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add StrategySmaDualMl for example of multiple data provider
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@msaltnet
msaltnet committed Dec 9, 2023
1 parent b8f1f93 commit 1cb1adb
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1 change: 1 addition & 0 deletions integration_tests/strategy_bnh/bnh_ITG_test.py
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# python -m unittest discover .\integration_tests\strategy_bnh *test.py -v
import json
import unittest
from smtm import Simulator
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102 changes: 102 additions & 0 deletions integration_tests/strategy_dml/dml_ITG_test.py
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# python -m unittest discover .\integration_tests\strategy_dml *test.py -v
# MUST SET Config.simulation_data_provider_type = "dual" in smtm/config.py
# simulation_data_provider_type = "dual"

import json
import unittest
from smtm import Simulator
from unittest.mock import *

KEY_PERIOD = [
"220701.000000-220701.195900",
"220710.040000-220710.235900",
"220711.200000-220712.155900",
"220712.160000-220713.115900",
"220715.040000-220715.235900",
"220723.120000-220724.075900",
"220724.130000-220725.085900",
"220728.120000-220729.075900",
"220731.000000-220731.195900",
"220811.230000-220812.185900",
"220814.040000-220814.235900",
"220815.000000-220815.195900",
"220826.160000-220827.115900",
"220830.000000-220830.195900",
"221004.080000-221005.035900",
"221010.040000-221010.235900",
"221026.170000-221027.125900",
"221101.000000-221101.195900",
"221114.040000-221114.235900",
"221118.080000-221119.035900",
"230112.160000-230113.115900",
"230113.100000-230114.055900",
"230117.160000-230118.115900",
"230210.000000-230210.195900",
"230227.120000-230228.075900",
"230422.130000-230423.085900",
"230424.080000-230425.035900",
"230425.220000-230426.175900",
"230428.120000-230429.075900",
"230507.160000-230508.115900",
"230511.200000-230512.155900",
"230512.160000-230513.115900",
"230516.000000-230516.195900",
"230527.160000-230528.115900",
"230528.120000-230529.075900",
"230530.040000-230530.235900",
]


class SmlIntegrationTests(unittest.TestCase):
def test_ITG_run_single_simulation(self):
result_list = []
for period in KEY_PERIOD:
request_list = []
simulator = Simulator(
budget=1000000,
interval=0.0001,
strategy="DML",
from_dash_to=period,
currency="BTC",
)
simulator.run_single()

for request in simulator.operator.analyzer.request_list:
request_list.append(
{
"type": request["type"],
"price": request["price"],
"amount": request["amount"],
"date_time": request["date_time"],
}
)
result_list.append(request_list)

# If you want to update the expected result, uncomment the following code.
# with open("./dml_test_result.json", "w") as f:
# json.dump(result_list, f)

with open("./integration_tests/strategy_dml/dml_test_result.json", "r") as f:
expected = json.load(f)

