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feature/profitTracker: fix bugs
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@ -112,3 +112,11 @@ exchangeStrategies:
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# If true, looking for lower lows in long position and higher highs in short position. If false, looking for
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# higher highs in long position and lower lows in short position
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oppositeDirectionAsPosition: false
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profitTracker:
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Interval: 1d
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Window: 30
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accumulatedProfitReport:
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profitMAWindow: 60
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shortTermProfitWindow: 14
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tsvReportPath: res.tsv
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@ -167,6 +167,10 @@ func (e *GeneralOrderExecutor) BindProfitTracker(profitTracker *report.ProfitTra
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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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if profit == nil {
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return
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}
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profitTracker.AddProfit(*profit)
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})
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@ -12,7 +12,7 @@ import (
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// AccumulatedProfitReport For accumulated profit report output
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type AccumulatedProfitReport struct {
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// ProfitMAWindow Accumulated profit SMA window
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ProfitMAWindow int `json:"ProfitMAWindow"`
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ProfitMAWindow int `json:"profitMAWindow"`
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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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@ -84,7 +84,7 @@ func (r *AccumulatedProfitReport) AddTrade(trade types.Trade) {
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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.accumulatedProfit.Add(ps.AccumulatedNetProfit)
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r.accumulatedProfit = r.accumulatedProfit.Add(ps.AccumulatedNetProfit)
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r.accumulatedProfitPerInterval.Update(r.accumulatedProfit.Float64())
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// Profit of each interval
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@ -120,12 +120,12 @@ func (r *AccumulatedProfitReport) Output() {
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"#",
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"Symbol",
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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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fmt.Sprintf("Total Net Profit %sMA%d", r.Interval, r.ProfitMAWindow),
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fmt.Sprintf("%s%d Net Profit", r.Interval, r.ShortTermProfitWindow),
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"accumulatedFee",
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"winRatio",
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"profitFactor",
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fmt.Sprintf("%s %d Trades", r.Interval, r.Window),
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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.strategyParameters); i++ {
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titles = append(titles, r.strategyParameters[i][0])
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@ -44,16 +44,17 @@ func (p *ProfitTracker) Init(market types.Market, ts *types.TradeStats) {
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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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// Update report
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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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*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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@ -39,6 +39,8 @@ 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"`
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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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@ -101,8 +103,6 @@ type Strategy struct {
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// StrategyController
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bbgo.StrategyController
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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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@ -367,7 +367,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.BindProfitTracker(s.ProfitTracker)
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if s.ProfitTracker != nil {
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s.orderExecutor.BindProfitTracker(s.ProfitTracker)
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}
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s.orderExecutor.Bind()
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// AccountValueCalculator
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