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record equity curve

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This commit is contained in:
c9s 2022-05-11 14:36:18 +08:00
parent 11d0823782
commit 479de002a6
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GPG Key ID: 7385E7E464CB0A54
2 changed files with 50 additions and 17 deletions
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52
pkg/cmd/backtest.go
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@ -3,6 +3,7 @@ package cmd
import (
"bufio"
"context"
"encoding/csv"
"encoding/json"
"fmt"
"io/ioutil"
@ -286,7 +287,7 @@ var BacktestCmd = &cobra.Command{
userConfig.Backtest.EndTime.Time(),
)
var kLineHandlers []func(k types.KLine, ex *backtest.Exchange)
var kLineHandlers []func(k types.KLine, exSource *backtest.ExchangeDataSource)
var manifests backtest.Manifests
if generatingReport {
reportDir := outputDirectory
@ -311,7 +312,7 @@ var BacktestCmd = &cobra.Command{
}
// state snapshot
kLineHandlers = append(kLineHandlers, func(k types.KLine, ex *backtest.Exchange) {
kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
// snapshot per 1m
if k.Interval == types.Interval1m && k.Closed {
if _, err := stateRecorder.Snapshot(); err != nil {
@ -327,11 +328,42 @@ var BacktestCmd = &cobra.Command{
}
}()
kLineHandlers = append(kLineHandlers, func(k types.KLine, ex *backtest.Exchange) {
kLineHandlers = append(kLineHandlers, func(k types.KLine, _ *backtest.ExchangeDataSource) {
if err := dumper.Record(k); err != nil {
log.WithError(err).Errorf("can not write kline to file")
}
})
// equity curve recording -- record per 1h kline
equityCurveFile, err := os.Create(filepath.Join(reportDir, "equity_curve.csv"))
if err != nil {
return err
}
defer func() { _ = equityCurveFile.Close() }()
equityCurveCsv := csv.NewWriter(equityCurveFile)
_ = equityCurveCsv.Write([]string{
"time",
"in_usd",
})
kLineHandlers = append(kLineHandlers, func(k types.KLine, exSource *backtest.ExchangeDataSource) {
if k.Interval != types.Interval1h {
return
}
balances, err := exSource.Exchange.QueryAccountBalances(ctx)
if err != nil {
log.WithError(err).Errorf("query back-test account balance error")
} else {
assets := balances.Assets(exSource.Session.AllLastPrices(), k.EndTime.Time())
_ = equityCurveCsv.Write([]string{
k.EndTime.Time().Format(time.RFC1123),
assets.InUSD().String(),
})
equityCurveCsv.Flush()
}
})
}
runCtx, cancelRun := context.WithCancel(ctx)
@ -346,19 +378,9 @@ var BacktestCmd = &cobra.Command{
exSource.Exchange.ConsumeKLine(k)
for _, h := range kLineHandlers {
h(k, exSource.Exchange)
h(k, &exSource)
}
// equity curve recording
if k.Interval == types.Interval1m {
balances, err := exSource.Exchange.QueryAccountBalances(ctx)
if err != nil {
log.WithError(err).Errorf("query back-test account balance error")
} else {
assets := balances.Assets(exSource.Session.AllLastPrices(), k.EndTime.Time())
_ = assets
}
}
}
if err := exSource.Exchange.CloseMarketData(); err != nil {
@ -382,7 +404,7 @@ var BacktestCmd = &cobra.Command{
exK.Exchange.ConsumeKLine(k)
for _, h := range kLineHandlers {
h(k, exK.Exchange)
h(k, &exK)
}
}
}

15
pkg/types/asset.go
View File

@ -11,9 +11,9 @@ import (
)
type Asset struct {
Currency string `json:"currency" db:"currency"`
Currency string `json:"currency" db:"currency"`
Total fixedpoint.Value `json:"total" db:"total"`
Total fixedpoint.Value `json:"total" db:"total"`
NetAsset fixedpoint.Value `json:"netAsset" db:"net_asset"`
@ -34,6 +34,17 @@ type Asset struct {
type AssetMap map[string]Asset
func (m AssetMap) InUSD() (total fixedpoint.Value) {
for _, a := range m {
if a.InUSD.IsZero() {
continue
}
total = total.Add(a.InUSD)
}
return total
}
func (m AssetMap) PlainText() (o string) {
var assets = m.Slice()