Move HTML backtest report out of the backtest to enable other type of…

… reports. (#209) # Describe Request Moved HTML backtest report out of the backtest to enable other type of reports. # Change Type New feature.
cinar · Sep 7, 2024 · 87f1acd · 87f1acd
1 parent 7076260
commit 87f1acd
Show file tree

Hide file tree

Showing 14 changed files with 726 additions and 386 deletions.
diff --git a/backtest/README.md b/backtest/README.md
@@ -0,0 +1,201 @@
+<!-- Code generated by gomarkdoc. DO NOT EDIT -->
+
+# backtest
+
+```go
+import "github.com/cinar/indicator/v2/backtest"
+```
+
+Package backtest contains the backtest functions.
+
+This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.
+
+### License
+
+```
+Copyright (c) 2021-2024 Onur Cinar.
+The source code is provided under GNU AGPLv3 License.
+https://github.com/cinar/indicator
+```
+
+### Disclaimer
+
+The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.
+
+## Index
+
+- [Constants](<#constants>)
+- [type Backtest](<#Backtest>)
+  - [func NewBacktest\(repository asset.Repository, report Report\) \*Backtest](<#NewBacktest>)
+  - [func \(b \*Backtest\) Run\(\) error](<#Backtest.Run>)
+- [type HTMLReport](<#HTMLReport>)
+  - [func NewHTMLReport\(outputDir string\) \*HTMLReport](<#NewHTMLReport>)
+  - [func \(h \*HTMLReport\) AssetBegin\(name string, strategies \[\]strategy.Strategy\) error](<#HTMLReport.AssetBegin>)
+  - [func \(h \*HTMLReport\) AssetEnd\(name string\) error](<#HTMLReport.AssetEnd>)
+  - [func \(h \*HTMLReport\) Begin\(assetNames \[\]string, \_ \[\]strategy.Strategy\) error](<#HTMLReport.Begin>)
+  - [func \(h \*HTMLReport\) End\(\) error](<#HTMLReport.End>)
+  - [func \(h \*HTMLReport\) Write\(assetName string, currentStrategy strategy.Strategy, snapshots \<\-chan \*asset.Snapshot, actions \<\-chan strategy.Action, outcomes \<\-chan float64\) error](<#HTMLReport.Write>)
+- [type Report](<#Report>)
+
+
+## Constants
+
+<a name="DefaultBacktestWorkers"></a>
+
+```go
+const (
+    // DefaultBacktestWorkers is the default number of backtest workers.
+    DefaultBacktestWorkers = 1
+
+    // DefaultLastDays is the default number of days backtest should go back.
+    DefaultLastDays = 365
+)
+```
+
+<a name="DefaultWriteStrategyReports"></a>
+
+```go
+const (
+    // DefaultWriteStrategyReports is the default state of writing individual strategy reports.
+    DefaultWriteStrategyReports = true
+)
+```
+
+<a name="Backtest"></a>
+## type [Backtest](<https://github.com/cinar/indicator/blob/master/backtest/backtest.go#L43-L61>)
+
+Backtest function rigorously evaluates the potential performance of the specified strategies applied to a defined set of assets. It generates comprehensive visual representations for each strategy\-asset pairing.
+
+```go
+type Backtest struct {
+
+    // Names is the names of the assets to backtest.
+    Names []string
+
+    // Strategies is the list of strategies to apply.
+    Strategies []strategy.Strategy
+
+    // Workers is the number of concurrent workers.
+    Workers int
+
+    // LastDays is the number of days backtest should go back.
+    LastDays int
+    // contains filtered or unexported fields
+}
+```
+
+<a name="NewBacktest"></a>
+### func [NewBacktest](<https://github.com/cinar/indicator/blob/master/backtest/backtest.go#L64>)
+
+```go
+func NewBacktest(repository asset.Repository, report Report) *Backtest
+```
+
+NewBacktest function initializes a new backtest instance.
