backnrun

BackNRun

BackNRun is a powerful, flexible trading bot framework written in Go. It provides a comprehensive set of tools for developing, backtesting, and optimizing trading strategies for cryptocurrency markets.

📌 Roadmap & Features

• Backtesting: Test strategies against historical data to evaluate performance
• Strategy Development: Create custom trading strategies using a simple, extensible interface
• Notifications - Telegram Notifications: Implemented notifications from Telegram channel
• Parameter Optimization: Find optimal parameters for your strategies using grid search or random search
• Performance Metrics: Analyze strategy performance with comprehensive metrics
• Web dashboard for live tracking: Plot trading results with indicators and trades

📁 Architecture

BackNRun is built with a modular architecture that separates concerns and allows for easy extension:

📁 backnrun/
├── 📁 cmd/                  # Command-line application
├── 📁 examples/             # Examples of usage
├── 📁 images/               # Preview images
├── 📁 internal/             # Internal packages
├── 📁 core/                 # Core interfaces and types
├── 📁 exchange/             # Exchange implementations
├── 📁 indicator/            # Technical indicators
├── 📁 logger/               # Logging utilities
├── 📁 metric/               # Performance metrics
├── 📁 notification/         # Notification systems
├── 📁 optimizer/            # Strategy parameter optimization
├── 📁 order/                # Order management
├── 📁 plot/                 # Visualization tools
├── 📁 storage/              # Data storage
├── 📁 scripts/              # Scripts utilities
├── 📁 strategies/           # Presets strategies
├── 📁 bot/                  # Bot implementations
└── 📁 strategy/             # Strategy implementations

📦 Installation

Prerequisites

• Go 1.23 or higher
• Git

Building from Source

# Clone the repository
git clone https://github.com/raykavin/backnrun.git
cd backnrun

# Build the application
go build -o backnrun cmd/backnrun/main.go

⚡ Quick Start

Downloading Historical Data

# Download 30 days of BTC/USDT 15-minute candles
./backnrun download -p BTCUSDT -t 15m -d 30 -o btc-15m.csv

Running a Backtest

Create a Go file with your backtest configuration:

package main

import (
	"context"

	"github.com/raykavin/backnrun/bot"
	"github.com/raykavin/backnrun/strategies"
	"github.com/raykavin/backnrun/core"
	"github.com/raykavin/backnrun/exchange"
	
	"github.com/raykavin/backnrun/plot"
	"github.com/raykavin/backnrun/storage"
)

func main() {
	// Set up context and logging
	ctx := context.Background()
	log :=bot.DefaultLog
	log.SetLevel(core.DebugLevel)

	// Initialize trading strategy
	strategy := strategies.NewCrossEMA(9, 21, 10.0)

	// Configure trading pairs
	settings := &core.Settings{
		Pairs: []string{"BTCUSDT"},
	}

	// Initialize data feed
	dataFeed, err := exchange.NewCSVFeed(
		strategy.Timeframe(),
		exchange.PairFeed{
			Pair:      "BTCUSDT",
			File:      "btc-15m.csv",
			Timeframe: "15m",
		},
	)
	if err != nil {
		log.Fatal(err)
	}

	// Initialize in-memory storage
	db, err := storage.FromMemory()
	if err != nil {
		log.Fatal(err)
	}

	// Initialize paper wallet
	wallet := exchange.NewPaperWallet(
		ctx,
		"USDT",
		log,
		exchange.WithPaperAsset("USDT", 1000),
		exchange.WithDataFeed(dataFeed),
	)

	// Initialize chart
	chart, err := plot.NewChart(
		log,
		plot.WithStrategyIndicators(strategy),
		plot.WithPaperWallet(wallet),
	)
	if err != nil {
		log.Fatal(err)
	}

	// Set up the trading bot
	bot, err := bot.NewBot(
		ctx,
		settings,
		wallet,
		strategy,
		log,
		bot.WithBacktest(wallet),
		bot.WithStorage(db),
		bot.WithCandleSubscription(chart),
		bot.WithOrderSubscription(chart),
	)
	if err != nil {
		log.Fatal(err)
	}

	// Run simulation
	if err := bot.Run(ctx); err != nil {
		log.Fatal(err)
	}

	// Display results
	bot.Summary()

	// Show interactive chart
	if err := chart.Start(); err != nil {
		log.Fatal(err)
	}
}

Run the backtest:

go run backtest.go

🤖 Available Strategies

BackNRun comes with several example strategies:

• EMA Cross: Trading based on exponential moving average crossovers
• MACD Divergence: Trading based on MACD indicator divergence
• Triple EMA Cross: Trading using three exponential moving averages
• Trend Master: Trend-following strategy with multiple indicators
• Turtle Trading: Implementation of the famous Turtle Trading system
• Larry Williams 91: Based on Larry Williams' trading methodology
• Trailing Stop: Strategy with dynamic trailing stop-loss
• OCO Sell: One-Cancels-the-Other order strategy