for result_idx, request_list in enumerate(result_list):
for request_idx, requst in enumerate(request_list):
target = expected[result_idx][request_idx]
try:
self.assertEqual(
requst["type"], target["type"], f"{result_idx}-{request_idx}"
)
self.assertEqual(
requst["price"], target["price"], f"{result_idx}-{request_idx}"
)
self.assertEqual(
requst["amount"], target["amount"], f"{result_idx}-{request_idx}"
)
self.assertEqual(
requst["date_time"],
target["date_time"],
f"{result_idx}-{request_idx}",
)
except AssertionError as e:
print(f"[FAIL] result_idx:{result_idx} - request_idx:{request_idx}")
raise e
1 change: 1 addition & 0 deletions integration_tests/strategy_dml/dml_test_result.json
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[[], [], [], [], [{"type": "buy", "price": 27166000.0, "amount": 0.0367, "date_time": "2022-07-15T13:04:00"}, {"type": "sell", "price": 27090000.0, "amount": 0.0367, "date_time": "2022-07-15T13:40:00"}], [], [{"type": "buy", "price": 30053000.0, "amount": 0.0332, "date_time": "2022-07-25T02:16:00"}, {"type": "sell", "price": 29850000.0, "amount": 0.0332, "date_time": "2022-07-25T02:34:00"}], [{"type": "buy", "price": 30366000.0, "amount": 0.0329, "date_time": "2022-07-28T23:49:00"}, {"type": "sell", "price": 31225000.0, "amount": 0.0329, "date_time": "2022-07-29T03:33:00"}, {"type": "buy", "price": 31285000.0, "amount": 0.0328, "date_time": "2022-07-29T04:26:00"}, {"type": "sell", "price": 31228000.0, "amount": 0.0328, "date_time": "2022-07-29T04:39:00"}, {"type": "buy", "price": 31387000.0, "amount": 0.0326, "date_time": "2022-07-29T07:48:00"}], [], [{"type": "buy", "price": 31927000.0, "amount": 0.0313, "date_time": "2022-08-12T16:13:00"}, {"type": "sell", "price": 31880000.0, "amount": 0.0313, "date_time": "2022-08-12T16:22:00"}], [], [{"type": "buy", "price": 33191000.0, "amount": 0.0301, "date_time": "2022-08-15T14:03:00"}, {"type": "sell", "price": 33081000.0, "amount": 0.0301, "date_time": "2022-08-15T14:17:00"}], [], [{"type": "buy", "price": 27761000.0, "amount": 0.036, "date_time": "2022-08-30T11:57:00"}, {"type": "sell", "price": 27954000.0, "amount": 0.036, "date_time": "2022-08-30T14:49:00"}, {"type": "sell", "price": 27953000.0, "amount": 0.036, "date_time": "2022-08-30T14:50:00"}], [{"type": "buy", "price": 28630000.0, "amount": 0.0349, "date_time": "2022-10-04T18:51:00"}, {"type": "sell", "price": 28620000.0, "amount": 0.0349, "date_time": "2022-10-04T19:10:00"}, {"type": "sell", "price": 28586000.0, "amount": 0.0349, "date_time": "2022-10-04T19:11:00"}, {"type": "buy", "price": 28644000.0, "amount": 0.0348, "date_time": "2022-10-04T21:17:00"}, {"type": "sell", "price": 28577000.0, "amount": 0.0348, "date_time": "2022-10-04T21:24:00"}], [], [], [], [], [{"type": "buy", "price": 23272000.0, "amount": 0.0429, "date_time": "2022-11-18T11:41:00"}, {"type": "sell", "price": 23197000.0, "amount": 0.0429, "date_time": "2022-11-18T12:01:00"}], [{"type": "buy", "price": 22766000.0, "amount": 