autotrader/backtesting.go

package autotrader

import (
	"errors"
	"fmt"
	"log"
	"os"
	"strconv"
	"time"

	"github.com/go-echarts/go-echarts/v2/charts"
	"github.com/go-echarts/go-echarts/v2/components"
	"github.com/go-echarts/go-echarts/v2/opts"
	"golang.org/x/exp/rand"
	"golang.org/x/exp/slices"
)

var (
	ErrEOF            = errors.New("end of the input data")
	ErrNoData         = errors.New("no data")
	ErrPositionClosed = errors.New("position closed")
)

var _ Broker = (*TestBroker)(nil) // Compile-time interface check.

func Backtest(trader *Trader) {
	switch broker := trader.Broker.(type) {
	case *TestBroker:
		rand.Seed(uint64(time.Now().UnixNano()))
		trader.Init() // Initialize the trader and strategy.
		start := time.Now()
		for !trader.EOF {
			trader.Tick()    // Allow the trader to process the current candlesticks.
			broker.Advance() // Give the trader access to the next candlestick.
		}
		log.Printf("Backtest completed on %d candles. Opening report...\n", trader.Stats().Dated.Len())
		stats := trader.Stats()

		page := components.NewPage()

		// Create a new line balChart based on account equity and add it to the page.
		balChart := charts.NewLine()
		balChart.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
			Title:    "Balance",
			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")), 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.
		returnsSeries := stats.Dated.Series("Returns")
		returns := make([]float64, 0, returnsSeries.Len())
		// returns := stats.Dated.Series("Returns").Values()
		// Remove nil values.
		for i := 0; i < returnsSeries.Len(); i++ {
			r := returnsSeries.Value(i)
			if r != nil {
				returns = append(returns, r.(float64))
			}
		}
		// Sort the returns.
		slices.Sort(returns)
		// Create the X axis labels for the returns chart based on length of the returns slice.
		returnsLabels := make([]int, len(returns))
		for i := range returns {
			returnsLabels[i] = i + 1
		}
		returnsBars := make([]opts.BarData, len(returns))
		for i, r := range returns {
			returnsBars[i] = opts.BarData{Value: r}
		}
		var avg float64
		for _, r := range returns {
			avg += r
		}
		avg /= float64(len(returns))
		returnsAverage := make([]opts.LineData, len(returns))
		for i := range returnsAverage {
			returnsAverage[i] = opts.LineData{Value: avg}
		}

		returnsChart := charts.NewBar()
		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)

		returnsChartAvg := charts.NewLine()
		returnsChartAvg.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
			Title: "Average Returns",
		}))
		returnsChartAvg.SetXAxis(returnsLabels).
			AddSeries("Average", returnsAverage, func(s *charts.SingleSeries) {
				s.LineStyle = &opts.LineStyle{
					Width: 2,
				}
			})
		returnsChart.Overlap(returnsChartAvg)

		// TODO: Use Radar to display performance metrics.

		// Add all the charts in the desired order.
		page.PageTitle = "Backtest Report"
		page.AddCharts(balChart, returnsChart)

		// Draw the page to a file.
		f, err := os.Create("backtest.html")
		if err != nil {
			panic(err)
		}
		page.Render(f)
		f.Close()

		// Open the chart in the default browser.
		if err := Open("backtest.html"); err != nil {
			panic(err)
		}
	default:
		log.Fatalf("Backtesting is only supported with a TestBroker. Got %T", broker)
	}
}

// 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 {
		return []opts.LineData{}
	}
	data := make([]opts.LineData, s.Len())
	for i := 0; i < s.Len(); i++ {
		data[i] = opts.LineData{Value: Round(s.Value(i).(float64), 2)}
	}
	return data
}

func seriesStringArray(s Series) []string {
	if s == nil || s.Len() == 0 {
		return []string{}
	}
	first := true
	data := make([]string, s.Len())
	var dateLayout string
	for i := 0; i < s.Len(); i++ {
		switch val := s.Value(i).(type) {
		case time.Time:
			if first {
				first = false
				dateHead := s.Value(0).(time.Time)
				dateTail := s.Value(-1).(time.Time)
				diff := dateTail.Sub(dateHead)
				if diff.Hours() > 24*365 {
					dateLayout = time.DateOnly
				} else {
					dateLayout = time.DateTime
				}
			}
			data[i] = val.Format(dateLayout)
		case string:
			data[i] = fmt.Sprintf("%q", val)
		default:
			data[i] = fmt.Sprintf("%v", val)
		}
	}
	return data
}

