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BacktestMulti.py
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import streamlit as st
from bokeh.plotting import figure
from bokeh.palettes import Category20_20, Category20b_20, Category20c_20
from bokeh.models import NumeralTickFormatter, HoverTool
import pbgui_help
import json
import psutil
import sys
import platform
import hjson
import traceback
import subprocess
import shlex
import glob
import configparser
import time
import multiprocessing
import pandas as pd
from pbgui_func import PBGDIR, pbvenv, pbdir, validateJSON, config_pretty_str, replace_special_chars
import uuid
from Base import Base
from Config import Config
from pathlib import Path, PurePath
from User import Users
from shutil import rmtree
import datetime
import logging
class BacktestMultiQueueItem():
def __init__(self):
self.name = None
self.filename = None
self.hjson = None
self.exchange = None
self.parameters = None
self.log = None
self.pid = None
self.pidfile = None
def remove(self):
self.stop()
file = Path(f'{PBGDIR}/data/bt_multi_queue/{self.filename}.json')
file.unlink(missing_ok=True)
self.log.unlink(missing_ok=True)
self.pidfile.unlink(missing_ok=True)
def load_log(self):
if self.log:
if self.log.exists():
with open(self.log, 'r', encoding='utf-8') as f:
return f.read()
def view_log(self):
logfile = self.load_log()
st.code(logfile)
def status(self):
if self.is_backtesting():
return "backtesting..."
if self.is_running():
return "running"
if self.is_finish():
return "complete"
if self.is_error():
return "error"
else:
return "not started"
def is_running(self):
if not self.pid:
self.load_pid()
try:
if self.pid and psutil.pid_exists(self.pid) and any(sub.lower().endswith("backtest_multi.py") for sub in psutil.Process(self.pid).cmdline()):
return True
except psutil.NoSuchProcess:
pass
except psutil.AccessDenied:
pass
return False
def is_finish(self):
log = self.load_log()
if log:
if "plotting for" in log:
return True
else:
return False
else:
return False
def is_error(self):
log = self.load_log()
if log:
if "plotting for" in log:
return False
else:
return True
else:
return False
def is_backtesting(self):
if self.is_running():
log = self.load_log()
if log:
if "plotting for" in log:
return False
elif "backtesting..." in log:
return True
else:
return False
def stop(self):
if self.is_running():
p = psutil.Process(self.pid)
p.kill()
def load_pid(self):
if self.pidfile.exists():
with open(self.pidfile) as f:
pid = f.read()
self.pid = int(pid) if pid.isnumeric() else None
def save_pid(self):
with open(self.pidfile, 'w') as f:
f.write(str(self.pid))
def run(self):
if not self.is_finish() and not self.is_running():
if self.parameters:
cmd = [pbvenv(), '-u', PurePath(f'{pbdir()}/backtest_multi.py')]
cmd.extend(shlex.split(self.parameters))
cmd.extend(['-bc', self.hjson])
else:
cmd = [pbvenv(), '-u', PurePath(f'{pbdir()}/backtest_multi.py'), '-bc', str(PurePath(f'{self.hjson}'))]
log = open(self.log,"w")
if platform.system() == "Windows":
creationflags = subprocess.DETACHED_PROCESS
creationflags |= subprocess.CREATE_NO_WINDOW
btm = subprocess.Popen(cmd, stdout=log, stderr=log, cwd=pbdir(), text=True, creationflags=creationflags)
else:
btm = subprocess.Popen(cmd, stdout=log, stderr=log, cwd=pbdir(), text=True, start_new_session=True)
self.pid = btm.pid
self.save_pid()
class BacktestMultiQueue:
def __init__(self):
self.items = []
pb_config = configparser.ConfigParser()
pb_config.read('pbgui.ini')
if not pb_config.has_section("backtest_multi"):
pb_config.add_section("backtest_multi")
pb_config.set("backtest_multi", "autostart", "False")
pb_config.set("backtest_multi", "cpu", "1")
with open('pbgui.ini', 'w') as f:
pb_config.write(f)
self._autostart = eval(pb_config.get("backtest_multi", "autostart"))
self._cpu = int(pb_config.get("backtest_multi", "cpu"))
if self._autostart:
self.run()
@property
def cpu(self):
pb_config = configparser.ConfigParser()
pb_config.read('pbgui.ini')
self._cpu = int(pb_config.get("backtest_multi", "cpu"))
if self._cpu > multiprocessing.cpu_count():
self._cpu = multiprocessing.cpu_count()
return self._cpu
@cpu.setter
def cpu(self, new_cpu):
self._cpu = new_cpu
pb_config = configparser.ConfigParser()
pb_config.read('pbgui.ini')
pb_config.set("backtest_multi", "cpu", str(self._cpu))
with open('pbgui.ini', 'w') as f:
pb_config.write(f)
@property
def autostart(self):
return self._autostart
@autostart.setter
def autostart(self, new_autostart):
self._autostart = new_autostart
pb_config = configparser.ConfigParser()
pb_config.read('pbgui.ini')
pb_config.set("backtest_multi", "autostart", str(self._autostart))
with open('pbgui.ini', 'w') as f:
pb_config.write(f)
if self._autostart:
self.run()
else:
