diff --git a/README.md b/README.md
index 07fd5b0aa..d44a8a723 100644
--- a/README.md
+++ b/README.md
@@ -338,6 +338,7 @@ c.symbols = [
symbol: 'ETHUSDT',
exchange: 'binance_futures',
periods: ['1m', '15m', '1h'],
+ feesPerTrade: 0.04,
trade: {
currency_capital: 10,
strategies: [
@@ -369,6 +370,7 @@ Per pair you can set used margin before orders are created; depending on exchang
c.symbols.push({
'symbol': 'BTCUSD',
'exchange': 'bitmex',
+ 'feesPerTrade': 0.05,
'extra': {
'bitmex_leverage': 5,
},
@@ -377,12 +379,24 @@ Per pair you can set used margin before orders are created; depending on exchang
c.symbols.push({
'symbol': 'EOSUSD',
'exchange': 'bybit',
+ 'feesPerTrade': 0.075,
'extra': {
'bybit_leverage': 5,
},
})
```
+### Fees
+
+Fees can be configured on `instance.js` file including the field `feesPerTrade`, it is important to
+mention that prices of fees are for Taker, not for Maker
+
+For example:
+
+Binance futures: has a Maker/Taker 0.0200%/0.0400%.
+
+'feesPerTrade': 0.04,
+
## Tools
### Fill data
diff --git a/instance.js.dist b/instance.js.dist
index 621c0854f..1600a0630 100644
--- a/instance.js.dist
+++ b/instance.js.dist
@@ -94,6 +94,7 @@ c.init = () => {
'periods': ['1m', '15m', '1h'],
'exchange': 'binance',
'state': 'watch',
+ 'feesPerTrade': 0.04,
'watchdogs': [
{
'name': 'stoploss_watch',
@@ -144,6 +145,7 @@ y.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'bitmex',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'extra': {
'bitmex_leverage': 5,
@@ -193,6 +195,7 @@ l.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'bitmex_testnet',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'watchdogs': [
{
@@ -235,6 +238,7 @@ z.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'binance',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'strategies': [
{
diff --git a/src/command/backtest.js b/src/command/backtest.js
new file mode 100644
index 000000000..66ed827fd
--- /dev/null
+++ b/src/command/backtest.js
@@ -0,0 +1,25 @@
+const services = require('../modules/services');
+
+process.on('message', async msg => {
+ const p = msg.pair.split('.');
+
+ services.boot(msg.projectDir);
+
+ const results = await services
+ .getBacktest()
+ .getBacktestResult(
+ msg.tickIntervalInMinutes,
+ msg.hours,
+ msg.strategy,
+ msg.candlePeriod,
+ p[0],
+ p[1],
+ msg.options,
+ msg.initialCapital,
+ msg.projectDir
+ );
+
+ process.send({
+ results: results
+ });
+});
diff --git a/src/modules/backtest.js b/src/modules/backtest.js
index 974a4e351..3d190e757 100644
--- a/src/modules/backtest.js
+++ b/src/modules/backtest.js
@@ -44,7 +44,20 @@ module.exports = class Backtest {
});
}
- getBacktestResult(tickIntervalInMinutes, hours, strategy, candlePeriod, exchange, pair, options, initial_capital) {
+ getBacktestResult(
+ tickIntervalInMinutes,
+ hours,
+ strategy,
+ candlePeriod,
+ exchange,
+ pair,
+ options,
+ initialCapital,
+ projectDir
+ ) {
+ if (projectDir) {
+ this.projectDir = projectDir;
+ }
return new Promise(async resolve => {
const start = moment()
.startOf('hour')
@@ -186,7 +199,10 @@ module.exports = class Backtest {
};
});
- const backtestSummary = await this.getBacktestSummary(signals, initial_capital);
+ const instance = this.instances.symbols.filter(i => i.symbol === pair && i.exchange === exchange)[0];
+ const fees = instance.feesPerTrade === undefined ? 0 : instance.feesPerTrade;
+
+ const backtestSummary = await this.getBacktestSummary(signals, initialCapital, fees);
resolve({
summary: backtestSummary,
rows: rows.slice().reverse(),
@@ -205,10 +221,10 @@ module.exports = class Backtest {
});
}
- getBacktestSummary(signals, initial_capital) {
- return new Promise(async resolve => {
- const initialCapital = Number(initial_capital); // 1000 $ Initial Capital
- let workingCapital = initialCapital; // Capital that changes after every trade
