backtest_compare.py

import requests


def generate_ppo(symbol="NEO", short=16, long=18, signal=9, persistence=2):
    return {
        "gekkoConfig": {
            "watch": {
                "exchange": "binance",
                "currency": "BTC",
                "asset": symbol
            },
            "paperTrader": {
                "feeMaker": 0.25,
                "feeTaker": 0.25,
                "feeUsing": "maker",
                "slippage": 0.05,
                "simulationBalance": {
                    "asset": 1,
                    "currency": 100
                },
                "reportRoundtrips": True,
                "enabled": True
            },
            "tradingAdvisor": {
                "enabled": True,
                "method": "PPO",
                "candleSize": 120,
                "historySize": 10
            },
            "PPO": {
                "short": short,
                "long": long,
                "signal": signal,
                "thresholds": {
                    "down": -0.025,
                    "up": 0.025,
                    "persistence": persistence
                }
            },
            "performanceAnalyzer": {
                "riskFreeReturn": 2,
                "enabled": True
            },
            "valid": True
        },
        "data": {
            "candleProps": ["close", "start"],
            "indicatorResults": True,
            "report": True,
            "roundtrips": True,
            "trades": True
        }
    }


results = {}

symbols = ["XRP"]

for symbol in symbols:
    with open("%s.log" % symbol, "r+") as file:
        for line in file.readlines():
            arr = [float(a) for a in line.split(",")]
            key = "%s,%d,%d,%d,%d" % (symbol, arr[0], arr[1], arr[2], arr[3])
            results[key] = arr[4]
        for i in range(4, 30):
            for j in range(4, 30):
                for k in range(1, 16):
                    for u in range(2, 11):
                        key = "%s,%d,%d,%d,%d" % (symbol, i, j, k, u)
                        if key not in results:
                            payload = generate_ppo(symbol, i, j, k, u)
                            r = requests.post("http://localhost:3000/api/backtest", json=payload)
                            report = r.json()["report"]
                            line = str(i) + "," + str(j) + "," + str(k) + "," + str(u) + "," + str(report["profit"])
                            file.write(line + "\n")
                            print(symbol + "," + line)
                            results[key] = report["profit"]

best_results = sorted(results.items(), key=lambda x: x[1], reverse=True)

print(best_results[0])