self.stop()
def add(self, qitem : BacktestMultiQueueItem):
for index, item in enumerate(self.items):
if item.filename == qitem.filename:
return
self.items.append(qitem)
def remove_finish(self, all : bool = False):
if all:
self.stop()
for item in self.items[:]:
if item.is_finish():
item.remove()
self.items.remove(item)
else:
if all:
item.stop()
item.remove()
self.items.remove(item)
if self._autostart:
self.run()
def remove_selected(self):
ed_key = st.session_state.ed_key
ed = st.session_state[f'view_bt_queue_{ed_key}']
for row in ed["edited_rows"]:
if "delete" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["delete"]:
self.items[row].remove()
self.items = []
def running(self):
r = 0
for item in self.items:
if item.is_running():
r+=1
return r
def downloading(self):
for item in self.items:
if item.is_running() and not item.is_backtesting():
return True
return False
def load(self):
dest = Path(f'{PBGDIR}/data/bt_multi_queue')
p = str(Path(f'{dest}/*.json'))
items = glob.glob(p)
self.items = []
for item in items:
with open(item, "r", encoding='utf-8') as f:
config = json.load(f)
qitem = BacktestMultiQueueItem()
qitem.name = config["name"]
qitem.filename = config["filename"]
qitem.hjson = config["hjson"]
qitem.exchange = config["exchange"]
qitem.parameters = config["parameters"]
qitem.log = Path(f'{PBGDIR}/data/bt_multi_queue/{qitem.filename}.log')
qitem.pidfile = Path(f'{PBGDIR}/data/bt_multi_queue/{qitem.filename}.pid')
self.add(qitem)
def run(self):
if not self.is_running():
cmd = [sys.executable, '-u', PurePath(f'{PBGDIR}/BacktestMulti.py')]
dest = Path(f'{PBGDIR}/data/logs')
if not dest.exists():
dest.mkdir(parents=True)
logfile = Path(f'{dest}/BacktestMulti.log')
if logfile.exists():
if logfile.stat().st_size >= 1048576:
logfile.replace(f'{str(logfile)}.old')
log = open(logfile,"a")
if platform.system() == "Windows":
creationflags = subprocess.DETACHED_PROCESS
creationflags |= subprocess.CREATE_NO_WINDOW
subprocess.Popen(cmd, stdout=log, stderr=log, cwd=PBGDIR, text=True, creationflags=creationflags)
else:
subprocess.Popen(cmd, stdout=log, stderr=log, cwd=PBGDIR, text=True, start_new_session=True)
def stop(self):
if self.is_running():
self.pid().kill()
def is_running(self):
if self.pid():
return True
return False
def pid(self):
for process in psutil.process_iter():
try:
cmdline = process.cmdline()
except psutil.AccessDenied:
continue
if any("BacktestMulti.py" in sub for sub in cmdline):
return process
def view(self):
if not self.items:
self.load()
if not "ed_key" in st.session_state:
st.session_state.ed_key = 0
ed_key = st.session_state.ed_key
if f'view_bt_queue_{ed_key}' in st.session_state:
ed = st.session_state[f'view_bt_queue_{ed_key}']
for row in ed["edited_rows"]:
if "run" in ed["edited_rows"][row]:
if self.items[row].is_running():
self.items[row].stop()
else:
self.items[row].run()
# st.session_state.bt_multi = self.backtests[row]
# del st.session_state.bt_multi_list
# st.rerun()
if "view" in ed["edited_rows"][row]:
bt = BacktestMultiItem(f'{PBGDIR}/data/bt_multi/{self.items[row].name}')
bt.load()
bt.load_results()
st.session_state.bt_multi_results = bt
del st.session_state.bt_multi_queue
st.rerun()
d = []
for id, bt in enumerate(self.items):
d.append({
'id': id,
'run': False,
'Status': bt.status(),
'view': False,
'log': False,
'delete': False,
'name': bt.name,
'filename': bt.filename,
'exchange': bt.exchange,
'finish': bt.is_finish(),
})
column_config = {
# "id": None,
"run": st.column_config.CheckboxColumn('Start/Stop', default=False),
"view": st.column_config.CheckboxColumn(label="View Results"),
"log": st.column_config.CheckboxColumn(label="View Logfile"),
"delete": st.column_config.CheckboxColumn(label="Delete"),
"id": st.column_config.NumberColumn(format="%.0f", label="ID"),
"name": st.column_config.TextColumn(label="Name"),
"filename": st.column_config.TextColumn(label="Filename"),
"exchange": st.column_config.TextColumn(label="Exchange"),
"finish": st.column_config.CheckboxColumn(label="Finished"),
}
#Display Queue
height = 36+(len(d))*35
if height > 1000: height = 1016
st.data_editor(data=d, height=height, use_container_width=True, key=f'view_bt_queue_{ed_key}', hide_index=None, column_order=None, column_config=column_config, disabled=['id','filename','name','finish','running'])
if f'view_bt_queue_{ed_key}' in st.session_state:
ed = st.session_state[f'view_bt_queue_{ed_key}']
for row in ed["edited_rows"]:
if "log" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["log"]:
self.items[row].view_log()
class BacktestMultiItem:
def __init__(self, backtest_path: str = None):
self.path = backtest_path
self.hjson = None
self.log = None
self.users = Users()
self.backtest_results = []
self.initialize()
@property
