Merge pull request #878 from zenixls2/drift_rebase

Drift rebase

apps/backtest-report/components/TradingViewChart.tsx

@@ -71,7 +71,7 @@ const parseOrder = () => {
           case "update_time":
           case "creation_time":
           case "time":
-            d[key] = new Date(d[key]);
+            d[key] = moment(d[key], 'dddd, DD MMM YYYY h:mm:ss').toDate();
             break;
         }
       }

config/drift.yaml

@@ -31,16 +31,25 @@ exchangeStrategies:
     stoploss: 0.3%
     source: close
     predictOffset: 2
-    # the init value of takeProfitFactor Series, position avg +- takeProfitFactor * atr as take profit price
-    takeProfitFactor: 6
-    profitFactorWindow: 8
     noTrailingStopLoss: false
+    trailingStopLossType: kline
     # stddev on high/low-source
-    hlVarianceMultiplier: 0.22
+    hlVarianceMultiplier: 0.23
     hlRangeWindow: 5
-    smootherWindow: 2
+    window1m: 24
-    fisherTransformWindow: 8
+    smootherWindow1m: 24
+    fisherTransformWindow1m: 162
+    smootherWindow: 1
+    fisherTransformWindow: 9
     atrWindow: 14
+    # orders not been traded will be canceled after `pendingMinutes` minutes
+    pendingMinutes: 3
+    noRebalance: true
+    trendWindow: 12
+    rebalanceFilter: 1.5
+
+    trailingActivationRatio: [0.004]
+    trailingCallbackRate: [0.001]
 
     generateGraph: true
     graphPNLDeductFee: true
@@ -79,7 +88,7 @@ sync:
 
 backtest:
   startTime: "2022-01-01"
-  endTime: "2022-07-29"
+  endTime: "2022-08-30"
   symbols:
     - ETHBUSD
   sessions: [binance]

config/driftBTC.yaml

@@ -24,7 +24,7 @@ exchangeStrategies:
 - on: binance
   drift:
     canvasPath: "./output.png"
-    symbol: BTCBUSD
+    symbol: BTCUSDT
     # kline interval for indicators
     interval: 15m
     window: 2
@@ -32,18 +32,33 @@ exchangeStrategies:
     source: close
     predictOffset: 2
     noTrailingStopLoss: false
+    trailingStopLossType: kline
     # stddev on high/low-source
     hlVarianceMultiplier: 0.22
     hlRangeWindow: 5
-    smootherWindow: 2
+    smootherWindow: 1
     fisherTransformWindow: 9
-    # the init value of takeProfitFactor Series, the coefficient of ATR as TP
+    window1m: 22
-    takeProfitFactor: 6
+    smootherWindow1m: 18
-    profitFactorWindow: 8
+    fisherTransformWindow1m: 162
     atrWindow: 14
+    # orders not been traded will be canceled after `pendingMinutes` minutes
+    pendingMinutes: 5
+    noRebalance: true
+    trendWindow: 576
+    rebalanceFilter: 0
+    
+    # ActivationRatio should be increasing order
+    # when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
+    #trailingActivationRatio: [0.01, 0.016, 0.05]
+    trailingActivationRatio: [0.0012, 0.002, 0.01, 0.016]
+    #trailingActivationRatio: []
+    #trailingCallbackRate: []
+    #trailingCallbackRate: [0.002, 0.01, 0.1]
+    trailingCallbackRate: [0.0004, 0.0008, 0.002, 0.01]
 
     generateGraph: true
-    graphPNLDeductFee: true
+    graphPNLDeductFee: false
     graphPNLPath: "./pnl.png"
     graphCumPNLPath: "./cumpnl.png"
     #exits:
@@ -100,18 +115,18 @@ sync:
   sessions:
     - binance
   symbols:
-    - BTCBUSD
+    - BTCUSDT
 
 backtest:
   startTime: "2022-01-01"
-  endTime: "2022-07-29"
+  endTime: "2022-08-30"
   symbols:
-    - BTCBUSD
+    - BTCUSDT
   sessions: [binance]
   accounts:
     binance:
       makerFeeRate: 0.000
-      takerFeeRate: 0.00075
+      #takerFeeRate: 0.000
       balances:
         BTC: 1
-        BUSD: 5000.0
+        USDT: 5000

go.mod

@@ -25,6 +25,7 @@ require (
 	github.com/golang/mock v1.6.0
 	github.com/google/uuid v1.3.0
 	github.com/gorilla/websocket v1.5.0
+	github.com/jedib0t/go-pretty/v6 v6.3.6
 	github.com/jmoiron/sqlx v1.3.4
 	github.com/joho/godotenv v1.3.0
 	github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4
@@ -43,7 +44,7 @@ require (
 	github.com/spf13/cobra v1.1.1
 	github.com/spf13/pflag v1.0.5
 	github.com/spf13/viper v1.7.1
-	github.com/stretchr/testify v1.7.0
+	github.com/stretchr/testify v1.7.4
 	github.com/valyala/fastjson v1.5.1
 	github.com/wcharczuk/go-chart/v2 v2.1.0
 	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
@@ -93,7 +94,7 @@ require (
 	github.com/magiconair/properties v1.8.4 // indirect
 	github.com/mattn/go-colorable v0.1.9 // indirect
 	github.com/mattn/go-isatty v0.0.14 // indirect
-	github.com/mattn/go-runewidth v0.0.12 // indirect
+	github.com/mattn/go-runewidth v0.0.13 // indirect
 	github.com/mattn/go-sqlite3 v1.14.13 // indirect
 	github.com/matttproud/golang_protobuf_extensions v1.0.1 // indirect
 	github.com/mgutz/ansi v0.0.0-20200706080929-d51e80ef957d // indirect

