Backtest added.

asset/README.md

@@ -24,6 +24,8 @@ The information provided on this project is strictly for informational purposes
 
 ## Index
 
+- [func SnapshotsAsClosings\(snapshots \<\-chan \*Snapshot\) \<\-chan float64](<#SnapshotsAsClosings>)
+- [func SnapshotsAsDates\(snapshots \<\-chan \*Snapshot\) \<\-chan time.Time](<#SnapshotsAsDates>)
 - [func Sync\(source, target Repository, defaultStartDate time.Time, workers int\) error](<#Sync>)
 - [type FileSystemRepository](<#FileSystemRepository>)
   - [func NewFileSystemRepository\(base string\) \*FileSystemRepository](<#NewFileSystemRepository>)
@@ -53,6 +55,24 @@ The information provided on this project is strictly for informational purposes
   - [func \(r \*TiingoRepository\) LastDate\(name string\) \(time.Time, error\)](<#TiingoRepository.LastDate>)
 
 
+<a name="SnapshotsAsClosings"></a>
+## func [SnapshotsAsClosings](<https://github.com/cinar/indicator/blob/v2/asset/snapshot.go#L52>)
+
+```go
+func SnapshotsAsClosings(snapshots <-chan *Snapshot) <-chan float64
+```
+
+SnapshotsAsClosings extracts the close field from each snapshot in the provided channel and returns a new channel containing only those close values.The original snapshots channel can no longer be directly used afterwards.
+
+<a name="SnapshotsAsDates"></a>
+## func [SnapshotsAsDates](<https://github.com/cinar/indicator/blob/v2/asset/snapshot.go#L43>)
+
+```go
+func SnapshotsAsDates(snapshots <-chan *Snapshot) <-chan time.Time
+```
+
+SnapshotsAsDates extracts the date field from each snapshot in the provided channel and returns a new channel containing only those date values.The original snapshots channel can no longer be directly used afterwards.
+
 <a name="Sync"></a>
 ## func [Sync](<https://github.com/cinar/indicator/blob/v2/asset/sync.go#L18>)
 
