GoCryptoTrader Backtester: Config package

This config package is part of the GoCryptoTrader codebase.

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Config package overview

This readme contains details for both the GoCryptoTrader Backtester config structure along with the strategy config structure

GoCryptoTrader Backtester Config overview

Below are the details for the GoCryptoTrader Backtester application config. Strategy config overview is below this section

Key	Description	Example
print-logo	Whether to print the GoCryptoTrader Backtester logo on startup. Recommended because it looks good	true
verbose	Whether to receive verbose output. If running a GRPC server, it outputs to the server, not to the client	false
log-subheaders	Whether log output contains a descriptor of what area the log is coming from, for example STRATEGY. Helpful for debugging	true
stop-all-tasks-on-close	When closing the application, the Backtester will attempt to stop all active tasks	true
plugin-path	When using custom strategy plugins, you can enter the path here to automatically load the plugin	true
report	Contains details on the output report after a successful backtesting run	See Report table below
grpc	Contains GRPC server details	See GRPC table below
use-cmd-colours	If enabled, will output pretty colours of your choosing when running the application	true
cmd-colours	Contains details on what the colour definitions are	See Colours table below

Backtester Config Report overview

Key	Description	Example
output-report	Whether or not to output a report after a successful backtesting run	true
template-path	The path for the template to use when generating a report	/backtester/report/tpl.gohtml
output-path	The path where report output is saved	/backtester/results
dark-mode	Whether or not the report defaults to using dark mode	true

Backtester Config GRPC overview

Key	Description	Example
username	Your username to negotiate a successful connection with the server	rpcuser
password	Your password to negotiate a successful connection with the server	helloImTheDefaultPassword
enabled	Whether the server is enabled. Setting this to false and SingleRun to false would be inadvisable	true
listenAddress	The listen address for the GRPC server	localhost:9054
grpcProxyEnabled	If enabled, creates a proxy server to interact with the GRPC server via HTTP commands	true
grpcProxyListenAddress	The address for the proxy to listen on	localhost:9053
tls-dir	The directory for holding your TLS certifications to make connections to the server. Will be generated by default on startup if not present	/backtester/config/location/

Backtester Config Colours overview

Key	Description	Example
Default	The colour definition for default text output	
Green	The colour definition for when green is warranted, such as the logo	
White	The colour definition for when white is warranted such as the logo	
Grey	The colour definition for grey	
DarkGrey	The colour definition for dark grey	
H1	The colour definition for main headers	
H2	The colour definition for sub headers	
H3	The colour definition for sub sub headers	
H4	The colour definition for sub sub sub headers	
Success	The colour definition for successful operations	
Info	The colour definition for when informing you of something	
Debug	The colour definition for debug output such as verbose	
Warn	The colour definition for when a warning occurs	
Error	The colour definition for when an error occurs	

Strategy Config overview

What does the config package do?

The config package contains a set of structs which allow for the customisation of the GoCryptoTrader Backtester when running. The GoCryptoTrader Backtester runs from reading config files (.strat files by default under /examples).

What does Simultaneous Processing mean?

GoCryptoTrader Backtester config files may contain multiple ExchangeSettings which defined exchange, asset and currency pairs to iterate through a period of time.

If there are multiple entries to ExchangeSettings and SimultaneousProcessing is disabled, then each individual exchange, asset and currency pair candle event is evaluated individually and does not know about other exchange, asset and currency pair data events. It is a way to test a singular strategy against multiple assets simultaneously. But it isn't defined as Simultaneous Processing Simultaneous Signal Processing is a setting which allows multiple ExchangeSettings data events for a candle event to be considered simultaneously. This means that you can check if the price of BTC-USDT is 5% greater on Binance than it is on Kraken and choose to make signal a BUY event for Kraken and not Binance.

It allows for complex strategical decisions to be made when you consider the scope of the entire market at a given time, rather than in a vacuum when SimultaneousSignalProcessing is disabled.

How do I customise the GoCryptoTrader Backtester?

