backtester: Futures handling & FTX Cash and Carry example strategy

backtester/config/config_test.go

@@ -1304,7 +1304,7 @@ func TestGenerateFTXCashAndCarryStrategy(t *testing.T) {
 		t.Skip()
 	}
 	cfg := Config{
-		Nickname: "Example Cash and Carry",
+		Nickname: "ExampleCashAndCarry",
 		Goal:     "To demonstrate a cash and carry strategy",
 		StrategySettings: StrategySettings{
 			Name:                         "ftx-cash-carry",

backtester/config/configbuilder/main.go

@@ -43,32 +43,7 @@ func main() {
 	fmt.Print(common.ASCIILogo)
 	fmt.Println("Welcome to the config generator!")
 	reader := bufio.NewReader(os.Stdin)
-	cfg := config.Config{
-		StrategySettings: config.StrategySettings{
-			Name:                         "",
-			SimultaneousSignalProcessing: false,
-			CustomSettings:               nil,
-		},
-		FundingSettings: config.FundingSettings{
-			UseExchangeLevelFunding: false,
-			ExchangeLevelFunding:    nil,
-		},
-		CurrencySettings: []config.CurrencySettings{},
-		DataSettings: config.DataSettings{
-			Interval:     0,
-			DataType:     "",
-			APIData:      nil,
-			DatabaseData: nil,
-			LiveData:     nil,
-			CSVData:      nil,
-		},
-		PortfolioSettings: config.PortfolioSettings{
-			Leverage: config.Leverage{},
-			BuySide:  config.MinMax{},
-			SellSide: config.MinMax{},
-		},
-		StatisticSettings: config.StatisticSettings{},
-	}
+	var cfg config.Config
 	fmt.Println("-----Strategy Settings-----")
 	var err error
 	firstRun := true
@@ -337,7 +312,7 @@ func parseAPI(reader *bufio.Reader, cfg *config.Config) error {
 	fmt.Printf("What is the start date? Leave blank for \"%v\"\n", defaultStart.Format(gctcommon.SimpleTimeFormat))
 	startDate = quickParse(reader)
 	if startDate != "" {
-		cfg.DataSettings.APIData.StartDate, err = time.Parse(startDate, gctcommon.SimpleTimeFormat)
+		cfg.DataSettings.APIData.StartDate, err = time.Parse(gctcommon.SimpleTimeFormat, startDate)
 		if err != nil {
 			return err
 		}
@@ -348,7 +323,7 @@ func parseAPI(reader *bufio.Reader, cfg *config.Config) error {
 	fmt.Printf("What is the end date? Leave blank for \"%v\"\n", defaultStart.Format(gctcommon.SimpleTimeFormat))
 	endDate = quickParse(reader)
 	if endDate != "" {
-		cfg.DataSettings.APIData.EndDate, err = time.Parse(endDate, gctcommon.SimpleTimeFormat)
+		cfg.DataSettings.APIData.EndDate, err = time.Parse(gctcommon.SimpleTimeFormat, endDate)
 		if err != nil {
 			return err
 		}
@@ -377,7 +352,7 @@ func parseDatabase(reader *bufio.Reader, cfg *config.Config) error {
 	fmt.Printf("What is the start date? Leave blank for \"%v\"\n", defaultStart.Format(gctcommon.SimpleTimeFormat))
 	startDate := quickParse(reader)
 	if startDate != "" {
-		cfg.DataSettings.DatabaseData.StartDate, err = time.Parse(startDate, gctcommon.SimpleTimeFormat)
+		cfg.DataSettings.DatabaseData.StartDate, err = time.Parse(gctcommon.SimpleTimeFormat, startDate)
 		if err != nil {
 			return err
 		}
@@ -387,7 +362,7 @@ func parseDatabase(reader *bufio.Reader, cfg *config.Config) error {
 
