mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #813 from zenixls2/feature/drift_study
feature: drift study
This commit is contained in:
Yo-An Lin
GitHub
commit
4fd571d712
80
config/drift.yaml
Normal file
80
config/drift.yaml
Normal file
|
|
@ -0,0 +1,80 @@
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---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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futures: false
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envVarPrefix: binance
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heikinAshi: false
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exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: ETHUSDT
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 0.3%
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source: close
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predictOffset: 2
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# position avg +- takeProfitFactor * atr as take profit price
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takeProfitFactor: 1.4
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noTrailingStopLoss: true
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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generateGraph: true
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graphPNLDeductFee: false
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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#exits:
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#- roiStopLoss:
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# percentage: 0.8%
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#- roiTakeProfit:
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# percentage: 35%
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#- protectiveStopLoss:
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# activationRatio: 0.6%
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# stopLossRatio: 0.1%
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# placeStopOrder: false
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#- protectiveStopLoss:
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# activationRatio: 5%
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# stopLossRatio: 1%
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# placeStopOrder: false
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#- cumulatedVolumeTakeProfit:
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# interval: 5m
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# window: 2
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# minQuoteVolume: 200_000_000
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#- protectiveStopLoss:
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# activationRatio: 2%
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# stopLossRatio: 1%
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# placeStopOrder: false
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sync:
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userDataStream:
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trades: true
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filledOrders: true
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sessions:
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- binance
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symbols:
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- ETHUSDT
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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symbols:
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- ETHUSDT
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sessions: [binance]
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accounts:
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binance:
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#makerFeeRate: 0.00001
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#takerFeeRate: 0.00001
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balances:
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ETH: 10
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USDT: 5000.0
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91
config/driftBTC.yaml
Normal file
91
config/driftBTC.yaml
Normal file
|
|
@ -0,0 +1,91 @@
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---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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|
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sessions:
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binance:
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exchange: binance
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futures: false
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envVarPrefix: binance
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heikinAshi: false
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exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: BTCBUSD
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 0.3%
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source: close
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predictOffset: 2
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# position avg +- takeProfitFactor * atr as take profit price
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takeProfitFactor: 1.2
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noTrailingStopLoss: true
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# stddev on high/low-source
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hlVarianceMultiplier: 0.27
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|
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generateGraph: true
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graphPNLDeductFee: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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exits:
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#- roiStopLoss:
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# percentage: 0.8%
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#- roiTakeProfit:
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# percentage: 3%
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#- protectiveStopLoss:
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# activationRatio: 0.5%
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# stopLossRatio: 0.1%
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# placeStopOrder: false
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- trailingStop:
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callbackRate: 1%
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# activationRatio is relative to the average cost,
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# when side is buy, 1% means lower 1% than the average cost.
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# when side is sell, 1% means higher 1% than the average cost.
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activationRatio: 3%
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# minProfit uses the position ROI to calculate the profit ratio
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minProfit: 1%
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interval: 1m
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side: buy
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closePosition: 100%
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#- protectiveStopLoss:
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# activationRatio: 5%
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# stopLossRatio: 1%
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# placeStopOrder: false
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#- cumulatedVolumeTakeProfit:
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# interval: 5m
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# window: 2
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# minQuoteVolume: 200_000_000
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#- protectiveStopLoss:
|
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# activationRatio: 2%
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# stopLossRatio: 1%
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# placeStopOrder: false
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|
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sync:
|
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userDataStream:
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trades: true
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filledOrders: true
|
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sessions:
|
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- binance
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symbols:
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- BTCBUSD
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|
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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symbols:
|
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- BTCBUSD
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sessions: [binance]
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accounts:
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binance:
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makerFeeRate: 0.000
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takerFeeRate: 0.00075
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balances:
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BTC: 10
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BUSD: 5000.0
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5
go.mod
5
go.mod
|
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@ -2,7 +2,7 @@
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|||
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module github.com/c9s/bbgo
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go 1.17
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go 1.18
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require (
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github.com/DATA-DOG/go-sqlmock v1.5.0
|
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|
|
@ -43,6 +43,7 @@ require (
|
|||
github.com/spf13/viper v1.7.1
|
||||
github.com/stretchr/testify v1.7.0
|
||||
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
|
||||
github.com/x-cray/logrus-prefixed-formatter v0.5.2
|
||||
github.com/zserge/lorca v0.1.9
|
||||
|
|
@ -75,6 +76,7 @@ require (
|
|||
github.com/go-test/deep v1.0.6 // indirect
|
||||
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 // indirect
|
||||
github.com/golang-sql/sqlexp v0.1.0 // indirect
|
||||
github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 // indirect
|
||||
github.com/golang/mock v1.6.0 // indirect
|
||||
github.com/golang/protobuf v1.5.2 // indirect
|
||||
github.com/hashicorp/hcl v1.0.0 // indirect
|
||||
|
|
@ -117,6 +119,7 @@ require (
|
|||
go.opentelemetry.io/otel/trace v0.19.0 // indirect
|
||||
go.uber.org/atomic v1.9.0 // indirect
|
||||
golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e // indirect
|
||||
golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 // indirect
|
||||
golang.org/x/mod v0.5.1 // indirect
|
||||
golang.org/x/net v0.0.0-20220403103023-749bd193bc2b // indirect
|
||||
golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c // indirect
|
||||
|
|
|
|||
3
go.sum
3
go.sum
|
|
@ -182,6 +182,7 @@ github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0kt
|
|||
github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
|
||||
github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
|
||||
github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
|
||||
github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 h1:DACJavvAHhabrF08vX0COfcOBJRhZ8lUbR+ZWIs0Y5g=
|
||||
github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
|
||||
github.com/golang/glog v0.0.0-20160126235308-23def4e6c14b/go.mod h1:SBH7ygxi8pfUlaOkMMuAQtPIUF8ecWP5IEl/CR7VP2Q=
|
||||
github.com/golang/groupcache v0.0.0-20190129154638-5b532d6fd5ef/go.mod h1:cIg4eruTrX1D+g88fzRXU5OdNfaM+9IcxsU14FzY7Hc=
|
||||
|
|
@ -516,6 +517,7 @@ github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0
|
|||
github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
|
||||
github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
|
||||
github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
|
||||
github.com/wcharczuk/go-chart/v2 v2.1.0 h1:tY2slqVQ6bN+yHSnDYwZebLQFkphK4WNrVwnt7CJZ2I=
|
||||
github.com/wcharczuk/go-chart/v2 v2.1.0/go.mod h1:yx7MvAVNcP/kN9lKXM/NTce4au4DFN99j6i1OwDclNA=
|
||||
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
|
||||
github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
|
||||
|
|
@ -584,6 +586,7 @@ golang.org/x/exp v0.0.0-20200224162631-6cc2880d07d6/go.mod h1:3jZMyOhIsHpP37uCMk
|
|||
golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
|
||||
golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
|
||||
golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
|
||||
golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 h1:QelT11PB4FXiDEXucrfNckHoFxwt8USGY1ajP1ZF5lM=
|
||||
golang.org/x/image v0.0.0-20200927104501-e162460cd6b5/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
|
||||
golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
|
||||
golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=
|
||||
|
|
|
|||
|
|
@ -453,6 +453,10 @@ func (environ *Environment) SetStartTime(t time.Time) *Environment {
|
|||
return environ
|
||||
}
|
||||
|
||||
func (environ *Environment) StartTime() time.Time {
|
||||
return environ.startTime
|
||||
}
|
||||
|
||||
// SetSyncStartTime overrides the default trade scan time (-7 days)
|
||||
func (environ *Environment) SetSyncStartTime(t time.Time) *Environment {
|
||||
environ.syncStartTime = t
|
||||
|
|
|
|||
|
|
@ -2,6 +2,7 @@ package bbgo
|
|||
|
||||
import (
|
||||
"context"
|
||||
"fmt"
|
||||
"strings"
|
||||
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
|
@ -102,7 +103,7 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
|
|||
|
||||
createdOrders, err := e.session.Exchange.SubmitOrders(ctx, formattedOrders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("can not place orders")
|
||||
err = fmt.Errorf("can not place orders: %w", err)
|
||||
}
|
||||
|
||||
e.orderStore.Add(createdOrders...)
