mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 16:25:16 +00:00
feature/profitTracker: integrate profit report with profit tracker
This commit is contained in:
Andy Cheng
parent
a197352c6e
commit
027acfe3b5
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@ -164,7 +164,20 @@ func (e *GeneralOrderExecutor) BindProfitStats(profitStats *types.ProfitStats) {
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}
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func (e *GeneralOrderExecutor) BindProfitTracker(profitTracker *report.ProfitTracker) {
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profitTracker.Bind(e.tradeCollector, e.session)
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e.session.Subscribe(types.KLineChannel, profitTracker.Market.Symbol, types.SubscribeOptions{Interval: profitTracker.Interval})
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e.tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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profitTracker.AddProfit(*profit)
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})
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e.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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profitTracker.AddTrade(trade)
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})
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// Rotate profitStats slice
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e.session.MarketDataStream.OnKLineClosed(types.KLineWith(profitTracker.Market.Symbol, profitTracker.Interval, func(kline types.KLine) {
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profitTracker.Rotate()
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}))
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}
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func (e *GeneralOrderExecutor) Bind() {
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@ -2,7 +2,6 @@ package report
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import (
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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@ -12,134 +11,104 @@ import (
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// AccumulatedProfitReport For accumulated profit report output
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type AccumulatedProfitReport struct {
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// AccumulatedProfitMAWindow Accumulated profit SMA window, in number of trades
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AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"`
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// ProfitMAWindow Accumulated profit SMA window
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ProfitMAWindow int `json:"ProfitMAWindow"`
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// IntervalWindow interval window, in days
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IntervalWindow int `json:"intervalWindow"`
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// NumberOfInterval How many intervals to output to TSV
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NumberOfInterval int `json:"NumberOfInterval"`
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// ShortTermProfitWindow The window to sum up the short-term profit
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ShortTermProfitWindow int `json:"shortTermProfitWindow"`
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// TsvReportPath The path to output report to
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TsvReportPath string `json:"tsvReportPath"`
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// AccumulatedDailyProfitWindow The window to sum up the daily profit, in days
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AccumulatedDailyProfitWindow int `json:"accumulatedDailyProfitWindow"`
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symbol string
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Symbol string
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types.IntervalWindow
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// Accumulated profit
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accumulatedProfit fixedpoint.Value
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accumulatedProfitPerDay floats.Slice
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previousAccumulatedProfit fixedpoint.Value
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accumulatedProfitPerInterval floats.Slice
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// Accumulated profit MA
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accumulatedProfitMA *indicator.SMA
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accumulatedProfitMAPerDay floats.Slice
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profitMA *indicator.SMA
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profitMAPerInterval floats.Slice
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// Daily profit
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dailyProfit floats.Slice
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// Profit of each interval
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ProfitPerInterval floats.Slice
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// Accumulated fee
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accumulatedFee fixedpoint.Value
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accumulatedFeePerDay floats.Slice
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accumulatedFeePerInterval floats.Slice
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// Win ratio
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winRatioPerDay floats.Slice
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winRatioPerInterval floats.Slice
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// Profit factor
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profitFactorPerDay floats.Slice
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profitFactorPerInterval floats.Slice
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// Trade number
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dailyTrades floats.Slice
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accumulatedTrades int
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previousAccumulatedTrades int
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accumulatedTradesPerInterval floats.Slice
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// Extra values
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extraValues [][2]string
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strategyParameters [][2]string
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}
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func (r *AccumulatedProfitReport) Initialize(Symbol string, session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor, TradeStats *types.TradeStats) {
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r.Symbol = Symbol
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func (r *AccumulatedProfitReport) Initialize(symbol string, interval types.Interval, window int) {
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r.symbol = symbol
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r.Interval = interval
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r.Window = window
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if r.AccumulatedProfitMAWindow <= 0 {
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r.AccumulatedProfitMAWindow = 60
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}
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if r.IntervalWindow <= 0 {
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r.IntervalWindow = 7
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}
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if r.AccumulatedDailyProfitWindow <= 0 {