See below for a set of tables and fields, expected values and what they can do

Config

Key	Description
nickname	A nickname for the specific config. When running multiple variants of the same strategy, use the nickname to help differentiate between runs
goal	A description of what you would hope the outcome to be. When verifying output, you can review and confirm whether the strategy met that goal
strategy-settings	Select which strategy to run, what custom settings to load and whether the strategy can assess multiple currencies at once to make more in-depth decisions
funding-settings	Defines whether individual funding settings can be used. Defines the funding exchange, asset, currencies at an individual level
currency-settings	Currency settings is an array of settings for each individual currency you wish to run the strategy against
data-settings	Holds data retrieval settings. Determines how the GoCryptoTraderBacktester will fetch data and in what format
portfolio-settings	Contains a list of global rules for the portfolio manager. CurrencySettings contain their own rules on things like how big a position is allowable, the portfolio manager rules are the same, but override any individual currency's settings
statistic-settings	Contains settings that impact statistics calculation. Such as the risk-free rate for the sharpe ratio

Strategy Settings

Key	Description	Example
name	The strategy to use	rsi
use-simultaneous-signal-processing	This denotes whether multiple currencies are processed simultaneously with the strategy function OnSimultaneousSignals. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC	true
disable-usd-tracking	If false, will track all currencies used in your strategy against USD equivalent candles. For example, if you are running a strategy for BTC/XRP, then the GoCryptoTrader Backtester will also retrieve candles data for BTC/USD and XRP/USD to then track strategy performance against a single currency. This also tracks against USDT and other USD tracked stablecoins, so one exchange supporting USDT and another BUSD will still allow unified strategy performance analysis. If disabled, will not track against USD, this can be especially helpful when running strategies under live, database and CSV based data	false
custom-settings	This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12	"custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 }

Funding Config Settings

Key	Description	Example
use-exchange-level-funding	Allows shared funding at an exchange asset level. You can set funding for USDT and all pairs that feature USDT will have access to those funds when making orders. See this for more information	false
exchange-level-funding	An array of exchange level funding settings. See below, or this for more information	[]

Funding Item Config Settings

Key	Description	Example
exchange-name	The exchange to set funds. See here for a list of supported exchanges	Binance
asset	The asset type to set funds. Typically, this will be spot, however, see this package for the various asset types GoCryptoTrader supports	spot
currency	The currency to set funds	BTC
initial-funds	The initial funding for the currency	1337
transfer-fee	If your strategy utilises transferring of funds via the Funding Manager, this is deducted upon doing so	0.005

Currency Settings

Key	Description	Example
exchange-name	The exchange to load. See here for a list of supported exchanges	Binance
asset	The asset type. Typically, this will be spot, however, see this package for the various asset types GoCryptoTrader supports	spot
base	The base of a currency	BTC
quote	The quote of a currency	USDT
spot-details	An optional field which contains initial funding data for SPOT currency pairs	See SpotSettings table below
future-detailss	An optional field which contains leverage data for FUTURES currency pairs	See FuturesSettings table below
buy-side	This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount	--
sell-side	This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount	--
min-slippage-percent	Is the lower bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 90, then the most a price can be affected is 10%	90
max-slippage-percent	Is the upper bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 99, then the least a price can be affected is 1%. Set both upper and lower to 100 to have no randomness applied to purchase events	100
maker-fee-override	The fee to use when sizing and purchasing currency. If nil, will lookup an exchange's fee details	0.001
taker-fee-override	Unused fee for when an order is placed in the orderbook, rather than taken from the orderbook. If nil, will lookup an exchange's fee details	0.002
maximum-holdings-ratio	When multiple currency settings are used, you may set a maximum holdings ratio to prevent having too large a stake in a single currency	0.5
skip-candle-volume-fitting	When placing orders, by default the BackTester will shrink an order's size to fit the candle data's volume so as to not rewrite history. Set this to true to ignore this and to set order size at what the portfolio manager prescribes	false
use-exchange-order-limits	Will lookup exchange rules around purchase sizing eg minimum order increments of 0.0005. Note: Will retrieve up-to-date rules which may not have existed for the data you are using. Best to use this when considering to use this strategy live	false
use-exchange-pnl-calculation	Instead of simulating the exchange's own way of calculating PNL, use a default method which calculates the value of an asset	false

SpotSettings

Key	Description	Example
initial-base-funds	The funds that the GoCryptoTraderBacktester has for the base currency. This is only required if the strategy setting UseExchangeLevelFunding is false	2
initial-quote-funds	The funds that the GoCryptoTraderBacktester has for the quote currency. This is only required if the strategy setting UseExchangeLevelFunding is false	10000

FuturesSettings

Key	Description	Example
leverage	This struct defines the leverage rules that this specific currency setting must abide by	1

