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backtest-config.pl
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backtest-config.pl
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no warnings qw(uninitialized);
############################# START OF CONFIGURATION #############################
# Put your strategy names between brackets in line below. Strategy seperate with space or newline. You can add all Your strategies from gekko/strategies directory with adding line ALL.
@strategies = qw(
MACD
CCI
RSI
);
# Put your pairs between brackets in line below. Use exchange:currency:asset format. Seperate pair using space or newline. You can add all Your paris with ALL line or all pairs for exchange with binance:ALL line or binance:USDT:ALL line. Another option is adding dates for dataset for indivual pairs, ex: binance:BNB:NULS:2018-04-05:2018-05-01
@pairs = qw(
binance:USDT:BTC
bitfinex:USD:ALL
poloniex:BTC:ADA
kraken:EUR:XBT
);
# BUG - USE ONE CANDLE VALUE TEMPORARY! Put your candle values between brackets in line below. Use CandleSize:WarmupPeriod format. Seperate pair using space or newline.
@warmup = qw(
10:73
);
############################# OPTIONAL SETTINGS #############################
# To specify time range for import or backtest uncomment lines below, but instead this you can use command line input ex.: backtest.pl --from "2018-01-01 00:00:00" --to "2018-01-05 00:00:00". If below lines are commented Gekko is using scan datasets feature in backtest mode.
#$from = '2018-04-20 15:00:00';
#$to = '2018-04-25 08:00:00';
# If You are using only one exchange or one exchange and one currency You can put default values below, and adding only asset name to @pairs ex: NULS, ADA, TRX - without binance:BTC before asset ex: perl backtest.pl -p NULS,ADA,TRX.
#$default_set = 'binance:BNB';
# CSV file name. You don't need change this. All new data will append to exist file without deleting or replacing.
$csv = 'database.csv';
# You can add note to project below. Note will be add in CSV file. Its can be useful when You are developing strategy.
$note = 'first run';
# Sort strategies in top list by. Available values to sort: best, profitable, profit_above_market, best_PL, worst_PL, profits_sum, avg_profit, trades_win, trades_day, hodl_time
$top_strategy_sort1 = 'best';
$top_strategy_sort2 = 'profitable';
# Sort datasets ranking by. Available values to sort: best, profitable, profit_above_market, market_change, best_PL, worst_PL, profits_sum, avg_profit, trades_win, trades_day, hodl_time, price_volatility, cmc_rank, cmc_marketcap, cmc_volume, days
$top_dataset_sort1 = 'best';
$top_dataset_sort2 = 'profitable';
# Template of CSV output columns. Format [% variable_name %], columns MUST be seperated by comma (,) without any space.
# Below is compact version
$csv_columns = \ "[% currency %],[% asset %],[% strategy %],[% profit %],[% profit_market %],[% profit_day %],[% market_change %],[% trades_day %],[% percentage_wins %],[% best_win %],[% median_wins %],[% worst_loss %],[% median_losses %],[% avg_exposed_duration %],[% candle_size %],[% warmup_period %],[% dataset_days %],[% CMC_Rank %],[% current_marketcap %],[% open_price %],[% close_price %],[% lowest_price %],[% highest_price %],[% avg_price %],[% price_volality %],[% volume_day %],[% volume_CMC %],[% overall_trades_day %],[% dataset_from %],[% dataset_to %],[% strategy_settings %],[% note %]";
# Minimalistic version - tables will dont generate
# $csv_columns = \ "[% currency %],[% asset %],[% strategy %],[% profit %],[% trades_day %],[% percentage_wins %],[% best_win %],[% worst_loss %],[% avg_exposed_duration %],[% median_wins %],[% median_losses %],[% dataset_from %],[% dataset_to %],[% strategy_settings %],[% profit_day %],[% profit_market %],[% avg_price %],[% price_volality %],[% volume_day %],[% volume_CMC %],[% CMC_Rank %],[% current_marketcap %],[% overall_trades_day %],[% dataset_days %],[% market_change %]";
