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Filter the simulation output from ansi-codes so that the results can …
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…be properly interpreted. (DeviaVir#578)

The used color.js library does have a "--no-color" switch that should solve the above problem but that library isn't under active development anymore and currently has several bugs regarding the --no-color switch. Since zenbot has a very tight coupling to color.js this is the only way to solve the problem from DeviaVir#578.

Solves: DeviaVir#578
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Jens von der Heydt committed Oct 3, 2017
1 parent d402848 commit 65add97
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Showing 4 changed files with 20 additions and 14 deletions.
20 changes: 11 additions & 9 deletions scripts/auto_backtester/backtester.js
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ let parallel = require('run-parallel-limit');
let json2csv = require('json2csv');
let roundp = require('round-precision');
let fs = require('fs');
let StripAnsi = require('strip-ansi');

let VERSION = 'Zenbot 4.04 Backtester v0.2';

Expand Down Expand Up @@ -72,7 +73,7 @@ let objectProduct = obj => {
let runCommand = (strategy, cb) => {
countArr.push(1);
let strategyArgs = {
cci_srsi: `--cci_periods=${strategy.rsi_periods} --rsi_periods=${strategy.srsi_periods} --srsi_periods=${strategy.srsi_periods} --srsi_k=${strategy.srsi_k} --srsi_d=${strategy.srsi_d} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --oversold_cci=${strategy.oversold_cci} --overbought_cci=${strategy.overbought_cci} --constant=${strategy.constant}`,
cci_srsi: `--cci_periods=${strategy.rsi_periods} --rsi_periods=${strategy.srsi_periods} --srsi_periods=${strategy.srsi_periods} --srsi_k=${strategy.srsi_k} --srsi_d=${strategy.srsi_d} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --oversold_cci=${strategy.oversold_cci} --overbought_cci=${strategy.overbought_cci} --constant=${strategy.constant}`,
srsi_macd: `--rsi_periods=${strategy.rsi_periods} --srsi_periods=${strategy.srsi_periods} --srsi_k=${strategy.srsi_k} --srsi_d=${strategy.srsi_d} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --ema_short_period=${strategy.ema_short_period} --ema_long_period=${strategy.ema_long_period} --signal_period=${strategy.signal_period} --up_trend_threshold=${strategy.up_trend_threshold} --down_trend_threshold=${strategy.down_trend_threshold}`,
macd: `--ema_short_period=${strategy.ema_short_period} --ema_long_period=${strategy.ema_long_period} --signal_period=${strategy.signal_period} --up_trend_threshold=${strategy.up_trend_threshold} --down_trend_threshold=${strategy.down_trend_threshold} --overbought_rsi_periods=${strategy.overbought_rsi_periods} --overbought_rsi=${strategy.overbought_rsi}`,
rsi: `--rsi_periods=${strategy.rsi_periods} --oversold_rsi=${strategy.oversold_rsi} --overbought_rsi=${strategy.overbought_rsi} --rsi_recover=${strategy.rsi_recover} --rsi_drop=${strategy.rsi_drop} --rsi_divisor=${strategy.rsi_divisor}`,
Expand Down Expand Up @@ -102,7 +103,8 @@ let processOutput = output => {
let wlRegexp = /win\/loss: (\d+)\/(\d+)/g;
let errRegexp = /error rate: (.*)%/g;

let output2 = output.substr(output.length - 3000);
let strippedOutput = StripAnsi(output);
let output2 = strippedOutput.substr(strippedOutput.length - 3500);

let rawParams = jsonRegexp.exec(output2)[1];
let params = JSON.parse(rawParams);
Expand Down Expand Up @@ -134,12 +136,12 @@ let processOutput = output => {
cciPeriods: params.cci_periods,
rsiPeriods: params.rsi_periods,
srsiPeriods: params.srsi_periods,
srsiK: params.srsi_k,
srsiD: params.srsi_d,
oversoldRsi: params.oversold_rsi,
srsiK: params.srsi_k,
srsiD: params.srsi_d,
oversoldRsi: params.oversold_rsi,
overboughtRsi: params.overbought_rsi,
oversoldCci: params.oversold_cci,
overboughtCci: params.overbought_cci,
oversoldCci: params.oversold_cci,
overboughtCci: params.overbought_cci,
constant: params.consant,