// TestBroker is a broker that can be used for testing. It implements the Broker interface and fulfills orders
//
// Signals:
//   - Tick(nil) - Called when the broker ticks.
//   - OrderPlaced(Order) - Called when an order is placed.
//   - OrderFilled(Order) - Called when an order is filled.
//   - OrderCanceled(Order) - Called when an order is canceled.
//   - PositionClosed(Position) - Called when a position is closed.
//   - PositionModified(Position) - Called when a position changes.
type TestBroker struct {
	SignalManager
	DataBroker Broker
	Data       *DataFrame
	Cash       float64
	Leverage   float64
	Spread     float64 // Number of pips to add to the price when buying and subtract when selling. (Forex)

	candleCount int // The number of candles anyone outside this broker has seen. Also equal to the number of times Candles has been called.
	orders      []Order
	positions   []Position
}

// CandleIndex returns the index of the current candle.
func (b *TestBroker) CandleIndex() int {
	return Max(b.candleCount-1, 0)
}

// Advance advances the test broker to the next candle in the input data. This should be done at the end of the
// strategy loop.
func (b *TestBroker) Advance() {
	if b.candleCount < b.Data.Len() {
		b.candleCount++
	}
}

// Candles returns the last count candles for the given symbol and frequency. If count is greater than the number of candles, then a dataframe with zero rows is returned.
//
// If the TestBroker has a data broker set, then it will use that to get candles. Otherwise, it will return the candles from the data that was set. The first call to Candles will fetch candles from the data broker if it is set, so it is recommended to set the data broker before the first call to Candles and to call Candles the first time with the number of candles you want to fetch.
func (b *TestBroker) Candles(symbol string, frequency string, count int) (*DataFrame, error) {
	start := Max(Max(b.candleCount, 1)-count, 0)
	adjCount := b.candleCount - start

	if b.Data != nil && b.candleCount >= b.Data.Len() { // We have data and we are at the end of it.
		return b.Data.Copy(-count, -1).(*DataFrame), ErrEOF // Return the last count candles.
	} else if b.DataBroker != nil && b.Data == nil { // We have a data broker but no data.
		candles, err := b.DataBroker.Candles(symbol, frequency, count)
		if err != nil {
			return nil, err
		}
		b.Data = candles
	} else if b.Data == nil { // Both b.DataBroker and b.Data are nil.
		return nil, ErrNoData
	}
	return b.Data.Copy(start, adjCount).(*DataFrame), nil
}

func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error) {
	if b.Data == nil { // The DataBroker could have data but nobody has fetched it, yet.
		if b.DataBroker == nil {
			return nil, ErrNoData
		}
		_, err := b.Candles("", "", 1) // Fetch data from the DataBroker.
		if err != nil {
			return nil, err
		}
	}
	price := b.Data.Close(b.CandleIndex()) // Get the last close price.

	order := &TestOrder{
		id:         strconv.Itoa(rand.Int()),
		leverage:   b.Leverage,
		position:   nil,
		price:      price,
		symbol:     symbol,
		stopLoss:   stopLoss,
		takeProfit: takeProfit,
		time:       time.Now(),
		orderType:  MarketOrder,
		units:      units,
	}