# Full version - all possible BacktestTool variables.
#$csv_columns = \ "[% currency %],[% asset %],[% exchange %],[% strategy %],[% profit %],[% profit_day %],[% profit_year %],[% sharpe_ratio %],[% market_change %],[% profit_market %],[% trades %],[% trades_day %],[% winning_trades %],[% lost_trades %],[% percentage_wins %],[% best_win %],[% median_wins %],[% worst_loss %],[% median_losses %],[% avg_exposed_duration %],[% candle_size %],[% warmup_period %],[% dataset_days %],[% backtest_start %],[% dataset_from %],[% dataset_to %],[% CMC_Rank %],[% current_marketcap %],[% open_price %],[% close_price %],[% lowest_price %],[% highest_price %],[% avg_price %],[% price_volality %],[% volume %],[% volume_day %],[% volume_CMC %],[% overall_trades %],[% overall_trades_day %],[% note %]";
# Do You want coinmarketcap.com data in CSV output?
$cmc_data = 'yes';
# Single backtest results interval for print backtests summary (% complete, eta, avg backtest time, elapsed) for all results from current instance
$summary_interval = 60;
# Print above tables on each summary?
$print_analysis_on_summary = 'yes';
# Print ALL RESULTS table when use command backtest -a CSV file and at end of all backtests?
$print_all_results = 'yes';
# Minimum and maximum values to appear in the table with all results. Results that do not meet the following values will not be printed.
$all_results_min_profit = -999999999;
$all_results_min_profit_market = -99999999999;
$all_results_min_profit_day = -9999;
$all_results_min_trades_day = 0;
$all_results_max_trades_day = 99999;
$all_results_min_hodl_time = 1;
$all_results_max_hodl_time = 99999;
# How many rows from ALL RESULTS would You print in terminal output?
$all_results_limit = 100;
# Print TOP STRATEGY table when use command backtest -a CSV file and at end of all backtests?
$print_top_strategy = 'yes';
# Sort strategies in top list by. Available values to sort: best, profitable, profit_above_market, best_PL, worst_PL, profits_sum, avg_profit, trades_win, trades_day, hodl_time
$top_strategy_sort1 = 'trades_win';
$top_strategy_sort2 = 'avg_profit';
# Limit for printed results in TOP STRATEGY table
$top_strategy_limit = 100;
# Print TOP DATASET table when use command backtest -a CSV file and at end of all backtests?
$print_top_dataset = 'yes';
# Sort datasets ranking by. Available values to sort: best, profitable, profit_above_market, market_change, best_PL, worst_PL, profits_sum, avg_profit, trades_win, trades_day, hodl_time, price_volatility, cmc_rank, cmc_marketcap, cmc_volume, days
$top_dataset_sort1 = 'trades_win';
$top_dataset_sort2 = 'best_PL';
# Limit for printed results in TOP DATASET table
$top_dataset_limit = 100;
# Do you want see roundtrips report in terminal output?
$print_roundtrips = 'no';
# Use TOML strat's config files instead JSON?
$use_toml_files = 'yes';
$toml_directory = 'config/strategies/';
# Do you need Gekko's log files in log directory?
$keep_logs = 'no';
# Threads amount, for 4xcpu cores is recommended to set 5-6 value.
$threads = 5;
# When you set stfu to 'yes' only results will be displayed.
$stfu = 'no';
# If You set $use_toml_files to 'no' then add Your strat's config in JSON format between brackets below.
$stratsettings = q(
config.neuralnet = {
"threshold_buy": 1,
"threshold_sell": -1,
"price_buffer_len": 100,
"learning_rate": 1,
"momentum": 0.9,
"decay": 0.01,
"min_predictions": 1000,
"stoploss_enabled": false,
"stoploss_threshold": 0.95
};
config.neuralnet_BULL_BEAR = {
"threshold_sell_bear":-1.0352,
"threshold_sell_bull":-0.992,
"momentum":0.0982,
"decay":0.0076,
"threshold_buy_bull":1.955,
"price_buffer_len":88.6,
"SMA_short":38,
"SMA_long":712,
"min_predictions":760,
"threshold_buy_bear":2.8294,
"learning_rate":0.2736
};
);
# Other Gekko's settings for backtest
$asset_c = 1;
$currency_c = 100;
$fee_maker = 0.25;
$fee_taker = 0.25;
$fee_using = 'maker';
$slippage = 0.5;
$riskFreeReturn = 5;
############################# END OF CONFIGURATION #############################
1;