added backtesting 0.1

.gitignore

@@ -35,4 +35,5 @@ dwsync.xml
 
 # Folders to ignore
 
-node_modules
+node_modules
+candles.csv

config.js

@@ -25,6 +25,7 @@ config.EMA = {
   buyTreshold: 0.25
 };
 
+// Monitor the live market
 config.normal = {
   enabled: true,
   exchange: 'MtGox', // 'MtGox', 'BTCe' or 'Bitstamp'
@@ -76,13 +77,31 @@ config.profitCalculator = {
     currency: 100,
   },
   // only want report after a sell? set to `false`.
-  verbose: true
+  verbose: false,
+  // how much fee in % does each trade cost?
+  fee: 0.6
 }
 
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
 //                           ADVANCED ZONE
 // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
+// 
+// Backtesting strategies against historical data
 //
+// Test a strategy on historical data
+// 
+// Read here: https://github.com/askmike/gekko/blob/master/docs/Backtesting.md
+// 
+//          NOTE: THIS FEATURE HAS NOT BEEN PROPERELY TESTED YET, IT IS NOT 
+//                ADVISED TO MAKE REAL WORLD DECISIONS BASED ON THE RESULTS
+//                UNTIL THE CODE HAS BEEN PROVED SOLID.
+config.backtest = {
+  enabled: false,
+  candleFile: 'candles.csv',
+  from: 0,
+  to: 0
+}
+
 // For when you want to monitor a market but want to act (trade) on a different one
 // (or different ones).
 //

docs/Backtesting.md

@@ -0,0 +1,29 @@
+# Backtesting with Gekko
+
+**Note that this functionality should only be used for testing purposes at this moment as it's in early development stage**
+
+## Preparing Gekko
+
+You can configure Gekko to test the current EMA strategy on historical data. To do this you need candle data in CSV format. On [this webpage](https://bitcointalk.org/index.php?topic=239815.0) you can downloaded precalculated candles from Mt. Gox or you can calculate your own using the script provided in the link. Alternatively you can supply your own candles, the only requirement is that the csv file has candles ordered like this: `timestamp,open,high,low,close`.
+
+## Configuring Gekko
+
+Once you have the csv file with candles you can configure Gekko for backtesting: in [config.js](https://github.com/askmike/gekko/blob/master/config.js) in the advanced zone you need to the backtesting part like so:
+
+    config.backtest = {
+      enabled: true, // set to true to run backtests instead of live monitoring
+      candleFile: 'candles.csv', // the candles file
+      from: 0, // optional start timestamp 
+      to: 0 // optional end timestamp
+    }
+
+Once configured Gekko will run the backtest instead of watching the live market. It wil use the following configuration items:
+
+* Everything under `backtest`.
+* Everything under `profitCalculator`.
+* Everything under `EMA` with the exception of interval, as this will be determined by the candles file.
+
+## Notes
+
+* Use the backtesting feature only for testing until the code is stable.
+* When there are missing candles Gekko will act as if the whole duration of the missing candle never happened.

gekko.js

@@ -25,15 +25,41 @@ var async = require('async');
 var Manager = require('./portfolioManager');
 
 var config = util.getConfig();
+var Consultant = require('./methods/' + config.tradingMethod.toLowerCase().split(' ').join('-'));
 
 log.info('I\'m gonna make you rich, Bud Fox.');
 log.info('Let me show you some ' + config.tradingMethod + '.\n\n');
 
+if(config.backtest.enabled) {
+  log.info('Preparing backtester to test strategy against historical data.');
+
+  // implement a trading method to create a consultant.
+  var consultant = new Consultant();
+
+  // overwrite the watcher in case of normal setup
+  if(config.normal.enabled)
+    config.watch = config.normal;
 
+  var Logger = require('./logger');
+  var logger = new Logger(_.extend(config.profitCalculator, config.watch));
+  consultant.on('advice', logger.inform);
+  if(config.profitCalculator.enabled)
+    consultant.on('advice', logger.trackProfits);
+
+  consultant.on('finish', logger.finish);
+
+  consultant.emit('prepare');
+  return;
+}
+
+
+//
+// Normalize the configuration between normal & advanced
+// 
 if(config.normal && config.normal.enabled) {
   // if the normal settings are enabled we overwrite the
   // watcher and traders set in the advanced zone
-  log.info('Using normal settings');
+  log.info('Using normal settings to monitor the live market');
   config.watch = config.normal;
   config.traders = [];
 