|
||||
|
|
@ -113,9 +114,11 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
|
|||
|
||||
// GracefulCancelActiveOrderBook cancels the orders from the active orderbook.
|
||||
func (e *GeneralOrderExecutor) GracefulCancelActiveOrderBook(ctx context.Context, activeOrders *ActiveOrderBook) error {
|
||||
if activeOrders.NumOfOrders() == 0 {
|
||||
return nil
|
||||
}
|
||||
if err := activeOrders.GracefulCancel(ctx, e.session.Exchange); err != nil {
|
||||
log.WithError(err).Errorf("graceful cancel order error")
|
||||
return err
|
||||
return fmt.Errorf("graceful cancel order error: %w", err)
|
||||
}
|
||||
|
||||
e.tradeCollector.Process()
|
||||
|
|
|
|||
|
|
@ -33,4 +33,5 @@ import (
|
|||
_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/xnav"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
|
||||
_ "github.com/c9s/bbgo/pkg/strategy/drift"
|
||||
)
|
||||
|
|
|
|||
|
|
@ -15,8 +15,8 @@ import (
|
|||
type ALMA struct {
|
||||
types.SeriesBase
|
||||
types.IntervalWindow // required
|
||||
Offset float64 // required: recommend to be 5
|
||||
Sigma int // required: recommend to be 0.5
|
||||
Offset float64 // required: recommend to be 0.5
|
||||
Sigma int // required: recommend to be 5
|
||||
weight []float64
|
||||
sum float64
|
||||
input []float64
|
||||
|
|
|
|||
|
|
@ -22,6 +22,24 @@ type ATR struct {
|
|||
|
||||
var _ types.SeriesExtend = &ATR{}
|
||||
|
||||
func (inc *ATR) Clone() *ATR {
|
||||
out := &ATR{
|
||||
IntervalWindow: inc.IntervalWindow,
|
||||
PercentageVolatility: inc.PercentageVolatility[:],
|
||||
PreviousClose: inc.PreviousClose,
|
||||
RMA: inc.RMA.Clone().(*RMA),
|
||||
EndTime: inc.EndTime,
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
|
||||
c := inc.Clone()
|
||||
c.Update(high, low, cloze)
|
||||
return c
|
||||
}
|
||||
|
||||
func (inc *ATR) Update(high, low, cloze float64) {
|
||||
if inc.Window <= 0 {
|
||||
panic("window must be greater than 0")
|
||||
|
|
|
|||
|
|
@ -21,7 +21,6 @@ Bollinger Bands Technical indicator guide:
|
|||
|
||||
//go:generate callbackgen -type BOLL
|
||||
type BOLL struct {
|
||||
types.SeriesBase
|
||||
types.IntervalWindow
|
||||
|
||||
// K is the multiplier of Std, generally it's 2
|
||||
|
|
@ -74,7 +73,6 @@ func (inc *BOLL) LastDownBand() float64 {
|
|||
|
||||
func (inc *BOLL) Update(value float64) {
|
||||
if inc.SMA == nil {
|
||||
inc.SeriesBase.Series = inc
|
||||
inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow}
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -9,4 +9,3 @@ import (
|
|||
var three = fixedpoint.NewFromInt(3)
|
||||
|
||||
var zeroTime = time.Time{}
|
||||
|
||||
|
|
|
|||
|
|
@ -18,6 +18,23 @@ type DEMA struct {
|
|||
UpdateCallbacks []func(value float64)
|
||||
}
|
||||
|
||||
func (inc *DEMA) Clone() *DEMA {
|
||||
out := &DEMA{
|
||||
IntervalWindow: inc.IntervalWindow,
|
||||
Values: inc.Values[:],
|
||||
a1: inc.a1.Clone(),
|
||||
a2: inc.a2.Clone(),
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *DEMA) TestUpdate(value float64) *DEMA {
|
||||
out := inc.Clone()
|
||||
out.Update(value)
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *DEMA) Update(value float64) {
|
||||
if len(inc.Values) == 0 {
|
||||
inc.SeriesBase.Series = inc
|
||||
|
|
|
|||
|
|
@ -15,7 +15,7 @@ type Drift struct {
|
|||
types.IntervalWindow
|
||||
chng *types.Queue
|
||||
Values types.Float64Slice
|
||||
SMA *SMA
|
||||
MA types.UpdatableSeriesExtend
|
||||
LastValue float64
|
||||
|
||||
UpdateCallbacks []func(value float64)
|
||||
|
|
@ -24,7 +24,9 @@ type Drift struct {
|
|||
func (inc *Drift) Update(value float64) {
|
||||
if inc.chng == nil {
|
||||
inc.SeriesBase.Series = inc
|
||||
inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
|
||||
if inc.MA == nil {
|
||||
inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
|
||||
}
|
||||
inc.chng = types.NewQueue(inc.Window)
|
||||
inc.LastValue = value
|
||||
return
|
||||
|
|
@ -36,15 +38,54 @@ func (inc *Drift) Update(value float64) {
|
|||
chng = math.Log(value / inc.LastValue)
|
||||
inc.LastValue = value
|
||||
}
|
||||
inc.SMA.Update(chng)
|
||||
inc.MA.Update(chng)
|
||||
inc.chng.Update(chng)
|
||||
if inc.chng.Length() >= inc.Window {
|
||||
stdev := types.Stdev(inc.chng, inc.Window)
|
||||
drift := inc.SMA.Last() - stdev*stdev*0.5
|
||||
drift := inc.MA.Last() - stdev*stdev*0.5
|
||||
inc.Values.Push(drift)
|
||||
}
|
||||
}
|
||||
|
||||
// Assume that MA is SMA
|
||||
func (inc *Drift) ZeroPoint() float64 {
|
||||
window := float64(inc.Window)
|
||||
stdev := types.Stdev(inc.chng, inc.Window)
|
||||
chng := inc.chng.Index(inc.Window - 1)
|
||||
/*b := -2 * inc.MA.Last() - 2
|
||||
c := window * stdev * stdev - chng * chng + 2 * chng * (inc.MA.Last() + 1) - 2 * inc.MA.Last() * window
|
||||
|
||||
root := math.Sqrt(b*b - 4*c)
|
||||
K1 := (-b + root)/2
|
||||
K2 := (-b - root)/2
|
||||
N1 := math.Exp(K1) * inc.LastValue
|
||||
N2 := math.Exp(K2) * inc.LastValue
|
||||
if math.Abs(inc.LastValue-N1) < math.Abs(inc.LastValue-N2) {
|
||||
return N1
|
||||
} else {
|
||||
return N2
|
||||
}*/
|
||||
return inc.LastValue * math.Exp(window*(0.5*stdev*stdev)+chng-inc.MA.Last()*window)
|
||||
}
|
||||
|
||||
func (inc *Drift) Clone() (out *Drift) {
|
||||
out = &Drift{
|
||||
IntervalWindow: inc.IntervalWindow,
|
||||
chng: inc.chng.Clone(),
|
||||
Values: inc.Values[:],
|
||||
MA: types.Clone(inc.MA),
|
||||
LastValue: inc.LastValue,
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *Drift) TestUpdate(value float64) *Drift {
|
||||
out := inc.Clone()
|
||||
out.Update(value)
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *Drift) Index(i int) float64 {
|
||||
if inc.Values == nil {
|
||||
return 0
|
||||
|
|
|
|||
|
|
@ -23,6 +23,21 @@ type EWMA struct {
|
|||
|
||||
var _ types.SeriesExtend = &EWMA{}
|
||||
|
||||
func (inc *EWMA) Clone() *EWMA {
|
||||
out := &EWMA{
|
||||
IntervalWindow: inc.IntervalWindow,
|