	// Instantly fulfill the order.
	order.position = &TestPosition{
		broker:     b,
		closed:     false,
		entryPrice: price,
		id:         strconv.Itoa(rand.Int()),
		leverage:   b.Leverage,
		symbol:     symbol,
		stopLoss:   stopLoss,
		takeProfit: takeProfit,
		time:       time.Now(),
		units:      units,
	}
	b.Cash -= order.position.EntryValue()

	b.orders = append(b.orders, order)
	b.positions = append(b.positions, order.position)
	b.SignalEmit("OrderPlaced", order)

	return order, nil
}

func (b *TestBroker) NAV() float64 {
	nav := b.Cash
	// Add the value of open positions to our NAV.
	for _, position := range b.positions {
		if !position.Closed() {
			nav += position.Value()
		}
	}
	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 {
		if !order.Fulfilled() {
			orders = append(orders, order)
		}
	}
	return orders
}

func (b *TestBroker) OpenPositions() []Position {
	positions := make([]Position, 0, len(b.positions))
	for _, position := range b.positions {
		if !position.Closed() {
			positions = append(positions, position)
		}
	}
	return positions
}

func (b *TestBroker) Orders() []Order {
	return b.orders
}

func (b *TestBroker) Positions() []Position {
	return b.positions
}

func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
	return &TestBroker{
		DataBroker:  dataBroker,
		Data:        data,
		Cash:        cash,
		Leverage:    Max(leverage, 1),
		Spread:      spread,
		candleCount: Max(startCandles, 1),
	}
}

type TestPosition struct {
	broker     *TestBroker
	closed     bool
	entryPrice float64
	closePrice float64 // If zero, then position has not been closed.
	id         string
	leverage   float64
	symbol     string
	stopLoss   float64
	takeProfit float64
	time       time.Time
	units      float64
}

func (p *TestPosition) Close() error {
	if p.closed {
		return ErrPositionClosed
	}
	p.closed = true
	p.closePrice = p.broker.Data.Close(p.broker.CandleIndex()) - p.broker.Spread // Get the last close price.
	p.broker.Cash += p.Value()                                                   // Return the value of the position to the broker.
	p.broker.SignalEmit("PositionClosed", p)
	return nil
}

func (p *TestPosition) Closed() bool {
	return p.closed
}

func (p *TestPosition) EntryPrice() float64 {
	return p.entryPrice
}

func (p *TestPosition) ClosePrice() float64 {
	return p.closePrice
}

func (p *TestPosition) EntryValue() float64 {
	return p.entryPrice * p.units
}

func (p *TestPosition) Id() string {
	return p.id
}

func (p *TestPosition) Leverage() float64 {
	return p.leverage
}

func (p *TestPosition) PL() float64 {
	return p.Value() - p.EntryValue()
}

func (p *TestPosition) Symbol() string {
	return p.symbol
}

func (p *TestPosition) StopLoss() float64 {
	return p.stopLoss
}

func (p *TestPosition) TakeProfit() float64 {
	return p.takeProfit
}

func (p *TestPosition) Time() time.Time {
	return p.time
}

func (p *TestPosition) Units() float64 {
	return p.units
}

func (p *TestPosition) Value() float64 {
	if p.closed {
		return p.closePrice * p.units
	}
	bid := p.broker.Data.Close(p.broker.CandleIndex()) - p.broker.Spread
	return bid * p.units
}

type TestOrder struct {
	id         string
	leverage   float64
	position   *TestPosition
	price      float64
	symbol     string
	stopLoss   float64
	takeProfit float64
	time       time.Time
	orderType  OrderType
	units      float64
}

func (o *TestOrder) Cancel() error {
	return ErrCancelFailed
}

func (o *TestOrder) Fulfilled() bool {
	return o.position != nil
}

func (o *TestOrder) Id() string {
	return o.id
}

func (o *TestOrder) Leverage() float64 {
	return o.leverage
}

func (o *TestOrder) Position() Position {
	return o.position
}

func (o *TestOrder) Price() float64 {
	return o.price
}

func (o *TestOrder) Symbol() string {
	return o.symbol
}

func (o *TestOrder) StopLoss() float64 {
	return o.stopLoss
}

func (o *TestOrder) TakeProfit() float64 {
	return o.takeProfit
}

func (o *TestOrder) Time() time.Time {
	return o.time
}

func (o *TestOrder) Type() OrderType {
	return o.orderType
}

func (o *TestOrder) Units() float64 {
	return o.units
}