go.sum

@@ -81,7 +81,6 @@ github.com/c9s/requestgen v1.3.0/go.mod h1:5n9FU3hr5307IiXAmbMiZbHYaPiys1u9jCWYe
 github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b h1:wT8c03PHLv7+nZUIGqxAzRvIfYHNxMCNVWwvdGkOXTs=
 github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b/go.mod h1:EKObf66Cp7erWxym2de+07qNN5T1N9PXxHdh97N44EQ=
 github.com/census-instrumentation/opencensus-proto v0.2.1/go.mod h1:f6KPmirojxKA12rnyqOA5BBL4O983OfeGPqjHWSTneU=
-github.com/cespare/xxhash v1.1.0 h1:a6HrQnmkObjyL+Gs60czilIUGqrzKutQD6XZog3p+ko=
 github.com/cespare/xxhash v1.1.0/go.mod h1:XrSqR1VqqWfGrhpAt58auRo0WTKS1nRRg3ghfAqPWnc=
 github.com/cespare/xxhash/v2 v2.1.1/go.mod h1:VGX0DQ3Q6kWi7AoAeZDth3/j3BFtOZR5XLFGgcrjCOs=
 github.com/cespare/xxhash/v2 v2.1.2 h1:YRXhKfTDauu4ajMg1TPgFO5jnlC2HCbmLXMcTG5cbYE=
@@ -149,7 +148,6 @@ github.com/fatih/color v1.7.0/go.mod h1:Zm6kSWBoL9eyXnKyktHP6abPY2pDugNf5Kwzbycv
 github.com/fatih/color v1.10.0/go.mod h1:ELkj/draVOlAH/xkhN6mQ50Qd0MPOk5AAr3maGEBuJM=
 github.com/fatih/color v1.13.0 h1:8LOYc1KYPPmyKMuN8QV2DNRWNbLo6LZ0iLs8+mlH53w=
 github.com/fatih/color v1.13.0/go.mod h1:kLAiJbzzSOZDVNGyDpeOxJ47H46qBXwg5ILebYFFOfk=
-github.com/fatih/structtag v1.2.0/go.mod h1:mBJUNpUnHmRKrKlQQlmCrh5PuhftFbNv8Ys4/aAZl94=
 github.com/fogleman/gg v1.2.1-0.20190220221249-0403632d5b90/go.mod h1:R/bRT+9gY/C5z7JzPU0zXsXHKM4/ayA+zqcVNZzPa1k=
 github.com/fsnotify/fsnotify v1.4.7/go.mod h1:jwhsz4b93w/PPRr/qN1Yymfu8t87LnFCMoQvtojpjFo=
 github.com/fsnotify/fsnotify v1.4.9 h1:hsms1Qyu0jgnwNXIxa+/V/PDsU6CfLf6CNO8H7IWoS4=
@@ -351,6 +349,8 @@ github.com/jackc/puddle v0.0.0-20190608224051-11cab39313c9/go.mod h1:m4B5Dj62Y0f
 github.com/jackc/puddle v1.1.0/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
 github.com/jackc/puddle v1.1.1/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
 github.com/jackc/puddle v1.1.3/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk=
+github.com/jedib0t/go-pretty/v6 v6.3.6 h1:A6w2BuyPMtf7M82BGRBys9bAba2C26ZX9lrlrZ7uH6U=
+github.com/jedib0t/go-pretty/v6 v6.3.6/go.mod h1:MgmISkTWDSFu0xOqiZ0mKNntMQ2mDgOcwOkwBEkMDJI=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uczJe5YQdrYB16oTJlGSC/OyZDqUk9xX4=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag=
 github.com/jessevdk/go-flags v1.4.0/go.mod h1:4FA24M0QyGHXBuZZK/XkWh8h0e1EYbRYJSGM75WSRxI=
@@ -439,8 +439,9 @@ github.com/mattn/go-isatty v0.0.12/go.mod h1:cbi8OIDigv2wuxKPP5vlRcQ1OAZbq2CE4Ky
 github.com/mattn/go-isatty v0.0.14 h1:yVuAays6BHfxijgZPzw+3Zlu5yQgKGP2/hcQbHb7S9Y=
 github.com/mattn/go-isatty v0.0.14/go.mod h1:7GGIvUiUoEMVVmxf/4nioHXj79iQHKdU27kJ6hsGG94=
 github.com/mattn/go-runewidth v0.0.4/go.mod h1:LwmH8dsx7+W8Uxz3IHJYH5QSwggIsqBzpuz5H//U1FU=
-github.com/mattn/go-runewidth v0.0.12 h1:Y41i/hVW3Pgwr8gV+J23B9YEY0zxjptBuCWEaxmAOow=
 github.com/mattn/go-runewidth v0.0.12/go.mod h1:RAqKPSqVFrSLVXbA8x7dzmKdmGzieGRCM46jaSJTDAk=
+github.com/mattn/go-runewidth v0.0.13 h1:lTGmDsbAYt5DmK6OnoV7EuIF1wEIFAcxld6ypU4OSgU=
+github.com/mattn/go-runewidth v0.0.13/go.mod h1:Jdepj2loyihRzMpdS35Xk/zdY8IAYHsh153qUoGf23w=
 github.com/mattn/go-shellwords v1.0.12 h1:M2zGm7EW6UQJvDeQxo4T51eKPurbeFbe8WtebGE2xrk=
 github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lLtQsUlTZDWQ8Y=
 github.com/mattn/go-sqlite3 v1.14.0/go.mod h1:JIl7NbARA7phWnGvh0LKTyg7S9BA+6gx71ShQilpsus=
@@ -502,6 +503,7 @@ github.com/pkg/errors v0.8.0/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINE
 github.com/pkg/errors v0.8.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
 github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4=
 github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0=
+github.com/pkg/profile v1.6.0/go.mod h1:qBsxPvzyUincmltOk6iyRVxHYg4adc0OFOv72ZdLa18=
 github.com/pkg/sftp v1.10.1/go.mod h1:lYOWFsE0bwd1+KfKJaKeuokY15vzFx25BLbzYYoAxZI=
 github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
 github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
@@ -598,6 +600,8 @@ github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+
 github.com/stretchr/objx v0.1.1/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME=
 github.com/stretchr/objx v0.2.0 h1:Hbg2NidpLE8veEBkEZTL3CvlkUIVzuU9jDplZO54c48=
 github.com/stretchr/objx v0.2.0/go.mod h1:qt09Ya8vawLte6SNmTgCsAVtYtaKzEcn8ATUoHMkEqE=
+github.com/stretchr/objx v0.4.0 h1:M2gUjqZET1qApGOWNSnZ49BAIMX4F/1plDv3+l31EJ4=
+github.com/stretchr/objx v0.4.0/go.mod h1:YvHI0jy2hoMjB+UWwv71VJQ9isScKT/TqJzVSSt89Yw=
 github.com/stretchr/testify v1.1.4/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.0/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.2/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
