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Added Round function and unit tests

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This commit is contained in:
Luke I. Wilson
2023-05-17 14:20:13 -05:00
parent 34f98a1376
commit 494df7827b
6 changed files with 128 additions and 24 deletions
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54
backtesting.go
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@@ -31,7 +31,7 @@ func Backtest(trader *Trader) {
trader.Tick() // Allow the trader to process the current candlesticks.
broker.Advance() // Give the trader access to the next candlestick.
}
log.Println("Backtest complete. Opening report...")
log.Printf("Backtest completed on %d candles. Opening report...\n", trader.Stats().Dated.Len())
stats := trader.Stats()
page := components.NewPage()
@@ -40,11 +40,22 @@ func Backtest(trader *Trader) {
balChart := charts.NewLine()
balChart.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
Title: "Balance",
Subtitle: fmt.Sprintf("%s %s %T (took %.2f seconds) %s", trader.Symbol, trader.Frequency, trader.Strategy, time.Since(start).Seconds(), time.Now().Format(time.DateTime)),
Subtitle: fmt.Sprintf("%s %s %T %s (took %.2f seconds)", trader.Symbol, trader.Frequency, trader.Strategy, time.Now().Format(time.DateTime), time.Since(start).Seconds()),
}), charts.WithTooltipOpts(opts.Tooltip{
Show: true,
Trigger: "axis",
TriggerOn: "mousemove|click",
}), charts.WithYAxisOpts(opts.YAxis{
AxisLabel: &opts.AxisLabel{
Show: true,
Formatter: "${value}",
},
}))
balChart.SetXAxis(seriesStringArray(stats.Dated.Dates())).
AddSeries("Equity", lineDataFromSeries(stats.Dated.Series("Equity"))).
AddSeries("Drawdown", lineDataFromSeries(stats.Dated.Series("Drawdown")))
AddSeries("Equity", lineDataFromSeries(stats.Dated.Series("Equity")), func(s *charts.SingleSeries) {
}).
AddSeries("Profit", lineDataFromSeries(stats.Dated.Series("Profit")))
// AddSeries("Drawdown", lineDataFromSeries(stats.Dated.Series("Drawdown")))
// Sort Returns by value.
// Plot returns as a bar chart.
@@ -83,6 +94,11 @@ func Backtest(trader *Trader) {
returnsChart.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
Title: "Returns",
Subtitle: fmt.Sprintf("Average: $%.2f", avg),
}), charts.WithYAxisOpts(opts.YAxis{
AxisLabel: &opts.AxisLabel{
Show: true,
Formatter: "${value}",
},
}))
returnsChart.SetXAxis(returnsLabels).
AddSeries("Returns", returnsBars)
@@ -122,16 +138,16 @@ func Backtest(trader *Trader) {
}
}
func barDataFromSeries(s Series) []opts.BarData {
if s == nil || s.Len() == 0 {
return []opts.BarData{}
}
data := make([]opts.BarData, s.Len())
for i := 0; i < s.Len(); i++ {
data[i] = opts.BarData{Value: s.Value(i)}
}
return data
}
// func barDataFromSeries(s Series) []opts.BarData {
// if s == nil || s.Len() == 0 {
// return []opts.BarData{}
// }
// data := make([]opts.BarData, s.Len())
// for i := 0; i < s.Len(); i++ {
// data[i] = opts.BarData{Value: s.Value(i)}
// }
// return data
// }
func lineDataFromSeries(s Series) []opts.LineData {
if s == nil || s.Len() == 0 {
@@ -139,7 +155,7 @@ func lineDataFromSeries(s Series) []opts.LineData {
}
data := make([]opts.LineData, s.Len())
for i := 0; i < s.Len(); i++ {
data[i] = opts.LineData{Value: s.Value(i)}
data[i] = opts.LineData{Value: Round(s.Value(i).(float64), 2)}
}
return data
}
@@ -294,6 +310,14 @@ func (b *TestBroker) NAV() float64 {
return nav
}
func (b *TestBroker) PL() float64 {
var pl float64
for _, position := range b.positions {
pl += position.PL()
}
return pl
}
func (b *TestBroker) OpenOrders() []Order {
orders := make([]Order, 0, len(b.orders))
for _, order := range b.orders {