validation bug fix and pinning versions

jrmeier · Apr 20, 2021 · 8061f8a · 8061f8a
1 parent 7eb807c
commit 8061f8a
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Showing 7 changed files with 145 additions and 77 deletions.
diff --git a/example_backtest.json b/example_backtest.json
@@ -1,29 +1,60 @@
 {
-  "base_balance": 1000,
-  "chart_period": "5T",
+  "any_enter": [],
+  "any_exit": [],
+  "chart_period": "4H",
   "comission": 0.01,
-  "symbol": "BTCUSDT",
   "datapoints": [
-      {
-          "args": [
-              30
-          ],
-          "transformer": "sma",
-          "name": "sma_short"
-      },
-      {
-          "args": [
-              90
-          ],
-          "transformer": "sma",
-          "name": "sma_long"
-      }
+    {
+      "args": [
+        10
+      ],
+      "name": "BTCUSD_rsi",
+      "transformer": "rsi"
+    },
+    {
+      "args": [
+        10
+      ],
+      "name": "fast_zlema",
+      "transformer": "zlema"
+    },
+    {
+      "args": [
+        41.0
+      ],
+      "name": "slow_zelma",
+      "transformer": "zlema"
+    },
+    {
+      "args": [
+        10
+      ],
+      "name": "BTCUSD_ema",
+      "transformer": "ema"
+    }
   ],
   "enter": [
-    ["close", ">", "sma_long"],
-    ["close", ">", "sma_short"]
+    [
+      "fast_zlema",
+      "<",
+      "close",
+      0
+    ],
+    [
+      "BTCUSD_rsi",
+      "<",
+      30.0,
+      0
+    ]
   ],
-  "exit": [["close", "<", "sma_short"]],
-  "trailing_stop_loss": 0.05,
-  "exit_on_end": false
+  "exit": [
+    [
+      "slow_zelma",
+      "<",
+      "close",
+      0
+    ]
+  ],
+  "exit_on_end": false,
+  "trailing_stop_loss": null
 }
diff --git a/fast_trade/cli.py b/fast_trade/cli.py
@@ -105,7 +105,12 @@ def main():
         return
 
     if command == "validate":
+        print("args: ",args)
         backtest = open_strat_file(args["backtest"])
+        if not backtest:
+            print("backtest not found! ")
+            return
+        print("backtest: ",backtest)
         backtest = {**backtest, **args}
 
         res = validate_backtest(backtest)

diff --git a/fast_trade/transformers_map.py b/fast_trade/transformers_map.py
@@ -74,7 +74,6 @@
     "fish": TA.FISH,
     "ichimoku": TA.ICHIMOKU,
     "apz": TA.APZ,
-    "vr": TA.VR,
     "sqzmi": TA.SQZMI,
     "vpt": TA.VPT,
     "fve": TA.FVE,

diff --git a/fast_trade/validate_backtest.py b/fast_trade/validate_backtest.py
@@ -101,6 +101,7 @@ def validate_backtest(backtest):
                 log not in indicator_keys
                 and isinstance(log, str)
                 and log not in [">", "=", "<"]
+                and not log.isnumeric()
             ):
                 exit_errors.append(
                     f'Datapoint "{log}" referenced in exit logic not found in datapoints. Check datapoints and logic.'
@@ -115,6 +116,7 @@ def validate_backtest(backtest):
                 log not in indicator_keys
                 and isinstance(log, str)
                 and log not in [">", "=", "<"]
+                and not log.isnumeric()
             ):
                 enter_errors.append(
                     f'Datapoint "{log}" referenced in enter logic not found in datapoints. Check datapoints and logic.'

