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Cci backtest support #377

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Jul 10, 2017
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Cci backtest support #377

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62d1d85
Merge remote-tracking branch 'carlos8f/master'
cmroche Jul 10, 2017
9eb305c
Added cci_srsi to the backtester
cmroche Jul 10, 2017
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30 changes: 29 additions & 1 deletion scripts/auto_backtester/backtester.js
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@
* EMA Parameters: "trend_ema", "neutral_rate"
* RSI Parameters: "oversold_rsi", "oversold_rsi_periods"
*
* Example: ./backtester.js gdax.ETH-USD --days=10 --currency_capital=5 --period=1m
* Example: ./backtester.js gdax.ETH-USD --days=10 --currency_capital=5
*/

let shell = require('shelljs');
Expand Down Expand Up @@ -72,6 +72,7 @@ let objectProduct = obj => {
let runCommand = (strategy, cb) => {
countArr.push(1);
let strategyArgs = {
cci_srsi: `--cci_periods=${strategy.rsi_periods} --rsi_periods=${strategy.srsi_periods} --srsi_periods=${strategy.srsi_periods} --srsi_k=${strategy.srsi_k} --srsi_d=${strategy.srsi_d} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --oversold_cci=${strategy.oversold_cci} --overbought_cci=${strategy.overbought_cci} --constant=${strategy.constant}`,
srsi_macd: `--rsi_periods=${strategy.rsi_periods} --srsi_periods=${strategy.srsi_periods} --srsi_k=${strategy.srsi_k} --srsi_d=${strategy.srsi_d} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --ema_short_period=${strategy.ema_short_period} --ema_long_period=${strategy.ema_long_period} --signal_period=${strategy.signal_period} --up_trend_threshold=${strategy.up_trend_threshold} --down_trend_threshold=${strategy.down_trend_threshold}`,
macd: `--ema_short_period=${strategy.ema_short_period} --ema_long_period=${strategy.ema_long_period} --signal_period=${strategy.signal_period} --up_trend_threshold=${strategy.up_trend_threshold} --down_trend_threshold=${strategy.down_trend_threshold} --overbought_rsi_periods=${strategy.overbought_rsi_periods} --overbought_rsi=${strategy.overbought_rsi}`,
rsi: `--rsi_periods=${strategy.rsi_periods} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --rsi_recover=${strategy.rsi_recover} --rsi_drop=${strategy.rsi_drop} --rsi_divisor=${strategy.rsi_divisor}`,
Expand Down Expand Up @@ -127,6 +128,18 @@ let processOutput = output => {
losses: losses,
errorRate: parseFloat(errorRate),

// cci_srsi
cciPeriods: params.cci_periods,
rsiPeriods: params.rsi_periods,
srsiPeriods: params.srsi_periods,
srsiK: params.srsi_k,
srsiD: params.srsi_d,
oversoldRsi: params.oversold_rsi,
overboughtRsi: params.overbought_rsi,
oversoldCci: params.oversold_cci,
overboughtCci: params.overbought_cci,
constant: params.consant,

// srsi_macd
rsiPeriods: params.rsi_periods,
srsiPeriods: params.srsi_periods,
Expand Down Expand Up @@ -181,6 +194,19 @@ let processOutput = output => {
};

let strategies = {
cci_srsi: objectProduct({
period: ['20m'],
min_periods: [52, 200],
rsi_periods: [14, 20],
srsi_periods: [14, 20],
srsi_k: [3, 9],
srsi_d: [3, 9],
oversold_rsi: [22],
overbought_rsi: [85],
oversold_cci: [-90],
overbought_cci: [140],
constant: [0.015]
}),
srsi_macd: objectProduct({
period: ['30m'],
min_periods: [52, 200],
Expand Down Expand Up @@ -269,6 +295,7 @@ parallel(tasks, PARALLEL_LIMIT, (err, results) => {
let filedsGeneral = ['roi', 'vsBuyHold', 'errorRate', 'wlRatio', 'frequency', 'endBalance', 'buyHold', 'wins', 'losses', 'period', 'min_periods', 'days'];
let filedNamesGeneral = ['ROI (%)', 'VS Buy Hold (%)', 'Error Rate (%)', 'Win/Loss Ratio', '# Trades/Day', 'Ending Balance ($)', 'Buy Hold ($)', '# Wins', '# Losses', 'Period', 'Min Periods', '# Days'];
let fields = {
cci_srsi: filedsGeneral.concat(['cciPeriods', 'rsiPeriods', 'srsiPeriods', 'srsiK', 'srsiD', 'oversoldRsi', 'overboughtRsi', 'oversoldCci', 'overboughtCci', 'Constant', 'params']),
srsi_macd: filedsGeneral.concat(['rsiPeriods', 'srsiPeriods', 'srsiK', 'srsiD', 'oversoldRsi', 'overboughtRsi', 'emaShortPeriod', 'emaLongPeriod', 'signalPeriod', 'upTrendThreshold', 'downTrendThreshold', 'params']),
macd: filedsGeneral.concat([ 'emaShortPeriod', 'emaLongPeriod', 'signalPeriod', 'upTrendThreshold', 'downTrendThreshold', 'overboughtRsiPeriods', 'overboughtRsi', 'params']),
rsi: filedsGeneral.concat(['rsiPeriods', 'oversoldRsi', 'overboughtRsi', 'rsiRecover', 'rsiDrop', 'rsiDivsor', 'params']),
Expand All @@ -277,6 +304,7 @@ parallel(tasks, PARALLEL_LIMIT, (err, results) => {
trend_ema: filedsGeneral.concat(['trendEma', 'neutralRate', 'oversoldRsiPeriods', 'oversoldRsi', 'params'])
};
let fieldNames = {
cci_srsi: filedNamesGeneral.concat(['CCI Periods', 'RSI Periods', 'SRSI Periods', 'SRSI K', 'SRSI D', 'Oversold RSI', 'Overbought RSI', 'Oversold CCI', 'Overbought CCI', 'Constant', 'Full Parameters']),
srsi_macd: filedNamesGeneral.concat(['RSI Periods', 'SRSI Periods', 'SRSI K', 'SRSI D', 'Oversold RSI', 'Overbought RSI', 'EMA Short Period', 'EMA Long Period', 'Signal Period', 'Up Trend Threshold', 'Down Trend Threshold', 'Full Parameters']),
macd: filedNamesGeneral.concat(['EMA Short Period', 'EMA Long Period', 'Signal Period', 'Up Trend Threshold', 'Down Trend Threshold', 'Overbought Rsi Periods', 'Overbought Rsi', 'Full Parameters']),
rsi: filedNamesGeneral.concat(['RSI Periods', 'Oversold RSI', 'Overbought RSI', 'RSI Recover', 'RSI Drop', 'RSI Divisor', 'Full Parameters']),
Expand Down