||||
Values: inc.Values[:],
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *EWMA) TestUpdate(value float64) *EWMA {
|
||||
out := inc.Clone()
|
||||
out.Update(value)
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *EWMA) Update(value float64) {
|
||||
var multiplier = 2.0 / float64(1+inc.Window)
|
||||
|
||||
|
|
|
|||
58
pkg/indicator/fisher.go
Normal file
58
pkg/indicator/fisher.go
Normal file
|
|
@ -0,0 +1,58 @@
|
|||
package indicator
|
||||
|
||||
import (
|
||||
"math"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
//go:generate callbackgen -type FisherTransform
|
||||
type FisherTransform struct {
|
||||
types.SeriesBase
|
||||
types.IntervalWindow
|
||||
prices *types.Queue
|
||||
Values types.Float64Slice
|
||||
|
||||
UpdateCallbacks []func(value float64)
|
||||
}
|
||||
|
||||
func (inc *FisherTransform) Update(value float64) {
|
||||
if inc.prices == nil {
|
||||
inc.prices = types.NewQueue(inc.Window)
|
||||
inc.SeriesBase.Series = inc
|
||||
}
|
||||
inc.prices.Update(value)
|
||||
highest := inc.prices.Highest(inc.Window)
|
||||
lowest := inc.prices.Lowest(inc.Window)
|
||||
x := 2*((value-lowest)/(highest-lowest)) - 1
|
||||
if x == 1 {
|
||||
x = 0.9999
|
||||
} else if x == -1 {
|
||||
x = -0.9999
|
||||
}
|
||||
inc.Values.Update(0.5 * math.Log((1+x)/(1-x)))
|
||||
if len(inc.Values) > MaxNumOfEWMA {
|
||||
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
||||
}
|
||||
}
|
||||
|
||||
func (inc *FisherTransform) Last() float64 {
|
||||
if inc.Values == nil {
|
||||
return 0.0
|
||||
}
|
||||
return inc.Values.Last()
|
||||
}
|
||||
|
||||
func (inc *FisherTransform) Index(i int) float64 {
|
||||
if inc.Values == nil {
|
||||
return 0.0
|
||||
}
|
||||
return inc.Values.Index(i)
|
||||
}
|
||||
|
||||
func (inc *FisherTransform) Length() int {
|
||||
if inc.Values == nil {
|
||||
return 0
|
||||
}
|
||||
return inc.Values.Length()
|
||||
}
|
||||
|
|
@ -25,6 +25,20 @@ type RMA struct {
|
|||
updateCallbacks []func(value float64)
|
||||
}
|
||||
|
||||
func (inc *RMA) Clone() types.UpdatableSeriesExtend {
|
||||
out := &RMA{
|
||||
IntervalWindow: inc.IntervalWindow,
|
||||
Values: inc.Values[:],
|
||||
counter: inc.counter,
|
||||
Adjust: inc.Adjust,
|
||||
tmp: inc.tmp,
|
||||
sum: inc.sum,
|
||||
EndTime: inc.EndTime,
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *RMA) Update(x float64) {
|
||||
lambda := 1 / float64(inc.Window)
|
||||
if inc.counter == 0 {
|
||||
|
|
|
|||
|
|
@ -40,6 +40,16 @@ func (inc *SMA) Length() int {
|
|||
return inc.Values.Length()
|
||||
}
|
||||
|
||||
func (inc *SMA) Clone() types.UpdatableSeriesExtend {
|
||||
out := &SMA{
|
||||
Values: inc.Values[:],
|
||||
rawValues: inc.rawValues.Clone(),
|
||||
EndTime: inc.EndTime,
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
var _ types.SeriesExtend = &SMA{}
|
||||
|
||||
func (inc *SMA) Update(value float64) {
|
||||
|
|
|
|||
|
|
@ -1,2 +1 @@
|
|||
package indicator
|
||||
|
||||
|
|
|
|||
|
|
@ -1 +0,0 @@
|
|||
package statistics
|
||||
737
pkg/strategy/drift/strategy.go
Normal file
737
pkg/strategy/drift/strategy.go
Normal file
|
|
@ -0,0 +1,737 @@
|
|||
package drift
|
||||
|
||||
import (
|
||||
"bufio"
|
||||
"context"
|
||||
"encoding/json"
|
||||
"errors"
|
||||
"fmt"
|
||||
"math"
|
||||
"os"
|
||||
"strings"
|
||||
"sync"
|
||||
|
||||
"github.com/fatih/color"
|
||||
"github.com/sirupsen/logrus"
|
||||
"github.com/wcharczuk/go-chart/v2"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/bbgo"
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
)
|
||||
|
||||
const ID = "drift"
|
||||
|
||||
var log = logrus.WithField("strategy", ID)
|
||||
var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
|
||||
var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
|
||||
var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
|
||||
var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
|
||||
|
||||
func init() {
|
||||
bbgo.RegisterStrategy(ID, &Strategy{})
|
||||
}
|
||||
|
||||
type SourceFunc func(*types.KLine) fixedpoint.Value
|
||||
|
||||
type Strategy struct {
|
||||
Symbol string `json:"symbol"`
|
||||
|
||||
bbgo.StrategyController
|
||||
types.Market
|
||||
types.IntervalWindow
|
||||
|
||||
*bbgo.Environment
|
||||
*types.Position `persistence:"position"`
|
||||
*types.ProfitStats `persistence:"profit_stats"`
|
||||
*types.TradeStats `persistence:"trade_stats"`
|
||||
|
||||
ma types.UpdatableSeriesExtend
|
||||
stdevHigh *indicator.StdDev
|
||||
stdevLow *indicator.StdDev
|
||||
drift *DriftMA
|
||||
atr *indicator.ATR
|
||||
midPrice fixedpoint.Value
|
||||
lock sync.RWMutex
|
||||
|
||||
Source string `json:"source,omitempty"`
|
||||
TakeProfitFactor float64 `json:"takeProfitFactor"`
|
||||
StopLoss fixedpoint.Value `json:"stoploss"`
|
||||
CanvasPath string `json:"canvasPath"`
|
||||
PredictOffset int `json:"predictOffset"`
|
||||
HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
|
||||
NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
|
||||
|
||||
buyPrice float64
|
||||
sellPrice float64
|
||||
highestPrice float64
|
||||
lowestPrice float64
|
||||
|
||||
// This is not related to trade but for statistics graph generation
|
||||
// Will deduct fee in percentage from every trade
|
||||
GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
|
||||
GraphPNLPath string `json:"graphPNLPath"`
|
||||
GraphCumPNLPath string `json:"graphCumPNLPath"`
|
||||
// Whether to generate graph when shutdown
|
||||
GenerateGraph bool `json:"generateGraph"`
|
||||
|
||||
ExitMethods bbgo.ExitMethodSet `json:"exits"`
|
||||
Session *bbgo.ExchangeSession
|
||||
*bbgo.GeneralOrderExecutor
|
||||
|
||||
getLastPrice func() fixedpoint.Value
|
||||
getSource SourceFunc
|
||||
}
|
||||
|
||||
func (s *Strategy) Print(o *os.File) {
|
||||
f := bufio.NewWriter(o)
|
||||
defer f.Flush()
|
||||
b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
|
||||