 	fmt.Printf("What is the end date? Leave blank for \"%v\"\n", defaultStart.Format(gctcommon.SimpleTimeFormat))
 	if endDate := quickParse(reader); endDate != "" {
-		cfg.DataSettings.DatabaseData.EndDate, err = time.Parse(endDate, gctcommon.SimpleTimeFormat)
+		cfg.DataSettings.DatabaseData.EndDate, err = time.Parse(gctcommon.SimpleTimeFormat, endDate)
 		if err != nil {
 			return err
 		}

backtester/eventhandlers/portfolio/holdings/holdings.go

@@ -113,12 +113,10 @@ func (h *Holding) update(e fill.Event, f funding.IFundReader) error {
 	case order.Buy,
 		order.Bid:
 		h.BoughtAmount = h.BoughtAmount.Add(amount)
-		h.ScaledBoughtValue = h.BoughtAmount.Mul(price)
 		h.CommittedFunds = h.BaseSize.Mul(price)
 	case order.Sell,
 		order.Ask:
 		h.SoldAmount = h.SoldAmount.Add(amount)
-		h.ScaledSoldValue = h.SoldAmount.Mul(price)
 		h.CommittedFunds = h.BaseSize.Mul(price)
 	}
 
@@ -134,18 +132,12 @@ func (h *Holding) update(e fill.Event, f funding.IFundReader) error {
 
 func (h *Holding) scaleValuesToCurrentPrice(currentPrice decimal.Decimal) {
 	origPosValue := h.BaseValue
-	origBoughtValue := h.ScaledBoughtValue
-	origSoldValue := h.ScaledSoldValue
 	origTotalValue := h.TotalValue
 	h.BaseValue = h.BaseSize.Mul(currentPrice)
-	h.ScaledBoughtValue = h.BoughtAmount.Mul(currentPrice)
-	h.ScaledSoldValue = h.SoldAmount.Mul(currentPrice)
 	h.TotalValue = h.BaseValue.Add(h.QuoteSize)
 
 	h.TotalValueDifference = h.TotalValue.Sub(origTotalValue)
-	h.BoughtValueDifference = h.ScaledBoughtValue.Sub(origBoughtValue)
 	h.PositionsValueDifference = h.BaseValue.Sub(origPosValue)
-	h.SoldValueDifference = h.ScaledSoldValue.Sub(origSoldValue)
 
 	if !origTotalValue.IsZero() {
 		h.ChangeInTotalValuePercent = h.TotalValue.Sub(origTotalValue).Div(origTotalValue)

backtester/eventhandlers/portfolio/holdings/holdings_test.go

@@ -184,9 +184,6 @@ func TestUpdateBuyStats(t *testing.T) {
 	if !h.BoughtAmount.Equal(decimal.NewFromInt(1)) {
 		t.Errorf("expected '%v' received '%v'", 1, h.BoughtAmount)
 	}
-	if !h.ScaledBoughtValue.Equal(decimal.NewFromInt(500)) {
-		t.Errorf("expected '%v' received '%v'", 500, h.ScaledBoughtValue)
-	}
 	if !h.SoldAmount.IsZero() {
 		t.Errorf("expected '%v' received '%v'", 0, h.SoldAmount)
 	}
@@ -231,9 +228,6 @@ func TestUpdateBuyStats(t *testing.T) {
 	if !h.BoughtAmount.Equal(decimal.NewFromFloat(1.5)) {
 		t.Errorf("expected '%v' received '%v'", 1, h.BoughtAmount)
 	}
-	if !h.ScaledBoughtValue.Equal(decimal.NewFromInt(750)) {
-		t.Errorf("expected '%v' received '%v'", 750, h.ScaledBoughtValue)
-	}
 	if !h.SoldAmount.IsZero() {
 		t.Errorf("expected '%v' received '%v'", 0, h.SoldAmount)
 	}
@@ -313,9 +307,6 @@ func TestUpdateSellStats(t *testing.T) {
 	if !h.BoughtAmount.Equal(decimal.NewFromInt(1)) {
 		t.Errorf("expected '%v' received '%v'", 1, h.BoughtAmount)
 	}
-	if !h.ScaledBoughtValue.Equal(decimal.NewFromInt(500)) {
-		t.Errorf("expected '%v' received '%v'", 500, h.ScaledBoughtValue)
-	}
 	if !h.SoldAmount.IsZero() {
 		t.Errorf("expected '%v' received '%v'", 0, h.SoldAmount)
 	}
@@ -360,9 +351,6 @@ func TestUpdateSellStats(t *testing.T) {
 	if !h.BoughtAmount.Equal(decimal.NewFromInt(1)) {
 		t.Errorf("expected '%v' received '%v'", 1, h.BoughtAmount)
 	}
-	if !h.ScaledBoughtValue.Equal(decimal.NewFromInt(500)) {
-		t.Errorf("expected '%v' received '%v'", 500, h.ScaledBoughtValue)
-	}
 	if !h.SoldAmount.Equal(decimal.NewFromInt(1)) {
 		t.Errorf("expected '%v' received '%v'", 1, h.SoldAmount)
 	}

