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Add indicators to backtest and bot (#14)

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* Add indicators to backtest and bot

* Remove
This commit is contained in:
Oda
2025-02-28 00:53:25 +07:00
committed by GitHub
parent e0a8347953
commit c715da8a17
30 changed files with 787 additions and 109 deletions
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4
src/Managing.Application/Abstractions/ITradingBot.cs
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@@ -3,6 +3,7 @@ using Managing.Domain.Bots;
using Managing.Domain.Candles;
using Managing.Domain.MoneyManagements;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Trades;
using static Managing.Common.Enums;
@@ -23,7 +24,7 @@ namespace Managing.Application.Abstractions
MoneyManagement MoneyManagement { get; set; }
BotType BotType { get; set; }
Dictionary<DateTime, decimal> WalletBalances { get; set; }
Dictionary<StrategyType, StrategiesResultBase> StrategiesValues { get; set; }
Task Run();
Task ToggleIsForWatchOnly();
@@ -32,5 +33,6 @@ namespace Managing.Application.Abstractions
decimal GetTotalFees();
void LoadStrategies(IEnumerable<IStrategy> strategies);
void LoadScenario(string scenarioName);
void UpdateStrategiesValues();
}
}

43
src/Managing.Application/Backtesting/Backtester.cs
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@@ -2,12 +2,15 @@
using Managing.Application.Abstractions.Repositories;
using Managing.Application.Abstractions.Services;
using Managing.Core;
using Managing.Core.FixedSizedQueue;
using Managing.Domain.Accounts;
using Managing.Domain.Backtests;
using Managing.Domain.Candles;
using Managing.Domain.MoneyManagements;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Workflows;
using Microsoft.Extensions.Logging;
using static Managing.Common.Enums;
@@ -20,17 +23,19 @@ namespace Managing.Application.Backtesting
private readonly ILogger<Backtester> _logger;
private readonly IExchangeService _exchangeService;
private readonly IBotFactory _botFactory;
private readonly IScenarioService _scenarioService;
public Backtester(
IExchangeService exchangeService,
IBotFactory botFactory,
IBacktestRepository backtestRepository,
ILogger<Backtester> logger)
ILogger<Backtester> logger, IScenarioService scenarioService)
{
_exchangeService = exchangeService;
_botFactory = botFactory;
_backtestRepository = backtestRepository;
_logger = logger;
_scenarioService = scenarioService;
}
public Backtest RunSimpleBotBacktest(Workflow workflow, bool save = false)
@@ -124,7 +129,7 @@ namespace Managing.Application.Backtesting
return result;
}
private static Backtest GetBacktestingResult(
private Backtest GetBacktestingResult(
Ticker ticker,
Scenario scenario,
Timeframe timeframe,
@@ -143,10 +148,15 @@ namespace Managing.Application.Backtesting
foreach (var candle in candles)
{
bot.OptimizedCandles.Enqueue(candle);
bot.Candles.Add(candle);
bot.Run();
}
bot.Candles = new HashSet<Candle>(candles);
// bot.UpdateStrategiesValues();
var strategies = _scenarioService.GetStrategies();
var strategiesValues = GetStrategiesValues(strategies, candles);
var finalPnl = bot.GetProfitAndLoss();
var winRate = bot.GetWinRate();
@@ -165,12 +175,39 @@ namespace Managing.Application.Backtesting
WalletBalances = bot.WalletBalances.ToList(),
Statistics = stats,
OptimizedMoneyManagement = optimizedMoneyManagement,
MoneyManagement = moneyManagement
MoneyManagement = moneyManagement,
StrategiesValues = strategiesValues
};
return result;
}
private Dictionary<StrategyType, StrategiesResultBase> GetStrategiesValues(IEnumerable<Strategy> strategies,
List<Candle> candles)
{
var strategiesValues = new Dictionary<StrategyType, StrategiesResultBase>();
var fixedCandles = new FixedSizeQueue<Candle>(10000);
foreach (var candle in candles)
{
fixedCandles.Enqueue(candle);
}
foreach (var strategy in strategies)
{
try
{
var s = ScenarioHelpers.BuildStrategy(strategy, 10000);
s.Candles = fixedCandles;
strategiesValues[strategy.Type] = s.GetStrategyValues();
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
return strategiesValues;
}
public IEnumerable<Backtest> GetBacktests()
{

14
src/Managing.Application/Bots/TradingBot.cs
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@@ -10,6 +10,7 @@ using Managing.Domain.MoneyManagements;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Strategies;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Trades;
using Microsoft.Extensions.Logging;
using Newtonsoft.Json;
@@ -46,6 +47,7 @@ public class TradingBot : Bot, ITradingBot
public decimal Fee { get; set; }
public Scenario Scenario { get; set; }
public Dictionary<DateTime, decimal> WalletBalances { get; set; }
public Dictionary<StrategyType, StrategiesResultBase> StrategiesValues { get; set; }
public TradingBot(
string accountName,
@@ -87,6 +89,7 @@ public class TradingBot : Bot, ITradingBot
Candles = new HashSet<Candle>();
Positions = new List<Position>();
WalletBalances = new Dictionary<DateTime, decimal>();
StrategiesValues = new Dictionary<StrategyType, StrategiesResultBase>();
if (!isForBacktest)
{
@@ -184,7 +187,10 @@ public class TradingBot : Bot, ITradingBot
await ManagePositions();
if (!IsForBacktest)
{
SaveBackup();
UpdateStrategiesValues();
}
await UpdateWalletBalances();
if (OptimizedCandles.Count % 100 == 0) // Log every 10th execution
@@ -197,6 +203,14 @@ public class TradingBot : Bot, ITradingBot
}
}
public void UpdateStrategiesValues()
{
foreach (var strategy in Strategies)
{
StrategiesValues[strategy.Type] = ((Strategy)strategy).GetStrategyValues();
}
}
private async Task PreloadCandles()
{
if (OptimizedCandles.Any())