@@ -47,8 +73,9 @@ if(config.normal && config.normal.enabled) {
   log.info('Using advanced settings');
 }
 
-
-// create a public exchange object which can retrieve trade information
+//
+// create a public exchange object which can retrieve live trade information
+// 
 var provider = config.watch.exchange.toLowerCase();
 if(provider === 'btce') {
   // we can't fetch historical data from btce directly so we use bitcoincharts
@@ -61,7 +88,6 @@ var watcher = new DataProvider(config.watch);
 
 // implement a trading method to create a consultant, we pass it a config and a 
 // public mtgox object which the method can use to get data on past trades
-var Consultant = require('./methods/' + config.tradingMethod.toLowerCase().split(' ').join('-'));
 var consultant = new Consultant(watcher);
 
 // log advice
@@ -71,9 +97,11 @@ consultant.on('advice', logger.inform);
 if(config.profitCalculator.enabled)
   consultant.on('advice', logger.trackProfits);
 
-// automatically trade
+//
+// Configure automatic traders based on advice
+// 
+var managers = _.filter(config.traders, function(t) { return t.enabled });
 var configureManagers = function(_next) {
-  var managers = _.filter(config.traders, function(t) { return t.enabled });
   var next = _.after(managers.length, _next);
   _.each(managers, function(conf) {
     conf.exchange = conf.exchange.toLowerCase();
@@ -84,6 +112,10 @@ var configureManagers = function(_next) {
   });
 }
 
+
+//
+// Configure automatic email on advice
+//
 var configureMail = function(next) {
   if(config.mail.enabled && config.mail.email) {
     var mailer = require('./mailer');
@@ -96,7 +128,7 @@ var configureMail = function(next) {
 }
 
 var start = function() {
-  consultant.emit('start');
+  consultant.emit('prepare');
 }
 
 async.series([configureMail, configureManagers], start);

logger.js

@@ -3,7 +3,10 @@ var _ = require('underscore');
 var log = require('./log.js');
 
 var Logger = function(config) {
+  this.config = util.getConfig();
   this.verbose = config.verbose;
+  this.fee = 1 - config.fee / 100;
+
   this.reportInCurrency = config.reportInCurrency;
   if(this.reportInCurrency)
     this.reportIn = config.currency;
@@ -28,14 +31,27 @@ var Logger = function(config) {
 
   if(config.enabled)
     log.info('Profit reporter active on simulated balance');
-
 }
 
 // log advice
 Logger.prototype.inform = function(what, price, meta) {
+  if(!this.verbose && what !== 'SELL' && !this.config.backtest)
+    return;
+
+  if(!this.verbose && what === 'HOLD' && this.config.backtest)
+    return;
+
   log.info('ADVICE is to', what, meta);
 }
 
+Logger.prototype.extractFee = function(amount) {
+  amount *= 100000000;
+  amount *= this.fee;
+  amount = Math.floor(amount);
+  amount /= 100000000;
+  return amount;
+}
+
 // after every succesfull trend ride we end up with more BTC than we started with, 
 // this function calculates Gekko's profit in %.
 Logger.prototype.trackProfits = function(what, price, meta) {
@@ -51,14 +67,14 @@ Logger.prototype.trackProfits = function(what, price, meta) {
 
   // virtually trade all USD to BTC at the current MtGox price
   if(what === 'BUY') {
-    this.current.asset += this.current.currency / price;
+    this.current.asset += this.extractFee(this.current.currency / price);
     this.current.currency = 0;
     this.trades++;
   }
 
   // virtually trade all BTC to USD at the current MtGox price
   if(what === 'SELL') {
-    this.current.currency += this.current.asset * price;
+    this.current.currency += this.extractFee(this.current.asset * price);
     this.current.asset = 0;
     this.trades++;
   }
@@ -74,12 +90,37 @@ Logger.prototype.trackProfits = function(what, price, meta) {
   if(this.tracks === 1)
     return;
 
-  if(!this.verbose && what === 'SELL')
+  if(!this.verbose && what === 'SELL' && !this.config.backtest)
     this.report();
-  else if(this.verbose)
+  else if(this.verbose && !this.config.backtest)
     this.report();
 }
 