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r.AccumulatedDailyProfitWindow = 7
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}
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if r.NumberOfInterval <= 0 {
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r.NumberOfInterval = 1
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}
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r.accumulatedProfitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1d, Window: r.AccumulatedProfitMAWindow}}
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session.Subscribe(types.KLineChannel, r.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
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// Record profit
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orderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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if r.ProfitMAWindow <= 0 {
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r.ProfitMAWindow = 60
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}
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r.RecordProfit(profit.Profit)
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})
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// Record trade
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orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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r.RecordTrade(trade.Fee)
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})
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// Record daily status
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session.MarketDataStream.OnKLineClosed(types.KLineWith(r.Symbol, types.Interval1d, func(kline types.KLine) {
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r.DailyUpdate(TradeStats)
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}))
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if r.Window <= 0 {
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r.Window = 7
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}
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func (r *AccumulatedProfitReport) AddExtraValue(valueAndTitle [2]string) {
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r.extraValues = append(r.extraValues, valueAndTitle)
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if r.ShortTermProfitWindow <= 0 {
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r.ShortTermProfitWindow = 7
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}
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func (r *AccumulatedProfitReport) RecordProfit(profit fixedpoint.Value) {
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r.accumulatedProfit = r.accumulatedProfit.Add(profit)
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r.profitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: r.Interval, Window: r.ProfitMAWindow}}
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}
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func (r *AccumulatedProfitReport) RecordTrade(fee fixedpoint.Value) {
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r.accumulatedFee = r.accumulatedFee.Add(fee)
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func (r *AccumulatedProfitReport) AddStrategyParameter(title string, value string) {
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r.strategyParameters = append(r.strategyParameters, [2]string{title, value})
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}
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func (r *AccumulatedProfitReport) AddTrade(trade types.Trade) {
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r.accumulatedFee = r.accumulatedFee.Add(trade.Fee)
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r.accumulatedTrades += 1
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}
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func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
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// Daily profit
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r.dailyProfit.Update(r.accumulatedProfit.Sub(r.previousAccumulatedProfit).Float64())
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r.previousAccumulatedProfit = r.accumulatedProfit
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func (r *AccumulatedProfitReport) Rotate(ps *types.ProfitStats, ts *types.TradeStats) {
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// Accumulated profit
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r.accumulatedProfitPerDay.Update(r.accumulatedProfit.Float64())
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r.accumulatedProfit.Add(ps.AccumulatedNetProfit)
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r.accumulatedProfitPerInterval.Update(r.accumulatedProfit.Float64())
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// Accumulated profit MA
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r.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
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r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last(0))
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// Profit of each interval
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r.ProfitPerInterval.Update(ps.AccumulatedNetProfit.Float64())
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// Profit MA
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r.profitMA.Update(r.accumulatedProfit.Float64())
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r.profitMAPerInterval.Update(r.profitMA.Last(0))
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// Accumulated Fee
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r.accumulatedFeePerDay.Update(r.accumulatedFee.Float64())
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r.accumulatedFeePerInterval.Update(r.accumulatedFee.Float64())
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// Trades
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r.accumulatedTradesPerInterval.Update(float64(r.accumulatedTrades))
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// Win ratio
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r.winRatioPerDay.Update(tradeStats.WinningRatio.Float64())
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r.winRatioPerInterval.Update(ts.WinningRatio.Float64())
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// Profit factor
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r.profitFactorPerDay.Update(tradeStats.ProfitFactor.Float64())
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// Daily trades
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r.dailyTrades.Update(float64(r.accumulatedTrades - r.previousAccumulatedTrades))
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r.previousAccumulatedTrades = r.accumulatedTrades
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r.profitFactorPerInterval.Update(ts.ProfitFactor.Float64())
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}
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// Output Accumulated profit report to a TSV file
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func (r *AccumulatedProfitReport) Output(symbol string) {
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func (r *AccumulatedProfitReport) Output() {
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if r.TsvReportPath != "" {
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tsvwiter, err := tsv.AppendWriterFile(r.TsvReportPath)
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if err != nil {
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@ -150,46 +119,34 @@ func (r *AccumulatedProfitReport) Output(symbol string) {
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titles := []string{
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"#",
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"Symbol",