backtester/eventhandlers/portfolio/holdings/holdings_types.go

@@ -29,18 +29,14 @@ type Holding struct {
 	TotalInitialValue decimal.Decimal `json:"total-initial-value"`
 	QuoteSize         decimal.Decimal `json:"quote-size"`
 	SoldAmount        decimal.Decimal `json:"sold-amount"`
-	ScaledSoldValue   decimal.Decimal `json:"scaled-sold-value"`
 	SoldValue         decimal.Decimal `json:"sold-value"`
 	BoughtAmount      decimal.Decimal `json:"bought-amount"`
-	ScaledBoughtValue decimal.Decimal `json:"scaled-bought-value"`
 	CommittedFunds    decimal.Decimal `json:"committed-funds"`
 
 	IsLiquidated bool
 
 	TotalValueDifference      decimal.Decimal
 	ChangeInTotalValuePercent decimal.Decimal
-	BoughtValueDifference     decimal.Decimal
-	SoldValueDifference       decimal.Decimal
 	PositionsValueDifference  decimal.Decimal
 
 	TotalValue                   decimal.Decimal `json:"total-value"`

backtester/eventhandlers/statistics/printresults.go

@@ -188,16 +188,15 @@ func (c *CurrencyPairStatistic) PrintResults(e string, a asset.Item, p currency.
 		log.Infof(common.CurrencyStatistics, "%s Lowest Unrealised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.LowestUnrealisedPNL.Value, 8, ".", ","), c.LowestUnrealisedPNL.Time)
 		log.Infof(common.CurrencyStatistics, "%s Highest Realised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestRealisedPNL.Value, 8, ".", ","), c.HighestRealisedPNL.Time)
 		log.Infof(common.CurrencyStatistics, "%s Lowest Realised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.LowestRealisedPNL.Value, 8, ".", ","), c.LowestRealisedPNL.Time)
+		log.Infof(common.CurrencyStatistics, "%s Highest committed funds: %s %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestCommittedFunds.Value, 8, ".", ","), c.UnderlyingPair.Quote, c.HighestCommittedFunds.Time)
 	} else {
 		log.Infof(common.CurrencyStatistics, "%s Buy orders: %s", sep, convert.IntToHumanFriendlyString(c.BuyOrders, ","))
 		log.Infof(common.CurrencyStatistics, "%s Buy amount: %s %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.BoughtAmount, 8, ".", ","), last.Holdings.Pair.Base)
-		log.Infof(common.CurrencyStatistics, "%s Bought amount valued at last candle: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.ScaledBoughtValue, 8, ".", ","))
 		log.Infof(common.CurrencyStatistics, "%s Sell orders: %s", sep, convert.IntToHumanFriendlyString(c.SellOrders, ","))
-		log.Infof(common.CurrencyStatistics, "%s Sell amount: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.SoldAmount, 8, ".", ","))
-		log.Infof(common.CurrencyStatistics, "%s Sold amount valued at last candle: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.ScaledSoldValue, 8, ".", ","))
+		log.Infof(common.CurrencyStatistics, "%s Sell amount: %s %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.SoldAmount, 8, ".", ","), last.Holdings.Pair.Base)
+		log.Infof(common.CurrencyStatistics, "%s Highest committed funds: %s %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestCommittedFunds.Value, 8, ".", ","), last.Holdings.Pair.Quote, c.HighestCommittedFunds.Time)
 	}
 