def exchange(self): return self._exchange
@exchange.setter
def exchange(self, new_exchange):
if new_exchange != self._exchange:
if new_exchange != "bybit":
self._exchange = 'binance'
else:
self._exchange = new_exchange
self.exchange_symbols = self.load_symbols()
# loss_allowance_pct
@property
def loss_allowance_pct(self): return self._loss_allowance_pct
@loss_allowance_pct.setter
def loss_allowance_pct(self, new_loss_allowance_pct):
self._loss_allowance_pct = new_loss_allowance_pct
# pnls_max_lookback_days
@property
def pnls_max_lookback_days(self): return self._pnls_max_lookback_days
@pnls_max_lookback_days.setter
def pnls_max_lookback_days(self, new_pnls_max_lookback_days):
self._pnls_max_lookback_days = new_pnls_max_lookback_days
# stuck_threshold
@property
def stuck_threshold(self): return self._stuck_threshold
@stuck_threshold.setter
def stuck_threshold(self, new_stuck_threshold):
self._stuck_threshold = new_stuck_threshold
# unstuck_close_pct
@property
def unstuck_close_pct(self): return self._unstuck_close_pct
@unstuck_close_pct.setter
def unstuck_close_pct(self, new_unstuck_close_pct):
self._unstuck_close_pct = new_unstuck_close_pct
# execution_delay_seconds
@property
def execution_delay_seconds(self): return self._execution_delay_seconds
@execution_delay_seconds.setter
def execution_delay_seconds(self, new_execution_delay_seconds):
self._execution_delay_seconds = new_execution_delay_seconds
# auto_gs
@property
def auto_gs(self): return self._auto_gs
@auto_gs.setter
def auto_gs(self, new_auto_gs):
self._auto_gs = new_auto_gs
# TWE_long
@property
def TWE_long(self): return self._TWE_long
@TWE_long.setter
def TWE_long(self, new_TWE_long):
self._TWE_long = round(new_TWE_long,10)
# TWE_long
@property
def TWE_short(self): return self._TWE_short
@TWE_short.setter
def TWE_short(self, new_TWE_short):
self._TWE_short = round(new_TWE_short,10)
# long_enabled
@property
def long_enabled(self): return self._long_enabled
@long_enabled.setter
def long_enabled(self, new_long_enabled):
self._long_enabled = new_long_enabled
# short_enabled
@property
def short_enabled(self): return self._short_enabled
@short_enabled.setter
def short_enabled(self, new_short_enabled):
self._short_enabled = new_short_enabled
def initialize(self):
self.name = ""
self.sd = (datetime.date.today() - datetime.timedelta(days=365*4)).strftime("%Y-%m-%d")
self.ed = datetime.date.today().strftime("%Y-%m-%d")
self.sb = 1000
self._loss_allowance_pct = 0.002
self._pnls_max_lookback_days = 30
self._stuck_threshold = 0.9
self._unstuck_close_pct = 0.01
self._execution_delay_seconds = 2
self._auto_gs = True
self._TWE_long = 2.0
self._TWE_short = 0.1
self._long_enabled = True
self._short_enabled = False
self._exchange = 'binance'
self.symbols = {}
self.backtest_symbols = {}
self.exchange_symbols = self.load_symbols()
self.loss_allowance_pct_min = 0.01
self.loss_allowance_pct_max = 0.1
self.loss_allowance_pct_step = 0.01
self.stuck_threshold_min = 0.86
self.stuck_threshold_max = 0.95
self.stuck_threshold_step = 0.01
self.unstuck_close_pct_min = 0.005
self.unstuck_close_pct_max = 0.05
self.unstuck_close_pct_step = 0.005
def load_symbols(self):
pb_config = configparser.ConfigParser()
pb_config.read('pbgui.ini')
if pb_config.has_option("exchanges", f'{self.exchange}.swap'):
return eval(pb_config.get("exchanges", f'{self.exchange}.swap'))
else:
return []
def create_from_multi(self, path: str):
self.name = PurePath(path).name
file = Path(f'{path}/multi.hjson')
if file.exists():
try:
with open(file, "r", encoding='utf-8') as f:
config = f.read()
backtest_config = hjson.loads(config)
if "version" in backtest_config:
del backtest_config["version"]
if "enabled_on" in backtest_config:
del backtest_config["enabled_on"]
if "user" in backtest_config:
user = backtest_config["user"]
self.exchange = self.users.find_exchange(user)
if "loss_allowance_pct" in backtest_config:
self._loss_allowance_pct = float(backtest_config["loss_allowance_pct"])
if "pnls_max_lookback_days" in backtest_config:
self._pnls_max_lookback_days = backtest_config["pnls_max_lookback_days"]
if "stuck_threshold" in backtest_config:
self._stuck_threshold = float(backtest_config["stuck_threshold"])
if "unstuck_close_pct" in backtest_config:
self._unstuck_close_pct = float(backtest_config["unstuck_close_pct"])
if "execution_delay_seconds" in backtest_config:
self._execution_delay_seconds = backtest_config["execution_delay_seconds"]
if "auto_gs" in backtest_config:
self._auto_gs = backtest_config["auto_gs"]
if "TWE_long" in backtest_config:
self._TWE_long = float(backtest_config["TWE_long"])
if "TWE_short" in backtest_config:
self._TWE_short = float(backtest_config["TWE_short"])
if "long_enabled" in backtest_config:
