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Remove candle from backtest

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This commit is contained in:
cryptooda
2025-07-08 23:36:21 +07:00
parent 3439f13156
commit 9c01dce461
13 changed files with 367 additions and 68 deletions
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32
src/Managing.Application/Backtesting/Backtester.cs
View File

@@ -65,18 +65,20 @@ namespace Managing.Application.Backtesting
/// <param name="endDate">The end date for the backtest</param>
/// <param name="user">The user running the backtest (optional)</param>
/// <param name="save">Whether to save the backtest results</param>
/// <param name="withCandles">Whether to include candles and indicators values in the response</param>
/// <returns>The backtest results</returns>
public async Task<Backtest> RunTradingBotBacktest(
TradingBotConfig config,
DateTime startDate,
DateTime endDate,
User user = null,
bool save = false)
bool save = false,
bool withCandles = false)
{
var account = await GetAccountFromConfig(config);
var candles = GetCandles(account, config.Ticker, config.Timeframe, startDate, endDate);
var result = await RunBacktestWithCandles(config, candles, user);
var result = await RunBacktestWithCandles(config, candles, user, withCandles);
// Set start and end dates
result.StartDate = startDate;
@@ -97,13 +99,15 @@ namespace Managing.Application.Backtesting
/// <param name="config">The trading bot configuration (must include Scenario object or ScenarioName)</param>
/// <param name="candles">The candles to use for backtesting</param>
/// <param name="user">The user running the backtest (optional)</param>
/// <param name="withCandles">Whether to include candles and indicators values in the response</param>
/// <returns>The backtest results</returns>
public async Task<Backtest> RunTradingBotBacktest(
TradingBotConfig config,
List<Candle> candles,
User user = null)
User user = null,
bool withCandles = false)
{
return await RunBacktestWithCandles(config, candles, user);
return await RunBacktestWithCandles(config, candles, user, withCandles);
}
/// <summary>
@@ -112,7 +116,8 @@ namespace Managing.Application.Backtesting
private async Task<Backtest> RunBacktestWithCandles(
TradingBotConfig config,
List<Candle> candles,
User user = null)
User user = null,
bool withCandles = false)
{
var tradingBot = _botFactory.CreateBacktestTradingBot(config);
@@ -128,7 +133,7 @@ namespace Managing.Application.Backtesting
tradingBot.User = user;
await tradingBot.LoadAccount();
var result = GetBacktestingResult(config, tradingBot, candles);
var result = GetBacktestingResult(config, tradingBot, candles, withCandles);
if (user != null)
{
@@ -168,7 +173,8 @@ namespace Managing.Application.Backtesting
private Backtest GetBacktestingResult(
TradingBotConfig config,
ITradingBot bot,
List<Candle> candles)
List<Candle> candles,
bool withCandles = false)
{
if (candles == null || candles.Count == 0)
{
@@ -211,7 +217,12 @@ namespace Managing.Application.Backtesting
bot.Candles = new HashSet<Candle>(candles);
var indicatorsValues = GetIndicatorsValues(bot.Config.Scenario.Indicators, candles);
// Only calculate indicators values if withCandles is true
Dictionary<IndicatorType, IndicatorsResultBase> indicatorsValues = null;
if (withCandles)
{
indicatorsValues = GetIndicatorsValues(bot.Config.Scenario.Indicators, candles);
}
var finalPnl = bot.GetProfitAndLoss();
var winRate = bot.GetWinRate();
@@ -236,7 +247,8 @@ namespace Managing.Application.Backtesting
var score = BacktestScorer.CalculateTotalScore(scoringParams);
var result = new Backtest(config, bot.Positions, bot.Signals.ToList(), candles)
// Create backtest result with conditional candles and indicators values
var result = new Backtest(config, bot.Positions, bot.Signals.ToList(), withCandles ? candles : new List<Candle>())
{
FinalPnl = finalPnl,
WinRate = winRate,
@@ -246,7 +258,7 @@ namespace Managing.Application.Backtesting
WalletBalances = bot.WalletBalances.ToList(),
Statistics = stats,
OptimizedMoneyManagement = optimizedMoneyManagement,
IndicatorsValues = AggregateValues(indicatorsValues, bot.IndicatorsValues),
IndicatorsValues = withCandles ? AggregateValues(indicatorsValues, bot.IndicatorsValues) : new Dictionary<IndicatorType, IndicatorsResultBase>(),
Score = score,
Id = Guid.NewGuid().ToString()
};

49
src/Managing.Application/Trading/TradingService.cs
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@@ -1,11 +1,14 @@
using Managing.Application.Abstractions.Repositories;
using Managing.Application.Abstractions.Services;
using Managing.Core.FixedSizedQueue;
using Managing.Domain.Accounts;
using Managing.Domain.Bots;
using Managing.Domain.Candles;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Statistics;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Synth.Models;
using Managing.Domain.Trades;
using Managing.Infrastructure.Evm.Models.Privy;
@@ -423,4 +426,50 @@ public class TradingService : ITradingService
return await _synthPredictionService.MonitorPositionRiskAsync(ticker, direction, currentPrice, liquidationPrice,
positionIdentifier, botConfig);
}
/// <summary>
/// Calculates indicators values for a given scenario and candles.
/// </summary>
/// <param name="scenario">The scenario containing indicators.</param>
/// <param name="candles">The candles to calculate indicators for.</param>
/// <returns>A dictionary of indicator types to their calculated values.</returns>
public async Task<Dictionary<IndicatorType, IndicatorsResultBase>> CalculateIndicatorsValuesAsync(
Scenario scenario,
List<Candle> candles)
{
var indicatorsValues = new Dictionary<IndicatorType, IndicatorsResultBase>();
if (scenario?.Indicators == null || scenario.Indicators.Count == 0)
{
return indicatorsValues;
}
// Convert candles to FixedSizeQueue for indicators
var fixedCandles = new FixedSizeQueue<Candle>(10000);
foreach (var candle in candles)
{
fixedCandles.Enqueue(candle);
}
// Build indicators from scenario
foreach (var indicator in scenario.Indicators)
{
try
{
// Build the indicator using ScenarioHelpers
var builtIndicator = ScenarioHelpers.BuildIndicator(indicator, 10000);
builtIndicator.Candles = fixedCandles;
indicatorsValues[indicator.Type] = builtIndicator.GetIndicatorValues();
}
catch (Exception ex)
{
// Log the error but continue with other indicators
_logger.LogError(ex, "Error calculating indicator {IndicatorName}: {ErrorMessage}",
indicator.Name, ex.Message);
}
}
return indicatorsValues;
}
}