hiyellow := color.New(color.FgHiYellow).FprintfFunc()
|
||||
hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
|
||||
hiyellow(f, "canvasPath: %s\n", s.CanvasPath)
|
||||
hiyellow(f, "source: %s\n", s.Source)
|
||||
hiyellow(f, "stoploss: %v\n", s.StopLoss)
|
||||
hiyellow(f, "takeProfitFactor: %f\n", s.TakeProfitFactor)
|
||||
hiyellow(f, "predictOffset: %d\n", s.PredictOffset)
|
||||
hiyellow(f, "exits:\n %s\n", string(b))
|
||||
hiyellow(f, "symbol: %s\n", s.Symbol)
|
||||
hiyellow(f, "interval: %s\n", s.Interval)
|
||||
hiyellow(f, "window: %d\n", s.Window)
|
||||
hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
|
||||
hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier)
|
||||
hiyellow(f, "\n")
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
||||
func (s *Strategy) InstanceID() string {
|
||||
return fmt.Sprintf("%s-%s", ID, s.Symbol)
|
||||
}
|
||||
|
||||
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
||||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
Interval: s.Interval,
|
||||
})
|
||||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
|
||||
Interval: types.Interval1m,
|
||||
})
|
||||
|
||||
if !bbgo.IsBackTesting {
|
||||
session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
|
||||
}
|
||||
s.ExitMethods.SetAndSubscribe(session, s)
|
||||
}
|
||||
|
||||
func (s *Strategy) CurrentPosition() *types.Position {
|
||||
return s.Position
|
||||
}
|
||||
|
||||
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
||||
order := s.Position.NewMarketCloseOrder(percentage)
|
||||
if order == nil {
|
||||
return nil
|
||||
}
|
||||
order.Tag = "close"
|
||||
order.TimeInForce = ""
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
baseBalance := balances[s.Market.BaseCurrency].Available
|
||||
price := s.getLastPrice()
|
||||
if order.Side == types.SideTypeBuy {
|
||||
quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
|
||||
if order.Quantity.Compare(quoteAmount) > 0 {
|
||||
order.Quantity = quoteAmount
|
||||
}
|
||||
} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
|
||||
order.Quantity = baseBalance
|
||||
}
|
||||
for {
|
||||
if s.Market.IsDustQuantity(order.Quantity, price) {
|
||||
return nil
|
||||
}
|
||||
_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
|
||||
if err != nil {
|
||||
order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
|
||||
continue
|
||||
}
|
||||
return nil
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) SourceFuncGenerator() SourceFunc {
|
||||
switch strings.ToLower(s.Source) {
|
||||
case "close":
|
||||
return func(kline *types.KLine) fixedpoint.Value { return kline.Close }
|
||||
case "high":
|
||||
return func(kline *types.KLine) fixedpoint.Value { return kline.High }
|
||||
case "low":
|
||||
return func(kline *types.KLine) fixedpoint.Value { return kline.Low }
|
||||
case "hl2":
|
||||
return func(kline *types.KLine) fixedpoint.Value {
|
||||
return kline.High.Add(kline.Low).Div(Two)
|
||||
}
|
||||
case "hlc3":
|
||||
return func(kline *types.KLine) fixedpoint.Value {
|
||||
return kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
|
||||
}
|
||||
case "ohlc4":
|
||||
return func(kline *types.KLine) fixedpoint.Value {
|
||||
return kline.Open.Add(kline.High).Add(kline.Low).Add(kline.Close).Div(Four)
|
||||
}
|
||||
case "open":
|
||||
return func(kline *types.KLine) fixedpoint.Value { return kline.Open }
|
||||
case "":
|
||||
log.Infof("source not set, use hl2 by default")
|
||||
return func(kline *types.KLine) fixedpoint.Value {
|
||||
return kline.High.Add(kline.Low).Div(Two)
|
||||
}
|
||||
default:
|
||||
panic(fmt.Sprintf("Unable to parse: %s", s.Source))
|
||||
}
|
||||
}
|
||||
|
||||
type DriftMA struct {
|
||||
types.SeriesBase
|
||||
ma1 types.UpdatableSeries
|
||||
drift *indicator.Drift
|
||||
ma2 types.UpdatableSeries
|
||||
}
|
||||
|
||||
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 *Strategy) initIndicators() error {
|
||||
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 5}}
|
||||
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
|
||||
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 6}}
|
||||
s.drift = &DriftMA{
|
||||
drift: &indicator.Drift{
|
||||
MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
|
||||
IntervalWindow: s.IntervalWindow,
|
||||
},
|
||||
ma1: &indicator.EWMA{
|
||||
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 2},
|
||||
},
|
||||
ma2: &indicator.FisherTransform{
|
||||
IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 9},
|
||||
},
|
||||
}
|
||||
s.drift.SeriesBase.Series = s.drift
|
||||
s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
|
||||
store, _ := s.Session.MarketDataStore(s.Symbol)
|
||||
klines, ok := store.KLinesOfInterval(s.Interval)
|
||||
if !ok {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
|
||||
for _, kline := range *klines {
|
||||
source := s.getSource(&kline).Float64()
|
||||
high := kline.High.Float64()
|
||||
low := kline.Low.Float64()
|
||||
s.ma.Update(source)
|
||||
s.stdevHigh.Update(high - s.ma.Last())
|
||||
s.stdevLow.Update(s.ma.Last() - low)
|
||||
s.drift.Update(source)
|
||||
s.atr.PushK(kline)
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
||||
if s.IsBackTesting() {
|
||||
s.getLastPrice = func() fixedpoint.Value {
|
||||
lastPrice, ok := s.Session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
log.Error("cannot get lastprice")
|
||||
}
|
||||
return lastPrice
|
||||
}
|
||||
} else {
|
||||
s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
|
||||
bestBid := ticker.Buy
|
||||
bestAsk := ticker.Sell
|
||||
|
||||
var pricef, stoploss, atr, avg float64
|
||||
var price fixedpoint.Value
|
||||
if util.TryLock(&s.lock) {
|
||||
if !bestAsk.IsZero() && !bestBid.IsZero() {
|
||||
s.midPrice = bestAsk.Add(bestBid).Div(Two)
|
||||
} else if !bestAsk.IsZero() {
|
||||
s.midPrice = bestAsk
|
||||
} else {
|
||||
s.midPrice = bestBid
|
||||
}
