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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,4 @@ | ||
| FROM golang:1.20-alpine | ||
| COPY . /code/backtest-action | ||
| RUN cd /code/backtest-action && go install -v . | ||
| ENTRYPOINT ["backtest-action"] |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,19 @@ | ||
| # Portfolio Backtest Action | ||
|
|
||
| ## Example usage | ||
|
|
||
| ```yaml | ||
| name: Back Test | ||
|
|
||
| on: | ||
| push: | ||
| branches: [ "main" ] | ||
| paths-ignore: | ||
| - 'README.md' | ||
|
|
||
| jobs: | ||
| back_test: | ||
| name: Run BackTest | ||
| steps: | ||
| - uses: portfoliotree/backtest-action@v0 | ||
| ``` |
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| @@ -0,0 +1,6 @@ | ||
| # action.yml | ||
| name: 'Portfolio Backtest Action' | ||
| description: 'Backtest simple portfolio specifications.' | ||
| runs: | ||
| using: 'docker' | ||
| image: 'Dockerfile' |
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| module github.com/portfoliotree/backtest-action | ||
|
|
||
| go 1.20 | ||
|
|
||
| require ( | ||
| github.com/portfoliotree/portfolio v0.1.1-0.20230629074126-e6d8a7b39ff4 | ||
| github.com/portfoliotree/round v0.0.0-20221115082401-a830c3a8a159 | ||
| ) | ||
|
|
||
| require ( | ||
| github.com/kr/pretty v0.3.1 // indirect | ||
| go.mongodb.org/mongo-driver v1.12.0 // indirect | ||
| golang.org/x/exp v0.0.0-20230321023759-10a507213a29 // indirect | ||
| golang.org/x/text v0.9.0 // indirect | ||
| gonum.org/v1/gonum v0.12.0 // indirect | ||
| gopkg.in/yaml.v3 v3.0.1 // indirect | ||
| ) |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,69 @@ | ||
| github.com/creack/pty v1.1.9/go.mod h1:oKZEueFk5CKHvIhNR5MUki03XCEU+Q6VDXinZuGJ33E= | ||
| github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c= | ||
| github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38= | ||
| github.com/golang/snappy v0.0.1/go.mod h1:/XxbfmMg8lxefKM7IXC3fBNl/7bRcc72aCRzEWrmP2Q= | ||
| github.com/google/go-cmp v0.5.2/go.mod h1:v8dTdLbMG2kIc/vJvl+f65V22dbkXbowE6jgT/gNBxE= | ||
| github.com/google/go-cmp v0.5.9 h1:O2Tfq5qg4qc4AmwVlvv0oLiVAGB7enBSJ2x2DqQFi38= | ||
| github.com/klauspost/compress v1.13.6/go.mod h1:/3/Vjq9QcHkK5uEr5lBEmyoZ1iFhe47etQ6QUkpK6sk= | ||
| github.com/kr/pretty v0.3.1 h1:flRD4NNwYAUpkphVc1HcthR4KEIFJ65n8Mw5qdRn3LE= | ||
| github.com/kr/pretty v0.3.1/go.mod h1:hoEshYVHaxMs3cyo3Yncou5ZscifuDolrwPKZanG3xk= | ||
| github.com/kr/text v0.2.0 h1:5Nx0Ya0ZqY2ygV366QzturHI13Jq95ApcVaJBhpS+AY= | ||
| github.com/kr/text v0.2.0/go.mod h1:eLer722TekiGuMkidMxC/pM04lWEeraHUUmBw8l2grE= | ||
| github.com/montanaflynn/stats v0.0.0-20171201202039-1bf9dbcd8cbe/go.mod h1:wL8QJuTMNUDYhXwkmfOly8iTdp5TEcJFWZD2D7SIkUc= | ||
| github.com/onsi/gomega v1.27.1 h1:rfztXRbg6nv/5f+Raen9RcGoSecHIFgBBLQK3Wdj754= | ||