-	log.Infof(common.CurrencyStatistics, "%s Highest committed funds: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestCommittedFunds.Value, 8, ".", ","), c.HighestCommittedFunds.Time)
 	log.Infof(common.CurrencyStatistics, "%s Total orders: %s", sep, convert.IntToHumanFriendlyString(c.TotalOrders, ","))
 
 	log.Info(common.CurrencyStatistics, common.ColourH2+"------------------Max Drawdown-------------------------------"+common.ColourDefault)

backtester/eventhandlers/statistics/statistics_test.go

@@ -284,14 +284,10 @@ func TestAddHoldingsForTime(t *testing.T) {
 		BaseSize:                     eleet,
 		BaseValue:                    eleet,
 		SoldAmount:                   eleet,
-		ScaledSoldValue:              eleet,
 		BoughtAmount:                 eleet,
-		ScaledBoughtValue:            eleet,
 		QuoteSize:                    eleet,
 		TotalValueDifference:         eleet,
 		ChangeInTotalValuePercent:    eleet,
-		BoughtValueDifference:        eleet,
-		SoldValueDifference:          eleet,
 		PositionsValueDifference:     eleet,
 		TotalValue:                   eleet,
 		TotalFees:                    eleet,

backtester/report/report.go

@@ -5,6 +5,7 @@ import (
 	"html/template"
 	"os"
 	"path/filepath"
+	"regexp"
 	"strings"
 	"time"
 
@@ -69,15 +70,10 @@ func (d *Data) GenerateReport() error {
 	tmpl := template.Must(
 		template.ParseFiles(d.TemplatePath),
 	)
-	var nickName string
-	if d.Config.Nickname != "" {
-		nickName = d.Config.Nickname + "-"
+	fileName, err := generateFileName(d.Config.Nickname, d.Statistics.StrategyName)
+	if err != nil {
+		return err
 	}
-	fileName := fmt.Sprintf(
-		"%v%v-%v.html",
-		nickName,
-		d.Statistics.StrategyName,
-		time.Now().Format("2006-01-02-15-04-05"))
 	var f *os.File
 	f, err = os.Create(
 		filepath.Join(d.OutputPath,
@@ -102,6 +98,25 @@ func (d *Data) GenerateReport() error {
 	return nil
 }
 
+func generateFileName(configNickName, strategyName string) (string, error) {
+	if strategyName == "" {
+		return "", fmt.Errorf("%w missing strategy name", errCannotGenerateFileName)
+	}
+	if configNickName != "" {
+		configNickName += "-"
+	}
+	fileName := fmt.Sprintf(
+		"%v%v-%v",
+		configNickName,
+		strategyName,
+		time.Now().Format("2006-01-02-15-04-05"))
+
+	reg := regexp.MustCompile(`[\w-]`)
+	result := reg.FindAllString(fileName, -1)
+	fileName = strings.Join(result, "") + ".html"
+	return strings.ToLower(fileName), nil
+}
+
 // AddKlineItem appends a SET of candles for the report to enhance upon
 // generation
 func (d *Data) AddKlineItem(k *kline.Item) {

backtester/report/report_test.go

@@ -2,6 +2,7 @@ package report
 
 import (
 	"errors"
+	"strings"
 	"testing"
 	"time"
 