|
||||
price = s.midPrice
|
||||
pricef = s.midPrice.Float64()
|
||||
} else {
|
||||
return
|
||||
}
|
||||
if s.highestPrice > 0 && s.highestPrice < pricef {
|
||||
s.highestPrice = pricef
|
||||
}
|
||||
if s.lowestPrice > 0 && s.lowestPrice > pricef {
|
||||
s.lowestPrice = pricef
|
||||
}
|
||||
|
||||
// for trailing stoploss during the realtime
|
||||
if s.NoTrailingStopLoss {
|
||||
s.lock.Unlock()
|
||||
return
|
||||
}
|
||||
atr = s.atr.Last()
|
||||
avg = s.buyPrice + s.sellPrice
|
||||
stoploss = s.StopLoss.Float64()
|
||||
exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || avg-atr*s.TakeProfitFactor >= pricef ||
|
||||
((pricef-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || avg+atr*s.TakeProfitFactor <= pricef ||
|
||||
((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
|
||||
(!s.Position.IsLong() && !s.Position.IsDust(price))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
s.lock.Unlock()
|
||||
|
||||
})
|
||||
s.getLastPrice = func() (lastPrice fixedpoint.Value) {
|
||||
var ok bool
|
||||
s.lock.RLock()
|
||||
if s.midPrice.IsZero() {
|
||||
lastPrice, ok = s.Session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
log.Error("cannot get lastprice")
|
||||
return lastPrice
|
||||
}
|
||||
} else {
|
||||
lastPrice = s.midPrice
|
||||
}
|
||||
s.lock.RUnlock()
|
||||
return lastPrice
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series, zeroPoints types.Series) {
|
||||
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
|
||||
Length := priceLine.Length()
|
||||
if Length > 300 {
|
||||
Length = 300
|
||||
}
|
||||
mean := priceLine.Mean(Length)
|
||||
highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
|
||||
highestDrift := s.drift.Abs().Highest(Length)
|
||||
hi := s.drift.drift.Abs().Highest(Length)
|
||||
ratio := highestPrice / highestDrift
|
||||
canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
|
||||
canvas.Plot("ma", s.ma, time, Length)
|
||||
canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
|
||||
canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
|
||||
canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
|
||||
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
|
||||
canvas.Plot("price", priceLine, time, Length)
|
||||
canvas.Plot("zeroPoint", zeroPoints, time, Length)
|
||||
f, err := os.Create(s.CanvasPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("cannot render in drift")
|
||||
}
|
||||
|
||||
canvas = types.NewCanvas(s.InstanceID())
|
||||
if s.GraphPNLDeductFee {
|
||||
canvas.PlotRaw("pnl % (with Fee Deducted)", profit, profit.Length())
|
||||
} else {
|
||||
canvas.PlotRaw("pnl %", profit, profit.Length())
|
||||
}
|
||||
f, err = os.Create(s.GraphPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open pnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render pnl")
|
||||
}
|
||||
|
||||
canvas = types.NewCanvas(s.InstanceID())
|
||||
if s.GraphPNLDeductFee {
|
||||
canvas.PlotRaw("cummulative pnl % (with Fee Deducted)", cumProfit, cumProfit.Length())
|
||||
} else {
|
||||
canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length())
|
||||
}
|
||||
f, err = os.Create(s.GraphCumPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open cumpnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render cumpnl")
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
instanceID := s.InstanceID()
|
||||
// Will be set by persistence if there's any from DB
|
||||
if s.Position == nil {
|
||||
s.Position = types.NewPositionFromMarket(s.Market)
|
||||
}
|
||||
if s.ProfitStats == nil {
|
||||
s.ProfitStats = types.NewProfitStats(s.Market)
|
||||
}
|
||||
if s.TradeStats == nil {
|
||||
s.TradeStats = types.NewTradeStats(s.Symbol)
|
||||
}
|
||||
startTime := s.Environment.StartTime()
|
||||
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
|
||||
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime))
|
||||
|
||||
// StrategyController
|
||||
s.Status = types.StrategyStatusRunning
|
||||
// Get source function from config input
|
||||
s.getSource = s.SourceFuncGenerator()
|
||||
|
||||
s.OnSuspend(func() {
|
||||
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
})
|
||||
|
||||
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
||||
s.GeneralOrderExecutor.BindEnvironment(s.Environment)
|
||||
s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
|
||||
s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
|
||||
s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
||||
bbgo.Sync(s)
|
||||
})
|
||||
s.GeneralOrderExecutor.Bind()
|
||||
|
||||
// Exit methods from config
|
||||
for _, method := range s.ExitMethods {
|
||||
method.Bind(session, s.GeneralOrderExecutor)
|
||||
}
|
||||
buyPrice := fixedpoint.Zero
|
||||
sellPrice := fixedpoint.Zero
|
||||
Volume := fixedpoint.Zero
|
||||
profit := types.Float64Slice{}
|
||||
cumProfit := types.Float64Slice{1.}
|
||||
orderTagHistory := make(map[uint64]string)
|
||||
s.buyPrice = 0
|
||||
s.sellPrice = 0
|
||||
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderTagHistory[order.OrderID] = order.Tag
|
||||
})
|
||||
modify := func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p
|
||||
}
|
||||
if s.GraphPNLDeductFee {
|
||||
fee := fixedpoint.NewFromFloat(0.0004) // taker fee % * 2, for upper bound
|
||||
modify = func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p.Mul(fixedpoint.One.Sub(fee))
|
||||
}
|
||||
}
|
||||
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
tag, ok := orderTagHistory[trade.OrderID]
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
}
|
||||
if tag == "close" {
|
||||
if !buyPrice.IsZero() {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
if Volume.IsZero() {
|
||||
buyPrice = fixedpoint.Zero
|
||||
}
|
||||
if !sellPrice.IsZero() {
|
||||
panic("sellprice shouldn't be zero")
|
||||
}
|
||||
} else if !sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Neg().