+ getBacktestSummary(signals, initialCapital, feesPerTrade) {
+ return new Promise(resolve => {
+ const initialCapitalNumber = Number(initialCapital); // 1000 $ Initial Capital
+ let workingCapital = initialCapitalNumber; // Capital that changes after every trade
let lastPosition; // Holds Info about last action
@@ -222,47 +238,52 @@ module.exports = class Backtest {
};
let cumulativePNLPercent = 0; // Sum of all the PNL Percentages
+ let cumulativeNetFees = 0;
const pnlRateArray = []; // Array of all PNL Percentages of all the trades
-
// Iterate over all the signals
for (let s = 0; s < signals.length; s++) {
const signalObject = signals[s];
- const signalType = signalObject.result._signal; // Can be long,short,close
+ const signalType = signalObject.result.getSignal(); // Can be long,short,close
// When a trade is closed
- if (signalType == 'close') {
+ if (signalType === 'close') {
// Increment the total trades counter
trades.total += 1;
// Entry Position Details
- const entrySignalType = lastPosition.result._signal; // Long or Short
const entryPrice = lastPosition.price; // Price during the trade entry
- const tradedQuantity = Number((workingCapital / entryPrice)); // Quantity
-
+ const tradedQuantity = Number(workingCapital / entryPrice); // Quantity
+ const entrySignalType = lastPosition.result.getSignal(); // Long or Short
+ const entryValue = Number((tradedQuantity * entryPrice).toFixed(2)); // Price * Quantity
+ const entryFee = (entryValue * feesPerTrade) / 100;
// Exit Details
const exitPrice = signalObject.price; // Price during trade exit
const exitValue = Number((tradedQuantity * exitPrice).toFixed(2)); // Price * Quantity
+ const exitFee = (exitValue * feesPerTrade) / 100;
+
+ const totalFee = entryFee + exitFee;
+ cumulativeNetFees += totalFee;
// Trade Details
let pnlValue = 0; // Profit or Loss Value
// When the position is Long
- if (entrySignalType == 'long') {
- if (exitPrice > entryPrice) {
+ if (entrySignalType === 'long') {
+ if (exitValue - totalFee > entryValue) {
// Long Trade is Profitable
trades.profitableCount += 1;
}
// Set the PNL
- pnlValue = exitValue - workingCapital;
- } else if (entrySignalType == 'short') {
- if (exitPrice < entryPrice) {
+ pnlValue = exitValue - totalFee - workingCapital;
+ } else if (entrySignalType === 'short') {
+ if (exitValue - totalFee < entryValue) {
// Short Trade is Profitable
trades.profitableCount += 1;
}
// Set the PNL
- pnlValue = -(exitValue - workingCapital);
+ pnlValue = -(exitValue - totalFee - workingCapital);
}
// Percentage Return
@@ -276,7 +297,7 @@ module.exports = class Backtest {
// Update Working Cap
workingCapital += pnlValue;
- } else if (signalType == 'long' || signalType == 'short') {
+ } else if (signalType === 'long' || signalType === 'short') {
// Enter into a position
lastPosition = signalObject;
}
@@ -309,7 +330,7 @@ module.exports = class Backtest {
// -- End of Sharpe Ratio Calculation
// Net Profit
- const netProfit = Number((((workingCapital - initialCapital) / initialCapital) * 100).toFixed(2));
+ const netProfit = Number((((workingCapital - initialCapitalNumber) / initialCapitalNumber) * 100).toFixed(2));
trades.profitabilityPercent = Number(((trades.profitableCount * 100) / trades.total).toFixed(2));
@@ -317,7 +338,8 @@ module.exports = class Backtest {
sharpeRatio: sharpeRatio,
averagePNLPercent: averagePNLPercent,
netProfit: netProfit,
- initialCapital: initialCapital,
+ netFees: cumulativeNetFees,
+ initialCapital: initialCapitalNumber,
finalCapital: Number(workingCapital.toFixed(2)),
trades: trades
};
diff --git a/src/modules/http.js b/src/modules/http.js
index c176b1053..d73cd9806 100644
--- a/src/modules/http.js
+++ b/src/modules/http.js
@@ -5,8 +5,12 @@ const auth = require('basic-auth');
const cookieParser = require('cookie-parser');
const crypto = require('crypto');
