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Merge pull request #922 from c9s/fix/trade-stats-for-live
fix: types/tradeStats: use last order id to identity consecutive win and loss
This commit is contained in:
Yo-An Lin
GitHub
commit
1c7b40a0be
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@ -193,6 +193,7 @@ type TradeStats struct {
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// MaximumConsecutiveLoss - ($) the longest series of losing trades and their total loss;
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MaximumConsecutiveLoss fixedpoint.Value `json:"maximumConsecutiveLoss" yaml:"maximumConsecutiveLoss"`
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lastOrderID uint64
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consecutiveSide int
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consecutiveCounter int
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consecutiveAmount fixedpoint.Value
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@ -252,7 +253,7 @@ func (s *TradeStats) Add(profit *Profit) {
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s.orderProfits[profit.OrderID] = append(s.orderProfits[profit.OrderID], profit)
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}
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s.add(profit.Profit)
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s.add(profit)
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for _, v := range s.IntervalProfits {
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v.Update(profit)
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@ -275,8 +276,13 @@ func grossProfitReducer(prev, curr fixedpoint.Value) fixedpoint.Value {
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return prev
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}
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// update the trade stats fields from the orderProfits
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func (s *TradeStats) update() {
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// Recalculate the trade stats fields from the orderProfits
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// this is for live-trading, one order may have many trades, and we need to merge them.
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func (s *TradeStats) Recalculate() {
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if len(s.orderProfits) == 0 {
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return
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}
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var profitsByOrder []fixedpoint.Value
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var netProfitsByOrder []fixedpoint.Value
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for _, profits := range s.orderProfits {
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@ -291,12 +297,8 @@ func (s *TradeStats) update() {
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netProfitsByOrder = append(netProfitsByOrder, sumNetProfit)
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}
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s.NumOfProfitTrade = fixedpoint.Count(profitsByOrder, func(a fixedpoint.Value) bool {
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return a.Sign() > 0
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})
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s.NumOfLossTrade = fixedpoint.Count(profitsByOrder, func(a fixedpoint.Value) bool {
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return a.Sign() < 0
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})
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s.NumOfProfitTrade = fixedpoint.Count(profitsByOrder, fixedpoint.PositiveTester)
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s.NumOfLossTrade = fixedpoint.Count(profitsByOrder, fixedpoint.NegativeTester)
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s.TotalNetProfit = fixedpoint.Reduce(profitsByOrder, fixedpoint.SumReducer)
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s.GrossProfit = fixedpoint.Reduce(profitsByOrder, grossProfitReducer)
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s.GrossLoss = fixedpoint.Reduce(profitsByOrder, grossLossReducer)
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@ -304,67 +306,13 @@ func (s *TradeStats) update() {
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sort.Sort(fixedpoint.Descending(profitsByOrder))
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sort.Sort(fixedpoint.Descending(netProfitsByOrder))
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s.Losses = fixedpoint.Filter(profitsByOrder, fixedpoint.NegativeTester)
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s.Profits = fixedpoint.Filter(profitsByOrder, fixedpoint.PositiveTester)
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s.Losses = fixedpoint.Filter(profitsByOrder, fixedpoint.NegativeTester)
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s.LargestProfitTrade = profitsByOrder[0]
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s.LargestLossTrade = profitsByOrder[len(profitsByOrder)-1]
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if s.LargestLossTrade.Sign() > 0 {
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s.LargestLossTrade = fixedpoint.Zero
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}
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}
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func (s *TradeStats) add(pnl fixedpoint.Value) {
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if pnl.Sign() > 0 {
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s.NumOfProfitTrade++
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s.Profits = append(s.Profits, pnl)
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s.GrossProfit = s.GrossProfit.Add(pnl)
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s.LargestProfitTrade = fixedpoint.Max(s.LargestProfitTrade, pnl)
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// consecutive same side (made profit last time)
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if s.consecutiveSide == 0 || s.consecutiveSide == 1 {
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s.consecutiveSide = 1
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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} else { // was loss, now profit, store the last loss and the loss amount
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s.MaximumConsecutiveLosses = int(math.Max(float64(s.MaximumConsecutiveLosses), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveLoss = fixedpoint.Min(s.MaximumConsecutiveLoss, s.consecutiveAmount)
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s.consecutiveSide = 1
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s.consecutiveCounter = 0
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s.consecutiveAmount = pnl
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}
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} else {
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s.NumOfLossTrade++
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s.Losses = append(s.Losses, pnl)
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s.GrossLoss = s.GrossLoss.Add(pnl)
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s.LargestLossTrade = fixedpoint.Min(s.LargestLossTrade, pnl)
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// consecutive same side (made loss last time)
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if s.consecutiveSide == 0 || s.consecutiveSide == -1 {
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s.consecutiveSide = -1
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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} else { // was profit, now loss, store the last win and profit
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s.MaximumConsecutiveWins = int(math.Max(float64(s.MaximumConsecutiveWins), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveProfit = fixedpoint.Max(s.MaximumConsecutiveProfit, s.consecutiveAmount)
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s.consecutiveSide = -1
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s.consecutiveCounter = 0
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s.consecutiveAmount = pnl
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}
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}
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s.TotalNetProfit = s.TotalNetProfit.Add(pnl)
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// The win/loss ratio is your wins divided by your losses.
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// In the example, suppose for the sake of simplicity that 60 trades were winners, and 40 were losers.
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// Your win/loss ratio would be 60/40 = 1.5. That would mean that you are winning 50% more often than you are losing.