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
if Volume.IsZero() {
|
||||
sellPrice = fixedpoint.Zero
|
||||
}
|
||||
if !buyPrice.IsZero() {
|
||||
panic("buyprice shouldn't be zero")
|
||||
}
|
||||
} else {
|
||||
panic("no price available")
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if buyPrice.IsZero() {
|
||||
if !sellPrice.IsZero() {
|
||||
sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
|
||||
} else {
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
Volume = fixedpoint.Zero
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
} else if tag == "long" {
|
||||
if sellPrice.IsZero() {
|
||||
if !buyPrice.IsZero() {
|
||||
buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
|
||||
} else {
|
||||
buyPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = trade.Price
|
||||
Volume = fixedpoint.Zero
|
||||
}
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
}
|
||||
s.buyPrice = buyPrice.Float64()
|
||||
s.highestPrice = s.buyPrice
|
||||
s.sellPrice = sellPrice.Float64()
|
||||
s.lowestPrice = s.sellPrice
|
||||
})
|
||||
|
||||
if err := s.initIndicators(); err != nil {
|
||||
log.WithError(err).Errorf("initIndicator failed")
|
||||
return nil
|
||||
}
|
||||
s.initTickerFunctions(ctx)
|
||||
|
||||
dynamicKLine := &types.KLine{}
|
||||
priceLine := types.NewQueue(300)
|
||||
zeroPoints := types.NewQueue(300)
|
||||
stoploss := s.StopLoss.Float64()
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
}
|
||||
if kline.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
var driftPred, atr float64
|
||||
var drift []float64
|
||||
|
||||
if !kline.Closed {
|
||||
return
|
||||
}
|
||||
if kline.Interval == types.Interval1m {
|
||||
if s.NoTrailingStopLoss || !s.IsBackTesting() {
|
||||
return
|
||||
}
|
||||
// for doing the trailing stoploss during backtesting
|
||||
atr = s.atr.Last()
|
||||
price := s.getLastPrice()
|
||||
pricef := price.Float64()
|
||||
lowf := math.Min(kline.Low.Float64(), pricef)
|
||||
highf := math.Max(kline.High.Float64(), pricef)
|
||||
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
||||
s.lowestPrice = lowf
|
||||
}
|
||||
if s.highestPrice > 0 && highf > s.highestPrice {
|
||||
s.highestPrice = highf
|
||||
}
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
|
||||
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf ||
|
||||
((highf-s.lowestPrice)/pricef > stoploss && (s.sellPrice-s.lowestPrice)/s.sellPrice > 0.01)) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(price))
|
||||
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf ||
|
||||
((s.highestPrice-pricef)/pricef > stoploss && (s.highestPrice-s.buyPrice)/s.buyPrice > 0.01)) &&
|
||||
(s.Position.IsLong() && !s.Position.IsDust(price))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
return
|
||||
}
|
||||
dynamicKLine.Set(&kline)
|
||||
|
||||
source := s.getSource(dynamicKLine)
|
||||
sourcef := source.Float64()
|
||||
priceLine.Update(sourcef)
|
||||
s.ma.Update(sourcef)
|
||||
s.drift.Update(sourcef)
|
||||
zeroPoint := s.drift.ZeroPoint()
|
||||
zeroPoints.Update(zeroPoint)
|
||||
s.atr.PushK(kline)
|
||||
drift = s.drift.Array(2)
|
||||
ddrift := s.drift.drift.Array(2)
|
||||
driftPred = s.drift.Predict(s.PredictOffset)
|
||||
atr = s.atr.Last()
|
||||
price := s.getLastPrice()
|
||||
pricef := price.Float64()
|
||||
lowf := math.Min(kline.Low.Float64(), pricef)
|
||||
highf := math.Max(kline.High.Float64(), pricef)
|
||||
lowdiff := s.ma.Last() - lowf
|
||||
s.stdevLow.Update(lowdiff)
|
||||
highdiff := highf - s.ma.Last()
|
||||
s.stdevHigh.Update(highdiff)
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
|
||||
if !s.IsBackTesting() {
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
bbgo.Notify("zeroPoint: %.4f, source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
|
||||
zeroPoint, sourcef, pricef, driftPred, drift[0], drift[1], atr, avg)
|
||||
// Notify will parse args to strings and process separately
|
||||
bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String())
|
||||
}
|
||||
|
||||
//shortCondition := (sourcef <= zeroPoint && driftPred <= drift[0] && drift[0] <= 0 && drift[1] > 0 && drift[2] > drift[1])
|
||||
//longCondition := (sourcef >= zeroPoint && driftPred >= drift[0] && drift[0] >= 0 && drift[1] < 0 && drift[2] < drift[1])
|
||||
//bothUp := ddrift[1] < ddrift[0] && drift[1] < drift[0]
|
||||
//bothDown := ddrift[1] > ddrift[0] && drift[1] > drift[0]
|
||||
shortCondition := (ddrift[0] <= 0 || drift[0] <= 0) && driftPred < 0.