+
+<a name="Backtest.Run"></a>
+### func \(\*Backtest\) [Run](<https://github.com/cinar/indicator/blob/master/backtest/backtest.go#L79>)
+
+```go
+func (b *Backtest) Run() error
+```
+
+Run executes a comprehensive performance evaluation of the designated strategies, applied to a specified collection of assets. In the absence of explicitly defined assets, encompasses all assets within the repository. Likewise, in the absence of explicitly defined strategies, encompasses all the registered strategies.
+
+<a name="HTMLReport"></a>
+## type [HTMLReport](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L36-L53>)
+
+HTMLReport is the backtest HTML report interface.
+
+```go
+type HTMLReport struct {
+    Report
+
+    // WriteStrategyReports indicates whether the individual strategy reports should be generated.
+    WriteStrategyReports bool
+
+    // DateFormat is the date format that is used in the reports.
+    DateFormat string
+    // contains filtered or unexported fields
+}
+```
+
+<a name="NewHTMLReport"></a>
+### func [NewHTMLReport](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L77>)
+
+```go
+func NewHTMLReport(outputDir string) *HTMLReport
+```
+
+NewHTMLReport initializes a new HTML report instance.
+
+<a name="HTMLReport.AssetBegin"></a>
+### func \(\*HTMLReport\) [AssetBegin](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L100>)
+
+```go
+func (h *HTMLReport) AssetBegin(name string, strategies []strategy.Strategy) error
+```
+
+AssetBegin is called when backtesting for the given asset begins.
+
+<a name="HTMLReport.AssetEnd"></a>
+### func \(\*HTMLReport\) [AssetEnd](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L155>)
+
+```go
+func (h *HTMLReport) AssetEnd(name string) error
+```
+
+AssetEnd is called when backtesting for the given asset ends.
+
+<a name="HTMLReport.Begin"></a>
+### func \(\*HTMLReport\) [Begin](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L87>)
+
+```go
+func (h *HTMLReport) Begin(assetNames []string, _ []strategy.Strategy) error
+```
+
+Begin is called when the backtest starts.
+
+<a name="HTMLReport.End"></a>
+### func \(\*HTMLReport\) [End](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L184>)
+
+```go
+func (h *HTMLReport) End() error
+```
+
+End is called when the backtest ends.
+
+<a name="HTMLReport.Write"></a>
+### func \(\*HTMLReport\) [Write](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L112>)
+
+```go
+func (h *HTMLReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error
+```
+
+Write writes the given strategy actions and outomes to the report.
+
+<a name="Report"></a>
+## type [Report](<https://github.com/cinar/indicator/blob/master/backtest/report.go#L13-L28>)
+
+Report is the backtest report interface.
+
+```go
+type Report interface {
+    // Begin is called when the backtest begins.
+    Begin(assetNames []string, strategies []strategy.Strategy) error
+
+    // AssetBegin is called when backtesting for the given asset begins.
+    AssetBegin(name string, strategies []strategy.Strategy) error
+
+    // Write writes the given strategy actions and outomes to the report.
+    Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error
+
+    // AssetEnd is called when backtesting for the given asset ends.
+    AssetEnd(name string) error
+
+    // End is called when the backtest ends.
+    End() error
+}
+```
+
+Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)
diff --git a/backtest/backtest.go b/backtest/backtest.go
@@ -0,0 +1,167 @@
+// Package backtest contains the backtest functions.
+//
+// This package belongs to the Indicator project. Indicator is
+// a Golang module that supplies a variety of technical
+// indicators, strategies, and a backtesting framework
+// for analysis.
+//
+// # License
+//
+//	Copyright (c) 2021-2024 Onur Cinar.
+//	The source code is provided under GNU AGPLv3 License.
+//	https://github.com/cinar/indicator
+//
+// # Disclaimer
+//
+// The information provided on this project is strictly for
+// informational purposes and is not to be construed as
+// advice or solicitation to buy or sell any security.
+package backtest
+
+import (
+	"fmt"
+	"log"
+	"sync"
+	"time"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+)
+
+const (
+	// DefaultBacktestWorkers is the default number of backtest workers.
+	DefaultBacktestWorkers = 1
+
+	// DefaultLastDays is the default number of days backtest should go back.
+	DefaultLastDays = 365
+)
+
+// Backtest function rigorously evaluates the potential performance of the
+// specified strategies applied to a defined set of assets. It generates
+// comprehensive visual representations for each strategy-asset pairing.