@@ -605,15 +609,16 @@ github.com/stretchr/testify v1.3.0/go.mod h1:M5WIy9Dh21IEIfnGCwXGc5bZfKNJtfHm1UV
 github.com/stretchr/testify v1.4.0/go.mod h1:j7eGeouHqKxXV5pUuKE4zz7dFj8WfuZ+81PSLYec5m4=
 github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5cxcmMvtA=
 github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
-github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5CcY=
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
+github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
+github.com/stretchr/testify v1.7.4 h1:wZRexSlwd7ZXfKINDLsO4r7WBt3gTKONc6K/VesHvHM=
+github.com/stretchr/testify v1.7.4/go.mod h1:yNjHg4UonilssWZ8iaSj1OCr/vHnekPRkoO+kdMU+MU=
 github.com/subosito/gotenv v1.2.0 h1:Slr1R9HxAlEKefgq5jn9U+DnETlIUa6HfgEzj0g5d7s=
 github.com/subosito/gotenv v1.2.0/go.mod h1:N0PQaV/YGNqwC0u51sEeR/aUtSLEXKX9iv69rRypqCw=
 github.com/tebeka/strftime v0.1.3 h1:5HQXOqWKYRFfNyBMNVc9z5+QzuBtIXy03psIhtdJYto=
 github.com/tebeka/strftime v0.1.3/go.mod h1:7wJm3dZlpr4l/oVK0t1HYIc4rMzQ2XJlOMIUJUJH6XQ=
 github.com/tmc/grpc-websocket-proxy v0.0.0-20190109142713-0ad062ec5ee5/go.mod h1:ncp9v5uamzpCO7NfCPTXjqaC+bZgJeR0sMTm6dMHP7U=
 github.com/ugorji/go v1.1.7/go.mod h1:kZn38zHttfInRq0xu/PH0az30d+z6vm202qpg1oXVMw=
-github.com/ugorji/go v1.2.3 h1:WbFSXLxDFKVN69Sk8t+XHGzVCD7R8UoAATR8NqZgTbk=
 github.com/ugorji/go v1.2.3/go.mod h1:5l8GZ8hZvmL4uMdy+mhCO1LjswGRYco9Q3HfuisB21A=
 github.com/ugorji/go/codec v1.1.7/go.mod h1:Ax+UKWsSmolVDwsd+7N3ZtXu+yMGCf907BLYF3GoBXY=
 github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0=
@@ -633,7 +638,6 @@ github.com/yuin/goldmark v1.1.27/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9de
 github.com/yuin/goldmark v1.1.32/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
 github.com/yuin/goldmark v1.2.1/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
 github.com/yuin/goldmark v1.3.5/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k=
-github.com/yuin/goldmark v1.4.1/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k=
 github.com/zenazn/goji v0.9.0/go.mod h1:7S9M489iMyHBNxwZnk9/EHS098H4/F6TATF2mIxtB1Q=
 github.com/ziutek/mymysql v1.5.4 h1:GB0qdRGsTwQSBVYuVShFBKaXSnSnYYC2d9knnE1LHFs=
 github.com/ziutek/mymysql v1.5.4/go.mod h1:LMSpPZ6DbqWFxNCHW77HeMg9I646SAhApZ/wKdgO/C0=
@@ -766,8 +770,6 @@ golang.org/x/net v0.0.0-20210405180319-a5a99cb37ef4/go.mod h1:p54w0d4576C0XHj96b
 golang.org/x/net v0.0.0-20210428140749-89ef3d95e781/go.mod h1:OJAsFXCWl8Ukc7SiCT/9KSuxbyM7479/AVlXFRxuMCk=
 golang.org/x/net v0.0.0-20210525063256-abc453219eb5/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
 golang.org/x/net v0.0.0-20210610132358-84b48f89b13b/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
-golang.org/x/net v0.0.0-20211015210444-4f30a5c0130f/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
-golang.org/x/net v0.0.0-20211112202133-69e39bad7dc2/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
 golang.org/x/net v0.0.0-20220225172249-27dd8689420f/go.mod h1:CfG3xpIq0wQ8r1q4Su4UZFWDARRcnwPjda9FqA0JpMk=
 golang.org/x/net v0.0.0-20220403103023-749bd193bc2b h1:vI32FkLJNAWtGD4BwkThwEy6XS7ZLLMHkSkYfF8M0W0=
 golang.org/x/net v0.0.0-20220403103023-749bd193bc2b/go.mod h1:CfG3xpIq0wQ8r1q4Su4UZFWDARRcnwPjda9FqA0JpMk=
@@ -846,7 +848,6 @@ golang.org/x/sys v0.0.0-20210510120138-977fb7262007/go.mod h1:oPkhp1MJrh7nUepCBc
 golang.org/x/sys v0.0.0-20210603081109-ebe580a85c40/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20210630005230-0f9fa26af87c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
-golang.org/x/sys v0.0.0-20211019181941-9d821ace8654/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20211216021012-1d35b9e2eb4e/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c h1:aFV+BgZ4svzjfabn8ERpuB4JI4N6/rdy1iusx77G3oU=
 golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
@@ -919,7 +920,6 @@ golang.org/x/tools v0.0.0-20200804011535-6c149bb5ef0d/go.mod h1:njjCfa9FT2d7l9Bc
 golang.org/x/tools v0.0.0-20200825202427-b303f430e36d/go.mod h1:njjCfa9FT2d7l9Bc6FUM5FLjQPp3cFF28FI3qnDFljA=
 golang.org/x/tools v0.0.0-20201224043029-2b0845dc783e/go.mod h1:emZCQorbCU4vsT4fOWvOPXz4eW1wZW4PmDk9uLelYpA=
 golang.org/x/tools v0.1.1/go.mod h1:o0xws9oXOQQZyjljx8fwUC0k7L1pTE6eaCbjGeHmOkk=
-golang.org/x/tools v0.1.8/go.mod h1:nABZi5QlRsZVlzPpHl034qft6wpY4eDcsTt5AaioBiU=
 golang.org/x/tools v0.1.9 h1:j9KsMiaP1c3B0OTQGth0/k+miLGTgLsAFUCrF2vLcF8=
 golang.org/x/tools v0.1.9/go.mod h1:nABZi5QlRsZVlzPpHl034qft6wpY4eDcsTt5AaioBiU=
 golang.org/x/xerrors v0.0.0-20190410155217-1f06c39b4373/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=