|
||||
longCondition := (ddrift[0] >= 0 || drift[0] >= 0) && driftPred > 0
|
||||
exitShortCondition := (avg+atr <= highf || avg*(1.+stoploss) <= highf || avg-atr*s.TakeProfitFactor >= lowf) &&
|
||||
(s.Position.IsShort() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition && !shortCondition
|
||||
exitLongCondition := (avg-atr >= lowf || avg*(1.-stoploss) >= lowf || avg+atr*s.TakeProfitFactor <= highf) &&
|
||||
(s.Position.IsLong() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition && !longCondition
|
||||
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
return
|
||||
}
|
||||
if shortCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get baseBalance")
|
||||
return
|
||||
}
|
||||
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()
|
||||
|
||||
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
||||
return
|
||||
}
|
||||
// Cleanup pending StopOrders
|
||||
quantity := baseBalance.Available
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: source,
|
||||
Quantity: quantity,
|
||||
Tag: "short",
|
||||
})
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place sell order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "short"
|
||||
}
|
||||
if longCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
return
|
||||
}
|
||||
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()
|
||||
|
||||
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get quoteCurrency")
|
||||
return
|
||||
}
|
||||
if s.Market.IsDustQuantity(
|
||||
quoteBalance.Available.Div(source), source) {
|
||||
return
|
||||
}
|
||||
quantity := quoteBalance.Available.Div(source)
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: source,
|
||||
Quantity: quantity,
|
||||
Tag: "long",
|
||||
})
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place buy order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "long"
|
||||
}
|
||||
})
|
||||
|
||||
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
|
||||
defer s.Print(os.Stdout)
|
||||
|
||||
defer fmt.Fprintln(os.Stdout, s.TradeStats.BriefString())
|
||||
|
||||
if s.GenerateGraph {
|
||||
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
|
||||
}
|
||||
|
||||
wg.Done()
|
||||
})
|
||||
return nil
|
||||
}
|
||||
|
|
@ -15,6 +15,7 @@ import (
|
|||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
"github.com/c9s/bbgo/pkg/indicator"
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/c9s/bbgo/pkg/util"
|
||||
)
|
||||
|
||||
const ID = "ewo_dgtrd"
|
||||
|
|
@ -114,11 +115,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|||
}
|
||||
}
|
||||
|
||||
type UpdatableSeries interface {
|
||||
types.Series
|
||||
Update(value float64)
|
||||
}
|
||||
|
||||
// Refer: https://tw.tradingview.com/script/XZyG5SOx-CCI-Stochastic-and-a-quick-lesson-on-Scalping-Trading-Systems/
|
||||
type CCISTOCH struct {
|
||||
cci *indicator.CCI
|
||||
|
|
@ -180,8 +176,8 @@ func (inc *CCISTOCH) SellSignal() bool {
|
|||
}
|
||||
|
||||
type VWEMA struct {
|
||||
PV UpdatableSeries
|
||||
V UpdatableSeries
|
||||
PV types.UpdatableSeries
|
||||
V types.UpdatableSeries
|
||||
}
|
||||
|
||||
func (inc *VWEMA) Last() float64 {
|
||||
|
|
@ -1010,7 +1006,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
bestAsk := ticker.Sell
|
||||
var midPrice fixedpoint.Value
|
||||
|
||||
if tryLock(&s.lock) {
|
||||
if util.TryLock(&s.lock) {
|
||||
if !bestAsk.IsZero() && !bestBid.IsZero() {
|
||||
s.midPrice = bestAsk.Add(bestBid).Div(types.Two)
|
||||
} else if !bestAsk.IsZero() {
|
||||
|
|
|
|||
|
|
@ -12,6 +12,10 @@ func (s *Float64Slice) Push(v float64) {
|
|||
*s = append(*s, v)
|
||||
}
|
||||
|
||||
func (s *Float64Slice) Update(v float64) {
|
||||
*s = append(*s, v)
|
||||
}
|
||||
|
||||
func (s *Float64Slice) Pop(i int64) (v float64) {
|
||||
v = (*s)[i]
|
||||
*s = append((*s)[:i], (*s)[i+1:]...)
|
||||
|
|
|
|||
|
|
@ -4,7 +4,9 @@ import (
|
|||
"fmt"
|
||||
"math"
|
||||
"reflect"
|
||||
"time"
|
||||
|
||||
"github.com/wcharczuk/go-chart/v2"
|
||||
"gonum.org/v1/gonum/stat"
|
||||
)
|
||||
|
||||
|
|
@ -43,6 +45,15 @@ func (inc *Queue) Length() int {
|
|||
return len(inc.arr)
|
||||
}
|
||||
|
||||
func (inc *Queue) Clone() *Queue {
|
||||
out := &Queue{
|
||||
arr: inc.arr[:],
|
||||
size: inc.size,
|
||||
}
|
||||
out.SeriesBase.Series = out
|
||||
return out
|
||||
}
|
||||
|
||||
func (inc *Queue) Update(v float64) {
|
||||
inc.arr = append(inc.arr, v)
|
||||
if len(inc.arr) > inc.size {
|
||||
|
|
@ -50,7 +61,7 @@ func (inc *Queue) Update(v float64) {
|
|||
}
|
||||
}
|
||||
|
||||
var _ SeriesExtend = &Queue{}
|
||||
var _ UpdatableSeriesExtend = &Queue{}
|
||||
|
||||
// Float64Indicator is the indicators (SMA and EWMA) that we want to use are returning float64 data.
|
||||
type Float64Indicator interface {
|
||||
|
|
@ -93,6 +104,7 @@ type SeriesExtend interface {
|
|||
Variance(length int) float64
|
||||
Covariance(b Series, length int) float64
|
||||
Correlation(b Series, length int, method ...CorrFunc) float64
|
||||
AutoCorrelation(length int, lag ...int) float64
|
||||
Rank(length int) SeriesExtend
|
||||
Sigmoid() SeriesExtend
|
||||
Softmax(window int) SeriesExtend
|
||||
|
|
@ -120,6 +132,24 @@ type UpdatableSeriesExtend interface {
|
|||
Update(float64)
|
||||
}
|
||||
|
||||
func Clone(u UpdatableSeriesExtend) UpdatableSeriesExtend {
|
||||
method, ok := reflect.TypeOf(u).MethodByName("Clone")
|
||||
if ok {
|
||||
out := method.Func.Call([]reflect.Value{reflect.ValueOf(u)})
|
||||
return out[0].Interface().(UpdatableSeriesExtend)
|
||||
}
|
||||
panic("method Clone not exist")
|
||||
}
|
||||
|
||||
func TestUpdate(u UpdatableSeriesExtend, input float64) UpdatableSeriesExtend {
|
||||
method, ok := reflect.TypeOf(u).MethodByName("TestUpdate")
|
||||
if ok {
|
||||
out := method.Func.Call([]reflect.Value{reflect.ValueOf(u), reflect.ValueOf(input)})
|
||||
return out[0].Interface().(UpdatableSeriesExtend)
|
||||
}
|
||||
panic("method TestUpdate not exist")
|
||||
}
|
||||
|
||||
// The interface maps to pinescript basic type `series` for bool type
|
||||
// Access the internal historical data from the latest to the oldest
|
||||
// Index(0) always maps to Last()
|
||||
|
|
@ -133,13 +163,10 @@ type BoolSeries interface {
|
|||
// if limit is given, will only sum first limit numbers (a.Index[0..limit])
|
||||
// otherwise will sum all elements
|
||||
func Sum(a Series, limit ...int) (sum float64) {
