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add: refactor backtesting to a different fork #281

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add: refactor backtesting to a different fork #281

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23 changes: 23 additions & 0 deletions src/command/backtest.js
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Original file line number Diff line number Diff line change
@@ -0,0 +1,23 @@
const services = require('../modules/services');

process.on('message', async msg => {
const p = msg.pair.split('.');

const results = await services
.getBacktest()
.getBacktestResult(
msg.tickIntervalInMinutes,
msg.hours,
msg.strategy,
msg.candlePeriod,
p[0],
p[1],
msg.options,
msg.initialCapital,
msg.projectDir
);

process.send({
results: results
});
});
43 changes: 28 additions & 15 deletions src/modules/backtest.js
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Original file line number Diff line number Diff line change
Expand Up @@ -44,7 +44,20 @@ module.exports = class Backtest {
});
}

getBacktestResult(tickIntervalInMinutes, hours, strategy, candlePeriod, exchange, pair, options, initial_capital) {
getBacktestResult(
tickIntervalInMinutes,
hours,
strategy,
candlePeriod,
exchange,
pair,
options,
initialCapital,
projectDir
) {
if (projectDir) {
this.projectDir = projectDir;
}
return new Promise(async resolve => {
const start = moment()
.startOf('hour')
Expand Down Expand Up @@ -186,7 +199,7 @@ module.exports = class Backtest {
};
});

const backtestSummary = await this.getBacktestSummary(signals, initial_capital);
const backtestSummary = await this.getBacktestSummary(signals, initialCapital);
resolve({
summary: backtestSummary,
rows: rows.slice().reverse(),
Expand All @@ -205,10 +218,10 @@ module.exports = class Backtest {
});
}

getBacktestSummary(signals, initial_capital) {
return new Promise(async resolve => {
const initialCapital = Number(initial_capital); // 1000 $ Initial Capital
let workingCapital = initialCapital; // Capital that changes after every trade
getBacktestSummary(signals, initialCapital) {
return new Promise(resolve => {
const initialCapitalNumber = Number(initialCapital); // 1000 $ Initial Capital
let workingCapital = initialCapitalNumber; // Capital that changes after every trade

let lastPosition; // Holds Info about last action

Expand All @@ -227,17 +240,17 @@ module.exports = class Backtest {
// Iterate over all the signals
for (let s = 0; s < signals.length; s++) {
const signalObject = signals[s];
const signalType = signalObject.result._signal; // Can be long,short,close
const signalType = signalObject.result.getSignal(); // Can be long,short,close

// When a trade is closed
if (signalType == 'close') {
if (signalType === 'close') {
// Increment the total trades counter
trades.total += 1;

// Entry Position Details
const entrySignalType = lastPosition.result._signal; // Long or Short
const entrySignalType = lastPosition.result.getSignal(); // Long or Short
const entryPrice = lastPosition.price; // Price during the trade entry
const tradedQuantity = Number((workingCapital / entryPrice)); // Quantity
const tradedQuantity = Number(workingCapital / entryPrice); // Quantity

// Exit Details
const exitPrice = signalObject.price; // Price during trade exit
Expand All @@ -247,15 +260,15 @@ module.exports = class Backtest {
let pnlValue = 0; // Profit or Loss Value

// When the position is Long
if (entrySignalType == 'long') {
if (entrySignalType === 'long') {
if (exitPrice > entryPrice) {
// Long Trade is Profitable
trades.profitableCount += 1;
}

// Set the PNL
pnlValue = exitValue - workingCapital;
} else if (entrySignalType == 'short') {
} else if (entrySignalType === 'short') {
if (exitPrice < entryPrice) {
// Short Trade is Profitable
trades.profitableCount += 1;
Expand All @@ -276,7 +289,7 @@ module.exports = class Backtest {

// Update Working Cap
workingCapital += pnlValue;
} else if (signalType == 'long' || signalType == 'short') {
} else if (signalType === 'long' || signalType === 'short') {
// Enter into a position
lastPosition = signalObject;
}
Expand Down Expand Up @@ -309,15 +322,15 @@ module.exports = class Backtest {
// -- End of Sharpe Ratio Calculation