DataSettings

Key	Description	Example
interval	The candle interval in time.Duration format eg set as15000000000 for a value of time.Second * 15	15000000000
data-type	Choose whether candle or trade data is used. If trades are used, they will be converted to candles	trade
verbose-exchange-requests	When retrieving candle data from an exchange, print verbose request/response details	false
api-data	Holds API data settings. See table APIData
database-data	Holds database data settings. See table DatabaseData
live-data	Holds API data settings. See table LiveData
csv-data	Holds CSV data settings. See table CSVData

APIData

Key	Description	Example
start-date	The start date to retrieve data	2021-01-23T11:00:00+11:00
end-date	The end date to retrieve data	2021-01-24T11:00:00+11:00
inclusive-end-date	When enabled, the end date's candle is included in the results. ie 2021-01-24T11:00:00+11:00 with a one hour candle, the final candle will be 2021-01-24T11:00:00+11:00 to 2021-01-24T12:00:00+11:00	false

CSVData

Key	Description	Example
full-path	The file to load	/data/exchangelist.csv

DatabaseData

Key	Description	Example
start-date	The start date to retrieve data	2021-01-23T11:00:00+11:00
end-date	The end date to retrieve data	2021-01-24T11:00:00+11:00
config	This is the same struct used as your GoCryptoTrader database config. See below tables for breakdown	see below
path	If using SQLite, the path to the directory, not the file. Leaving blank will use GoCryptoTrader's default database path	``
inclusive-end-date	When enabled, the end date's candle is included in the results. ie 2021-01-24T11:00:00+11:00 with a one hour candle, the final candle will be 2021-01-24T11:00:00+11:00 to 2021-01-24T12:00:00+11:00	false

database

Config	Description	Example
enabled	Enabled or disables the database connection subsystem	true
verbose	Displays more information to the logger which can be helpful for debugging	false
driver	The SQL driver to use. Can be postgres or sqlite	sqlite
connectionDetails	See below

connectionDetails

Config	Description	Example
host	The host address of the database	localhost
port	The port used to connect to the database	5432
username	An optional username to connect to the database	username
password	An optional password to connect to the database	password
database	The name of the database	database.db
sslmode	The connection type of the database for Postgres databases only	disable

LiveData

Key	Description	Example
new-event-timeout	The time allowed to wait for new data before exiting the strategy. Ensures new data is always coming in	60000000000
data-check-timer	The interval in which to check exchange API's for new data	1000000000
real-orders	Whether to place real orders with real money. Its likely you should never want to set this to true	false
close-positions-on-stop	As live trading doesn't stop until you tell it to, you can trigger a close of your position(s) when you stop the strategy	true
data-request-retry-tolerance	Rather than immediately closing a strategy on failure to retrieve candle data, having a retry tolerance allows multiple attempts to return data	3
data-request-retry-wait-time	How long to wait in between request retries	500000000
exchange-credentials	A list of exchange credentials. See table named ExchangeCredentials

ExchangeCredentials Settings

Key	Description	Example
exchange	The exchange to apply credentials to	binance
credentials	The API credentials to use. See table named Credentials

Credentials Settings

Key	Description	Example
Key	Will set the GoCryptoTrader exchange to use the following API Key	1234
Secret	Will set the GoCryptoTrader exchange to use the following API Secret	5678
ClientID	Will set the GoCryptoTrader exchange to use the following API Client ID	9012
PEMKey	Private key for certain API requests. If you don't know it, you probably don't need it	hello-moto
SubAccount	Will set the GoCryptoTrader exchange to use the following subaccount on supported exchanges	subzero
OneTimePassword	Will set the GoCryptoTrader exchange to use the following 2FA seed	subzero

PortfolioSettings

Key	Description
leverage	This struct defines the leverage rules that this specific currency setting must abide by
buy-side	This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount
sell-side	This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount

Leverage Settings

Key	Description	Example
can-use-leverage	Allows the use of leverage	false
maximum-orders-with-leverage-ratio	currently unused	0.5
maximum-leverage-rate	currently unused	100
maximum-collateral-leverage-rate	currently unused	100

Buy/Sell Settings

Key	Description	Example
minimum-size	If the order's quantity is below this, the order cannot be placed	0.1
maximum-size	If the order's quantity is over this amount, it cannot be placed and will be reduced to the maximum amount	10
maximum-total	If the order's price * amount exceeds this number, the order cannot be placed and will be reduced to this figure	1337

StatisticsSettings

Key	Description	Example
risk-free-rate	The risk free rate used in the calculation of sharpe and sortino ratios	0.03

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