0.0439, "date_time": "2023-01-13T02:09:00"}, {"type": "sell", "price": 23569000.0, "amount": 0.0439, "date_time": "2023-01-13T06:37:00"}], [{"type": "buy", "price": 24246000.0, "amount": 0.0412, "date_time": "2023-01-14T02:22:00"}, {"type": "sell", "price": 24100000.0, "amount": 0.0412, "date_time": "2023-01-14T02:49:00"}], [{"type": "buy", "price": 26446000.0, "amount": 0.0377, "date_time": "2023-01-17T23:09:00"}, {"type": "sell", "price": 26276000.0, "amount": 0.0377, "date_time": "2023-01-17T23:34:00"}], [], [], [{"type": "buy", "price": 36500000.0, "amount": 0.0273, "date_time": "2023-04-22T23:47:00"}, {"type": "sell", "price": 36850000.0, "amount": 0.0273, "date_time": "2023-04-23T03:13:00"}], [], [{"type": "buy", "price": 36954000.0, "amount": 0.027, "date_time": "2023-04-26T05:00:00"}, {"type": "buy", "price": 37039000.0, "amount": 0.0269, "date_time": "2023-04-26T05:01:00"}, {"type": "sell", "price": 37770000.0, "amount": 0.0269, "date_time": "2023-04-26T08:20:00"}], [], [], [], [], [{"type": "buy", "price": 36507000.0, "amount": 0.0273, "date_time": "2023-05-16T16:07:00"}, {"type": "sell", "price": 36654000.0, "amount": 0.0273, "date_time": "2023-05-16T18:15:00"}], [], [{"type": "buy", "price": 36886000.0, "amount": 0.027, "date_time": "2023-05-29T05:33:00"}], []]
154 changes: 154 additions & 0 deletions integration_tests/strategy_dml/mass_config_dml.json
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{
"title": "DML_REF_CHECK",
"description": "mass simulation test for reference period",
"budget": 5000000,
"strategy": "DML",
"interval": 1e-06,
"currency": "BTC",
"period_list": [
{
"start": "2022-07-01T00:00:00",
"end": "2022-07-01T19:59:00"
},
{
"start": "2022-07-10T04:00:00",
"end": "2022-07-10T23:59:00"
},
{
"start": "2022-07-11T20:00:00",
"end": "2022-07-12T15:59:00"
},
{
"start": "2022-07-12T16:00:00",
"end": "2022-07-13T11:59:00"
},
{
"start": "2022-07-15T04:00:00",
"end": "2022-07-15T23:59:00"
},
{
"start": "2022-07-23T12:00:00",
"end": "2022-07-24T07:59:00"
},
{
"start": "2022-07-24T13:00:00",
"end": "2022-07-25T08:59:00"
},
{
"start": "2022-07-28T12:00:00",
"end": "2022-07-29T07:59:00"
},
{
"start": "2022-07-31T00:00:00",
"end": "2022-07-31T19:59:00"
},
{
"start": "2022-08-11T23:00:00",
"end": "2022-08-12T18:59:00"
},
{
"start": "2022-08-14T04:00:00",
"end": "2022-08-14T23:59:00"
},
{
"start": "2022-08-15T00:00:00",
"end": "2022-08-15T19:59:00"
},
{
"start": "2022-08-26T16:00:00",
"end": "2022-08-27T11:59:00"
},
{
"start": "2022-08-30T00:00:00",
"end": "2022-08-30T19:59:00"
},
{
"start": "2022-10-04T08:00:00",
"end": "2022-10-05T03:59:00"
},
{
"start": "2022-10-10T04:00:00",
"end": "2022-10-10T23:59:00"
},
{
"start": "2022-10-26T17:00:00",
"end": "2022-10-27T12:59:00"
},
{
"start": "2022-11-01T00:00:00",
"end": "2022-11-01T19:59:00"
},
{
"start": "2022-11-14T04:00:00",
"end": "2022-11-14T23:59:00"
},
{
"start": "2022-11-18T08:00:00",
"end": "2022-11-19T03:59:00"
},
{
"start": "2023-01-12T16:00:00",
"end": "2023-01-13T11:59:00"
},
{
"start": "2023-01-13T10:00:00",
