test: developing examples for optimize pkg

broker/backtest/example_test.go

@@ -25,7 +25,7 @@ func Example() {
 	asset := market.NewAsset("BTCUSD")
 
 	// Read a .csv file of historical prices (aka candlestick data)
-	file, _ := os.Open("prices.csv")
+	file, _ := os.Open("testdata/BTCUSDT-1h-2021-Q1.csv")
 	defer file.Close()
 	reader := market.NewCSVKlineReader(csv.NewReader(file))
 
@@ -52,5 +52,7 @@ func Example() {
 	trades, _, _ := dealer.ListTrades(context.Background(), nil)
 	equity := dealer.EquityHistory()
 	report := perf.NewPerformanceReport(trades, equity)
+
+	// Output: Your backtest return is 2974.54%
 	fmt.Printf("Your backtest return is %.2f%%", report.Portfolio.EquityReturn*100)
 }

internal/studyrun/readprices.go

@@ -18,7 +18,7 @@ func ReadPricesFromConfig(config map[string]any) ([][]market.Kline, error) {
 	var prices [][]market.Kline
 	for _, v := range paths {
 		path := v.(string)
-		series, err := market.CSVKlineReadAllDir(path)
+		series, err := market.ReadKlinesFromCSV(path)
 		if err != nil {
 			return nil, err
 		}

market/csvklinereadalldir.go → market/readklines.go

@@ -7,8 +7,9 @@ import (
 	"path/filepath"
 )
 
-// CSVKlineReadAllDir reads all the .csv files in a given directory into a slice of Klines.
-func CSVKlineReadAllDir(path string) ([]Kline, error) {
+// ReadKlinesFromCSV reads all the .csv files in a given directory or a single file into a slice of Klines.
+// Wraps a CSVKlineReader for convenience. For finer grained memory management use the base kline reader.
+func ReadKlinesFromCSV(path string) ([]Kline, error) {
 	var prices []Kline
 
 	err := filepath.WalkDir(path, func(path string, d fs.DirEntry, err error) error {

market/readklines_test.go

@@ -0,0 +1,14 @@
+package market
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func TestReadKlinesFromCSV(t *testing.T) {
+
+	prices, err := ReadKlinesFromCSV("testdata/BTCUSDT-1h-2021-Q1.csv")
+	assert.NoError(t, err)
+	assert.Len(t, prices, 2158)
+}

optimize/bruteoptimizer.go

@@ -8,6 +8,7 @@ import (
 
 	"github.com/gammazero/workerpool"
 	"github.com/thecolngroup/alphakit/broker"
+	"github.com/thecolngroup/alphakit/broker/backtest"
 	"github.com/thecolngroup/alphakit/market"
 	"github.com/thecolngroup/alphakit/perf"
 	"github.com/thecolngroup/alphakit/trader"
@@ -50,12 +51,13 @@ type bruteOptimizerJob struct {
 	MakeDealer     broker.MakeSimulatedDealer
 }
 
-// NewBruteOptimizer creates a new BruteOptimizer instance.
+// NewBruteOptimizer creates a new BruteOptimizer instance with sensible defaults.
 // Call Prepare before Start to set up the study.
 func NewBruteOptimizer() BruteOptimizer {
 	return BruteOptimizer{
 		SampleSplitPct: 0,
 		WarmupBarCount: 0,
+		MakeDealer:     func() (broker.SimulatedDealer, error) { return backtest.NewDealer(), nil },
 		Ranker:         SharpeRanker,
 		MaxWorkers:     runtime.NumCPU(),
 		study:          NewStudy(),

optimize/example_test.go

@@ -0,0 +1,53 @@
+package optimize
+
+import (
+	"context"
+	"fmt"
+
+	"github.com/thecolngroup/alphakit/market"
+	"github.com/thecolngroup/alphakit/trader/trend"
+)
+
+func Example() {
+	// Verbose error handling ommitted for brevity
+
+	// Identify the bot (algo) to optimize by supplying a factory function
+	// Here we're using the classic MA cross variant of trend bot
+	bot := trend.MakeCrossBotFromConfig
+
+	// Define the parameter space to optimize
+	// Param names must match those expected by the MakeBot function passed to optimizer
+	paramSpace := ParamMap{
+		"mafastlength": []float64{1, 10, 20, 30},
+		"maslowlength": []float64{30, 40, 50, 60},
+		"mmilength":    []float64{200, 300},
+	}
+
+	// Read price samples to use for optimization
+	btcPriceSample, _ := market.ReadKlinesFromCSV("testdata/")
+	ethPriceSample, _ := market.ReadKlinesFromCSV("testdata/")
+	priceSamples := [][]market.Kline{btcPriceSample, ethPriceSample}
+
+	// Create a new brute style optimizer
+	optimizer := NewBruteOptimizer()
+	optimizer.SampleSplitPct = 0.5
+	optimizer.WarmupBarCount = 300
+	optimizer.MakeBot = bot
+
+	// Prepare the optimizer and get an estimate on the number of trials (backtests) required
+	trialCount, _ := optimizer.Prepare(paramSpace, priceSamples)
+	fmt.Printf("%d trials to run during optimization\n", trialCount)
+
+	// Start the optimization process and monitor with a receive channel
+	trials, _ := optimizer.Start(context.Background())
+	for range trials {
+	}
+
+	// Inspect the study to get the optimized param set and results
+	study := optimizer.Study()
+	optimaPSet := study.Validation[0]
+	optimaResult := study.ValidationResults[optimaPSet.ID]
+
+	// Output: Optima sharpe ratio is 0.0
+	fmt.Printf("Optima sharpe ratio is %.2f", optimaResult.Sharpe)
+}

trader/trend/makecrossbot.go

@@ -19,10 +19,10 @@ func MakeCrossBotFromConfig(config map[string]any) (trader.Bot, error) {
 
 	bot.Asset = market.NewAsset(util.ToString(config["asset"]))
 
-	bot.EnterLong = util.ToFloat(config["enterlong"])
-	bot.EnterShort = util.ToFloat(config["entershort"])
-	bot.ExitLong = util.ToFloat(config["exitlong"])
-	bot.ExitShort = util.ToFloat(config["exitshort"])
+	bot.EnterLong = util.NNZ(util.ToFloat(config["enterlong"]), 1.0)
+	bot.EnterShort = util.NNZ(util.ToFloat(config["entershort"]), -1.0)
+	bot.ExitLong = util.NNZ(util.ToFloat(config["exitlong"]), -1.0)
+	bot.ExitShort = util.NNZ(util.ToFloat(config["exitshort"]), 1.0)
 
 	maFastLength := util.ToInt(config["mafastlength"])
 	maSlowLength := util.ToInt(config["maslowlength"])