diff --git a/requirements.txt b/requirements.txt
@@ -1,12 +1,3 @@
-cycler==0.10.0
-finta==1.2
-kiwisolver==1.3.1
-matplotlib==3.3.4
-numpy==1.20.1
-pandas==1.2.3
-Pillow==8.1.2
-pyparsing==2.4.7
-python-dateutil==2.8.1
-pytz==2021.1
-six==1.15.0
-python-binance==0.7.9
+finta==1.3
+matplotlib==3.4.1
+python-binance== 0.7.10
diff --git a/run_example.py b/run_example.py
@@ -11,49 +11,100 @@
 ds2 = "2020-07-10"
 s2 = 1594339200
 ms2 = 1594339200000
+
+# if(rsi > 70 | rsi < 30) :
+
+# result = myprediction(data)
+
+# switch(result):
+
+# case 0: hold
+
+# case 1: sell
+
+# case 2: buy
+# backtest = {
+#     "any_enter": [],
+#     "any_exit": [],
+#     "chart_period": "1H",
+#     "comission": 0.00,
+#     "datapoints": [
+#         {
+#             "args": [
+
+#             ],
+#             "name": "rsi_dp",
+#             "transformer": "rsi"
+#         }
+#     ],
+#     "enter": [
+#         [
+#             "rsi_dp",
+#             "<",
+#             30,
+#         ]
+#     ],
+#     "exit": [
+#             [
+#                 "rsi_dp",
+#                 ">",
+#                 70,
+#             ]
+#     ],
+#     "exit_on_end": False,
+#     # "start": "2019-12-01 15:29:00",
+#     # "stop": "2021-03-08 15:29:00",
+#     "trailing_stop_loss": 0.05   # 5% stoploss
+# }
+
 backtest = {
-    "base_balance": 1000,
-    "chart_period": "5T",
-    "chart_start": "2020-08-30 18:00:00",
-    "chart_stop": "2020-09-06 16:39:00",
-    "comission": 0.01,
+    "any_enter": [],
+    "any_exit": [],
+    "chart_period": "15Min",
+    "comission": 0,
     "datapoints": [
         {
             "args": [
-                30
+                    14
             ],
-            "transformer": "sma",
-            "name": "sma_shorst"
+            "name": "er",
+            "transformer": "er"
         },
         {
             "args": [
-                90
+                13
             ],
-            "transformer": "sma",
-            "name": "sma_long"
-        },
+            "name": "zlema",
+            "transformer": "zlema"
+        }
     ],
     "enter": [
-        ["close", ">", "sma_long_wrong"],
-        ["close", ">", "sma_short"]
+        [
+            "zlema",
+            ">",
+            "close",
+            1
+        ]
     ],
     "exit": [
-        ["close", "<", "sma_short"],
-        ["close", "<", 5]
+            [
+                "er",
+                "<",
+                0,
+                1
+            ]
     ],
-    "trailing_stop_loss": 0.05,
     "exit_on_end": False,
+    "start": "2021-01-01 22:30:00",
+    "stop": "2021-03-11 23:30:59",
+    "trailing_stop_loss": 0
 }
 
 if __name__ == "__main__":
     # datafile = "./BTCUSDT.csv"
-    datafile = "./BTCUSDT.csv"
-    tmp_start = datetime.datetime.utcnow()
-    # backtest = generate_backtest()
-    # print("backtest: ",json.dumps(backtest, indent=2)
+    datafile = "./archive/BTCUSDT_2021.csv"
     # test = run_backtest(backtest, ohlcv_path=datafile, summary=True)
-    res = validate_backtest(backtest)
-    print(res)
-    # print(backtest["enter"])
-    # print(test["trade_df"]) .
-    # print(json.dumps(test["summary"], indent=2))
+    # print(test["summary"])
+    errors = validate_backtest(backtest)
+
+    print(errors)
diff --git a/setup.py b/setup.py
@@ -7,8 +7,8 @@
 
 setup(
     name="fast-trade",
-    version="0.2.0",
-    description="Analyze and backtest algorithmic trading strategies ohlcv data quickly and easily.",
+    version="0.2.1",
+    description="About low code backtesting library utilizing pandas and technical analysis indicators",
     long_description=README,
     long_description_content_type="text/markdown",
     url="https://github.com/jrmeier/fast-trade",
@@ -44,19 +44,8 @@
     packages=find_packages(include=["fast_trade"]),
     include_package_data=True,
     install_requires=[
-        "cycler==0.10.0",
-        "finta",
-        "kiwisolver==1.3.1",
-        "matplotlib==3.3.4",
-        "numpy",
-        "pandas",
-        "Pillow==8.1.2",
-        "pyparsing==2.4.7",
-        "python-dateutil==2.8.1",
-        "pytz",
-        "six",
-        "python-binance",
-        'service_identity',
-        'pyasn1'
+        "finta==1.3",
+        "matplotlib==3.4.1",
+        "python-binance== 0.7.10",
     ],
 )