pkg/bbgo/interact.go

@@ -51,6 +51,27 @@ func NewCoreInteraction(environment *Environment, trader *Trader) *CoreInteracti
 	}
 }
 
+type SimpleInteraction struct {
+	Command     string
+	Description string
+	F           interface{}
+	Cmd         *interact.Command
+}
+
+func (it *SimpleInteraction) Commands(i *interact.Interact) {
+	it.Cmd = i.PrivateCommand(it.Command, it.Description, it.F)
+}
+
+func RegisterCommand(command, desc string, f interface{}) *interact.Command {
+	it := &SimpleInteraction{
+		Command:     command,
+		Description: desc,
+		F:           f,
+	}
+	interact.AddCustomInteraction(it)
+	return it.Cmd
+}
+
 func getStrategySignatures(exchangeStrategies map[string]SingleExchangeStrategy) []string {
 	var strategies []string
 	for signature := range exchangeStrategies {

pkg/bbgo/notification.go

@@ -1,6 +1,8 @@
 package bbgo
 
 import (
+	"bytes"
+
 	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/util"
@@ -20,9 +22,19 @@ func NotifyTo(channel string, obj interface{}, args ...interface{}) {
 	Notification.NotifyTo(channel, obj, args...)
 }
 
+func SendPhoto(buffer *bytes.Buffer) {
+	Notification.SendPhoto(buffer)
+}
+
+func SendPhotoTo(channel string, buffer *bytes.Buffer) {
+	Notification.SendPhotoTo(channel, buffer)
+}
+
 type Notifier interface {
 	NotifyTo(channel string, obj interface{}, args ...interface{})
 	Notify(obj interface{}, args ...interface{})
+	SendPhotoTo(channel string, buffer *bytes.Buffer)
+	SendPhoto(buffer *bytes.Buffer)
 }
 
 type NullNotifier struct{}
@@ -31,6 +43,10 @@ func (n *NullNotifier) NotifyTo(channel string, obj interface{}, args ...interfa
 
 func (n *NullNotifier) Notify(obj interface{}, args ...interface{}) {}
 
+func (n *NullNotifier) SendPhoto(buffer *bytes.Buffer) {}
+
+func (n *NullNotifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {}
+
 type Notifiability struct {
 	notifiers            []Notifier
 	SessionChannelRouter *PatternChannelRouter `json:"-"`
@@ -83,3 +99,15 @@ func (m *Notifiability) NotifyTo(channel string, obj interface{}, args ...interf
 		n.NotifyTo(channel, obj, args...)
 	}
 }
+
+func (m *Notifiability) SendPhoto(buffer *bytes.Buffer) {
+	for _, n := range m.notifiers {
+		n.SendPhoto(buffer)
+	}
+}
+
+func (m *Notifiability) SendPhotoTo(channel string, buffer *bytes.Buffer) {
+	for _, n := range m.notifiers {
+		n.SendPhotoTo(channel, buffer)
+	}
+}

pkg/bbgo/order_executor_general.go

@@ -117,6 +117,10 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
 			err = fmt.Errorf("can not place orders: %w", err)
 		}
 	}
+	// FIXME: map by price and volume
+	for i := 0; i < len(createdOrders); i++ {
+		createdOrders[i].Tag = formattedOrders[i].Tag
+	}
 
 	e.orderStore.Add(createdOrders...)
 	e.activeMakerOrders.Add(createdOrders...)

pkg/bbgo/order_store.go

@@ -104,8 +104,9 @@ func (s *OrderStore) Update(o types.Order) bool {
 	s.mu.Lock()
 	defer s.mu.Unlock()
 
-	_, ok := s.orders[o.OrderID]
+	old, ok := s.orders[o.OrderID]
 	if ok {
+		o.Tag = old.Tag
 		s.orders[o.OrderID] = o
 	}
 	return ok

pkg/indicator/fisher.go

@@ -34,6 +34,10 @@ func (inc *FisherTransform) Update(value float64) {
 	inc.prices.Update(value)
 	highest := inc.prices.Highest(inc.Window)
 	lowest := inc.prices.Lowest(inc.Window)
+	if highest == lowest {
+		inc.Values.Update(0)
+		return
+	}
 	x := 2*((value-lowest)/(highest-lowest)) - 1
 	if x == 1 {
 		x = 0.9999

pkg/notifier/slacknotifier/slack.go

@@ -1,6 +1,7 @@
 package slacknotifier
 
 import (
+	"bytes"
 	"context"
 	"fmt"
 	"time"
@@ -150,6 +151,14 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 	}
 }
 
+func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
+	n.SendPhotoTo(n.channel, buffer)
+}
+
+func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
+	// TODO
+}
+
 /*
 func (n *Notifier) NotifyTrade(trade *types.Trade) {
 	_, _, err := n.client.PostMessageContext(context.Background(), n.TradeChannel,

pkg/notifier/telegramnotifier/telegram.go

@@ -1,6 +1,7 @@
 package telegramnotifier
 
 import (
+	"bytes"
 	"fmt"
 	"reflect"
 	"strconv"
@@ -129,6 +130,48 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 	}
 }
 
+func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
+	n.SendPhotoTo("", buffer)
+}
+
+func photoFromBuffer(buffer *bytes.Buffer) telebot.InputMedia {
+	reader := bytes.NewReader(buffer.Bytes())
+	return &telebot.Photo{
+		File: telebot.FromReader(reader),
+	}
+}
+
+func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
+	if n.broadcast {
+		if n.Subscribers == nil {
+			return
+		}
+
+		for chatID := range n.Subscribers {
+			chat, err := n.bot.ChatByID(strconv.FormatInt(chatID, 10))
+			if err != nil {
+				log.WithError(err).Error("can not get chat by ID")
+				continue
+			}
+			album := telebot.Album{
+				photoFromBuffer(buffer),
+			}
+			if _, err := n.bot.SendAlbum(chat, album); err != nil {
+				log.WithError(err).Error("failed to send message")
+			}
+		}
+	} else if n.Chats != nil {
+		for _, chat := range n.Chats {
+			album := telebot.Album{
+				photoFromBuffer(buffer),
+			}
+			if _, err := n.bot.SendAlbum(chat, album); err != nil {
+				log.WithError(err).Error("telegram send error")
+			}
+		}
+	}
+}
+
 func (n *Notifier) AddChat(c *telebot.Chat) {
 	if n.Chats == nil {
 		n.Chats = make(map[int64]*telebot.Chat)

