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Merge pull request #1283 from andycheng123/improve/profitStatsTracker

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Improve: profitStatsTracker, Add a parameter for window to sum up trades
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Andy Cheng 2023-08-15 13:12:32 +08:00 committed by GitHub
commit 10185ee715
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2 changed files with 6 additions and 2 deletions
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1
config/supertrend.yaml
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@ -119,5 +119,6 @@ exchangeStrategies:
accumulatedProfitReport:
profitMAWindow: 60
shortTermProfitWindow: 14
accumulateTradeWindow: 30
tsvReportPath: res.tsv
trackParameters: false

7
pkg/report/profit_report.go
View File

@ -25,6 +25,9 @@ type AccumulatedProfitReport struct {
types.IntervalWindow
// ProfitMAWindow Accumulated profit SMA window
AccumulateTradeWindow int `json:"accumulateTradeWindow"`
// Accumulated profit
accumulatedProfit fixedpoint.Value
accumulatedProfitPerInterval *types.Float64Series
@ -119,7 +122,7 @@ func (r *AccumulatedProfitReport) CsvHeader() []string {
"accumulatedFee",
"winRatio",
"profitFactor",
fmt.Sprintf("%s%d Trades", r.Interval, r.Window),
fmt.Sprintf("%s%d Trades", r.Interval, r.AccumulateTradeWindow),
}
for i := 0; i < len(r.strategyParameters); i++ {
@ -143,7 +146,7 @@ func (r *AccumulatedProfitReport) CsvRecords() [][]string {
strconv.FormatFloat(r.accumulatedFeePerInterval.Last(i), 'f', 4, 64),
strconv.FormatFloat(r.winRatioPerInterval.Last(i), 'f', 4, 64),
strconv.FormatFloat(r.profitFactorPerInterval.Last(i), 'f', 4, 64),
strconv.FormatFloat(r.accumulatedTradesPerInterval.Last(i), 'f', 4, 64),
strconv.FormatFloat(r.accumulatedTradesPerInterval.Last(i)-r.accumulatedTradesPerInterval.Last(i+r.AccumulateTradeWindow), 'f', 4, 64),
}
for j := 0; j < len(r.strategyParameters); j++ {
values = append(values, r.strategyParameters[j][1])