Creating Custom Strategies

To create a custom strategy, implement the core.Strategy interface:

type Strategy interface {
	// Timeframe is the time interval in which the strategy will be executed. eg: 1h, 1d, 1w
	Timeframe() string
	// WarmupPeriod is the necessary time to wait before executing the strategy, to load data for indicators.
	// This time is measured in the period specified in the `Timeframe` function.
	WarmupPeriod() int
	// Indicators will be executed for each new candle, in order to fill indicators before `OnCandle` function is called.
	Indicators(df *Dataframe) []ChartIndicator
	// OnCandle will be executed for each new candle, after indicators are filled, here you can do your trading logic.
	// OnCandle is executed after the candle close.
	OnCandle(df *Dataframe, broker Broker)
}

Example of a simple strategy:

type MyStrategy struct {
	// Strategy parameters
	fastPeriod int
	slowPeriod int
}

func NewMyStrategy() *MyStrategy {
	return &MyStrategy{
		fastPeriod: 9,
		slowPeriod: 21,
	}
}

func (s *MyStrategy) Timeframe() string {
	return "1h"
}

func (s *MyStrategy) WarmupPeriod() int {
	return 100
}

func (s *MyStrategy) Indicators(df *core.Dataframe) []core.ChartIndicator {
	// Calculate indicators
	df.Metadata["fast"] = indicator.EMA(df.Close, s.fastPeriod)
	df.Metadata["slow"] = indicator.EMA(df.Close, s.slowPeriod)

	// Return chart indicators for visualization
	return []core.ChartIndicator{
		{
			Overlay: true,
			GroupName: "Moving Averages",
			Time: df.Time,
			Metrics: []core.IndicatorMetric{
				{
					Values: df.Metadata["fast"],
					Name:   "Fast EMA",
					Color:  "red",
					Style:  core.StyleLine,
				},
				{
					Values: df.Metadata["slow"],
					Name:   "Slow EMA",
					Color:  "blue",
					Style:  core.StyleLine,
				},
			},
		},
	}
}

func (s *MyStrategy) OnCandle(ctx context.Context, df *core.Dataframe, broker core.Broker) {
	// Get current position
	assetPosition, quotePosition, err := broker.Position(df.Pair)
	if err != nil {
		return
	}

	// Get indicator values
	fast := df.Metadata["fast"].Last(0)
	slow := df.Metadata["slow"].Last(0)
	
	// Buy signal: fast EMA crosses above slow EMA
	if fast > slow && df.Metadata["fast"].Last(1) <= df.Metadata["slow"].Last(1) && quotePosition > 0 {
		// Calculate position size
		price := df.Close.Last(0)
		amount := quotePosition / price
		
		// Create market buy order
		broker.CreateOrderMarket(core.SideTypeBuy, df.Pair, amount)
	}
	
	// Sell signal: fast EMA crosses below slow EMA
	if fast < slow && df.Metadata["fast"].Last(1) >= df.Metadata["slow"].Last(1) && assetPosition > 0 {
		// Create market sell order
		broker.CreateOrderMarket(core.SideTypeSell, df.Pair, assetPosition)
	}
}

📊 Parameter Optimization

BackNRun includes a powerful parameter optimization package that helps you find the best parameters for your trading strategies. The optimizer supports multiple algorithms and performance metrics.

Optimization Algorithms

• Grid Search: Exhaustively tests all combinations of parameter values within specified ranges
• Random Search: Tests random combinations of parameter values, which can be more efficient for high-dimensional parameter spaces

Performance Metrics

The optimizer tracks various performance metrics:

• profit: Total profit
• win_rate: Percentage of winning trades
• payoff: Payoff ratio (average win / average loss)
• profit_factor: Profit factor (gross profit / gross loss)
• sqn: System Quality Number
• drawdown: Maximum drawdown
• sharpe_ratio: Sharpe ratio
• trade_count: Total number of trades

Example: Optimizing a Strategy

package main

import (
	"context"
	"fmt"
	"time"

	"github.com/raykavin/backnrun/bot"
	"github.com/raykavin/backnrun/strategies"
	"github.com/raykavin/backnrun/core"
	"github.com/raykavin/backnrun/exchange"
	
	"github.com/raykavin/backnrun/optimizer"
)

func main() {
	// Set up context and logging
	ctx := context.Background()
	log := bot.DefaultLog
	log.SetLevel(core.InfoLevel)

	// Initialize data feed for backtesting
	dataFeed, err := exchange.NewCSVFeed(
		"15m",
		exchange.PairFeed{
			Pair:      "BTCUSDT",
			File:      "btc-15m.csv",
			Timeframe: "15m",
		},
	)
	if err != nil {
		log.Fatal(err)
	}

	// Configure trading pairs
	settings := &core.Settings{
		Pairs: []string{"BTCUSDT"},
	}