pkg/strategy/drift/driftma.go

@@ -0,0 +1,51 @@
+package drift
+
+import (
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type DriftMA struct {
+	types.SeriesBase
+	ma1   types.UpdatableSeriesExtend
+	drift *indicator.Drift
+	ma2   types.UpdatableSeriesExtend
+}
+
+func (s *DriftMA) Update(value float64) {
+	s.ma1.Update(value)
+	s.drift.Update(s.ma1.Last())
+	s.ma2.Update(s.drift.Last())
+}
+
+func (s *DriftMA) Last() float64 {
+	return s.ma2.Last()
+}
+
+func (s *DriftMA) Index(i int) float64 {
+	return s.ma2.Index(i)
+}
+
+func (s *DriftMA) Length() int {
+	return s.ma2.Length()
+}
+
+func (s *DriftMA) ZeroPoint() float64 {
+	return s.drift.ZeroPoint()
+}
+
+func (s *DriftMA) Clone() *DriftMA {
+	out := DriftMA{
+		ma1:   types.Clone(s.ma1),
+		drift: s.drift.Clone(),
+		ma2:   types.Clone(s.ma2),
+	}
+	out.SeriesBase.Series = &out
+	return &out
+}
+
+func (s *DriftMA) TestUpdate(v float64) *DriftMA {
+	out := s.Clone()
+	out.Update(v)
+	return out
+}

