initial commit

Author: crhntr

Dockerfile

@@ -0,0 +1,4 @@
+FROM golang:1.20-alpine
+COPY . /code/backtest-action
+RUN cd /code/backtest-action && go install -v .
+ENTRYPOINT ["backtest-action"]

README.md

@@ -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
+```

action.yml

@@ -0,0 +1,6 @@
+# action.yml
+name: 'Portfolio Backtest Action'
+description: 'Backtest simple portfolio specifications.'
+runs:
+  using: 'docker'
+  image: 'Dockerfile'

go.mod

@@ -0,0 +1,17 @@
+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
+)

go.sum

@@ -0,0 +1,69 @@
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main.go

@@ -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()
+}