docker files fixes from liaqat
This commit is contained in:
alirehmani
408
src/Managing.Application.Tests/BotsTests.cs
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408
src/Managing.Application.Tests/BotsTests.cs
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using Managing.Application.Abstractions;
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using Managing.Application.Abstractions.Services;
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using Managing.Application.Backtesting;
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using Managing.Application.Bots.Base;
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using Managing.Domain.MoneyManagements;
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using Managing.Domain.Scenarios;
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using Moq;
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using System.Collections;
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using System.Diagnostics;
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using Xunit;
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using static Managing.Common.Enums;
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namespace Managing.Application.Tests
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{
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public class BotsTests : BaseTests
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{
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private readonly IBotFactory _botFactory;
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private readonly IBacktester _backtester;
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private readonly string _reportPath = "D:\\BacktestingReports\\backtesting.csv";
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private string _analysePath = "D:\\BacktestingReports\\analyse";
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private readonly string _errorsPath = "D:\\BacktestingReports\\errorsAnalyse.csv";
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private readonly string _s = "|";
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private List<double> _elapsedTimes { get; set; }
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public BotsTests() : base ()
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{
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var backtestRepository = new Mock<IBacktestRepository>().Object;
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var discordService = new Mock<IMessengerService>().Object;
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var tradingBotLogger = TradingBaseTests.CreateTradingBotLogger();
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var backtestLogger = TradingBaseTests.CreateBacktesterLogger();
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_botFactory = new BotFactory(
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_exchangeService,
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tradingBotLogger,
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_moneyManagementService.Object,
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discordService,
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_accountService.Object,
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_tradingService.Object);
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_backtester = new Backtester(_exchangeService, _botFactory, backtestRepository, backtestLogger);
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_elapsedTimes = new List<double>();
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}
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[Theory]
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[InlineData(Ticker.BTC, Timeframe.OneDay, -100)]
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public void SwingBot_Should_Return_Positiv_Profit_For_Every_Position(Ticker ticker, Timeframe timeframe, int days)
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{
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// Arrange
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var scenario = new Scenario("ScalpingScenario");
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var strategy = ScenarioHelpers.BuildStrategy(StrategyType.RsiDivergence, timeframe, "RsiDiv", period: 14);
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scenario.AddStrategy(strategy);
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// Act
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var backtestResult = _backtester.RunFlippingBotBacktest(Account, MoneyManagement, ticker, scenario, timeframe, Convert.ToDouble(days*2), 1000);
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WriteCsvReport(backtestResult.GetStringReport());
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// Assert
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Assert.True(backtestResult.FinalPnl > 0);
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Assert.True(backtestResult.WinRate >= 30);
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Assert.True(backtestResult.GrowthPercentage > backtestResult.HodlPercentage);
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}
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[Theory]
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//[InlineData(Enums.Exchanges.Binance, "ADAUSDT", Timeframe.ThirtyMinutes, -5)]
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//[InlineData(Enums.Exchanges.Binance, "ADAUSDT", Timeframe.FifteenMinutes, -5)]
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//[InlineData(Enums.Exchanges.Binance, "SOLUSDT", Timeframe.ThirtyMinutes, -4)]
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//[InlineData(Enums.Exchanges.Binance, "SOLUSDT", Timeframe.FifteenMinutes, -4)]
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//[InlineData(Enums.Exchanges.Binance, "BTCUSDT", Timeframe.ThirtyMinutes, -4)]
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//[InlineData(Enums.Exchanges.Binance, "BTCUSDT", Timeframe.FifteenMinutes, -4)]
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[InlineData(Ticker.BTC, Timeframe.FifteenMinutes, -14)]
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public void ScalpingBot_Should_Return_Positiv_Profit_For_Every_Position(Ticker ticker, Timeframe timeframe, int days)
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{
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// Arrange
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var scenario = new Scenario("ScalpingScenario");
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var strategy = ScenarioHelpers.BuildStrategy(StrategyType.RsiDivergence, timeframe, "RsiDiv", period: 5);
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scenario.AddStrategy(strategy);
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// Act
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var backtestResult = _backtester.RunScalpingBotBacktest(Account, MoneyManagement, ticker, scenario, timeframe, Convert.ToDouble(days), 1000);
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//WriteCsvReport(backtestResult.GetStringReport());
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// Assert
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Assert.True(backtestResult.FinalPnl > 0);
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Assert.True(backtestResult.WinRate >= 30);
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Assert.True(backtestResult.GrowthPercentage > backtestResult.HodlPercentage);
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}
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[Theory]
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[InlineData(Ticker.BTC, Timeframe.FifteenMinutes, -8)]
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public void MacdCross_Should_Return_Positiv_Profit_For_Every_Position(Ticker ticker, Timeframe timeframe, int days)
