Script to create fake backtest data.

[kenorb]

We need CLI script gen_bt_data.py which would generate artificial backtest data.

Output format in CSV (as shown in here).

Expected command-line parameters are:

• [x] start_date end_date start_value end_value, e.g. to generate data for 2 days:

  ./gen_bt_data.py 2014.01.01 2014.01.02 1.0 2.0

  which would start from the specified value 1.0 and end with 2.0 (incrementing/decrementing the values accordingly)

• [x] optional -d for number of digits (default: 5, e.g. 1.00000)
• [x] optional -s for spread in points (the difference between buy and sell), default 10 (1.00000,1.00010 in case of 5 digits)
• [x] optional -d for density (how many changes) per minute (default: 1), 60 means every second, 120 every half a second
• [x] optional -p for patterns type (possible options: default none, wave, curve, zigzag, random)
  • [x] all patterns exempt random should be generated the same way each time
  • [x] specify volatility/amplitude by -v for sin/cos wave and other
• [x] optional -o file for output file, otherwise print to the standard output

  Patterns

• none, straight line based on start and end value

• zigzag pattern:

  

• wave

  

• curve

  
• random, anything random as far as it end up with the ending value (-v describe volatility/fury of random)