"end": "2023-01-14T05:59:00"
},
{
"start": "2023-01-17T16:00:00",
"end": "2023-01-18T11:59:00"
},
{
"start": "2023-02-10T00:00:00",
"end": "2023-02-10T19:59:00"
},
{
"start": "2023-02-27T12:00:00",
"end": "2023-02-28T07:59:00"
},
{
"start": "2023-04-22T13:00:00",
"end": "2023-04-23T08:59:00"
},
{
"start": "2023-04-24T08:00:00",
"end": "2023-04-25T03:59:00"
},
{
"start": "2023-04-25T22:00:00",
"end": "2023-04-26T17:59:00"
},
{
"start": "2023-04-28T12:00:00",
"end": "2023-04-29T07:59:00"
},
{
"start": "2023-05-07T16:00:00",
"end": "2023-05-08T11:59:00"
},
{
"start": "2023-05-11T20:00:00",
"end": "2023-05-12T15:59:00"
},
{
"start": "2023-05-12T16:00:00",
"end": "2023-05-13T11:59:00"
},
{
"start": "2023-05-16T00:00:00",
"end": "2023-05-16T19:59:00"
},
{
"start": "2023-05-27T16:00:00",
"end": "2023-05-28T11:59:00"
},
{
"start": "2023-05-28T12:00:00",
"end": "2023-05-29T07:59:00"
},
{
"start": "2023-05-30T04:00:00",
"end": "2023-05-30T23:59:00"
}
]
}
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89 changes: 89 additions & 0 deletions integration_tests/strategy_dml/result/DML_REF_CHECK.result
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Title: DML_REF_CHECK
Description: mass simulation test for reference period
Strategy: SML-DUAL, Budget: 5000000, Currency: BTC
2022-07-01T00:00:00 ~ 2023-05-30T23:59:00 (36)
수익률 평균: 0.18
수익률 편차: 0.849
수익률 최대: 3.423, 20
수익률 최소: -0.774, 6
수익률 TOP 10 ===============================================
3.423, 20
2.394, 7
1.871, 27
1.318, 34
0.858, 25
0.591, 13
0.302, 32
0.0, 23
0.0, 24
0.0, 26
수익률 WORST 10 ===============================================
-0.774, 6
-0.742, 22
-0.701, 21
-0.586, 14
-0.431, 11
-0.422, 19
-0.379, 4
-0.247, 9
0.0, 35
0.0, 16
순간 최대 수익률 BEST 10 =====================================
4.713, 20
3.681, 7
2.813, 27
1.467, 34
1.398, 25
1.224, 13
0.755, 22
0.637, 32
0.222, 4
0.025, 11
순간 최저 수익률 WORST 10 =====================================
-0.774, 6
-0.742, 22
-0.701, 21
-0.586, 14
-0.431, 11
-0.422, 19
-0.379, 4
-0.247, 9
-0.193, 34
-0.182, 7
순번, 인덱스, 구간 수익률, 최대 수익률, 최저 수익률 ===
1, 20, 3.423, 4.713, -0.041
2, 7, 2.394, 3.681, -0.182
3, 27, 1.871, 2.813, 0.0
4, 34, 1.318, 1.467, -0.193
5, 25, 0.858, 1.398, -0.05
6, 13, 0.591, 1.224, -0.018
7, 32, 0.302, 0.637, -0.069
8, 23, 0.0, 0.0, 0.0
9, 24, 0.0, 0.0, 0.0
10, 26, 0.0, 0.0, 0.0
11, 0, 0.0, 0.0, 0.0
12, 28, 0.0, 0.0, 0.0
13, 1, 0.0, 0.0, 0.0
14, 30, 0.0, 0.0, 0.0
15, 31, 0.0, 0.0, 0.0
16, 33, 0.0, 0.0, 0.0
17, 29, 0.0, 0.0, 0.0
18, 18, 0.0, 0.0, 0.0
19, 17, 0.0, 0.0, 0.0
20, 12, 0.0, 0.0, 0.0
21, 2, 0.0, 0.0, 0.0
22, 3, 0.0, 0.0, 0.0
23, 5, 0.0, 0.0, 0.0
24, 8, 0.0, 0.0, 0.0
25, 10, 0.0, 0.0, 0.0
26, 15, 0.0, 0.0, 0.0
27, 16, 0.0, 0.0, 0.0
28, 35, 0.0, 0.0, 0.0
29, 9, -0.247, 0.0, -0.247
30, 4, -0.379, 0.222, -0.379
31, 19, -0.422, 0.0, -0.422
32, 11, -0.431, 0.025, -0.431
33, 14, -0.586, 0.0, -0.586
34, 21, -0.701, 0.0, -0.701
35, 22, -0.742, 0.755, -0.742
36, 6, -0.774, 0.0, -0.774
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