// srsi_macd
Expand Down Expand Up @@ -296,7 +298,7 @@ parallel(tasks, PARALLEL_LIMIT, (err, results) => {
let filedsGeneral = ['roi', 'vsBuyHold', 'errorRate', 'wlRatio', 'frequency', 'endBalance', 'buyHold', 'wins', 'losses', 'period', 'min_periods', 'days'];
let filedNamesGeneral = ['ROI (%)', 'VS Buy Hold (%)', 'Error Rate (%)', 'Win/Loss Ratio', '# Trades/Day', 'Ending Balance ($)', 'Buy Hold ($)', '# Wins', '# Losses', 'Period', 'Min Periods', '# Days'];
let fields = {
cci_srsi: filedsGeneral.concat(['cciPeriods', 'rsiPeriods', 'srsiPeriods', 'srsiK', 'srsiD', 'oversoldRsi', 'overboughtRsi', 'oversoldCci', 'overboughtCci', 'Constant', 'params']),
cci_srsi: filedsGeneral.concat(['cciPeriods', 'rsiPeriods', 'srsiPeriods', 'srsiK', 'srsiD', 'oversoldRsi', 'overboughtRsi', 'oversoldCci', 'overboughtCci', 'Constant', 'params']),
srsi_macd: filedsGeneral.concat(['rsiPeriods', 'srsiPeriods', 'srsiK', 'srsiD', 'oversoldRsi', 'overboughtRsi', 'emaShortPeriod', 'emaLongPeriod', 'signalPeriod', 'upTrendThreshold', 'downTrendThreshold', 'params']),
macd: filedsGeneral.concat([ 'emaShortPeriod', 'emaLongPeriod', 'signalPeriod', 'upTrendThreshold', 'downTrendThreshold', 'overboughtRsiPeriods', 'overboughtRsi', 'params']),
rsi: filedsGeneral.concat(['rsiPeriods', 'oversoldRsi', 'overboughtRsi', 'rsiRecover', 'rsiDrop', 'rsiDivsor', 'params']),
Expand All @@ -305,7 +307,7 @@ parallel(tasks, PARALLEL_LIMIT, (err, results) => {
trend_ema: filedsGeneral.concat(['trendEma', 'neutralRate', 'oversoldRsiPeriods', 'oversoldRsi', 'params'])
};
let fieldNames = {
cci_srsi: filedNamesGeneral.concat(['CCI Periods', 'RSI Periods', 'SRSI Periods', 'SRSI K', 'SRSI D', 'Oversold RSI', 'Overbought RSI', 'Oversold CCI', 'Overbought CCI', 'Constant', 'Full Parameters']),
cci_srsi: filedNamesGeneral.concat(['CCI Periods', 'RSI Periods', 'SRSI Periods', 'SRSI K', 'SRSI D', 'Oversold RSI', 'Overbought RSI', 'Oversold CCI', 'Overbought CCI', 'Constant', 'Full Parameters']),
srsi_macd: filedNamesGeneral.concat(['RSI Periods', 'SRSI Periods', 'SRSI K', 'SRSI D', 'Oversold RSI', 'Overbought RSI', 'EMA Short Period', 'EMA Long Period', 'Signal Period', 'Up Trend Threshold', 'Down Trend Threshold', 'Full Parameters']),
macd: filedNamesGeneral.concat(['EMA Short Period', 'EMA Long Period', 'Signal Period', 'Up Trend Threshold', 'Down Trend Threshold', 'Overbought Rsi Periods', 'Overbought Rsi', 'Full Parameters']),
rsi: filedNamesGeneral.concat(['RSI Periods', 'Oversold RSI', 'Overbought RSI', 'RSI Recover', 'RSI Drop', 'RSI Divisor', 'Full Parameters']),
Expand Down
3 changes: 2 additions & 1 deletion scripts/auto_backtester/package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,7 @@
"json2csv": "^3.7.3",
"round-precision": "^1.0.0",
"run-parallel-limit": "^1.0.3",
"shelljs": "^0.7.8"
"shelljs": "^0.7.8",
"strip-ansi": "^4.0.0"
}
}
8 changes: 5 additions & 3 deletions scripts/genetic_backtester/darwin.js
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,7 @@ let json2csv = require('json2csv');
let roundp = require('round-precision');
let fs = require('fs');
let GeneticAlgorithmCtor = require('geneticalgorithm');
let StripAnsi = require('strip-ansi');

let Phenotypes = require('./phenotype.js');

Expand Down Expand Up @@ -98,7 +99,8 @@ let processOutput = output => {
let wlRegexp = /win\/loss: (\d+)\/(\d+)/g;
let errRegexp = /error rate: (.*)%/g;

let output2 = output.substr(output.length - 3500);
let strippedOutput = StripAnsi(output);
let output2 = strippedOutput.substr(strippedOutput.length - 3500);

let rawParams = jsonRegexp.exec(output2)[1];
let params = JSON.parse(rawParams);
Expand Down Expand Up @@ -427,7 +429,7 @@ let simulateGeneration = () => {
console.log(`\n\n=== Simulating generation ${generationCount++} ===\n`);

runUpdate(argv.days, argv.selector);

iterationCount = 1;
let tasks = selectedStrategies.map(v => pools[v]['pool'].population().map(phenotype => {
return cb => {
Expand All @@ -442,7 +444,7 @@ let simulateGeneration = () => {
});

results.sort((a, b) => (a.fitness < b.fitness) ? 1 : ((b.fitness < a.fitness) ? -1 : 0));

let fieldsGeneral = ['fitness', 'vsBuyHold', 'wlRatio', 'frequency', 'strategy', 'order_type', 'endBalance', 'buyHold', 'wins', 'losses', 'period', 'min_periods', 'days', 'params'];
let fieldNamesGeneral = ['Fitness', 'VS Buy Hold (%)', 'Win/Loss Ratio', '# Trades/Day', 'Strategy', 'Order Type', 'Ending Balance ($)', 'Buy Hold ($)', '# Wins', '# Losses', 'Period', 'Min Periods', '# Days', 'Full Parameters'];

Expand Down
3 changes: 2 additions & 1 deletion scripts/genetic_backtester/package.json
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Expand Up @@ -8,6 +8,7 @@
"round-precision": "^1.0.0",
"run-parallel-limit": "^1.0.3",
"shelljs": "^0.7.8",
"yargs": "^8.0.2"
"yargs": "^8.0.2",
"strip-ansi": "^4.0.0"
}
}

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