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{
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// Arrange
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var scenario = new Scenario("ScalpingScenario");
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var strategy = ScenarioHelpers.BuildStrategy(StrategyType.MacdCross, timeframe, "RsiDiv", fastPeriods: 12, slowPeriods: 26, signalPeriods: 9);
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scenario.AddStrategy(strategy);
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var moneyManagement = new MoneyManagement()
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{
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BalanceAtRisk = 0.05m,
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Leverage = 1,
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Timeframe = timeframe,
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StopLoss = 0.01m,
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TakeProfit = 0.02m
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};
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// Act
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var backtestResult = _backtester.RunScalpingBotBacktest(Account, moneyManagement, ticker, scenario, timeframe, Convert.ToDouble(days), 1000);
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WriteCsvReport(backtestResult.GetStringReport());
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// Assert
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Assert.True(backtestResult.FinalPnl > 0);
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Assert.True(backtestResult.WinRate >= 30);
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Assert.True(backtestResult.GrowthPercentage > backtestResult.HodlPercentage);
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}
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[Theory]
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[InlineData(Timeframe.FifteenMinutes, -6, StrategyType.RsiDivergenceConfirm, BotType.ScalpingBot)]
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//[InlineData(Timeframe.FifteenMinutes, -6, Enums.StrategyType.RsiDivergenceConfirm, Enums.BotType.FlippingBot)]
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public void GetBestPeriodRsiForDivergenceFlippingBot(Timeframe timeframe, int days, StrategyType strategyType, BotType botType)
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{
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var result = new List<Tuple<string, int, decimal, decimal, decimal, decimal>>();
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var errors = new List<string>();
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var options = new ParallelOptions()
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{
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MaxDegreeOfParallelism = 4
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};
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var periodRange = new List<int>() { 2, 7};
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var stopLossRange = new List<decimal>() { 0.005m, 0.05m, 0.005m };
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var takeProfitRange = new List<decimal>() { 0.01m, 0.1m, 0.02m };
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var fileIdentifier = $"{strategyType}-{timeframe}";
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var completedTest = 0;
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var totalTests = GetTotalTrades(periodRange, stopLossRange, takeProfitRange) * Enum.GetNames(typeof(Ticker)).Length;
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CleanAnalyseFile(fileIdentifier);
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UpdateProgression(totalTests, completedTest);
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Parallel.ForEach((Ticker[])Enum.GetValues(typeof(Ticker)), options, ticker => {
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var candles = _exchangeService.GetCandles(Account, ticker, DateTime.Now.AddDays(Convert.ToDouble(days)), timeframe).Result;
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if (candles == null || candles.Count == 0)
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return;
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Parallel.For(periodRange[0], periodRange[1], options, i => {
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var scenario = new Scenario("ScalpingScenario");
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var strategy = ScenarioHelpers.BuildStrategy(strategyType, timeframe, "RsiDiv", period: i);
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scenario.AddStrategy(strategy);
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// -0.5 to -5
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for (decimal s = stopLossRange[0]; s < stopLossRange[1]; s += stopLossRange[2])
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{
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// +1% to +10% in 1%
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for(decimal t = takeProfitRange[0]; t < takeProfitRange[1]; t += takeProfitRange[2])
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{
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var moneyManagement = new MoneyManagement()
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{
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BalanceAtRisk = 0.05m,
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Leverage = 1,
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Timeframe = timeframe,
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StopLoss = s,
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TakeProfit = t
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};
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try
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{
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var timer = new Stopwatch();
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timer.Start();
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var backtestResult = botType switch
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{
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BotType.SimpleBot => throw new NotImplementedException(),
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BotType.ScalpingBot => _backtester.RunScalpingBotBacktest(Account, moneyManagement, scenario, timeframe, candles, 1000),
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BotType.FlippingBot => _backtester.RunFlippingBotBacktest(Account, moneyManagement, scenario, timeframe, candles, 1000),
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_ => throw new NotImplementedException(),
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};
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timer.Stop();
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if (backtestResult.FinalPnl > 0
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&& (backtestResult.GrowthPercentage - backtestResult.HodlPercentage) > 30
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&& backtestResult.Statistics.MaxDrawdown < 3)
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{
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var currentResult = new Tuple<string, int, decimal, decimal, decimal, decimal>(ticker.ToString(), i,
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backtestResult.FinalPnl, s, t, backtestResult.GrowthPercentage - backtestResult.HodlPercentage);
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result.Add(currentResult);
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}
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completedTest++;
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UpdateProgression(totalTests, completedTest, timer.Elapsed.TotalSeconds);
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}