const moment = require('moment');
+const { fork } = require('child_process');
const OrderUtil = require('../utils/order_util');
+const backtestPendingPairs = {};
+const backtestResults = {};
+
module.exports = class Http {
constructor(
systemUtil,
@@ -92,7 +96,13 @@ module.exports = class Http {
strict_variables: false
});
- app.use(express.urlencoded({ limit: '12mb', extended: true, parameterLimit: 50000 }));
+ app.use(
+ express.urlencoded({
+ limit: '12mb',
+ extended: true,
+ parameterLimit: 50000
+ })
+ );
app.use(cookieParser());
app.use(compression());
app.use(express.static(`${this.projectDir}/web/static`, { maxAge: 3600000 * 24 }));
@@ -136,29 +146,52 @@ module.exports = class Http {
pairs = [pairs];
}
- const asyncs = pairs.map(pair => {
- return async () => {
- const p = pair.split('.');
+ const key = moment().unix();
+
+ backtestPendingPairs[key] = [];
+ backtestResults[key] = [];
+
+ pairs.forEach(pair => {
+ backtestPendingPairs[key].push(pair);
+
+ const forked = fork('src/command/backtest.js');
- return {
+ forked.send({
+ pair,
+ tickIntervalInMinutes: parseInt(req.body.ticker_interval, 10),
+ hours: req.body.hours,
+ strategy: req.body.strategy,
+ candlePeriod: req.body.candle_period,
+ options: req.body.options ? JSON.parse(req.body.options) : {},
+ initialCapital: req.body.initial_capital,
+ projectDir: this.projectDir
+ });
+
+ forked.on('message', msg => {
+ backtestPendingPairs[key].splice(backtestPendingPairs[key].indexOf(pair), 1);
+ backtestResults[key].push({
pair: pair,
- result: await this.backtest.getBacktestResult(
- parseInt(req.body.ticker_interval, 10),
- req.body.hours,
- req.body.strategy,
- req.body.candle_period,
- p[0],
- p[1],
- req.body.options ? JSON.parse(req.body.options) : {},
- req.body.initial_capital
- )
- };
- };
+ result: msg.results
+ });
+ });
});
- const backtests = await Promise.all(asyncs.map(fn => fn()));
+ res.render('../templates/backtest-pending-results.html.twig', {
+ key: key
+ });
+ });
+
+ app.get('/backtest/:backtestKey', async (req, res) => {
+ res.send({
+ ready:
+ backtestPendingPairs[req.params.backtestKey] === undefined
+ ? false
+ : backtestPendingPairs[req.params.backtestKey].length === 0
+ });
+ });
- // single details view
+ app.get('/backtest/result/:backtestKey', (req, res) => {
+ const backtests = backtestResults[req.params.backtestKey];
if (backtests.length === 1) {
res.render('../templates/backtest_submit.html.twig', backtests[0].result);
return;
diff --git a/src/modules/services.js b/src/modules/services.js
index 95040b276..d90f749a8 100644
--- a/src/modules/services.js
+++ b/src/modules/services.js
@@ -155,7 +155,7 @@ module.exports = {
myDb.pragma('journal_mode = WAL');
myDb.pragma('SYNCHRONOUS = 1;');
- myDb.pragma('LOCKING_MODE = EXCLUSIVE;');
+ // myDb.pragma('LOCKING_MODE = EXCLUSIVE;');
return (db = myDb);
},
diff --git a/templates/backtest-pending-results.html.twig b/templates/backtest-pending-results.html.twig
new file mode 100644
index 000000000..cdcb326c0
--- /dev/null
+++ b/templates/backtest-pending-results.html.twig
@@ -0,0 +1,65 @@
+{% extends './layout.html.twig' %}
+
+{% block title %}Backtesting | Crypto Bot{% endblock %}
+
+{% block content %}
+ <!-- Content Wrapper. Contains page content -->
+ <div class="content-wrapper">
+ <!-- Content Header (Page header) -->
+ <section class="content-header">
+ <div class="container">
+ <div class="row mb-2">
+ <div class="col-sm-6">
+ <h1>Backtesting</h1>
+ </div>
+ <div class="col-sm-6">
+ <ol class="breadcrumb float-sm-right">
+ <li class="breadcrumb-item"><a href="{{ '/' }}">Dashboard</a></li>
+ <li class="breadcrumb-item active">Backtesting</li>
+ </ol>
+ </div>
+ </div>
+ </div><!-- /.container-fluid -->
+ </section>
+ <!-- /.Content Header (Page header) -->
+
+ <!-- Main content -->
+ <div class="content">