	// Create strategy factory for EMA Cross strategy
	strategyFactory := func(params optimizer.ParameterSet) (core.Strategy, error) {
		// Extract parameters with validation
		emaLength, ok := params["emaLength"].(int)
		if !ok {
			return nil, fmt.Errorf("emaLength must be an integer")
		}

		smaLength, ok := params["smaLength"].(int)
		if !ok {
			return nil, fmt.Errorf("smaLength must be an integer")
		}

		minQuoteAmount, ok := params["minQuoteAmount"].(float64)
		if !ok {
			return nil, fmt.Errorf("minQuoteAmount must be a float")
		}

		// Create and return the strategy
		return strategies.NewCrossEMA(emaLength, smaLength, minQuoteAmount), nil
	}

	// Create evaluator
	evaluator := optimizer.NewBacktestStrategyEvaluator(
		strategyFactory,
		settings,
		dataFeed,
		log,
		1000.0, // Starting balance
		"USDT", // Quote currency
	)

	// Define parameters for optimization
	parameters := []optimizer.Parameter{
		{
			Name:        "emaLength",
			Description: "Length of the EMA indicator",
			Default:     9,
			Min:         3,
			Max:         50,
			Step:        1,
			Type:        optimizer.TypeInt,
		},
		{
			Name:        "smaLength",
			Description: "Length of the SMA indicator",
			Default:     21,
			Min:         5,
			Max:         100,
			Step:        5,
			Type:        optimizer.TypeInt,
		},
		{
			Name:        "minQuoteAmount",
			Description: "Minimum quote currency amount for trades",
			Default:     10.0,
			Min:         1.0,
			Max:         100.0,
			Step:        5.0,
			Type:        optimizer.TypeFloat,
		},
	}

	// Configure optimizer
	config := optimizer.NewConfig().
		WithParameters(parameters...).
		WithMaxIterations(50).
		WithParallelism(4).
		WithLogger(log).
		WithTargetMetric(optimizer.MetricProfit, true)

	// Create grid search optimizer
	gridSearch, err := optimizer.NewGridSearch(config)
	if err != nil {
		log.Fatal(err)
	}

	// Run optimization
	fmt.Println("Starting grid search optimization...")
	startTime := time.Now()

	results, err := gridSearch.Optimize(
		ctx,
		evaluator,
		optimizer.MetricProfit,
		true,
	)
	if err != nil {
		log.Fatal(err)
	}

	duration := time.Since(startTime)
	fmt.Printf("Optimization completed in %s\n", duration.Round(time.Second))

	// Print results
	optimizer.PrintResults(results, optimizer.MetricProfit, 5)

	// Save results to CSV
	outputFile := "ema_optimization_results.csv"
	if err := optimizer.SaveResultsToCSV(results, optimizer.MetricProfit, outputFile); err != nil {
		log.Errorf("Failed to save results: %v", err)
	} else {
		fmt.Printf("Results saved to %s\n", outputFile)
	}
}

🛑 Live Trading

To use BackNRun for live trading, you need to configure it with a real exchange:

package main

import (
	"context"

	"github.com/raykavin/backnrun/bot"
	"github.com/raykavin/backnrun/strategies"
	"github.com/raykavin/backnrun/core"
	"github.com/raykavin/backnrun/exchange/binance"
	
	"github.com/raykavin/backnrun/notification"
)

func main() {
	// Set up context and logging
	ctx := context.Background()
	log :=bot.DefaultLog
	log.SetLevel(core.InfoLevel)

	// Initialize trading strategy
	strategy := strategies.NewCrossEMA(9, 21, 10.0)

	// Configure trading pairs
	settings := &core.Settings{
		Pairs: []string{"BTCUSDT"},
	}

	// Initialize Binance exchange
	exchange, err := binance.NewExchange(ctx, log, binance.Config{
		Type:      binance.MarketTypeSpot,
		ApiKey:    "YOUR_API_KEY",
		ApiSecret: "YOUR_API_SECRET",
	})
	if err != nil {
		log.Fatal(err)
	}

	// Initialize Telegram notifications (optional)
	telegramNotifier, err := notification.NewTelegram(
		"YOUR_TELEGRAM_BOT_TOKEN",
		"YOUR_TELEGRAM_CHAT_ID",
		log,
	)
	if err != nil {
		log.Fatal(err)
	}

	// Set up the trading bot
	bot, err := bot.NewBot(
		ctx,
		settings,
		exchange,
		strategy,
		log,
		bot.WithTelegram(telegramNotifier),
	)
	if err != nil {
		log.Fatal(err)
	}

	// Run the bot
	if err := bot.Run(ctx); err != nil {
		log.Fatal(err)
	}
}

🤝 Contributing

Contributions to BackNRun are welcome! Here are some ways you can help improve the project:

• Report bugs and suggest features by opening issues on GitHub
• Submit pull requests with bug fixes or new features
• Improve documentation to help other users and developers
• Share your custom strategies with the community

📄 License

BackNRun is distributed under the GNU General Public License v3.0.
For complete license terms and conditions, see the LICENSE file in the repository.

Copyright © Raykavin Meireles

📬 Contact

For support, collaboration, or questions about BackNRun:

Email: raykavin.meireles@gmail.com
GitHub: @raykavin
LinkedIn: @raykavin.dev
Instagram: @raykavin.dev