+Logger.prototype.finish = function(data) {
+  console.log();
+  console.log();
+
+  log.info('\t\tWARNING: BACKTESTING FEATURE NEEDS PROPER TESTING')
+  log.info('\t\tWARNING: ACT ON THESE NUMBERS AT YOUR OWN RISK!')
+
+  console.log();
+  console.log();
+
+  log.info(
+    '(PROFIT REPORT)',
+    'start price:\t\t\t',
+    data.start
+  );
+
+  log.info(
+    '(PROFIT REPORT)',
+    'end price:\t\t\t',
+    data.end
+  );
+
+  this.report();
+}
+
 Logger.prototype.report = function() {
   var round = function(amount) {
     return amount.toFixed(3);

methods/exponential-moving-averages.js

@@ -12,46 +12,62 @@
   @link https://bitcointalk.org/index.php?topic=60501.0
  */
 
-var CandleMethod = require('./candle-method.js');
-
 // helpers
 var moment = require('moment');
 var _ = require('underscore');
 var util = require('../util.js');
 var Util = require('util');
 var log = require('../log.js');
-
 var config = util.getConfig();
-var EMAsettings = config.EMA;
+var settings = config.EMA;
+if(config.backtest.enabled)
+  settings = _.extend(settings, config.backtest);
 
 var TradingMethod = function(watcher) {
   this.watcher = watcher;
   this.currentTrend;
-  this.amount = EMAsettings.ticks + 1;
+  this.amount = settings.ticks + 1;
+  // store EMAsettings
+  this.settings = settings;
+  // store whole config
+  this.config = config;
 
   _.bindAll(this);
 
-  this.on('start', this.start);
+  this.on('prepare', this.prepare);
+  this.on('prepared', this.start);
+  this.on('calculated candle', this.calculateEMAs);
 }
 
+if(config.backtest.enabled)
+  var CandleMethod = require('./historical-candle-fetcher.js');
+else
+  var CandleMethod = require('./realtime-candle-fetcher.js');
 Util.inherits(TradingMethod, CandleMethod);
 
-TradingMethod.prototype.start = function() {
+// first prepare this trading method, then
+// prepare the candleMethod this trade method 
+// is extending.
+TradingMethod.prototype.prepare = function() {
   log.info('Calculating EMA on historical data...');
-
-  this.set(EMAsettings, this.watcher);
-
   // setup method specific parameters
   this.ema = {
     short: [],
     long: [],
     diff: []
   };
 
+  this.set();
+}
 
-  this.on('calculated candle', this.calculateEMAs);
-  this.getHistoricalCandles();
-  setInterval(this.getNewCandle, util.minToMs( EMAsettings.interval) );
+TradingMethod.prototype.start = function() {
+  if(config.backtest.enabled) {
+    this.on('calculated new candle', this.getNewCandle);
+    this.getHistoricalCandles();
+  } else {
+    this.getHistoricalCandles();
+    setInterval(this.getNewCandle, util.minToMs( settings.interval ) );
+  }
 }
 
 // add a price and calculate the EMAs and
@@ -83,7 +99,7 @@ TradingMethod.prototype.calculateEMAs = function() {
 TradingMethod.prototype.calculateEMA = function(type) {
   var price = _.last(this.candles.close);
 
-  var k = 2 / (EMAsettings[type] + 1);
+  var k = 2 / (settings[type] + 1);
   var ema, y;
 
   var current = _.size(this.candles.close);
@@ -111,8 +127,10 @@ TradingMethod.prototype.advice = function() {
   var diff = _.last(this.ema.diff).toFixed(3);
   var price = _.last(this.candles.close).toFixed(3);
   var message = '@ ' + price + ' (' + diff + ')';
+  if(config.backtest.enabled)
+    message += '\tat \t' + moment.unix(this.currentTimestamp).format('YYYY-MM-DD HH:mm:ss');
 
-  if(diff > EMAsettings.buyTreshold) {
+  if(diff > settings.buyTreshold) {
     log.debug('we are currently in uptrend (' + diff + ')');
 
     if(this.currentTrend !== 'up') {
@@ -121,7 +139,7 @@ TradingMethod.prototype.advice = function() {
     } else
       this.emit('advice', 'HOLD', price, message);
 
-  } else if(diff < EMAsettings.sellTreshold) {
+  } else if(diff < settings.sellTreshold) {
     log.debug('we are currently in a downtrend', message);
 
     if(this.currentTrend !== 'down') {