| github.com/pkg/diff v0.0.0-20210226163009-20ebb0f2a09e/go.mod h1:pJLUxLENpZxwdsKMEsNbx1VGcRFpLqf3715MtcvvzbA= | ||
| github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM= | ||
| github.com/portfoliotree/portfolio v0.1.1-0.20230629074126-e6d8a7b39ff4 h1:7zIt8zKP+gzRpV8i49hOw+iNxkoW0HzTHdmf7P4wnxA= | ||
| github.com/portfoliotree/portfolio v0.1.1-0.20230629074126-e6d8a7b39ff4/go.mod h1:FQolsEObY22Kaa9YoEcqZAc7jIWBX0iDRtHzJpfZ1Tg= | ||
| github.com/portfoliotree/round v0.0.0-20221115082401-a830c3a8a159 h1:tyuE5WS9to6hUgqrq1ZzSrpxxbydo0M1/N7sRjvFbLM= | ||
| github.com/portfoliotree/round v0.0.0-20221115082401-a830c3a8a159/go.mod h1:x31vr2Ldsfel4fHca08ISxi8KeVq7BMS3StIrXytBio= | ||
| github.com/rogpeppe/go-internal v1.9.0 h1:73kH8U+JUqXU8lRuOHeVHaa/SZPifC7BkcraZVejAe8= | ||
| github.com/rogpeppe/go-internal v1.9.0/go.mod h1:WtVeX8xhTBvf0smdhujwtBcq4Qrzq/fJaraNFVN+nFs= | ||
| github.com/stretchr/testify v1.8.4 h1:CcVxjf3Q8PM0mHUKJCdn+eZZtm5yQwehR5yeSVQQcUk= | ||
| github.com/xdg-go/pbkdf2 v1.0.0/go.mod h1:jrpuAogTd400dnrH08LKmI/xc1MbPOebTwRqcT5RDeI= | ||
| github.com/xdg-go/scram v1.1.2/go.mod h1:RT/sEzTbU5y00aCK8UOx6R7YryM0iF1N2MOmC3kKLN4= | ||
| github.com/xdg-go/stringprep v1.0.4/go.mod h1:mPGuuIYwz7CmR2bT9j4GbQqutWS1zV24gijq1dTyGkM= | ||
| github.com/youmark/pkcs8 v0.0.0-20181117223130-1be2e3e5546d/go.mod h1:rHwXgn7JulP+udvsHwJoVG1YGAP6VLg4y9I5dyZdqmA= | ||
| github.com/yuin/goldmark v1.4.13/go.mod h1:6yULJ656Px+3vBD8DxQVa3kxgyrAnzto9xy5taEt/CY= | ||
| go.mongodb.org/mongo-driver v1.12.0 h1:aPx33jmn/rQuJXPQLZQ8NtfPQG8CaqgLThFtqRb0PiE= | ||
| go.mongodb.org/mongo-driver v1.12.0/go.mod h1:AZkxhPnFJUoH7kZlFkVKucV20K387miPfm7oimrSmK0= | ||
| golang.org/x/crypto v0.0.0-20190308221718-c2843e01d9a2/go.mod h1:djNgcEr1/C05ACkg1iLfiJU5Ep61QUkGW8qpdssI0+w= | ||
| golang.org/x/crypto v0.0.0-20210921155107-089bfa567519/go.mod h1:GvvjBRRGRdwPK5ydBHafDWAxML/pGHZbMvKqRZ5+Abc= | ||
| golang.org/x/crypto v0.0.0-20220622213112-05595931fe9d/go.mod h1:IxCIyHEi3zRg3s0A5j5BB6A9Jmi73HwBIUl50j+osU4= | ||
| golang.org/x/exp v0.0.0-20230321023759-10a507213a29 h1:ooxPy7fPvB4kwsA2h+iBNHkAbp/4JxTSwCmvdjEYmug= | ||
| golang.org/x/exp v0.0.0-20230321023759-10a507213a29/go.mod h1:CxIveKay+FTh1D0yPZemJVgC/95VzuuOLq5Qi4xnoYc= | ||
| golang.org/x/mod v0.6.0-dev.0.20220419223038-86c51ed26bb4/go.mod h1:jJ57K6gSWd91VN4djpZkiMVwK6gcyfeH4XE8wZrZaV4= | ||
| golang.org/x/net v0.0.0-20190620200207-3b0461eec859/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= | ||
| golang.org/x/net v0.0.0-20210226172049-e18ecbb05110/go.mod h1:m0MpNAwzfU5UDzcl9v0D8zg8gWTRqZa9RBIspLL5mdg= | ||
| golang.org/x/net v0.0.0-20211112202133-69e39bad7dc2/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y= | ||
| golang.org/x/net v0.0.0-20220722155237-a158d28d115b/go.mod h1:XRhObCWvk6IyKnWLug+ECip1KBveYUHfp+8e9klMJ9c= | ||