@@ -223,7 +243,7 @@ type Repository interface {
 ```
 
 <a name="Snapshot"></a>
-## type [Snapshot](<https://github.com/cinar/indicator/blob/v2/asset/snapshot.go#L13-L36>)
+## type [Snapshot](<https://github.com/cinar/indicator/blob/v2/asset/snapshot.go#L15-L38>)
 
 Snapshot captures a single observation of an asset's price at a specific moment.
 

asset/file_system_repository_test.go

@@ -7,6 +7,7 @@ package asset_test
 import (
 	"fmt"
 	"os"
+	"path"
 	"reflect"
 	"testing"
 	"time"
@@ -15,9 +16,11 @@ import (
 	"github.com/cinar/indicator/helper"
 )
 
+var repositoryBase = "testdata/repository"
+
 func TestFileSystemRepositoryAssets(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
-	expected := []string{"brk-b", "empty", "since"}
+	repository := asset.NewFileSystemRepository(repositoryBase)
+	expected := []string{"brk-b"}
 
 	actual, err := repository.Assets()
 	if err != nil {
@@ -39,7 +42,7 @@ func TestFileSystemRepositoryAssetsNonExisting(t *testing.T) {
 }
 
 func TestFileSystemRepositoryGet(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	snapshots, err := repository.Get("brk-b")
 	if err != nil {
@@ -59,7 +62,7 @@ func TestFileSystemRepositoryGetNonExisting(t *testing.T) {
 }
 
 func TestFileSystemRepositoryGetSince(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	date := time.Date(2022, 12, 20, 0, 0, 0, 0, time.UTC)
 	actual, err := repository.GetSince("brk-b", date)
@@ -79,7 +82,7 @@ func TestFileSystemRepositoryGetSince(t *testing.T) {
 }
 
 func TestFileSystemRepositoryGetSinceNonExisting(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	date := time.Date(2022, 12, 01, 0, 0, 0, 0, time.UTC)
 	_, err := repository.GetSince("brk", date)
@@ -91,7 +94,7 @@ func TestFileSystemRepositoryGetSinceNonExisting(t *testing.T) {
 func TestFileSystemRepositoryLastDate(t *testing.T) {
 	expeted := time.Date(2022, 12, 30, 0, 0, 0, 0, time.UTC)
 
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	actual, err := repository.LastDate("brk-b")
 	if err != nil {
@@ -104,7 +107,7 @@ func TestFileSystemRepositoryLastDate(t *testing.T) {
 }
 
 func TestFileSystemRepositoryLastDateNonExisting(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	_, err := repository.LastDate("brk")
 	if err == nil {
@@ -113,7 +116,7 @@ func TestFileSystemRepositoryLastDateNonExisting(t *testing.T) {
 }
 
 func TestFileSystemRepositoryLastDateEmpty(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	_, err := repository.LastDate("empty")
 	if err == nil {
@@ -122,15 +125,15 @@ func TestFileSystemRepositoryLastDateEmpty(t *testing.T) {
 }
 
 func TestFileSystemRepositoryAppend(t *testing.T) {
-	repository := asset.NewFileSystemRepository("testdata")
+	repository := asset.NewFileSystemRepository(repositoryBase)
 
 	expected, err := repository.Get("brk-b")
 	if err != nil {
 		t.Fatal(err)
 	}
 
 	name := "test_file_system_repository_append"
-	defer os.Remove(fmt.Sprintf("testdata/%s.csv", name))
+	defer os.Remove(path.Join(repositoryBase, fmt.Sprintf("%s.csv", name)))
 
 	err = repository.Append(name, expected)
 	if err != nil {

asset/snapshot.go

@@ -6,6 +6,8 @@ package asset
 
 import (
 	"time"
+
+	"github.com/cinar/indicator/helper"
 )
 
 // Snapshot captures a single observation of an asset's price
@@ -34,3 +36,21 @@ type Snapshot struct {
 	// the asset during the snapshot period.
 	Volume int64
 }
+
+// SnapshotsAsDates extracts the date field from each snapshot in the provided
+// channel and returns a new channel containing only those date values.The
+// original snapshots channel can no longer be directly used afterwards.
+func SnapshotsAsDates(snapshots <-chan *Snapshot) <-chan time.Time {
+	return helper.Map(snapshots, func(snapshot *Snapshot) time.Time {
+		return snapshot.Date
+	})
+}
+
+// SnapshotsAsClosings extracts the close field from each snapshot in the provided
+// channel and returns a new channel containing only those close values.The
+// original snapshots channel can no longer be directly used afterwards.
+func SnapshotsAsClosings(snapshots <-chan *Snapshot) <-chan float64 {
+	return helper.Map(snapshots, func(snapshot *Snapshot) float64 {
+		return snapshot.Close
+	})
+}

asset/snapshot_test.go

@@ -0,0 +1,37 @@
+// Copyright (c) 2023 Onur Cinar. All Rights Reserved.
+// The source code is provided under MIT License.
+// https://github.com/cinar/indicator
+
+package asset_test
+
+import (
+	"testing"
+
+	"github.com/cinar/indicator/asset"
+	"github.com/cinar/indicator/helper"
+)
+
+func TestSnapshotsAs(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/repository/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	snapshotsCopies := helper.Duplicate(snapshots, 3)
+
+	dates := asset.SnapshotsAsDates(snapshotsCopies[1])
+	closings := asset.SnapshotsAsClosings(snapshotsCopies[2])
+
+	for snapshot := range snapshotsCopies[0] {
+		date := <-dates
+		closing := <-closings
+
+		if !date.Equal(snapshot.Date) {
+			t.Fatalf("actual %v expected %v", date, snapshot.Date)
+		}
+
+		if closing != snapshot.Close {
+			t.Fatalf("actual %v expected %v", closing, snapshot.Close)
+		}
+	}
+}

helper/report.tmpl

@@ -92,7 +92,7 @@
 
             {{ range .Date }}
             data.addRow([
-                new Date({{ .Format "2006, 1, 2" }}),
+                new Date("{{ .Format "2006-01-02" }}"),
                 {{ range $.Columns }}
                 {{ .Value }},
                 {{ end }}

strategy/README.md

@@ -32,9 +32,12 @@ The information provided on this project is strictly for informational purposes
   - [func \(a Action\) Annotation\(\) string](<#Action.Annotation>)
 - [type ApoStrategy](<#ApoStrategy>)
   - [func NewApoStrategy\(\) \*ApoStrategy](<#NewApoStrategy>)
-  - [func \(a \*ApoStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan Action](<#ApoStrategy.Compute>)
+  - [func \(a \*ApoStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \(\<\-chan Action, \<\-chan float64\)](<#ApoStrategy.Compute>)
   - [func \(a \*ApoStrategy\) Name\(\) string](<#ApoStrategy.Name>)
   - [func \(a \*ApoStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#ApoStrategy.Report>)
+- [type Backtest](<#Backtest>)
+  - [func NewBacktest\(repository asset.Repository, outputDir string\) \*Backtest](<#NewBacktest>)
+  - [func \(b \*Backtest\) Run\(\) error](<#Backtest.Run>)
 - [type Strategy](<#Strategy>)
 
 
@@ -113,7 +116,7 @@ func (a Action) Annotation() string
 Annotation returns a single character string representing the recommended action. It returns "S" for Sell, "B" for Buy, and an empty string for Hold.
 
 <a name="ApoStrategy"></a>
-## type [ApoStrategy](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L19-L23>)
+## type [ApoStrategy](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L17-L21>)
 
 ApoStrategy represents the configuration parameters for calculating the APO strategy. An APO value crossing above zero suggests a bullish trend, while crossing below zero indicates a bearish trend. Positive APO values signify an upward trend, while negative values signify a downward trend.
 
@@ -126,7 +129,7 @@ type ApoStrategy struct {
 ```
 