// Net Profit
const netProfit = Number((((workingCapital - initialCapital) / initialCapital) * 100).toFixed(2));
const netProfit = Number((((workingCapital - initialCapitalNumber) / initialCapitalNumber) * 100).toFixed(2));

trades.profitabilityPercent = Number(((trades.profitableCount * 100) / trades.total).toFixed(2));

const summary = {
sharpeRatio: sharpeRatio,
averagePNLPercent: averagePNLPercent,
netProfit: netProfit,
initialCapital: initialCapital,
initialCapital: initialCapitalNumber,
finalCapital: Number(workingCapital.toFixed(2)),
trades: trades
};
Expand Down
71 changes: 52 additions & 19 deletions src/modules/http.js
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Original file line number Diff line number Diff line change
Expand Up @@ -5,8 +5,12 @@ const auth = require('basic-auth');
const cookieParser = require('cookie-parser');
const crypto = require('crypto');
const moment = require('moment');
const { fork } = require('child_process');
const OrderUtil = require('../utils/order_util');

const backtestPendingPairs = {};
const backtestResults = {};

module.exports = class Http {
constructor(
systemUtil,
Expand Down Expand Up @@ -92,7 +96,13 @@ module.exports = class Http {
strict_variables: false
});

app.use(express.urlencoded({ limit: '12mb', extended: true, parameterLimit: 50000 }));
app.use(
express.urlencoded({
limit: '12mb',
extended: true,
parameterLimit: 50000
})
);
app.use(cookieParser());
app.use(compression());
app.use(express.static(`${this.projectDir}/web/static`, { maxAge: 3600000 * 24 }));
Expand Down Expand Up @@ -136,29 +146,52 @@ module.exports = class Http {
pairs = [pairs];
}

const asyncs = pairs.map(pair => {
return async () => {
const p = pair.split('.');
const key = moment().unix();

backtestPendingPairs[key] = [];
backtestResults[key] = [];

pairs.forEach(pair => {
backtestPendingPairs[key].push(pair);

const forked = fork('src/command/backtest.js');
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just call the code directly instead of forking.
"LOCKING_MODE = EXCLUSIVE" is needed for performance reason.

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If you call the code directly it doesn't benefit from parallel execution for various pairs at the same time, right? Also, the UI was struggling when a backtest was configured for various thousand hours

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Then it should have some sort of lock or limiter, if this is not handled carefully it may induce too much load onto the server and cause a heap overflow.

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Good point, I'm completely unaware of that, I'll dig a bit into it to see if I can figure out how to implement it neatly, thanks!

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@Wladastic Wladastic Jan 17, 2022 •
edited
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You can setup a queue that consists out of an array holding each job.
That would be easiest, to just pop each job after the prior got done.
Main benefit of the array would be that the jobs just die away once you kill the server


return {
forked.send({
pair,
tickIntervalInMinutes: parseInt(req.body.ticker_interval, 10),
hours: req.body.hours,
strategy: req.body.strategy,
candlePeriod: req.body.candle_period,
options: req.body.options ? JSON.parse(req.body.options) : {},
initialCapital: req.body.initial_capital,
projectDir: this.projectDir
});

forked.on('message', msg => {
backtestPendingPairs[key].splice(backtestPendingPairs[key].indexOf(pair), 1);
backtestResults[key].push({
pair: pair,
result: await this.backtest.getBacktestResult(
parseInt(req.body.ticker_interval, 10),
req.body.hours,
req.body.strategy,
req.body.candle_period,
p[0],
p[1],
req.body.options ? JSON.parse(req.body.options) : {},
req.body.initial_capital
)
};
};
result: msg.results
});
});
});

const backtests = await Promise.all(asyncs.map(fn => fn()));
res.render('../templates/backtest-pending-results.html.twig', {
key: key
});
});

app.get('/backtest/:backtestKey', async (req, res) => {
res.send({
ready:
backtestPendingPairs[req.params.backtestKey] === undefined
? false
: backtestPendingPairs[req.params.backtestKey].length === 0
});
});

// single details view
app.get('/backtest/result/:backtestKey', (req, res) => {
const backtests = backtestResults[req.params.backtestKey];
if (backtests.length === 1) {
res.render('../templates/backtest_submit.html.twig', backtests[0].result);
return;
Expand Down
2 changes: 1 addition & 1 deletion src/modules/services.js
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Expand Up @@ -155,7 +155,7 @@ module.exports = {
myDb.pragma('journal_mode = WAL');

myDb.pragma('SYNCHRONOUS = 1;');
myDb.pragma('LOCKING_MODE = EXCLUSIVE;');
// myDb.pragma('LOCKING_MODE = EXCLUSIVE;');

return (db = myDb);
},
Expand Down
65 changes: 65 additions & 0 deletions templates/backtest-pending-results.html.twig
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@@ -0,0 +1,65 @@
{% extends './layout.html.twig' %}

