Added cci_srsi to the backtester (DeviaVir#377)

supersabbath · Jul 10, 2017 · 03c025e · 03c025e
1 parent 9220f07
commit 03c025e
Showing 1 changed file with 29 additions and 1 deletion.
diff --git a/scripts/auto_backtester/backtester.js b/scripts/auto_backtester/backtester.js
@@ -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');
@@ -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}`,
@@ -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,
@@ -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],
@@ -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']),
@@ -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']),