+type Backtest struct {
+	// repository is the repository to retrieve the assets from.
+	repository asset.Repository
+
+	// report is the report writer for the backtest.
+	report Report
+
+	// Names is the names of the assets to backtest.
+	Names []string
+
+	// Strategies is the list of strategies to apply.
+	Strategies []strategy.Strategy
+
+	// Workers is the number of concurrent workers.
+	Workers int
+
+	// LastDays is the number of days backtest should go back.
+	LastDays int
+}
+
+// NewBacktest function initializes a new backtest instance.
+func NewBacktest(repository asset.Repository, report Report) *Backtest {
+	return &Backtest{
+		repository: repository,
+		report:     report,
+		Names:      []string{},
+		Strategies: []strategy.Strategy{},
+		Workers:    DefaultBacktestWorkers,
+		LastDays:   DefaultLastDays,
+	}
+}
+
+// Run executes a comprehensive performance evaluation of the designated strategies,
+// applied to a specified collection of assets. In the absence of explicitly defined
+// assets, encompasses all assets within the repository. Likewise, in the absence of
+// explicitly defined strategies, encompasses all the registered strategies.
+func (b *Backtest) Run() error {
+	// When asset names are absent, considers all assets within the provided repository for evaluation.
+	if len(b.Names) == 0 {
+		assets, err := b.repository.Assets()
+		if err != nil {
+			return err
+		}
+
+		b.Names = assets
+	}
+
+	// When strategies are absent, considers all strategies.
+	if len(b.Strategies) == 0 {
+		b.Strategies = []strategy.Strategy{
+			strategy.NewBuyAndHoldStrategy(),
+		}
+	}
+
+	// Begin report.
+	err := b.report.Begin(b.Names, b.Strategies)
+	if err != nil {
+		return fmt.Errorf("unable to begin report: %w", err)
+	}
+
+	// Run the backtest workers.
+	names := helper.SliceToChan(b.Names)
+	wg := &sync.WaitGroup{}
+
+	for i := 0; i < b.Workers; i++ {
+		wg.Add(1)
+		go b.worker(names, wg)
+	}
+
+	// Wait for all workers to finish.
+	wg.Wait()
+
+	// End report.
+	err = b.report.End()
+	if err != nil {
+		return fmt.Errorf("unable to end report: %w", err)
+	}
+
+	return nil
+}
+
+// worker is a backtesting worker that concurrently executes backtests for individual
+// assets. It receives asset names from the provided channel, and performs backtests
+// using the given strategies.
+func (b *Backtest) worker(names <-chan string, wg *sync.WaitGroup) {
+	defer wg.Done()
+
+	since := time.Now().AddDate(0, 0, -b.LastDays)
+
+	for name := range names {
+		log.Printf("Backtesting %s...", name)
+		snapshots, err := b.repository.GetSince(name, since)
+		if err != nil {
+			log.Printf("Unable to retrieve the snapshots for %s: %v", name, err)
+			continue
+		}
+
+		// We don't expect the snapshots to be a stream during backtesting.
+		snapshotsSlice := helper.ChanToSlice(snapshots)
+
+		// Backtesting asset has begun.
+		err = b.report.AssetBegin(name, b.Strategies)
+		if err != nil {
+			log.Printf("Unable to asset begin for %s: %v", name, err)
+			continue
+		}
+
+		// Backtest strategies on the given asset.
+		for _, currentStrategy := range b.Strategies {
+			snapshotsSplice := helper.Duplicate(helper.SliceToChan(snapshotsSlice), 2)
+
+			actions, outcomes := strategy.ComputeWithOutcome(currentStrategy, snapshotsSplice[0])
+			err = b.report.Write(name, currentStrategy, snapshotsSplice[1], actions, outcomes)
+			if err != nil {
+				log.Printf("Unable to report write for %s: %v", name, err)
+			}
+		}
+
+		// Backtesting asset had ended
+		err = b.report.AssetEnd(name)
+		if err != nil {
+			log.Printf("Unable to asset end for %s: %v", name, err)
+		}
+	}
+}