses all assets within the repository. Likewise, in the absence of explicitly defined strategies, encompasses all the registered strategies.

type DataReport

DataReport is the bactest data report enablign programmatic access to the backtest results.

type DataReport struct {
    // Results are the backtest results for the assets.
    Results map[string][]*DataStrategyResult
}

func NewDataReport

func NewDataReport() *DataReport

NewDataReport initializes a new data report instance.

func (*DataReport) AssetBegin

func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error

AssetBegin is called when backtesting for the given asset begins.

func (*DataReport) AssetEnd

func (*DataReport) AssetEnd(_ string) error

AssetEnd is called when backtesting for the given asset ends.

func (*DataReport) Begin

func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error

Begin is called when the backtest begins.

func (*DataReport) End

func (*DataReport) End() error

End is called when the backtest ends.

func (*DataReport) Write

func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

Write writes the given strategy actions and outomes to the report.

type DataStrategyResult

DataStrategyResult is the strategy result.

type DataStrategyResult struct {
    // Asset is the asset name.
    Asset string

    // Strategy is the strategy instnace.
    Strategy strategy.Strategy

    // Outcome is the strategy outcome.
    Outcome float64

    // Action is the final action recommended by the strategy.
    Action strategy.Action

    // Transactions are the action recommendations.
    Transactions []strategy.Action
}

type HTMLReport

HTMLReport is the backtest HTML report.

type HTMLReport struct {
    Report

    // WriteStrategyReports indicates whether the individual strategy reports should be generated.
    WriteStrategyReports bool

    // DateFormat is the date format that is used in the reports.
    DateFormat string

    // Logger is the slog logger instance.
    Logger *slog.Logger
    // contains filtered or unexported fields
}

func NewHTMLReport

func NewHTMLReport(outputDir string) *HTMLReport

NewHTMLReport initializes a new HTML report instance.

func (*HTMLReport) AssetBegin

func (h *HTMLReport) AssetBegin(name string, strategies []strategy.Strategy) error

AssetBegin is called when backtesting for the given asset begins.

func (*HTMLReport) AssetEnd

func (h *HTMLReport) AssetEnd(name string) error

AssetEnd is called when backtesting for the given asset ends.

func (*HTMLReport) Begin

func (h *HTMLReport) Begin(assetNames []string, _ []strategy.Strategy) error

Begin is called when the backtest starts.

func (*HTMLReport) End

func (h *HTMLReport) End() error

End is called when the backtest ends.

func (*HTMLReport) Write

func (h *HTMLReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

Write writes the given strategy actions and outomes to the report.

type Report

Report is the backtest report interface.

type Report interface {
    // Begin is called when the backtest begins.
    Begin(assetNames []string, strategies []strategy.Strategy) error

    // AssetBegin is called when backtesting for the given asset begins.
    AssetBegin(name string, strategies []strategy.Strategy) error

    // Write writes the given strategy actions and outomes to the report.
    Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

    // AssetEnd is called when backtesting for the given asset ends.
    AssetEnd(name string) error

    // End is called when the backtest ends.
    End() error
}

func NewReport

func NewReport(name, config string) (Report, error)

NewReport builds a new report by the given name type and the configuration.

type ReportBuilderFunc

ReportBuilderFunc defines a function to build a new report using the given configuration parameter.

type ReportBuilderFunc func(config string) (Report, error)

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Documentation

Overview

Package backtest contains the backtest functions.

This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.

License

Copyright (c) 2021-2024 Onur Cinar.
The source code is provided under GNU AGPLv3 License.
https://github.com/cinar/indicator

Disclaimer

The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

Index

• Constants
• func RegisterReportBuilder(name string, builder ReportBuilderFunc)
• type Backtest
  • func NewBacktest(repository asset.Repository, report Report) *Backtest
  • func (b *Backtest) Run() error
• type DataReport
  • func NewDataReport() *DataReport
  • func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error
  • func (*DataReport) AssetEnd(_ string) error
  • func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error
  • func (*DataReport) End() error
  • func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, ...) error
• type DataStrategyResult
• type HTMLReport
  • func NewHTMLReport(outputDir string) *HTMLReport
  • func (h *HTMLReport) AssetBegin(name string, strategies []strategy.Strategy) error
  • func (h *HTMLReport) AssetEnd(name string) error
  • func (h *HTMLReport) Begin(assetNames []string, _ []strategy.Strategy) error
  • func (h *HTMLReport) End() error
  • func (h *HTMLReport) Write(assetName string, currentStrategy strategy.Strategy, ...) error
• type Report
  • func NewReport(name, config string) (Report, error)
• type ReportBuilderFunc

Constants

const (
	// DefaultBacktestWorkers is the default number of backtest workers.
	DefaultBacktestWorkers = 1

	// DefaultLastDays is the default number of days backtest should go back.
	DefaultLastDays = 365
)

const (
	// DefaultWriteStrategyReports is the default state of writing individual strategy reports.
	DefaultWriteStrategyReports = true
)

const (
	// HTMLReportBuilderName is the name for the HTML report builder.
	HTMLReportBuilderName = "html"
)

Functions

func RegisterReportBuilder

func RegisterReportBuilder(name string, builder ReportBuilderFunc)

RegisterReportBuilder registers the given builder.