self._long_enabled = backtest_config["long_enabled"]
if "short_enabled" in backtest_config:
self._short_enabled = backtest_config["short_enabled"]
if "approved_symbols" in backtest_config:
symbols = backtest_config["approved_symbols"]
for symbol, parameters in symbols.items():
config_file = Path(f'{path}/{symbol}.json')
if config_file.exists():
config = Config(config_file)
config.load_config()
self.symbols[symbol] = config
# self.configs.append(config)
except Exception as e:
print(f'Something went wrong, but continue {e}')
traceback.print_exc()
def create_from_multi_optimize(self, path: str):
self.name = PurePath(path).stem
file = Path(path)
if file.exists():
try:
with open(file, "r", encoding='utf-8') as f:
analysis = json.load(f)
self.exchange = analysis["args"]["exchange"]
self.sd = analysis["args"]["start_date"]
self.ed = analysis["args"]["end_date"]
self.sb = analysis["args"]["starting_balance"]
self.long_enabled = analysis["args"]["long_enabled"]
self.short_enabled = analysis["args"]["short_enabled"]
self.TWE_long = analysis["live_config"]["global"]["TWE_long"]
self.TWE_short = analysis["live_config"]["global"]["TWE_short"]
self.loss_allowance_pct = analysis["live_config"]["global"]["loss_allowance_pct"]
self.stuck_threshold = analysis["live_config"]["global"]["stuck_threshold"]
self.unstuck_close_pct = analysis["live_config"]["global"]["unstuck_close_pct"]
symbols = analysis["args"]["symbols"]
backtest_path = Path(f'{PBGDIR}/data/bt_multi/{self.name}')
symbol_config = {"config_name": self.name,
"logging_level": 0,
"long": analysis["live_config"]["long"],
"short": analysis["live_config"]["short"]
}
symbol_config["long"]["auto_unstuck_ema_dist"] = 0.0
symbol_config["long"]["auto_unstuck_wallet_exposure_threshold"] = 0.0
symbol_config["long"]["backwards_tp"] = True
symbol_config["short"]["auto_unstuck_ema_dist"] = 0.0
symbol_config["short"]["auto_unstuck_wallet_exposure_threshold"] = 0.0
symbol_config["short"]["backwards_tp"] = True
for symbol in symbols:
config_file = Path(f'{backtest_path}/{symbol}.json')
config = Config(config_file, config_pretty_str(symbol_config))
self.symbols[symbol] = config
except Exception as e:
print(f'Something went wrong, but continue {e}')
traceback.print_exc()
def optimize(self):
LOSS_ALLOWANCE_PCT_MIN = 0.0
LOSS_ALLOWANCE_PCT_MAX = 1.0
STUCK_THRESHOLD_MIN = 0.0
STUCK_THRESHOLD_MAX = 1.0
UNSTUCK_CLOSE_PCT_MIN = 0.0
UNSTUCK_CLOSE_PCT_MAX = 1.0
# Init session_state for keys
if "edit_bt_multi_loss_allowance_pct_min" in st.session_state:
if st.session_state.edit_bt_multi_loss_allowance_pct_min != self.loss_allowance_pct_min:
self.loss_allowance_pct_min = st.session_state.edit_bt_multi_loss_allowance_pct_min
if "edit_bt_multi_loss_allowance_pct_max" in st.session_state:
if st.session_state.edit_bt_multi_loss_allowance_pct_max != self.loss_allowance_pct_max:
self.loss_allowance_pct_max = st.session_state.edit_bt_multi_loss_allowance_pct_max
if "edit_bt_multi_loss_allowance_pct_step" in st.session_state:
if st.session_state.edit_bt_multi_loss_allowance_pct_step != self.loss_allowance_pct_step:
self.loss_allowance_pct_step = st.session_state.edit_bt_multi_loss_allowance_pct_step
if "edit_bt_multi_stuck_threshold_min" in st.session_state:
if st.session_state.edit_bt_multi_stuck_threshold_min != self.stuck_threshold_min:
self.stuck_threshold_min = st.session_state.edit_bt_multi_stuck_threshold_min
if "edit_bt_multi_stuck_threshold_max" in st.session_state:
if st.session_state.edit_bt_multi_stuck_threshold_max != self.stuck_threshold_max:
self.stuck_threshold_max = st.session_state.edit_bt_multi_stuck_threshold_max
if "edit_bt_multi_stuck_threshold_step" in st.session_state:
if st.session_state.edit_bt_multi_stuck_threshold_step != self.stuck_threshold_step:
self.stuck_threshold_step = st.session_state.edit_bt_multi_stuck_threshold_step
if "edit_bt_multi_unstuck_close_pct_min" in st.session_state:
if st.session_state.edit_bt_multi_unstuck_close_pct_min != self.unstuck_close_pct_min:
self.unstuck_close_pct_min = st.session_state.edit_bt_multi_unstuck_close_pct_min
if "edit_bt_multi_unstuck_close_pct_max" in st.session_state:
if st.session_state.edit_bt_multi_unstuck_close_pct_max != self.unstuck_close_pct_max:
self.unstuck_close_pct_max = st.session_state.edit_bt_multi_unstuck_close_pct_max
if "edit_bt_multi_unstuck_close_pct_step" in st.session_state:
if st.session_state.edit_bt_multi_unstuck_close_pct_step != self.unstuck_close_pct_step:
self.unstuck_close_pct_step = st.session_state.edit_bt_multi_unstuck_close_pct_step
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
self.loss_allowance_pct_counter = int(round((self.loss_allowance_pct_max - self.loss_allowance_pct_min) / self.loss_allowance_pct_step + 1, 0 ))