| golang.org/x/net v0.9.0 h1:aWJ/m6xSmxWBx+V0XRHTlrYrPG56jKsLdTFmsSsCzOM= | ||
| golang.org/x/sync v0.0.0-20190423024810-112230192c58/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= | ||
| golang.org/x/sync v0.0.0-20220722155255-886fb9371eb4/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= | ||
| golang.org/x/sys v0.0.0-20190215142949-d0b11bdaac8a/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= | ||
| golang.org/x/sys v0.0.0-20201119102817-f84b799fce68/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= | ||
| golang.org/x/sys v0.0.0-20210423082822-04245dca01da/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= | ||
| golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg= | ||
| golang.org/x/sys v0.0.0-20220520151302-bc2c85ada10a/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg= | ||
| golang.org/x/sys v0.0.0-20220722155257-8c9f86f7a55f/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg= | ||
| golang.org/x/term v0.0.0-20201126162022-7de9c90e9dd1/go.mod h1:bj7SfCRtBDWHUb9snDiAeCFNEtKQo2Wmx5Cou7ajbmo= | ||
| golang.org/x/term v0.0.0-20210927222741-03fcf44c2211/go.mod h1:jbD1KX2456YbFQfuXm/mYQcufACuNUgVhRMnK/tPxf8= | ||
| golang.org/x/text v0.3.0/go.mod h1:NqM8EUOU14njkJ3fqMW+pc6Ldnwhi/IjpwHt7yyuwOQ= | ||
| golang.org/x/text v0.3.3/go.mod h1:5Zoc/QRtKVWzQhOtBMvqHzDpF6irO9z98xDceosuGiQ= | ||
| golang.org/x/text v0.3.6/go.mod h1:5Zoc/QRtKVWzQhOtBMvqHzDpF6irO9z98xDceosuGiQ= | ||
| golang.org/x/text v0.3.7/go.mod h1:u+2+/6zg+i71rQMx5EYifcz6MCKuco9NR6JIITiCfzQ= | ||
| golang.org/x/text v0.3.8/go.mod h1:E6s5w1FMmriuDzIBO73fBruAKo1PCIq6d2Q6DHfQ8WQ= | ||
| golang.org/x/text v0.7.0/go.mod h1:mrYo+phRRbMaCq/xk9113O4dZlRixOauAjOtrjsXDZ8= | ||
| golang.org/x/text v0.9.0 h1:2sjJmO8cDvYveuX97RDLsxlyUxLl+GHoLxBiRdHllBE= | ||
| golang.org/x/text v0.9.0/go.mod h1:e1OnstbJyHTd6l/uOt8jFFHp6TRDWZR/bV3emEE/zU8= | ||
| golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= | ||
| golang.org/x/tools v0.0.0-20191119224855-298f0cb1881e/go.mod h1:b+2E5dAYhXwXZwtnZ6UAqBI28+e2cm9otk0dWdXHAEo= | ||
| golang.org/x/tools v0.1.12/go.mod h1:hNGJHUnrk76NpqgfD5Aqm5Crs+Hm0VOH/i9J2+nxYbc= | ||
| golang.org/x/xerrors v0.0.0-20190717185122-a985d3407aa7/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0= | ||
| golang.org/x/xerrors v0.0.0-20191204190536-9bdfabe68543/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0= | ||
| gonum.org/v1/gonum v0.12.0 h1:xKuo6hzt+gMav00meVPUlXwSdoEJP46BR+wdxQEFK2o= | ||
| gonum.org/v1/gonum v0.12.0/go.mod h1:73TDxJfAAHeA8Mk9mf8NlIppyhQNo5GLTcYeqgo2lvY= | ||
| gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0= | ||
| gopkg.in/check.v1 v1.0.0-20201130134442-10cb98267c6c h1:Hei/4ADfdWqJk1ZMxUNpqntNwaWcugrBjAiHlqqRiVk= | ||
| gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA= | ||
| gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM= |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,76 @@ | ||
| package main | ||
|
|
||
| import ( | ||
| "context" | ||
| "encoding/json" | ||
| "fmt" | ||
| "log" | ||
| "os" | ||
| "strings" | ||
| "time" | ||
|
|
||
| "github.com/portfoliotree/round" | ||
|
|
||
| "github.com/portfoliotree/portfolio" | ||
| "github.com/portfoliotree/portfolio/backtest" | ||
| "github.com/portfoliotree/portfolio/returns" | ||
| ) | ||
|
|
||
| func main() { | ||
| specs, err := portfolio.WalkDirectoryAndParseSpecificationFiles(os.DirFS(".")) | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
|
|
||
| backtestResultsJSON, err := os.Create("backtest_results.json") | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| defer func() { | ||
| _ = backtestResultsJSON.Close() | ||
| }() | ||
| backtestResultsEncoder := json.NewEncoder(backtestResultsJSON) | ||
|
|
||
| var table returns.Table | ||
| ctx := context.Background() | ||
| var names []string | ||
| for _, spec := range specs { | ||
| log.Printf("running backtest with %d assets for %s: %q\n", len(spec.Assets), spec.Filepath, spec.Name) | ||
| result, err := spec.Backtest(ctx, nil) | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| if err := backtestResultsEncoder.Encode(result); err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| rs := result.Returns() | ||
| log.Println(report(spec, result)) | ||
| table = table.AddColumn(rs) | ||
| names = append(names, spec.Filepath) | ||
| } | ||
| returnsCSV, err := os.Create("returns.csv") | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| defer func() { | ||
| _ = returnsCSV.Close() | ||
| }() | ||
| if err := table.WriteCSV(returnsCSV, names); err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| } | ||
|
|
||
| func report(spec portfolio.Specification, result backtest.Result) string { | ||
| rs := result.Returns() | ||
| var s strings.Builder | ||
| s.WriteString(fmt.Sprintf("finished backtest for %s: %q\n", spec.Filepath, spec.Name)) | ||
| s.WriteString(fmt.Sprintf("\tlast_time: %s\n", rs.LastTime().Format(time.DateOnly))) | ||
| s.WriteString(fmt.Sprintf("\tfirst_time: %s\n", rs.FirstTime().Format(time.DateOnly))) | ||
| s.WriteString(fmt.Sprintf("\tnumber_of_returns: %d\n", rs.Len())) | ||
| s.WriteString(fmt.Sprintf("\tannualized_arithmetic_return: %f\n", round.Decimal(rs.AnnualizedArithmeticReturn()*100, 6))) | ||
| s.WriteString(fmt.Sprintf("\tannualized_risk: %f\n", round.Decimal(rs.AnnualizedRisk()*100, 6))) | ||
| s.WriteString(fmt.Sprintf("\tnumber_of_assets: %d\n", len(spec.Assets))) | ||
| s.WriteString(fmt.Sprintf("\trebalance_count: %d\n", len(result.RebalanceTimes))) | ||
| s.WriteString(fmt.Sprintf("\tpolicy_weight_update_count: %d\n", len(result.PolicyUpdateTimes))) | ||
| return s.String() | ||
| } |