pkg/strategy/drift/output.go

@@ -0,0 +1,210 @@
+package drift
+
+import (
+	"fmt"
+	"io"
+	"reflect"
+	"sort"
+	"strings"
+	"unsafe"
+
+	"github.com/c9s/bbgo/pkg/util"
+	"github.com/fatih/color"
+	"github.com/jedib0t/go-pretty/v6/table"
+	"github.com/jedib0t/go-pretty/v6/text"
+)
+
+type jsonStruct struct {
+	key   string
+	json  string
+	tp    string
+	value interface{}
+}
+type jsonArr []jsonStruct
+
+func (a jsonArr) Len() int           { return len(a) }
+func (a jsonArr) Less(i, j int) bool { return a[i].key < a[j].key }
+func (a jsonArr) Swap(i, j int)      { a[i], a[j] = a[j], a[i] }
+
+func (s *Strategy) ParamDump(f io.Writer, seriesLength ...int) {
+	length := 1
+	if len(seriesLength) > 0 && seriesLength[0] > 0 {
+		length = seriesLength[0]
+	}
+	val := reflect.ValueOf(s).Elem()
+	for i := 0; i < val.Type().NumField(); i++ {
+		t := val.Type().Field(i)
+		if ig := t.Tag.Get("ignore"); ig == "true" {
+			continue
+		}
+		field := val.Field(i)
+		if t.IsExported() || t.Anonymous || t.Type.Kind() == reflect.Func || t.Type.Kind() == reflect.Chan {
+			continue
+		}
+		fieldName := t.Name
+		typeName := field.Type().String()
+		log.Infof("fieldName %s typeName %s", fieldName, typeName)
+		value := reflect.NewAt(field.Type(), unsafe.Pointer(field.UnsafeAddr())).Elem()
+		isSeries := true
+		lastFunc := value.MethodByName("Last")
+		isSeries = isSeries && lastFunc.IsValid()
+		lengthFunc := value.MethodByName("Length")
+		isSeries = isSeries && lengthFunc.IsValid()
+		indexFunc := value.MethodByName("Index")
+		isSeries = isSeries && indexFunc.IsValid()
+
+		stringFunc := value.MethodByName("String")
+		canString := stringFunc.IsValid()
+
+		if isSeries {
+			l := int(lengthFunc.Call(nil)[0].Int())
+			if l >= length {
+				fmt.Fprintf(f, "%s: Series[..., %.4f", fieldName, indexFunc.Call([]reflect.Value{reflect.ValueOf(length - 1)})[0].Float())
+				for j := length - 2; j >= 0; j-- {
+					fmt.Fprintf(f, ", %.4f", indexFunc.Call([]reflect.Value{reflect.ValueOf(j)})[0].Float())
+				}
+				fmt.Fprintf(f, "]\n")
+			} else if l > 0 {
+				fmt.Fprintf(f, "%s: Series[%.4f", fieldName, indexFunc.Call([]reflect.Value{reflect.ValueOf(l - 1)})[0].Float())
+				for j := l - 2; j >= 0; j-- {
+					fmt.Fprintf(f, ", %.4f", indexFunc.Call([]reflect.Value{reflect.ValueOf(j)})[0].Float())
+				}
+				fmt.Fprintf(f, "]\n")
+			} else {
+				fmt.Fprintf(f, "%s: Series[]\n", fieldName)
+			}
+		} else if canString {
+			fmt.Fprintf(f, "%s: %s\n", fieldName, stringFunc.Call(nil)[0].String())
+		} else if field.CanConvert(reflect.TypeOf(int(0))) {
+			fmt.Fprintf(f, "%s: %d\n", fieldName, field.Int())
+		} else if field.CanConvert(reflect.TypeOf(float64(0))) {
+			fmt.Fprintf(f, "%s: %.4f\n", fieldName, field.Float())
+		} else if field.CanInterface() {
+			fmt.Fprintf(f, "%s: %v", fieldName, field.Interface())
+		} else if field.Type().Kind() == reflect.Map {
+			fmt.Fprintf(f, "%s: {", fieldName)
+			iter := value.MapRange()
+			for iter.Next() {
+				k := iter.Key().Interface()
+				v := iter.Value().Interface()
+				fmt.Fprintf(f, "%v: %v, ", k, v)
+			}
+			fmt.Fprintf(f, "}\n")
+		} else if field.Type().Kind() == reflect.Slice {
+			fmt.Fprintf(f, "%s: [", fieldName)
+			l := field.Len()
+			if l > 0 {
+				fmt.Fprintf(f, "%v", field.Index(0))
+			}
+			for j := 1; j < field.Len(); j++ {