Types

type Backtest

type Backtest struct {

	// Names is the names of the assets to backtest.
	Names []string

	// Strategies is the list of strategies to apply.
	Strategies []strategy.Strategy

	// Workers is the number of concurrent workers.
	Workers int

	// LastDays is the number of days backtest should go back.
	LastDays int

	// Logger is the slog logger instance.
	Logger *slog.Logger
	// contains filtered or unexported fields
}

Backtest function rigorously evaluates the potential performance of the specified strategies applied to a defined set of assets. It generates comprehensive visual representations for each strategy-asset pairing.

func NewBacktest

func NewBacktest(repository asset.Repository, report Report) *Backtest

NewBacktest function initializes a new backtest instance.

func (*Backtest) Run

func (b *Backtest) Run() error

Run executes a comprehensive performance evaluation of the designated strategies, applied to a specified collection of assets. In the absence of explicitly defined assets, encompasses all assets within the repository. Likewise, in the absence of explicitly defined strategies, encompasses all the registered strategies.

type DataReport

type DataReport struct {
	// Results are the backtest results for the assets.
	Results map[string][]*DataStrategyResult
}

DataReport is the bactest data report enablign programmatic access to the backtest results.

func NewDataReport

func NewDataReport() *DataReport

NewDataReport initializes a new data report instance.

func (*DataReport) AssetBegin

func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error

AssetBegin is called when backtesting for the given asset begins.

func (*DataReport) AssetEnd

func (*DataReport) AssetEnd(_ string) error

AssetEnd is called when backtesting for the given asset ends.

func (*DataReport) Begin

func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error

Begin is called when the backtest begins.

func (*DataReport) End

func (*DataReport) End() error

End is called when the backtest ends.

func (*DataReport) Write

func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

Write writes the given strategy actions and outomes to the report.

type DataStrategyResult

type DataStrategyResult struct {
	// Asset is the asset name.
	Asset string

	// Strategy is the strategy instnace.
	Strategy strategy.Strategy

	// Outcome is the strategy outcome.
	Outcome float64

	// Action is the final action recommended by the strategy.
	Action strategy.Action

	// Transactions are the action recommendations.
	Transactions []strategy.Action
}

DataStrategyResult is the strategy result.

type HTMLReport

type HTMLReport struct {
	Report

	// WriteStrategyReports indicates whether the individual strategy reports should be generated.
	WriteStrategyReports bool

	// DateFormat is the date format that is used in the reports.
	DateFormat string

	// Logger is the slog logger instance.
	Logger *slog.Logger
	// contains filtered or unexported fields
}

HTMLReport is the backtest HTML report.

func NewHTMLReport

func NewHTMLReport(outputDir string) *HTMLReport

NewHTMLReport initializes a new HTML report instance.

func (*HTMLReport) AssetBegin

func (h *HTMLReport) AssetBegin(name string, strategies []strategy.Strategy) error

AssetBegin is called when backtesting for the given asset begins.

func (*HTMLReport) AssetEnd

func (h *HTMLReport) AssetEnd(name string) error

AssetEnd is called when backtesting for the given asset ends.

func (*HTMLReport) Begin

func (h *HTMLReport) Begin(assetNames []string, _ []strategy.Strategy) error

Begin is called when the backtest starts.

func (*HTMLReport) End

func (h *HTMLReport) End() error

End is called when the backtest ends.

func (*HTMLReport) Write

func (h *HTMLReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

Write writes the given strategy actions and outomes to the report.

type Report

type Report interface {
	// Begin is called when the backtest begins.
	Begin(assetNames []string, strategies []strategy.Strategy) error

	// AssetBegin is called when backtesting for the given asset begins.
	AssetBegin(name string, strategies []strategy.Strategy) error

	// Write writes the given strategy actions and outomes to the report.
	Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error

	// AssetEnd is called when backtesting for the given asset ends.
	AssetEnd(name string) error

	// End is called when the backtest ends.
	End() error
}

Report is the backtest report interface.

func NewReport

func NewReport(name, config string) (Report, error)

NewReport builds a new report by the given name type and the configuration.

type ReportBuilderFunc

type ReportBuilderFunc func(config string) (Report, error)

ReportBuilderFunc defines a function to build a new report using the given configuration parameter.