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Fixed so many IndexedSeries bugs...

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This commit is contained in:
Luke I. Wilson
2023-05-24 11:24:10 -05:00
parent c0de28664e
commit 46fd55ab8d
17 changed files with 345 additions and 2981 deletions
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89
backtesting_test.go
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@@ -1,42 +1,49 @@
package autotrader
import (
"strings"
"testing"
"time"
)
const testDataCSV = `date,open,high,low,close,volume
2022-01-01,1.1,1.2,1.0,1.15,100
2022-01-02,1.15,1.2,1.1,1.2,110
2022-01-03,1.2,1.3,1.15,1.25,120
2022-01-04,1.25,1.3,1.0,1.1,130
2022-01-05,1.1,1.2,1.0,1.15,110
2022-01-06,1.15,1.2,1.1,1.2,120
2022-01-07,1.2,1.3,1.15,1.25,140
2022-01-08,1.25,1.3,1.0,1.1,150
2022-01-09,1.1,1.4,1.0,1.3,220`
func newTestingDataframe() *Frame {
data, err := DataFrameFromCSVReaderLayout(strings.NewReader(testDataCSV), DataCSVLayout{
LatestFirst: false,
DateFormat: "2006-01-02",
Date: "date",
Open: "open",
High: "high",
Low: "low",
Close: "close",
Volume: "volume",
})
if err != nil {
panic(err)
var testData = func() *IndexedFrame[UnixTime] {
type candlestick struct {
Date time.Time
Open float64
High float64
Low float64
Close float64
Volume float64
}
return data
}
candlesticks := []candlestick{
{time.Date(2022, 1, 1, 0, 0, 0, 0, time.UTC), 1.1, 1.2, 1.0, 1.15, 100},
{time.Date(2022, 1, 2, 0, 0, 0, 0, time.UTC), 1.15, 1.2, 1.1, 1.2, 110},
{time.Date(2022, 1, 3, 0, 0, 0, 0, time.UTC), 1.2, 1.3, 1.15, 1.25, 120},
{time.Date(2022, 1, 4, 0, 0, 0, 0, time.UTC), 1.25, 1.3, 1.0, 1.1, 130},
{time.Date(2022, 1, 5, 0, 0, 0, 0, time.UTC), 1.1, 1.2, 1.0, 1.15, 110},
{time.Date(2022, 1, 6, 0, 0, 0, 0, time.UTC), 1.15, 1.2, 1.1, 1.2, 120},
{time.Date(2022, 1, 7, 0, 0, 0, 0, time.UTC), 1.2, 1.3, 1.15, 1.25, 140},
{time.Date(2022, 1, 8, 0, 0, 0, 0, time.UTC), 1.25, 1.3, 1.0, 1.1, 150},
{time.Date(2022, 1, 9, 0, 0, 0, 0, time.UTC), 1.1, 1.4, 1.0, 1.3, 160},
}
frame := NewIndexedFrame(
NewIndexedSeries[UnixTime, any]("Open", nil),
NewIndexedSeries[UnixTime, any]("High", nil),
NewIndexedSeries[UnixTime, any]("Low", nil),
NewIndexedSeries[UnixTime, any]("Close", nil),
NewIndexedSeries[UnixTime, any]("Volume", nil),
)
for _, c := range candlesticks {
frame.Series("Open").Insert(UnixTime(c.Date.Unix()), c.Open)
frame.Series("High").Insert(UnixTime(c.Date.Unix()), c.High)
frame.Series("Low").Insert(UnixTime(c.Date.Unix()), c.Low)
frame.Series("Close").Insert(UnixTime(c.Date.Unix()), c.Close)
frame.Series("Volume").Insert(UnixTime(c.Date.Unix()), c.Volume)
}
return frame
}()
func TestBacktestingBrokerCandles(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 0, 0, 0, 0)
broker := NewTestBroker(nil, testData, 0, 0, 0, 0)
candles, err := broker.Candles("EUR_USD", "D", 3)
if err != nil {
@@ -45,8 +52,9 @@ func TestBacktestingBrokerCandles(t *testing.T) {
if candles.Len() != 1 {
t.Errorf("Expected 1 candle, got %d", candles.Len())
}
if candles.Date(0) != time.Date(2022, 1, 1, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected first candle to be 2022-01-01, got %s", candles.Date(0))
expected := time.Date(2022, 1, 1, 0, 0, 0, 0, time.UTC)
if !candles.Date(0).Time().Equal(expected) {
t.Errorf("Expected first candle to be %s, got %s", expected, candles.Date(0))
}
broker.Advance()
@@ -57,11 +65,12 @@ func TestBacktestingBrokerCandles(t *testing.T) {
if candles.Len() != 2 {
t.Errorf("Expected 2 candles, got %d", candles.Len())
}
if candles.Date(1) != time.Date(2022, 1, 2, 0, 0, 0, 0, time.UTC) {
t.Errorf("Expected second candle to be 2022-01-02, got %s", candles.Date(1))
expected = time.Date(2022, 1, 2, 0, 0, 0, 0, time.UTC)
if !candles.Date(1).Time().Equal(expected) {
t.Errorf("Expected second candle to be %s, got %s", expected, candles.Date(1))
}
for i := 0; i < 7; i++ { // 6 because we want to call broker.Candles 9 times total
for i := 0; i < 7; i++ { // 6 because we want to call broker.Advance() 9 times total
broker.Advance()
candles, err = broker.Candles("EUR_USD", "D", 5)
if err != nil && err != ErrEOF && i != 6 { // Allow ErrEOF on last iteration.
@@ -80,8 +89,7 @@ func TestBacktestingBrokerCandles(t *testing.T) {
}
func TestBacktestingBrokerMarketOrders(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
broker := NewTestBroker(nil, testData, 100_000, 50, 0, 0)
broker.Slippage = 0
timeBeforeOrder := time.Now()
@@ -174,8 +182,7 @@ func TestBacktestingBrokerMarketOrders(t *testing.T) {
}
func TestBacktestingBrokerLimitOrders(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
broker := NewTestBroker(nil, testData, 100_000, 50, 0, 0)
broker.Slippage = 0
order, err := broker.Order(Limit, "EUR_USD", -50_000, 1.3, 1.35, 1.1) // Sell limit 50,000 USD for 1000 EUR
@@ -224,8 +231,7 @@ func TestBacktestingBrokerLimitOrders(t *testing.T) {
}
func TestBacktestingBrokerStopOrders(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
broker := NewTestBroker(nil, testData, 100_000, 50, 0, 0)
broker.Slippage = 0
order, err := broker.Order(Stop, "EUR_USD", 50_000, 1.2, 1, 1.3) // Buy stop 50,000 EUR for 1000 USD
@@ -273,8 +279,7 @@ func TestBacktestingBrokerStopOrders(t *testing.T) {
}
func TestBacktestingBrokerStopLossTakeProfit(t *testing.T) {
data := newTestingDataframe()
broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
broker := NewTestBroker(nil, testData, 100_000, 50, 0, 0)
broker.Slippage = 0
order, err := broker.Order(Market, "", 10_000, 0, 1.05, 1.25)