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"accumulatedProfit",
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"accumulatedProfitMA",
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fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow),
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"Total Net Profit",
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fmt.Sprintf("Total Net Profit %sMA%d", r.Interval, r.Window),
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fmt.Sprintf("%s %d Net Profit", r.Interval, r.ShortTermProfitWindow),
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"accumulatedFee",
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"accumulatedNetProfit",
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"winRatio",
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"profitFactor",
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"60D trades",
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fmt.Sprintf("%s %d Trades", r.Interval, r.Window),
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}
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for i := 0; i < len(r.extraValues); i++ {
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titles = append(titles, r.extraValues[i][0])
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for i := 0; i < len(r.strategyParameters); i++ {
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titles = append(titles, r.strategyParameters[i][0])
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}
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_ = tsvwiter.Write(titles)
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// Output data row
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for i := 0; i <= r.NumberOfInterval-1; i++ {
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accumulatedProfit := r.accumulatedProfitPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitStr := fmt.Sprintf("%f", accumulatedProfit)
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accumulatedProfitMA := r.accumulatedProfitMAPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitMAStr := fmt.Sprintf("%f", accumulatedProfitMA)
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intervalAccumulatedProfit := r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum() - r.dailyProfit.Tail(r.IntervalWindow*i).Sum()
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intervalAccumulatedProfitStr := fmt.Sprintf("%f", intervalAccumulatedProfit)
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accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
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accumulatedNetProfit := fmt.Sprintf("%f", accumulatedProfit-r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
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winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i))
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profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i))
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trades := r.dailyTrades.Tail(60+r.IntervalWindow*i).Sum() - r.dailyTrades.Tail(r.IntervalWindow*i).Sum()
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tradesStr := fmt.Sprintf("%f", trades)
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for i := 0; i <= r.Window-1; i++ {
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values := []string{
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fmt.Sprintf("%d", i+1),
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symbol, accumulatedProfitStr,
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accumulatedProfitMAStr,
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intervalAccumulatedProfitStr,
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accumulatedFee,
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accumulatedNetProfit,
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winRatio, profitFactor,
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tradesStr,
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r.symbol,
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fmt.Sprintf("%f", r.accumulatedProfitPerInterval.Last(i)),
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fmt.Sprintf("%f", r.profitMAPerInterval.Last(i)),
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fmt.Sprintf("%f", r.accumulatedProfitPerInterval.Last(i)-r.accumulatedProfitPerInterval.Last(i+r.ShortTermProfitWindow)),
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fmt.Sprintf("%f", r.accumulatedFeePerInterval.Last(i)),
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fmt.Sprintf("%f", r.winRatioPerInterval.Last(i)),
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fmt.Sprintf("%f", r.profitFactorPerInterval.Last(i)),
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fmt.Sprintf("%f", r.accumulatedTradesPerInterval.Last(i)),
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}
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for j := 0; j < len(r.extraValues); j++ {
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values = append(values, r.extraValues[j][1])
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for j := 0; j < len(r.strategyParameters); j++ {
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values = append(values, r.strategyParameters[j][1])
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}
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_ = tsvwiter.Write(values)
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}
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@ -1,64 +1,59 @@
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package report
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ProfitTracker struct {
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types.IntervalWindow
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// Accumulated profit report
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AccumulatedProfitReport *AccumulatedProfitReport `json:"accumulatedProfitReport"`
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Market types.Market
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ProfitStatsSlice []*types.ProfitStats
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CurrentProfitStats **types.ProfitStats
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market types.Market
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tradeStats *types.TradeStats
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}
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// InitOld is for backward capability. ps is the ProfitStats of the strategy, market is the strategy market
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func (p *ProfitTracker) InitOld(ps **types.ProfitStats, market types.Market) {
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p.market = market
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// InitOld is for backward capability. ps is the ProfitStats of the strategy, Market is the strategy Market
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func (p *ProfitTracker) InitOld(market types.Market, ps **types.ProfitStats, ts *types.TradeStats) {
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p.Market = market
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if *ps == nil {
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*ps = types.NewProfitStats(p.market)
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*ps = types.NewProfitStats(p.Market)
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}
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p.tradeStats = ts
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p.CurrentProfitStats = ps
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *ps)
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.Initialize(p.Market.Symbol, p.Interval, p.Window)
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}
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}