+				fmt.Fprintf(f, ", %v", field.Index(j))
+			}
+			fmt.Fprintf(f, "]\n")
+		} else {
+			fmt.Fprintf(f, "%s(%s): %s\n", fieldName, typeName, field.String())
+		}
+	}
+}
+
+func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) {
+	//b, _ := json.MarshalIndent(s.ExitMethods, "  ", "  ")
+
+	t := table.NewWriter()
+	style := table.Style{
+		Name:    "StyleRounded",
+		Box:     table.StyleBoxRounded,
+		Color:   table.ColorOptionsDefault,
+		Format:  table.FormatOptionsDefault,
+		HTML:    table.DefaultHTMLOptions,
+		Options: table.OptionsDefault,
+		Title:   table.TitleOptionsDefault,
+	}
+	var hiyellow func(io.Writer, string, ...interface{})
+	if len(withColor) > 0 && withColor[0] {
+		if pretty {
+			style.Color = table.ColorOptionsYellowWhiteOnBlack
+			style.Color.Row = text.Colors{text.FgHiYellow, text.BgHiBlack}
+			style.Color.RowAlternate = text.Colors{text.FgYellow, text.BgBlack}
+		}
+		hiyellow = color.New(color.FgHiYellow).FprintfFunc()
+	} else {
+		hiyellow = func(a io.Writer, format string, args ...interface{}) {
+			fmt.Fprintf(a, format, args...)
+		}
+	}
+	if pretty {
+		t.SetOutputMirror(f)
+		t.SetStyle(style)
+		t.AppendHeader(table.Row{"json", "struct field name", "type", "value"})
+	}
+	hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
+
+	embeddedWhiteSet := map[string]struct{}{"Window": {}, "Interval": {}, "Symbol": {}}
+	redundantSet := map[string]struct{}{}
+	var rows []table.Row
+	val := reflect.ValueOf(*s)
+	var values jsonArr
+	for i := 0; i < val.Type().NumField(); i++ {
+		t := val.Type().Field(i)
+		if !t.IsExported() {
+			continue
+		}
+		fieldName := t.Name
+		switch jsonTag := t.Tag.Get("json"); jsonTag {
+		case "-":
+		case "":
+			if t.Anonymous {
+				var target reflect.Type
+				if t.Type.Kind() == util.Pointer {
+					target = t.Type.Elem()
+				} else {
+					target = t.Type
+				}
+				for j := 0; j < target.NumField(); j++ {
+					tt := target.Field(j)
+					if !tt.IsExported() {
+						continue
+					}
+					fieldName := tt.Name
+					if _, ok := embeddedWhiteSet[fieldName]; !ok {
+						continue
+					}
+
+					if jtag := tt.Tag.Get("json"); jtag != "" && jtag != "-" {
+						name := strings.Split(jtag, ",")[0]
+						if _, ok := redundantSet[name]; ok {
+							continue
+						}
+						redundantSet[name] = struct{}{}
+						var value interface{}
+						if t.Type.Kind() == util.Pointer {
+							value = val.Field(i).Elem().Field(j).Interface()
+						} else {
+							value = val.Field(i).Field(j).Interface()
+						}
+						values = append(values, jsonStruct{key: fieldName, json: name, tp: tt.Type.String(), value: value})
+					}
+				}
+			}
+		default:
+			name := strings.Split(jsonTag, ",")[0]
+			if _, ok := redundantSet[name]; ok {
+				continue
+			}
+			redundantSet[name] = struct{}{}
+			values = append(values, jsonStruct{key: fieldName, json: name, tp: t.Type.String(), value: val.Field(i).Interface()})
+		}
+	}
+	sort.Sort(values)
+	for _, value := range values {
+		if pretty {
+			rows = append(rows, table.Row{value.json, value.key, value.tp, value.value})
+		} else {
+			hiyellow(f, "%s: %v\n", value.json, value.value)
+		}
+	}
+	if pretty {
+		t.AppendRows(rows)
+		t.Render()
+	}
+}

pkg/types/indicator.go

@@ -1192,16 +1192,35 @@ func NewCanvas(title string, intervals ...Interval) *Canvas {
 	return out
 }
 