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catch (Exception ex)
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{
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completedTest++;
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errors.Add($"{ticker}{_s}{i}{_s}{s}{_s}{t}{_s}{ex.Message}");
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}
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}
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}
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});
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});
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foreach (var r in result)
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{
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WriteCsvAnalyse($"{r.Item1}{_s}{r.Item2}{_s}{r.Item3.ToString("0.000")}{_s}{r.Item4 * 100}{_s}{r.Item5 * 100}{_s}{r.Item6}");
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}
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foreach (var e in errors)
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{
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WriteCsvErrors(e);
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}
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var bestResult = result.OrderByDescending(b => b.Item3).FirstOrDefault();
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WriteCsvAnalyse($"Best result : {bestResult.Item1} - Rsi Period : {bestResult.Item2} - {bestResult.Item3} - SL : {bestResult.Item4}% - TP : {bestResult.Item5}%");
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Assert.True(result.Any());
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}
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[Theory]
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[InlineData(Timeframe.OneHour, -30, StrategyType.MacdCross, BotType.FlippingBot)]
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[InlineData(Timeframe.OneHour, -30, StrategyType.MacdCross, BotType.ScalpingBot)]
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public void GetBestMMForMacdFlippingBot(Timeframe timeframe, int days, StrategyType strategyType, BotType botType)
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{
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var result = new List<Tuple<string, decimal, decimal, decimal, decimal>>();
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var errors = new List<string>();
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var options = new ParallelOptions()
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{
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MaxDegreeOfParallelism = 4
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};
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var stopLossRange = new List<decimal>() { 0.005m, 0.05m, 0.005m };
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var takeProfitRange = new List<decimal>() { 0.01m, 0.1m, 0.02m };
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var fileIdentifier = $"{strategyType}-{timeframe}-{botType}";
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var completedTest = 0;
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var totalTests = GetTotalTradeForStopLossTakeProfit(stopLossRange, takeProfitRange) * Enum.GetNames(typeof(Ticker)).Length;
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CleanAnalyseFile(fileIdentifier);
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UpdateProgression(totalTests, completedTest);
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Parallel.ForEach((Ticker[])Enum.GetValues(typeof(Ticker)), options, ticker => {
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var candles = _exchangeService.GetCandles(Account, ticker, DateTime.Now.AddDays(Convert.ToDouble(days)), timeframe).Result;
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if (candles == null || candles.Count == 0)
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return;
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var scenario = new Scenario("ScalpingScenario");
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var strategy = ScenarioHelpers.BuildStrategy(strategyType, timeframe, "RsiDiv", fastPeriods: 12, slowPeriods: 26, signalPeriods: 9);
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scenario.AddStrategy(strategy);
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// -0.5 to -5
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for (decimal s = stopLossRange[0]; s < stopLossRange[1]; s += stopLossRange[2])
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{
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// +1% to +10% in 1%
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for (decimal t = takeProfitRange[0]; t < takeProfitRange[1]; t += takeProfitRange[2])
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{
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var timer = new Stopwatch();
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timer.Start();
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try
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{
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var moneyManagement = new MoneyManagement()
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{
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BalanceAtRisk = 0.05m,
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Leverage = 1,
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Timeframe = timeframe,
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StopLoss = s,
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TakeProfit = t
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};
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var backtestResult = botType switch
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{
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BotType.SimpleBot => throw new NotImplementedException(),
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BotType.ScalpingBot => _backtester.RunScalpingBotBacktest(Account, moneyManagement, scenario, timeframe, candles, 1000),
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BotType.FlippingBot => _backtester.RunFlippingBotBacktest(Account, moneyManagement, scenario, timeframe, candles, 1000),
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_ => throw new NotImplementedException(),
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};
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if (backtestResult.FinalPnl > 0
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&& (backtestResult.GrowthPercentage - backtestResult.HodlPercentage) > 30
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&& backtestResult.Statistics.MaxDrawdown < 3)
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{
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var currentResult = new Tuple<string, decimal, decimal, decimal, decimal>(ticker.ToString(),
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backtestResult.FinalPnl, s, t, backtestResult.GrowthPercentage - backtestResult.HodlPercentage);
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result.Add(currentResult);
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}
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completedTest++;
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UpdateProgression(totalTests, completedTest, timer.Elapsed.TotalSeconds);
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}
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catch (Exception ex)
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{
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completedTest++;
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errors.Add($"{ticker}{_s}{s}{_s}{t}{_s}{ex.Message}");
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}
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timer.Stop();
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}
