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Merge pull request #921 from andycheng123/improve/supertrend-strategy-profit-report

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strategy/supertrend: use ma by day instead of by trade
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Yo-An Lin 2022-09-08 12:15:50 +08:00 committed by GitHub
commit 3e07f1fa86
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GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 23 additions and 8 deletions
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31
pkg/strategy/supertrend/strategy.go
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@ -69,6 +69,11 @@ type AccumulatedProfitReport struct {
// Profit factor // Profit factor
profitFactorPerDay floats.Slice profitFactorPerDay floats.Slice
// Trade number
dailyTrades floats.Slice
accumulatedTrades int
previousAccumulatedTrades int
} }
func (r *AccumulatedProfitReport) Initialize() { func (r *AccumulatedProfitReport) Initialize() {
@ -89,11 +94,11 @@ func (r *AccumulatedProfitReport) Initialize() {
func (r *AccumulatedProfitReport) RecordProfit(profit fixedpoint.Value) { func (r *AccumulatedProfitReport) RecordProfit(profit fixedpoint.Value) {
r.accumulatedProfit = r.accumulatedProfit.Add(profit) r.accumulatedProfit = r.accumulatedProfit.Add(profit)
r.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
} }
func (r *AccumulatedProfitReport) RecordFee(fee fixedpoint.Value) { func (r *AccumulatedProfitReport) RecordTrade(fee fixedpoint.Value) {
r.accumulatedFee = r.accumulatedFee.Add(fee) r.accumulatedFee = r.accumulatedFee.Add(fee)
r.accumulatedTrades += 1
} }
func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) { func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
@ -105,6 +110,7 @@ func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
r.accumulatedProfitPerDay.Update(r.accumulatedProfit.Float64()) r.accumulatedProfitPerDay.Update(r.accumulatedProfit.Float64())
// Accumulated profit MA // Accumulated profit MA
r.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last()) r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last())
// Accumulated Fee // Accumulated Fee
@ -115,6 +121,10 @@ func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
// Profit factor // Profit factor
r.profitFactorPerDay.Update(tradeStats.ProfitFactor.Float64()) r.profitFactorPerDay.Update(tradeStats.ProfitFactor.Float64())
// Daily trades
r.dailyTrades.Update(float64(r.accumulatedTrades - r.previousAccumulatedTrades))
r.previousAccumulatedTrades = r.accumulatedTrades
} }
// Output Accumulated profit report to a TSV file // Output Accumulated profit report to a TSV file
@ -126,16 +136,21 @@ func (r *AccumulatedProfitReport) Output(symbol string) {
} }
defer tsvwiter.Close() defer tsvwiter.Close()
// Output symbol, total acc. profit, acc. profit 60MA, interval acc. profit, fee, win rate, profit factor // Output symbol, total acc. profit, acc. profit 60MA, interval acc. profit, fee, win rate, profit factor
_ = tsvwiter.Write([]string{"#", "Symbol", "accumulatedProfit", "accumulatedProfitMA", fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow), "accumulatedFee", "winRatio", "profitFactor"}) _ = tsvwiter.Write([]string{"#", "Symbol", "accumulatedProfit", "accumulatedProfitMA", fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow), "accumulatedFee", "winRatio", "profitFactor", "60D trades"})
for i := 0; i <= r.NumberOfInterval-1; i++ { for i := 0; i <= r.NumberOfInterval-1; i++ {
accumulatedProfit := fmt.Sprintf("%f", r.accumulatedProfitPerDay.Index(r.IntervalWindow*i)) accumulatedProfit := r.accumulatedProfitPerDay.Index(r.IntervalWindow * i)
accumulatedProfitMA := fmt.Sprintf("%f", r.accumulatedProfitMAPerDay.Index(r.IntervalWindow*i)) accumulatedProfitStr := fmt.Sprintf("%f", accumulatedProfit)
intervalAccumulatedProfit := fmt.Sprintf("%f", r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum()-r.dailyProfit.Tail(r.IntervalWindow*i).Sum()) accumulatedProfitMA := r.accumulatedProfitMAPerDay.Index(r.IntervalWindow * i)
accumulatedProfitMAStr := fmt.Sprintf("%f", accumulatedProfitMA)
intervalAccumulatedProfit := r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum() - r.dailyProfit.Tail(r.IntervalWindow*i).Sum()
intervalAccumulatedProfitStr := fmt.Sprintf("%f", intervalAccumulatedProfit)
accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i)) accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i)) winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i))
profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i)) profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i))
trades := r.dailyTrades.Tail(60+r.IntervalWindow*i).Sum() - r.dailyTrades.Tail(r.IntervalWindow*i).Sum()
tradesStr := fmt.Sprintf("%f", trades)
_ = tsvwiter.Write([]string{fmt.Sprintf("%d", i+1), symbol, accumulatedProfit, accumulatedProfitMA, intervalAccumulatedProfit, accumulatedFee, winRatio, profitFactor}) _ = tsvwiter.Write([]string{fmt.Sprintf("%d", i+1), symbol, accumulatedProfitStr, accumulatedProfitMAStr, intervalAccumulatedProfitStr, accumulatedFee, winRatio, profitFactor, tradesStr})
} }
} }
} }
@ -465,7 +480,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.AccumulatedProfitReport.RecordProfit(profit.Profit) s.AccumulatedProfitReport.RecordProfit(profit.Profit)
}) })
s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) { s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
s.AccumulatedProfitReport.RecordFee(trade.Fee) s.AccumulatedProfitReport.RecordTrade(trade.Fee)
}) })
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) { session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) {
s.AccumulatedProfitReport.DailyUpdate(s.TradeStats) s.AccumulatedProfitReport.DailyUpdate(s.TradeStats)