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// Init initialize the tracker with the given market
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func (p *ProfitTracker) Init(market types.Market) {
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p.market = market
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*p.CurrentProfitStats = types.NewProfitStats(p.market)
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
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}
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func (p *ProfitTracker) Bind(tradeCollector *bbgo.TradeCollector, session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, p.market.Symbol, types.SubscribeOptions{Interval: p.Interval})
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tradeCollector.OnProfit(func(trade types.Trade, profit *types.Profit) {
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p.AddProfit(*profit)
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})
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tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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p.AddTrade(trade)
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})
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// Rotate profitStats slice
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session.MarketDataStream.OnKLineClosed(types.KLineWith(p.market.Symbol, p.Interval, func(kline types.KLine) {
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p.Rotate()
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}))
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// Init initialize the tracker with the given Market
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func (p *ProfitTracker) Init(market types.Market, ts *types.TradeStats) {
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ps := types.NewProfitStats(p.Market)
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p.InitOld(market, &ps, ts)
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}
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// Rotate the tracker to make a new ProfitStats to record the profits
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func (p *ProfitTracker) Rotate() {
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*p.CurrentProfitStats = types.NewProfitStats(p.market)
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*p.CurrentProfitStats = types.NewProfitStats(p.Market)
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p.ProfitStatsSlice = append(p.ProfitStatsSlice, *p.CurrentProfitStats)
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// Truncate
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if len(p.ProfitStatsSlice) > p.Window {
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p.ProfitStatsSlice = p.ProfitStatsSlice[len(p.ProfitStatsSlice)-p.Window:]
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}
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.Rotate(*p.CurrentProfitStats, p.tradeStats)
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}
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}
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func (p *ProfitTracker) AddProfit(profit types.Profit) {
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@ -67,4 +62,8 @@ func (p *ProfitTracker) AddProfit(profit types.Profit) {
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func (p *ProfitTracker) AddTrade(trade types.Trade) {
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(*p.CurrentProfitStats).AddTrade(trade)
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if p.AccumulatedProfitReport != nil {
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p.AccumulatedProfitReport.AddTrade(trade)
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}
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}
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@ -39,8 +39,6 @@ type Strategy struct {
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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ProfitTracker *report.ProfitTracker `json:"profitTracker" persistence:"profit_tracker"`
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// Symbol is the market symbol you want to trade
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Symbol string `json:"symbol"`
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@ -104,8 +102,7 @@ type Strategy struct {
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// StrategyController
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bbgo.StrategyController
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// Accumulated profit report
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AccumulatedProfitReport *report.AccumulatedProfitReport `json:"accumulatedProfitReport"`
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ProfitTracker *report.ProfitTracker `json:"profitTracker" persistence:"profit_tracker"`
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}
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func (s *Strategy) ID() string {
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@ -330,8 +327,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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if s.ProfitTracker != nil {
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if s.ProfitTracker.CurrentProfitStats == nil {
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s.ProfitTracker.InitOld(&s.ProfitStats, s.Market)
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s.ProfitTracker.InitOld(s.Market, &s.ProfitStats, s.TradeStats)
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}
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// Add strategy parameters to report
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if s.ProfitTracker.AccumulatedProfitReport != nil {
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("window", fmt.Sprintf("%d", s.Window))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier))
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s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK))
|
||||
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend))
|
||||
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema))
|
||||
s.ProfitTracker.AccumulatedProfitReport.AddStrategyParameter("stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre))
|
||||
}
|
||||
}
|
||||
|
||||
// Interval profit report
|
||||
|
|
@ -361,25 +373,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
// AccountValueCalculator
|
||||
s.AccountValueCalculator = bbgo.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
|
||||
|
||||
// Accumulated profit report
|
||||
if bbgo.IsBackTesting {
|
||||
if s.AccumulatedProfitReport == nil {
|
||||
s.AccumulatedProfitReport = &report.AccumulatedProfitReport{}
|
||||
}
|
||||
s.AccumulatedProfitReport.Initialize(s.Symbol, session, s.orderExecutor, s.TradeStats)
|
||||
|
||||
// Add strategy parameters to report
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"window", fmt.Sprintf("%d", s.Window)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema)})
|
||||
s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre)})
|
||||
}
|
||||
|
||||
// For drawing
|
||||
profitSlice := floats.Slice{1., 1.}
|
||||
price, _ := session.LastPrice(s.Symbol)
|
||||
|
|
@ -527,10 +520,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
if bbgo.IsBackTesting {
|
||||
// Output accumulated profit report
|
||||
defer s.AccumulatedProfitReport.Output(s.Symbol)
|
||||
// Output profit report
|
||||
if s.ProfitTracker != nil {
|
||||
if s.ProfitTracker.AccumulatedProfitReport != nil {
|
||||
s.ProfitTracker.AccumulatedProfitReport.Output()
|
||||
}
|
||||
}
|
||||
|
||||
if bbgo.IsBackTesting {
|
||||
// Draw graph
|
||||
if s.DrawGraph {
|
||||
if err := s.Draw(&profitSlice, &cumProfitSlice); err != nil {
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user