+ <div class="container">
+ <h3>Waiting results for backtest id {{ key }}</h3>
+ </div><!-- /.container-fluid -->
+ </div>
+ <!-- /.content -->
+ </div>
+ <!-- /.content-wrapper -->
+
+{% endblock %}
+
+{% block javascript %}
+<script src="/js/backtest-form.js?v={{ asset_version() }}"></script>
+<script>
+var ready = false;
+const intervalId = setInterval(call, 2000);
+function call() {
+ $.ajax({
+ type: "GET",
+ url: '/backtest/{{ key }}',
+ dataType: "json",
+ success: function(data, textStatus) {
+ ready = data.ready;
+ if (data.ready === true) {
+ clearInterval(intervalId);
+ window.location.href = '/backtest/result/{{ key }}'
+ }
+ }
+ })
+};
+
+</script>
+
+<script src="https://cdnjs.cloudflare.com/ajax/libs/chosen/1.8.7/chosen.jquery.min.js" integrity="sha512-rMGGF4wg1R73ehtnxXBt5mbUfN9JUJwbk21KMlnLZDJh7BkPmeovBuddZCENJddHYYMkCh9hPFnPmS9sspki8g==" crossorigin="anonymous"></script>
+{% endblock %}
+
+{% block stylesheet %}
+ <link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/chosen/1.8.7/chosen.min.css" integrity="sha512-yVvxUQV0QESBt1SyZbNJMAwyKvFTLMyXSyBHDO4BG5t7k/Lw34tyqlSDlKIrIENIzCl+RVUNjmCPG+V/GMesRw==" crossorigin="anonymous" />
+{% endblock %}
diff --git a/templates/backtest_submit.html.twig b/templates/backtest_submit.html.twig
index adcb33512..6a536385f 100644
--- a/templates/backtest_submit.html.twig
+++ b/templates/backtest_submit.html.twig
@@ -45,7 +45,7 @@
<!-- /.card-body -->
</div>
<!-- /.card -->
-
+
<div class="card">
<div class="card-header">
<h3 class="card-title">Chart</h3>
@@ -83,10 +83,14 @@
</div>
<!-- /.card-header -->
<div class="card-body table-responsive p-0">
- {% include 'components/backtest_table.html.twig' with {
- 'rows': rows,
- 'extra_fields': extra_fields,
- } only %}
+ {% if rows|length > 1000 %}
+ {% include 'components/backtest_table.html.twig' with {
+ 'rows': rows,
+ 'extra_fields': extra_fields,
+ } only %}
+ {% else %}
+ <span style="margin: 10px">Too many rows detected, rendering process skipped.</span>
+ {% endif %}
</div>
<!-- /.card-body -->
</div>
diff --git a/templates/components/backtest_summary.html.twig b/templates/components/backtest_summary.html.twig
index 355a2aae8..2e4690ded 100644
--- a/templates/components/backtest_summary.html.twig
+++ b/templates/components/backtest_summary.html.twig
@@ -17,6 +17,14 @@
{{ summary.finalCapital }} $
</td>
</tr>
+ <tr>
+ <td>
+ Net Fees
+ </td>
+ <td>
+ {{ summary.netFees|round(2) }} $
+ </td>
+ </tr>
<tr>
<td>
Net Return on Investment
diff --git a/templates/components/backtest_table.html.twig b/templates/components/backtest_table.html.twig
index aa1dc6437..146160797 100644
--- a/templates/components/backtest_table.html.twig
+++ b/templates/components/backtest_table.html.twig
@@ -21,7 +21,7 @@
<td class="no-wrap">{{ row.price|default }}</td>
<td class="no-wrap">
{% if row.profit is defined %}
- <span class="{{ row.profit > 0 ? 'text-success' : 'text-danger' }} {{ row.result.signal|default == 'close' ? ' font-weight-bold' : '' }}">{{ row.profit|round(2) }} %</span>
+ <span class="{{ row.profit > 0 ? 'text-success' : 'text-danger' }} {{ row.result._signal|default == 'close' ? ' font-weight-bold' : '' }}">{{ row.profit|round(2) }} %</span>
{% endif %}
{% if row.lastPriceClosed is defined %}
@@ -30,11 +30,11 @@
</td>
<td>
{% if row.result is defined %}
- {% if row.result.signal == 'long' %}
+ {% if row.result._signal == 'long' %}
<i class="fas fa-chevron-circle-up text-success"></i>
- {% elseif row.result.signal == 'short' %}
+ {% elseif row.result._signal == 'short' %}
<i class="fas fa-chevron-circle-down text-danger"></i>
- {% elseif row.result.signal == 'close' %}
+ {% elseif row.result._signal == 'close' %}
<i class="fa fa-times"></i>
{% endif %}
{% endif %}
@@ -76,4 +76,4 @@
</tr>
{% endfor %}
</tbody>
-</table>
\ No newline at end of file
+</table>