-func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int) {
+func expand(a []float64, length int, defaultVal float64) []float64 {
+	l := len(a)
+	if l >= length {
+		return a
+	}
+	for i := 0; i < length-l; i++ {
+		a = append([]float64{defaultVal}, a...)
+	}
+	return a
+}
+
+func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int, intervals ...Interval) {
 	var timeline []time.Time
 	e := endTime.Time()
+	if a.Length() == 0 {
+		return
+	}
+	oldest := a.Index(a.Length() - 1)
+	interval := canvas.Interval
+	if len(intervals) > 0 {
+		interval = intervals[0]
+	}
 	for i := length - 1; i >= 0; i-- {
-		shiftedT := e.Add(-time.Duration(i*canvas.Interval.Minutes()) * time.Minute)
+		shiftedT := e.Add(-time.Duration(i*interval.Minutes()) * time.Minute)
 		timeline = append(timeline, shiftedT)
 	}
 	canvas.Series = append(canvas.Series, chart.TimeSeries{
 		Name:    tag,
-		YValues: Reverse(a, length),
+		YValues: expand(Reverse(a, length), length, oldest),
 		XValues: timeline,
 	})
 }
@@ -1211,10 +1230,14 @@ func (canvas *Canvas) PlotRaw(tag string, a Series, length int) {
 	for i := 0; i < length; i++ {
 		x = append(x, float64(i))
 	}
+	if a.Length() == 0 {
+		return
+	}
+	oldest := a.Index(a.Length() - 1)
 	canvas.Series = append(canvas.Series, chart.ContinuousSeries{
 		Name:    tag,
 		XValues: x,
-		YValues: Reverse(a, length),
+		YValues: expand(Reverse(a, length), length, oldest),
 	})
 }
 

pkg/types/trade_stats.go

@@ -1,6 +1,8 @@
 package types
 
 import (
+	"encoding/json"
+	"log"
 	"math"
 	"time"
 
@@ -10,13 +12,14 @@ import (
 )
 
 type IntervalProfitCollector struct {
-	Interval Interval      `json:"interval"`
+	Interval  Interval      `json:"interval"`
-	Profits  *Float64Slice `json:"profits"`
+	Profits   *Float64Slice `json:"profits"`
-	tmpTime  time.Time     `json:"tmpTime"`
+	Timestamp *Float64Slice `json:"timestamp"`
+	tmpTime   time.Time     `json:"tmpTime"`
 }
 
 func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
-	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &Float64Slice{1.}}
+	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &Float64Slice{1.}, Timestamp: &Float64Slice{float64(startTime.Unix())}}
 }
 
 // Update the collector by every traded profit
@@ -31,6 +34,7 @@ func (s *IntervalProfitCollector) Update(profit *Profit) {
 			for {
 				s.Profits.Update(1.)
 				s.tmpTime = s.tmpTime.Add(duration)
+				s.Timestamp.Update(float64(s.tmpTime.Unix()))
 				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
 					(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
 					break
@@ -40,6 +44,48 @@ func (s *IntervalProfitCollector) Update(profit *Profit) {
 	}
 }
 
+type ProfitReport struct {
+	StartTime time.Time `json:"startTime"`
+	Profit    float64   `json:"profit"`
+	Interval  Interval  `json:"interval"`
+}
+
+func (s ProfitReport) String() string {
+	b, err := json.MarshalIndent(s, "", "\t")
+	if err != nil {
+		log.Fatal(err)
+	}
+	return string(b)
+}
+
+// Get all none-profitable intervals
+func (s *IntervalProfitCollector) GetNonProfitableIntervals() (result []ProfitReport) {
+	if s.Profits == nil {
+		return result
+	}
+	l := s.Profits.Length()
+	for i := 0; i < l; i++ {
+		if s.Profits.Index(i) <= 1. {
+			result = append(result, ProfitReport{StartTime: time.Unix(int64(s.Timestamp.Index(i)), 0), Profit: s.Profits.Index(i), Interval: s.Interval})
+		}
+	}
+	return result
+}
+
+// Get all profitable intervals
+func (s *IntervalProfitCollector) GetProfitableIntervals() (result []ProfitReport) {
+	if s.Profits == nil {
+		return result
+	}
+	l := s.Profits.Length()
+	for i := 0; i < l; i++ {
+		if s.Profits.Index(i) > 1. {
+			result = append(result, ProfitReport{StartTime: time.Unix(int64(s.Timestamp.Index(i)), 0), Profit: s.Profits.Index(i), Interval: s.Interval})
+		}
+	}
+	return result
+}
+
 // Get number of profitable traded intervals
 func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 	if s.Profits == nil {
@@ -226,6 +272,8 @@ func (s *TradeStats) BriefString() string {
 		GrossLoss:                s.GrossLoss,
 		LargestProfitTrade:       s.LargestProfitTrade,
 		LargestLossTrade:         s.LargestLossTrade,
+		AverageProfitTrade:       s.AverageProfitTrade,
+		AverageLossTrade:         s.AverageLossTrade,
 		ProfitFactor:             s.ProfitFactor,
 		TotalNetProfit:           s.TotalNetProfit,
 		IntervalProfits:          s.IntervalProfits,

pkg/util/pointer.go

@@ -0,0 +1,8 @@
+//go:build !go1.18
+// +build !go1.18
+
+package util
+
+import "reflect"
+
+const Pointer = reflect.Ptr

pkg/util/pointer_18.go

@@ -0,0 +1,8 @@
+//go:build go1.18
+// +build go1.18
+
+package util
+
+import "reflect"
+
+const Pointer = reflect.Pointer