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if s.NumOfLossTrade == 0 && s.NumOfProfitTrade > 0 {
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s.WinningRatio = fixedpoint.One
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} else {
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s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
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}
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s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss.Abs())
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if len(s.Profits) > 0 {
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@ -373,10 +321,83 @@ func (s *TradeStats) add(pnl fixedpoint.Value) {
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if len(s.Losses) > 0 {
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s.AverageLossTrade = fixedpoint.Avg(s.Losses)
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}
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s.updateWinningRatio()
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}
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func (s *TradeStats) add(profit *Profit) {
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pnl := profit.Profit
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// order id changed
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if s.lastOrderID != profit.OrderID {
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if pnl.Sign() > 0 {
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s.NumOfProfitTrade++
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s.GrossProfit = s.GrossProfit.Add(pnl)
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if s.consecutiveSide == 0 {
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s.consecutiveSide = 1
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s.consecutiveCounter = 1
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s.consecutiveAmount = pnl
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} else if s.consecutiveSide == 1 {
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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s.MaximumConsecutiveWins = int(math.Max(float64(s.MaximumConsecutiveWins), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveProfit = fixedpoint.Max(s.MaximumConsecutiveProfit, s.consecutiveAmount)
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} else {
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s.MaximumConsecutiveLosses = int(math.Max(float64(s.MaximumConsecutiveLosses), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveLoss = fixedpoint.Min(s.MaximumConsecutiveLoss, s.consecutiveAmount)
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s.consecutiveSide = 1
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s.consecutiveCounter = 1
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s.consecutiveAmount = pnl
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}
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} else {
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s.NumOfLossTrade++
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s.GrossLoss = s.GrossLoss.Add(pnl)
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if s.consecutiveSide == 0 {
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s.consecutiveSide = -1
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s.consecutiveCounter = 1
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s.consecutiveAmount = pnl
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} else if s.consecutiveSide == -1 {
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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s.MaximumConsecutiveLosses = int(math.Max(float64(s.MaximumConsecutiveLosses), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveLoss = fixedpoint.Min(s.MaximumConsecutiveLoss, s.consecutiveAmount)
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} else { // was profit, now loss, store the last win and profit
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s.MaximumConsecutiveWins = int(math.Max(float64(s.MaximumConsecutiveWins), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveProfit = fixedpoint.Max(s.MaximumConsecutiveProfit, s.consecutiveAmount)
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s.consecutiveSide = -1
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s.consecutiveCounter = 1
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s.consecutiveAmount = pnl
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}
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}
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} else {
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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}
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s.lastOrderID = profit.OrderID
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s.TotalNetProfit = s.TotalNetProfit.Add(pnl)
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s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss.Abs())
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s.updateWinningRatio()
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}
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func (s *TradeStats) updateWinningRatio() {
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// The win/loss ratio is your wins divided by your losses.
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// In the example, suppose for the sake of simplicity that 60 trades were winners, and 40 were losers.
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// Your win/loss ratio would be 60/40 = 1.5. That would mean that you are winning 50% more often than you are losing.
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if s.NumOfLossTrade == 0 && s.NumOfProfitTrade == 0 {
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s.WinningRatio = fixedpoint.Zero
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} else if s.NumOfLossTrade == 0 && s.NumOfProfitTrade > 0 {
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s.WinningRatio = fixedpoint.One
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} else {
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s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
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}
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}
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// Output TradeStats without Profits and Losses
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func (s *TradeStats) BriefString() string {
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s.Recalculate()
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out, _ := yaml.Marshal(&TradeStats{
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Symbol: s.Symbol,
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WinningRatio: s.WinningRatio,
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@ -400,6 +421,7 @@ func (s *TradeStats) BriefString() string {
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}
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func (s *TradeStats) String() string {
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s.Recalculate()
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out, _ := yaml.Marshal(s)
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return string(out)
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}
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45
pkg/types/trade_stats_test.go
Normal file
45
pkg/types/trade_stats_test.go
Normal file
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@ -0,0 +1,45 @@
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package types
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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func number(v float64) fixedpoint.Value {
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return fixedpoint.NewFromFloat(v)
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}
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func TestTradeStats_consecutiveCounterAndAmount(t *testing.T) {
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stats := NewTradeStats("BTCUSDT")
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stats.add(&Profit{OrderID: 1, Profit: number(20.0)})
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stats.add(&Profit{OrderID: 1, Profit: number(30.0)})
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assert.Equal(t, 1, stats.consecutiveSide)
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assert.Equal(t, 1, stats.consecutiveCounter)
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assert.Equal(t, "50", stats.consecutiveAmount.String())
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stats.add(&Profit{OrderID: 2, Profit: number(50.0)})
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stats.add(&Profit{OrderID: 2, Profit: number(50.0)})
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assert.Equal(t, 1, stats.consecutiveSide)
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assert.Equal(t, 2, stats.consecutiveCounter)
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assert.Equal(t, "150", stats.consecutiveAmount.String())
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assert.Equal(t, 2, stats.MaximumConsecutiveWins)
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stats.add(&Profit{OrderID: 3, Profit: number(-50.0)})
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stats.add(&Profit{OrderID: 3, Profit: number(-50.0)})
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assert.Equal(t, -1, stats.consecutiveSide)
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assert.Equal(t, 1, stats.consecutiveCounter)
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assert.Equal(t, "-100", stats.consecutiveAmount.String())
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assert.Equal(t, "150", stats.MaximumConsecutiveProfit.String())
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assert.Equal(t, "0", stats.MaximumConsecutiveLoss.String())
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stats.add(&Profit{OrderID: 4, Profit: number(-100.0)})
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assert.Equal(t, -1, stats.consecutiveSide)
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assert.Equal(t, 2, stats.consecutiveCounter)
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assert.Equal(t, "-200", stats.MaximumConsecutiveLoss.String())
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assert.Equal(t, 2, stats.MaximumConsecutiveLosses)
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}
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