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}
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});
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foreach (var r in result)
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{
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WriteCsvAnalyse($"{r.Item1}{_s}{r.Item2.ToString("0.000")}{_s}{r.Item3 * 100}{_s}{r.Item4 * 100}{_s}{r.Item5}");
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}
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foreach (var e in errors)
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{
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WriteCsvErrors(e);
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}
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var bestResult = result.OrderByDescending(b => b.Item3).FirstOrDefault();
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WriteCsvAnalyse($"Best result : {bestResult.Item1} - Rsi Period : {bestResult.Item2} - {bestResult.Item3} - SL : {bestResult.Item4}% - TP : {bestResult.Item5}%");
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Assert.True(result.Any());
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}
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private void WriteCsvReport(string line)
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{
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File.AppendAllLines(_reportPath, new[] { line });
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}
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private void WriteCsvAnalyse(string line, string fileIdentifier = null)
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{
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if (!string.IsNullOrEmpty(fileIdentifier))
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_analysePath += $"-{fileIdentifier}-{DateTime.Now.ToString("dd-MM-HH-mm")}.csv";
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File.AppendAllLines(_analysePath , new[] { line });
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}
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private void WriteCsvErrors(string line)
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{
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File.AppendAllLines(_errorsPath, new[] { line });
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}
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private void CleanAnalyseFile(string fileIdentifier)
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{
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WriteCsvAnalyse("", fileIdentifier);
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}
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private decimal GetTotalTrades(List<int> periodRange, List<decimal> stopLossRange, List<decimal> takeProfitRange)
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{
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var stopLossRangeTotalTest = stopLossRange[1] / stopLossRange[2];
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var takeProfitRangeTotalTest = takeProfitRange[1] / takeProfitRange[2];
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var totalTrades = GetTotalTradeForStopLossTakeProfit(stopLossRange, takeProfitRange) * stopLossRangeTotalTest * takeProfitRangeTotalTest;
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return totalTrades;
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}
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private decimal GetTotalTradeForStopLossTakeProfit(List<decimal> stopLossRange, List<decimal> takeProfitRange)
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{
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var stopLossRangeTotalTest = stopLossRange[1] / stopLossRange[2];
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var takeProfitRangeTotalTest = takeProfitRange[1] / takeProfitRange[2];
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var totalTrades = stopLossRangeTotalTest * takeProfitRangeTotalTest;
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return totalTrades;
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}
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private void UpdateProgression(decimal totalTest, int completedTest, double? elapsed = null)
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{
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var timeRemaining = "";
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if (elapsed.HasValue && completedTest > 0)
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{
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//_elapsedTimes.Add((elapsed.Value / completedTest) * ((double)totalTest - completedTest));
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_elapsedTimes.Add(elapsed.Value);
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//var t = (_elapsedTimes.Average() / completedTest) * ((double)totalTest - completedTest);
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var t = (_elapsedTimes.Average() * (double)(totalTest - completedTest));
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timeRemaining = $" Remaining time: {t} seconds - Estimated end date: {DateTime.Now.AddSeconds(t)}";
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}
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ModifyFirstRow(_analysePath, $"{completedTest}/{totalTest}{timeRemaining}");
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}
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private void ModifyFirstRow(string filepath, string newValue)
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{
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ArrayList rows = new ArrayList();
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using (StreamReader reader = new StreamReader(filepath))
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{
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string row = null;
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while ((row = reader.ReadLine()) != null)
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{
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rows.Add(row);
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}
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}
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// Determ if the file even contains rows.
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if (rows.Count > 0)
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{
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// Replace the first row.
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rows[0] = newValue;
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}
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else
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{
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// Add the new value because there
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// where no rows found in the file.
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rows.Add(newValue);
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}
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// Write the modified content to the file.
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using (StreamWriter writer = new StreamWriter(filepath, false))
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{
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foreach (String row in rows)
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{
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writer.WriteLine(row);
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}
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}
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}
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}
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}
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