{% block title %}Backtesting | Crypto Bot{% endblock %}

{% block content %}
<!-- Content Wrapper. Contains page content -->
<div class="content-wrapper">
<!-- Content Header (Page header) -->
<section class="content-header">
<div class="container">
<div class="row mb-2">
<div class="col-sm-6">
<h1>Backtesting</h1>
</div>
<div class="col-sm-6">
<ol class="breadcrumb float-sm-right">
<li class="breadcrumb-item"><a href="{{ '/' }}">Dashboard</a></li>
<li class="breadcrumb-item active">Backtesting</li>
</ol>
</div>
</div>
</div><!-- /.container-fluid -->
</section>
<!-- /.Content Header (Page header) -->

<!-- Main content -->
<div class="content">
<div class="container">
<h3>Waiting results for backtest id {{ key }}</h3>
</div><!-- /.container-fluid -->
</div>
<!-- /.content -->
</div>
<!-- /.content-wrapper -->

{% endblock %}

{% block javascript %}
<script src="/js/backtest-form.js?v={{ asset_version() }}"></script>
<script>
var ready = false;
const intervalId = setInterval(call, 2000);
function call() {
$.ajax({
type: "GET",
url: '/backtest/{{ key }}',
dataType: "json",
success: function(data, textStatus) {
ready = data.ready;
if (data.ready === true) {
clearInterval(intervalId);
window.location.href = '/backtest/result/{{ key }}'
}
}
})
};

</script>

<script src="https://cdnjs.cloudflare.com/ajax/libs/chosen/1.8.7/chosen.jquery.min.js" integrity="sha512-rMGGF4wg1R73ehtnxXBt5mbUfN9JUJwbk21KMlnLZDJh7BkPmeovBuddZCENJddHYYMkCh9hPFnPmS9sspki8g==" crossorigin="anonymous"></script>
{% endblock %}

{% block stylesheet %}
<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/chosen/1.8.7/chosen.min.css" integrity="sha512-yVvxUQV0QESBt1SyZbNJMAwyKvFTLMyXSyBHDO4BG5t7k/Lw34tyqlSDlKIrIENIzCl+RVUNjmCPG+V/GMesRw==" crossorigin="anonymous" />
{% endblock %}
14 changes: 9 additions & 5 deletions templates/backtest_submit.html.twig
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Expand Up @@ -45,7 +45,7 @@
<!-- /.card-body -->
</div>
<!-- /.card -->

<div class="card">
<div class="card-header">
<h3 class="card-title">Chart</h3>
Expand Down Expand Up @@ -83,10 +83,14 @@
</div>
<!-- /.card-header -->
<div class="card-body table-responsive p-0">
{% include 'components/backtest_table.html.twig' with {
'rows': rows,
'extra_fields': extra_fields,
} only %}
{% if rows|length > 1000 %}
{% include 'components/backtest_table.html.twig' with {
'rows': rows,
'extra_fields': extra_fields,
} only %}
{% else %}
<span style="margin: 10px">Too many rows detected, rendering process skipped.</span>
{% endif %}
</div>
<!-- /.card-body -->
</div>
Expand Down
10 changes: 5 additions & 5 deletions templates/components/backtest_table.html.twig
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Expand Up @@ -21,7 +21,7 @@
<td class="no-wrap">{{ row.price|default }}</td>
<td class="no-wrap">
{% if row.profit is defined %}
<span class="{{ row.profit > 0 ? 'text-success' : 'text-danger' }} {{ row.result.signal|default == 'close' ? ' font-weight-bold' : '' }}">{{ row.profit|round(2) }} %</span>
<span class="{{ row.profit > 0 ? 'text-success' : 'text-danger' }} {{ row.result._signal|default == 'close' ? ' font-weight-bold' : '' }}">{{ row.profit|round(2) }} %</span>
{% endif %}

{% if row.lastPriceClosed is defined %}
Expand All @@ -30,11 +30,11 @@
</td>
<td>
{% if row.result is defined %}
{% if row.result.signal == 'long' %}
{% if row.result._signal == 'long' %}
<i class="fas fa-chevron-circle-up text-success"></i>
{% elseif row.result.signal == 'short' %}
{% elseif row.result._signal == 'short' %}
<i class="fas fa-chevron-circle-down text-danger"></i>
{% elseif row.result.signal == 'close' %}
{% elseif row.result._signal == 'close' %}
<i class="fa fa-times"></i>
{% endif %}
{% endif %}
Expand Down Expand Up @@ -76,4 +76,4 @@
</tr>
{% endfor %}
</tbody>
</table>
</table>