@@ -515,3 +516,39 @@ func TestUseDarkMode(t *testing.T) {
 		t.Error("expected true")
 	}
 }
+
+func TestGenerateFileName(t *testing.T) {
+	t.Parallel()
+	_, err := generateFileName("", "")
+	if !errors.Is(err, errCannotGenerateFileName) {
+		t.Errorf("received '%v' expected '%v'", err, errCannotGenerateFileName)
+	}
+
+	_, err = generateFileName("hello", "")
+	if !errors.Is(err, errCannotGenerateFileName) {
+		t.Errorf("received '%v' expected '%v'", err, errCannotGenerateFileName)
+	}
+
+	_, err = generateFileName("hello", "moto")
+	if !errors.Is(err, nil) {
+		t.Errorf("received '%v' expected '%v'", err, nil)
+	}
+
+	_, err = generateFileName("", "moto")
+	if !errors.Is(err, nil) {
+		t.Errorf("received '%v' expected '%v'", err, nil)
+	}
+
+	tt := time.Now().Format("2006-01-02-15-04-05")
+	name, err := generateFileName("......HELL0.  +  _", "moto")
+	if !errors.Is(err, nil) {
+		t.Errorf("received '%v' expected '%v'", err, nil)
+	}
+	if name != "hell0_-moto-"+tt+".html" {
+		// there's a chance that it's failing due to the second count
+		nameSplit := strings.Split(name, "-")
+		if nameSplit[0]+nameSplit[1] != "hell0_moto" {
+			t.Errorf("received '%v' expected '%v'", nameSplit[0]+nameSplit[1], "hell0_moto")
+		}
+	}
+}

backtester/report/report_types.go

@@ -17,8 +17,9 @@ import (
 const maxChartLimit = 1100
 
 var (
-	errNoCandles       = errors.New("no candles to enhance")
-	errStatisticsUnset = errors.New("unable to proceed with unset Statistics property")
+	errNoCandles              = errors.New("no candles to enhance")
+	errStatisticsUnset        = errors.New("unable to proceed with unset Statistics property")
+	errCannotGenerateFileName = errors.New("cannot generate filename")
 )
 
 // Handler contains all functions required to generate statistical reporting for backtesting results

backtester/report/tpl.gohtml

@@ -36,12 +36,7 @@
 	<script type="application/javascript"  src="https://code.highcharts.com/stock/modules/hollowcandlestick.js"></script>
 	<script  type="application/javascript" src="https://code.highcharts.com/modules/exporting.js"></script>
 	<script  type="application/javascript" src="https://code.highcharts.com/modules/export-data.js"></script>
-	<style>
-		h2 {
-			padding-top:  75px;
-			margin-top:  -75px;
-		}
-	</style>
+
 
 </head>
 <body>
@@ -1275,10 +1270,6 @@
 										<td><b>Buy Orders</b></td>
 										<td>{{ $.Prettify.Int $val.BuyOrders}}</td>
 									</tr>
-									<tr>
-										<td><b>Buy Value</b></td>
-										<td>{{ $.Prettify.Decimal8 $val.FinalHoldings.ScaledBoughtValue}} {{$val.FinalHoldings.Pair.Quote}}</td>
-									</tr>
 									<tr>
 										<td><b>Buy Amount</b></td>
 										<td>{{ $.Prettify.Decimal8 $val.FinalHoldings.BoughtAmount}} {{$val.FinalHoldings.Pair.Base}} </td>
@@ -1287,10 +1278,6 @@
 										<td><b>Sell Orders</b></td>
 										<td>{{ $.Prettify.Int $val.SellOrders}}</td>
 									</tr>
-									<tr>
-										<td><b>Sell Value</b></td>
-										<td>{{ $.Prettify.Decimal8 $val.FinalHoldings.ScaledSoldValue}} {{$val.FinalHoldings.Pair.Quote}}</td>
-									</tr>
 									<tr>
 										<td><b>Sell Amount</b></td>
 										<td>{{ $.Prettify.Decimal8 $val.FinalHoldings.SoldAmount}} {{$val.FinalHoldings.Pair.Base}}</td>