st.number_input("Backtests", value=self.loss_allowance_pct_counter, format="%.d", key="edit_bt_multi_loss_allowance_pct_counter", disabled= True)
self.stuck_threshold_counter = int(round((self.stuck_threshold_max - self.stuck_threshold_min) / self.stuck_threshold_step + 1, 0))
st.number_input("Backtests", value=self.stuck_threshold_counter, format="%.d", key="edit_bt_multi_stuck_threshold_counter", disabled= True)
self.unstuck_close_pct_counter = int(round((self.unstuck_close_pct_max - self.unstuck_close_pct_min) / self.unstuck_close_pct_step + 1, 0))
st.number_input("Backtests", value=self.unstuck_close_pct_counter, format="%.d", key="edit_bt_multi_unstuck_close_pct_counter", disabled= True)
backtests = self.loss_allowance_pct_counter * self.stuck_threshold_counter * self.unstuck_close_pct_counter
st.number_input("Total Backtests", value=backtests, format="%.d", key="edit_bt_multi_backtests", disabled= True)
with col2:
st.number_input("loss_allowance_pct_min", min_value=LOSS_ALLOWANCE_PCT_MIN, max_value=self.loss_allowance_pct_max, value=self.loss_allowance_pct_min, step=0.01, format="%.3f", key="edit_bt_multi_loss_allowance_pct_min")
st.number_input("stuck_threshold_min", min_value=STUCK_THRESHOLD_MIN, max_value=self.stuck_threshold_max, value=self.stuck_threshold_min, step=0.01, format="%.3f", key="edit_bt_multi_stuck_threshold_min")
st.number_input("unstuck_close_pct_min", min_value=UNSTUCK_CLOSE_PCT_MIN, max_value=self.unstuck_close_pct_max, value=self.unstuck_close_pct_min, step=0.01, format="%.3f", key="edit_bt_multi_unstuck_close_pct_min")
st.write(" ")
st.write(" ")
if self.name and self.hjson and self.symbols:
if st.button("Generate Backtests"):
self.save()
self.generate_backtests()
with col3:
st.number_input("loss_allowance_pct_max", min_value=self.loss_allowance_pct_min, max_value=LOSS_ALLOWANCE_PCT_MAX, value=self.loss_allowance_pct_max, step=0.01, format="%.3f", key="edit_bt_multi_loss_allowance_pct_max")
st.number_input("stuck_threshold_max", min_value=self.stuck_threshold_min, max_value=STUCK_THRESHOLD_MAX, value=self.stuck_threshold_max, step=0.01, format="%.3f", key="edit_bt_multi_stuck_threshold_max")
st.number_input("unstuck_close_pct_max", min_value=self.unstuck_close_pct_min, max_value=UNSTUCK_CLOSE_PCT_MAX, value=self.unstuck_close_pct_max, step=0.01, format="%.3f", key="edit_bt_multi_unstuck_close_pct_max")
with col4:
st.number_input("loss_allowance_pct_step", min_value=0.001, max_value=0.1, value=self.loss_allowance_pct_step, step=0.005, format="%.3f", key="edit_bt_multi_loss_allowance_pct_step")
st.number_input("stuck_threshold_step", min_value=0.01, max_value=0.1, value=self.stuck_threshold_step, step=0.01, format="%.3f", key="edit_bt_multi_stuck_threshold_step")
st.number_input("unstuck_close_pct_step", min_value=0.001, max_value=0.1, value=self.unstuck_close_pct_step, step=0.005, format="%.3f", key="edit_bt_multi_unstuck_close_pct_step")
def generate_backtests(self):
count = 0
for lap in range(0, self.loss_allowance_pct_counter):
for st in range(0, self.stuck_threshold_counter):
for ucp in range(0, self.unstuck_close_pct_counter):
bt_lap = round(self.loss_allowance_pct_min + lap * self.loss_allowance_pct_step, 3)
bt_st = round(self.stuck_threshold_min + st * self.stuck_threshold_step, 3)
bt_ucp = round(self.unstuck_close_pct_min + ucp * self.unstuck_close_pct_step, 3)
parameters = f'-lap {bt_lap} -st {bt_st} -ucp {bt_ucp}'
self.save_queue(parameters)
def edit(self):
# Init session_state for keys
if "edit_bt_multi_exchange" in st.session_state:
if st.session_state.edit_bt_multi_exchange != self.exchange:
self.exchange = st.session_state.edit_bt_multi_exchange
if "edit_bt_multi_name" in st.session_state:
if st.session_state.edit_bt_multi_name != self.name:
st.session_state.edit_bt_multi_name = replace_special_chars(st.session_state.edit_bt_multi_name)
self.name = st.session_state.edit_bt_multi_name
if "edit_bt_multi_sb" in st.session_state:
if st.session_state.edit_bt_multi_sb != self.sb:
self.sb = st.session_state.edit_bt_multi_sb
if "edit_bt_multi_sd" in st.session_state:
if st.session_state.edit_bt_multi_sd.strftime("%Y-%m-%d") != self.sd:
self.sd = st.session_state.edit_bt_multi_sd.strftime("%Y-%m-%d")
if "edit_bt_multi_ed" in st.session_state:
if st.session_state.edit_bt_multi_ed.strftime("%Y-%m-%d") != self.ed:
self.ed = st.session_state.edit_bt_multi_ed.strftime("%Y-%m-%d")
if "edit_bt_multi_loss_allowance_pct" in st.session_state:
if st.session_state.edit_bt_multi_loss_allowance_pct != self.loss_allowance_pct:
self.loss_allowance_pct = st.session_state.edit_bt_multi_loss_allowance_pct
if "edit_bt_multi_pnls_max_lookback_days" in st.session_state:
if st.session_state.edit_bt_multi_pnls_max_lookback_days != self.pnls_max_lookback_days:
self.pnls_max_lookback_days = st.session_state.edit_bt_multi_pnls_max_lookback_days
if "edit_bt_multi_stuck_threshold" in st.session_state:
if st.session_state.edit_bt_multi_stuck_threshold != self.stuck_threshold:
self.stuck_threshold = st.session_state.edit_bt_multi_stuck_threshold
if "edit_bt_multi_unstuck_close_pct" in st.session_state:
if st.session_state.edit_bt_multi_unstuck_close_pct != self.unstuck_close_pct:
self.unstuck_close_pct = st.session_state.edit_bt_multi_unstuck_close_pct
if "edit_bt_multi_execution_delay_seconds" in st.session_state:
if st.session_state.edit_bt_multi_execution_delay_seconds != self.execution_delay_seconds:
self.execution_delay_seconds = st.session_state.edit_bt_multi_execution_delay_seconds
if "edit_bt_multi_auto_gs" in st.session_state:
if st.session_state.edit_bt_multi_auto_gs != self.auto_gs:
self.auto_gs = st.session_state.edit_bt_multi_auto_gs
if "edit_bt_multi_TWE_long" in st.session_state:
if st.session_state.edit_bt_multi_TWE_long != self.TWE_long:
self.TWE_long = st.session_state.edit_bt_multi_TWE_long
if "edit_bt_multi_TWE_short" in st.session_state:
if st.session_state.edit_bt_multi_TWE_long != self.TWE_short:
self.TWE_short = st.session_state.edit_bt_multi_TWE_long
if "edit_bt_multi_long_enabled" in st.session_state:
if st.session_state.edit_bt_multi_long_enabled != self.long_enabled:
self.long_enabled = st.session_state.edit_bt_multi_long_enabled
if "edit_bt_multi_short_enabled" in st.session_state:
if st.session_state.edit_bt_multi_short_enabled != self.short_enabled:
self.short_enabled = st.session_state.edit_bt_multi_short_enabled
#Init symbols
if not "ed_key" in st.session_state:
st.session_state.ed_key = 0
ed_key = st.session_state.ed_key
slist = []
self.TWE_long = 0.0
self.TWE_short = 0.0
for id, symbol in enumerate(self.symbols):
long_enabled = self.symbols[symbol].long_enabled
long_we = self.symbols[symbol].long_we
short_enabled = self.symbols[symbol].short_enabled
short_we = self.symbols[symbol].short_we
if long_enabled:
self.TWE_long += long_we
if short_enabled:
self.TWE_short += short_we
slist.append({
'id': id,
'edit': False,
'delete': False,
'symbol': symbol,
'long' : long_enabled,
'long_we' : long_we,
'short' : short_enabled,
'short_we' : short_we
})
column_config = {
"id": None,
}
# Display Editor
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
exchange_index = 0
if self.exchange == "bybit":
exchange_index = 1
st.selectbox('Exchange',['binance', 'bybit'], index = exchange_index, key="edit_bt_multi_exchange")
with col2:
if not self.name:
st.text_input(f":red[Backtest Name]", value=self.name, max_chars=64, help=pbgui_help.task_name, key="edit_bt_multi_name")
else:
st.text_input(f"Backtest Name", value=self.name, max_chars=64, key="edit_bt_multi_name")
with col3:
st.date_input("START_DATE", datetime.datetime.strptime(self.sd, '%Y-%m-%d'), format="YYYY-MM-DD", key="edit_bt_multi_sd")
with col4:
st.date_input("END_DATE", datetime.datetime.strptime(self.ed, '%Y-%m-%d'), format="YYYY-MM-DD", key="edit_bt_multi_ed")
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
st.number_input("loss_allowance_pct", min_value=0.0, max_value=100.0, value=self.loss_allowance_pct, step=0.001, format="%.3f", key="edit_bt_multi_loss_allowance_pct", help=pbgui_help.loss_allowance_pct)
with col2:
st.number_input("pnls_max_lookback_days", min_value=0, max_value=365, value=self.pnls_max_lookback_days, step=1, format="%.d", key="edit_bt_multi_pnls_max_lookback_days", help=pbgui_help.pnls_max_lookback_days)
with col3:
st.number_input("stuck_threshold", min_value=0.0, max_value=1.0, value=self.stuck_threshold, step=0.01, format="%.2f", key="edit_bt_multi_stuck_threshold", help=pbgui_help.stuck_threshold)
with col4:
st.number_input("unstuck_close_pct", min_value=0.0, max_value=1.0, value=self.unstuck_close_pct, step=0.01, format="%.3f", key="edit_bt_multi_unstuck_close_pct", help=pbgui_help.unstuck_close_pct)
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
st.checkbox("long_enabled", value=self.long_enabled, help=pbgui_help.multi_long_short_enabled, key="edit_bt_multi_long_enabled")
with col2:
st.checkbox("short_enabled", value=self.short_enabled, help=pbgui_help.multi_long_short_enabled, key="edit_bt_multi_short_enabled")
with col3:
st.empty()
with col4:
st.checkbox("auto_gs", value=self.auto_gs, help=pbgui_help.auto_gs, key="edit_bt_multi_auto_gs")
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
st.number_input("TWE_long", min_value=0.0, max_value=100.0, value=self.TWE_long, step=0.1, format="%.2f", key="edit_bt_multi_TWE_long", disabled= True, help=pbgui_help.TWE_long_short)
with col2:
st.number_input("TWE_short", min_value=0.0, max_value=100.0, value=self.TWE_short, step=0.1, format="%.2f", key="edit_bt_multi_TWE_short", disabled= True, help=pbgui_help.TWE_long_short)
with col3:
st.number_input('STARTING_BALANCE',value=self.sb,step=500, key="edit_bt_multi_sb")
with col4:
st.number_input("execution_delay_seconds", min_value=1, max_value=60, value=self.execution_delay_seconds, step=1, format="%.d", key="edit_bt_multi_execution_delay_seconds", help=pbgui_help.execution_delay_seconds)
# Display Symbols
st.data_editor(data=slist, height=36+(len(slist))*35, use_container_width=True, key=f'select_symbol_{ed_key}', hide_index=None, column_order=None, column_config=column_config, disabled=['symbol','long','long_we','short','short_we'])
if f'select_symbol_{ed_key}' in st.session_state:
ed = st.session_state[f'select_symbol_{ed_key}']
for row in ed["edited_rows"]:
if "delete" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["delete"]:
del self.symbols[list(self.symbols.keys())[row]]
st.rerun()
if "edit" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["edit"]:
st.session_state.bt_multi_edit_symbol = list(self.symbols.keys())[row]
st.session_state.ed_key += 1
st.rerun()
col1, col2, col3, col4 = st.columns([1,1,1,1])
with col1:
st.selectbox('SYMBOL', self.exchange_symbols, key="edit_bt_multi_exchange_symbol")
if self.path:
if Path(self.path).exists:
with col2:
st.write(" ")
st.write(" ")
if st.button("Add Symbol", key="button_add_symbol_backtest_multi"):
new_symbol = st.session_state.edit_bt_multi_exchange_symbol
if new_symbol not in self.symbols:
config_file = Path(f'{self.path}/{new_symbol}.json')
config = Config(config_file)
config.load_config()
self.symbols[new_symbol] = config
st.session_state.bt_multi_edit_symbol = new_symbol
st.rerun()
def remove_selected_results(self):
ed_key = st.session_state.ed_key
ed = st.session_state[f'select_btmulti_result_{ed_key}']
for row in ed["edited_rows"]:
if "delete" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["delete"]:
self.backtest_results[row].remove()
for result in self.backtest_results[:]:
if not Path(result.result_path).exists():
self.backtest_results.remove(result)
def remove_all_results(self):
rmtree(f'{pbdir()}/backtests/pbgui_multi/{self.name}/multisymbol', ignore_errors=True)
self.backtest_results = []
def view_results(self):
if not "ed_key" in st.session_state:
st.session_state.ed_key = 0
ed_key = st.session_state.ed_key
d = []
for id, result in enumerate(self.backtest_results):
d.append({
'id': id,
'view': False,
'plot': False,
'drawdowns': False,
'delete': False,
'starting_balance': result.starting_balance,
'final_balance': result.final_balance,
'drawdown_max': result.drawdown_max,
})
column_config = {
"id": None,
"view": st.column_config.CheckboxColumn(label="View Result"),
"plot": st.column_config.CheckboxColumn(label="View Plots"),
"drawdowns": st.column_config.CheckboxColumn(label="View Drawdowns"),
"delete": st.column_config.CheckboxColumn(label="Delete"),
"starting_balance": st.column_config.NumberColumn(format="%.0f", label="Starting Balance"),
"final_balance": st.column_config.NumberColumn(format="%.0f", label="Final Balance"),
"drawdown_max": st.column_config.NumberColumn(format="%.4f", label="Drawdown Max")
}
#Display Backtests
height = 36+(len(d))*35
if height > 1000: height = 1016
st.data_editor(data=d, height=height, use_container_width=True, key=f'select_btmulti_result_{ed_key}', hide_index=None, column_order=None, column_config=column_config, disabled=['id','drawdown_max','final_balance'])
if f'select_btmulti_result_{ed_key}' in st.session_state:
ed = st.session_state[f'select_btmulti_result_{ed_key}']
for row in ed["edited_rows"]:
if "view" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["view"]:
self.backtest_results[row].load_stats()
self.backtest_results[row].load_fills()
self.backtest_results[row].create_chart_be()
self.backtest_results[row].create_chart_sym(self.backtest_results[row].symbols)
self.backtest_results[row].view()
if "plot" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["plot"]:
self.backtest_results[row].view_plots()
if "drawdowns" in ed["edited_rows"][row]:
if ed["edited_rows"][row]["drawdowns"]:
self.backtest_results[row].view_drawdowns()
def create_chart(self):
hover_be = HoverTool(
tooltips=[
( 'name', '$name' ),
( 'date', '@x{%F}' ),
( 'total', '@y{0.00} $' ),
],
formatters={
'@x' : 'datetime', # use 'datetime' formatter for '@date' field
},
# display a tooltip whenever the cursor is vertically in line with a glyph
mode='mouse'
)
self.color = 0
self.be = None
self.be = figure(
x_axis_label='date',
y_axis_label='USDT',
x_axis_type='datetime',
tools = "pan,box_zoom,wheel_zoom,save,reset",
active_scroll="wheel_zoom")
self.be.add_tools(hover_be)