 <a name="NewApoStrategy"></a>
-### func [NewApoStrategy](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L26>)
+### func [NewApoStrategy](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L24>)
 
 ```go
 func NewApoStrategy() *ApoStrategy
@@ -135,16 +138,16 @@ func NewApoStrategy() *ApoStrategy
 NewApoStrategy function initializes a new APO strategy instance with the default parameters.
 
 <a name="ApoStrategy.Compute"></a>
-### func \(\*ApoStrategy\) [Compute](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L39>)
+### func \(\*ApoStrategy\) [Compute](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L37>)
 
 ```go
-func (a *ApoStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan Action
+func (a *ApoStrategy) Compute(snapshots <-chan *asset.Snapshot) (<-chan Action, <-chan float64)
 ```
 
-Compute processes the provided asset snapshots and generates a stream of actionable recommendations,
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations and outcomes.
 
 <a name="ApoStrategy.Name"></a>
-### func \(\*ApoStrategy\) [Name](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L33>)
+### func \(\*ApoStrategy\) [Name](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L31>)
 
 ```go
 func (a *ApoStrategy) Name() string
@@ -153,14 +156,52 @@ func (a *ApoStrategy) Name() string
 Name returns the name of the strategy.
 
 <a name="ApoStrategy.Report"></a>
-### func \(\*ApoStrategy\) [Report](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L69>)
+### func \(\*ApoStrategy\) [Report](<https://github.com/cinar/indicator/blob/v2/strategy/apo_strategy.go#L73>)
 
 ```go
 func (a *ApoStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
 ```
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="Backtest"></a>
+## type [Backtest](<https://github.com/cinar/indicator/blob/v2/strategy/backtest.go#L32-L47>)
+
+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
+
+    // Workers is the number of concurrent workers.
+    Workers int
+    // contains filtered or unexported fields
+}
+```
+
+<a name="NewBacktest"></a>
+### func [NewBacktest](<https://github.com/cinar/indicator/blob/v2/strategy/backtest.go#L65>)
+
+```go
+func NewBacktest(repository asset.Repository, outputDir string) *Backtest
+```
+
+NewBacktest function initializes a new backtest instance.
+
+<a name="Backtest.Run"></a>
+### func \(\*Backtest\) [Run](<https://github.com/cinar/indicator/blob/v2/strategy/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="Strategy"></a>
 ## type [Strategy](<https://github.com/cinar/indicator/blob/v2/strategy/strategy.go#L27-L38>)
 
@@ -172,8 +213,8 @@ type Strategy interface {
     Name() string
 
     // Compute processes the provided asset snapshots and generates a
-    // stream of actionable recommendations,
-    Compute(snapshots <-chan *asset.Snapshot) <-chan Action
+    // stream of actionable recommendations and outcomes.
+    Compute(snapshots <-chan *asset.Snapshot) (<-chan Action, <-chan float64)
 
     // Report processes the provided asset snapshots and generates a
     // report annotated with the recommended actions.