def add_chart(self, fills: pd):
self.be.line(fills['time'], fills['balance'], legend_label='balance', line_width=2, color=Category20b_20[0], name=f'balance')
self.be.line(fills['time'], fills['equity'], legend_label='equity', line_width=1, color=Category20b_20[1], name=f'equity')
for symbol, config in self.symbols.items():
symbol_df = fills[fills['symbol'] == symbol]
symbol_df["sym_balance"] = symbol_df["pnl"].cumsum()
# symbol_df["sym_balance"] = symbol_df["sym_balance"].apply(lambda x: x + 0 + symbol_df["pnl"].sum())
self.be.line(symbol_df['time'], symbol_df['sym_balance'], legend_label=f'{symbol} pnl', line_width=1, color=Category20_20[self.color], name=f'{symbol}')
self.color +=1
def create_backtest_symbols(self):
for symbol, config in self.symbols.items():
config.config_file = Path(f'{PBGDIR}/data/bt_multi/{self.name}/{symbol}.json')
config.save_config()
if config.long_enabled:
lw = config.long_we
else:
lw = 0.0
if config.short_enabled:
sw = config.short_we
else:
sw = 0.0
self.backtest_symbols[symbol] = f'-lw {lw} -sw {sw} -lc {config.config_file}'
def create_backtest_config(self):
self.create_backtest_symbols()
base_dir = f'backtests/pbgui_multi/{self.name}'
with open(self.hjson, "w", encoding='utf-8') as f:
f.write(hjson.dumps({
"exchange": self.exchange,
"loss_allowance_pct": self.loss_allowance_pct,
"stuck_threshold": self.stuck_threshold,
"unstuck_close_pct": self.unstuck_close_pct,
"TWE_long": self.TWE_long,
"TWE_short": self.TWE_short,
"long_enabled": self.long_enabled,
"short_enabled": self.short_enabled,
"start_date": self.sd,
"end_date": self.ed,
"starting_balance": self.sb,
"symbols": self.backtest_symbols,
"live_configs_dir": "",
"default_config_path": "",
"base_dir": base_dir
}, indent=4))
def load(self):
self.name = PurePath(self.path).name
self.hjson = Path(f'{self.path}/backtest.hjson')
if self.hjson.exists():
try:
with open(self.hjson, "r", encoding='utf-8') as f:
config = f.read()
backtest_config = hjson.loads(config)
if "exchange" in backtest_config:
self.exchange = backtest_config["exchange"]
if "loss_allowance_pct" in backtest_config:
self._loss_allowance_pct = float(backtest_config["loss_allowance_pct"])
if "pnls_max_lookback_days" in backtest_config:
self._pnls_max_lookback_days = backtest_config["pnls_max_lookback_days"]
if "stuck_threshold" in backtest_config:
self._stuck_threshold = float(backtest_config["stuck_threshold"])
if "unstuck_close_pct" in backtest_config:
self._unstuck_close_pct = float(backtest_config["unstuck_close_pct"])
if "execution_delay_seconds" in backtest_config:
self._execution_delay_seconds = backtest_config["execution_delay_seconds"]
if "auto_gs" in backtest_config:
self._auto_gs = backtest_config["auto_gs"]
if "TWE_long" in backtest_config:
self._TWE_long = float(backtest_config["TWE_long"])
if "TWE_short" in backtest_config:
self._TWE_short = float(backtest_config["TWE_short"])
if "long_enabled" in backtest_config:
self._long_enabled = backtest_config["long_enabled"]
if "short_enabled" in backtest_config:
self._short_enabled = backtest_config["short_enabled"]
if "symbols" in backtest_config:
symbols = backtest_config["symbols"]
for symbol, parameters in symbols.items():
config_file = Path(f'{self.path}/{symbol}.json')
if config_file.exists():
config = Config(config_file)
config.load_config()
self.symbols[symbol] = config
except Exception as e:
print(f'Something went wrong, but continue {e}')
traceback.print_exc()
def calculate_results(self):
p = str(Path(f'{pbdir()}/backtests/pbgui_multi/{self.name}/multisymbol/{self.exchange}/**/analysis.json'))
files = glob.glob(p, recursive=False)
return len(files)
def load_results(self):
p = str(Path(f'{pbdir()}/backtests/pbgui_multi/{self.name}/multisymbol/{self.exchange}/**/analysis.json'))
files = glob.glob(p, recursive=False)
for file in files:
result_path = PurePath(file).parent
bt_result = BacktestMultiResult(result_path)
self.backtest_results.append(bt_result)
def save(self):
self.path = Path(f'{PBGDIR}/data/bt_multi/{self.name}')
if not self.path.exists():
self.path.mkdir(parents=True)
self.hjson = Path(f'{self.path}/backtest.hjson')
self.create_backtest_config()
def save_queue(self, parameters : str = None):
dest = Path(f'{PBGDIR}/data/bt_multi_queue')
unique_filename = str(uuid.uuid4())
file = Path(f'{dest}/{unique_filename}.json')
bt_dict = {
"name": self.name,
"filename": unique_filename,
"hjson": str(self.hjson),
"parameters": parameters,
"exchange": self.exchange,
}
if not dest.exists():
dest.mkdir(parents=True)
with open(file, "w", encoding='utf-8') as f:
json.dump(bt_dict, f, indent=4)
def remove(self):
self.remove_all_results()
rmtree(self.path, ignore_errors=True)
class BacktestMultiResult:
def __init__(self, result_path: str = None):