|
||||
l := -1
|
||||
if len(limit) > 0 {
|
||||
l := a.Length()
|
||||
if len(limit) > 0 && limit[0] < l {
|
||||
l = limit[0]
|
||||
}
|
||||
if l < a.Length() {
|
||||
l = a.Length()
|
||||
}
|
||||
for i := 0; i < l; i++ {
|
||||
sum += a.Index(i)
|
||||
}
|
||||
|
|
@ -150,13 +177,10 @@ func Sum(a Series, limit ...int) (sum float64) {
|
|||
// if limit is given, will only calculate the average of first limit numbers (a.Index[0..limit])
|
||||
// otherwise will operate on all elements
|
||||
func Mean(a Series, limit ...int) (mean float64) {
|
||||
l := -1
|
||||
if len(limit) > 0 {
|
||||
l := a.Length()
|
||||
if len(limit) > 0 && limit[0] < l {
|
||||
l = limit[0]
|
||||
}
|
||||
if l < a.Length() {
|
||||
l = a.Length()
|
||||
}
|
||||
return Sum(a, l) / float64(l)
|
||||
}
|
||||
|
||||
|
|
@ -183,7 +207,7 @@ func Abs(a Series) SeriesExtend {
|
|||
|
||||
var _ Series = &AbsResult{}
|
||||
|
||||
func Predict(a Series, lookback int, offset ...int) float64 {
|
||||
func LinearRegression(a Series, lookback int) (alpha float64, beta float64) {
|
||||
if a.Length() < lookback {
|
||||
lookback = a.Length()
|
||||
}
|
||||
|
|
@ -194,7 +218,12 @@ func Predict(a Series, lookback int, offset ...int) float64 {
|
|||
x[i] = float64(i)
|
||||
y[i] = a.Index(i)
|
||||
}
|
||||
alpha, beta := stat.LinearRegression(x, y, weights, false)
|
||||
alpha, beta = stat.LinearRegression(x, y, weights, false)
|
||||
return
|
||||
}
|
||||
|
||||
func Predict(a Series, lookback int, offset ...int) float64 {
|
||||
alpha, beta := LinearRegression(a, lookback)
|
||||
o := -1.0
|
||||
if len(offset) > 0 {
|
||||
o = -float64(offset[0])
|
||||
|
|
@ -335,6 +364,10 @@ func (a NumberSeries) Length() int {
|
|||
return math.MaxInt32
|
||||
}
|
||||
|
||||
func (a NumberSeries) Clone() NumberSeries {
|
||||
return a
|
||||
}
|
||||
|
||||
var _ Series = NumberSeries(0)
|
||||
|
||||
type AddSeriesResult struct {
|
||||
|
|
@ -597,11 +630,11 @@ func Dot(a interface{}, b interface{}, limit ...int) float64 {
|
|||
// if limit is given, will only take the first limit numbers (a.Index[0..limit])
|
||||
// otherwise will operate on all elements
|
||||
func Array(a Series, limit ...int) (result []float64) {
|
||||
l := -1
|
||||
if len(limit) > 0 {
|
||||
l := a.Length()
|
||||
if len(limit) > 0 && l > limit[0] {
|
||||
l = limit[0]
|
||||
}
|
||||
if l < a.Length() {
|
||||
if l > a.Length() {
|
||||
l = a.Length()
|
||||
}
|
||||
result = make([]float64, l)
|
||||
|
|
@ -617,13 +650,10 @@ func Array(a Series, limit ...int) (result []float64) {
|
|||
//
|
||||
// notice that the return type is a Float64Slice, which implements the Series interface
|
||||
func Reverse(a Series, limit ...int) (result Float64Slice) {
|
||||
l := -1
|
||||
if len(limit) > 0 {
|
||||
l := a.Length()
|
||||
if len(limit) > 0 && l > limit[0] {
|
||||
l = limit[0]
|
||||
}
|
||||
if l < a.Length() {
|
||||
l = a.Length()
|
||||
}
|
||||
result = make([]float64, l)
|
||||
for i := 0; i < l; i++ {
|
||||
result[l-i-1] = a.Index(i)
|
||||
|
|
@ -709,10 +739,8 @@ func PercentageChange(a Series, offset ...int) SeriesExtend {
|
|||
|
||||
func Stdev(a Series, params ...int) float64 {
|
||||
length := a.Length()
|
||||
if len(params) > 0 {
|
||||
if params[0] < length {
|
||||
length = params[0]
|
||||
}
|
||||
if len(params) > 0 && params[0] < length {
|
||||
length = params[0]
|
||||
}
|
||||
ddof := 0
|
||||
if len(params) > 1 {
|
||||
|
|
@ -817,6 +845,17 @@ func Correlation(a Series, b Series, length int, method ...CorrFunc) float64 {
|
|||
return runner(a, b, length)
|
||||
}
|
||||
|
||||
// similar to pandas.Series.autocorr() function.
|
||||
//
|
||||
// The method computes the Pearson correlation between Series and shifted itself
|
||||
func AutoCorrelation(a Series, length int, lags ...int) float64 {
|
||||
lag := 1
|
||||
if len(lags) > 0 {
|
||||
lag = lags[0]
|
||||
}
|
||||
return Pearson(a, Shift(a, lag), length)
|
||||
}
|
||||
|
||||
// similar to pandas.Series.cov() function with ddof=0
|
||||
//
|
||||
// Compute covariance with Series
|
||||
|
|
@ -1118,4 +1157,65 @@ func (l *LogisticRegressionModel) Predict(x []float64) float64 {
|
|||
return sigmoid(z + l.Gradient)
|
||||
}
|
||||
|
||||
type Canvas struct {
|
||||
chart.Chart
|
||||
Interval Interval
|
||||
}
|
||||
|
||||
func NewCanvas(title string, intervals ...Interval) *Canvas {
|
||||
valueFormatter := chart.TimeValueFormatter
|
||||
interval := Interval1m
|
||||
if len(intervals) > 0 {
|
||||
interval = intervals[0]
|
||||
if interval.Minutes() > 24*60 {
|
||||
valueFormatter = chart.TimeDateValueFormatter
|
||||
} else if interval.Minutes() > 60 {
|
||||
valueFormatter = chart.TimeHourValueFormatter
|
||||
} else {
|
||||
valueFormatter = chart.TimeMinuteValueFormatter
|
||||
}
|
||||
} else {
|
||||
valueFormatter = chart.IntValueFormatter
|
||||
}
|
||||
out := &Canvas{
|
||||
Chart: chart.Chart{
|
||||
Title: title,
|
||||
XAxis: chart.XAxis{
|
||||
ValueFormatter: valueFormatter,
|
||||
},
|
||||
},
|
||||
Interval: interval,
|
||||
}
|
||||
out.Chart.Elements = []chart.Renderable{
|
||||
chart.LegendLeft(&out.Chart),
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
||||
func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int) {
|
||||
var timeline []time.Time
|
||||
e := endTime.Time()
|
||||
for i := length - 1; i >= 0; i-- {
|
||||
shiftedT := e.Add(-time.Duration(i*canvas.Interval.Minutes()) * time.Minute)
|
||||
timeline = append(timeline, shiftedT)
|
||||
}
|
||||
canvas.Series = append(canvas.Series, chart.TimeSeries{
|
||||
Name: tag,
|
||||
YValues: Reverse(a, length),
|
||||
XValues: timeline,
|
||||
})
|
||||
}
|
||||
|
||||
func (canvas *Canvas) PlotRaw(tag string, a Series, length int) {
|
||||
var x []float64
|
||||
for i := 0; i < length; i++ {
|
||||
x = append(x, float64(i))
|
||||
}
|
||||
canvas.Series = append(canvas.Series, chart.ContinuousSeries{
|
||||
Name: tag,
|
||||
XValues: x,
|
||||
YValues: Reverse(a, length),
|
||||
})
|
||||
}
|
||||
|
||||
// TODO: ta.linreg
|
||||
|
|
|
|||
|
|
@ -1,9 +1,13 @@
|
|||
package types
|
||||
|
||||
import (
|
||||
"github.com/stretchr/testify/assert"
|
||||
"gonum.org/v1/gonum/stat"
|
||||
//"os"
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
"github.com/wcharczuk/go-chart/v2"
|
||||
"gonum.org/v1/gonum/stat"
|
||||
)
|
||||
|
||||
func TestFloat(t *testing.T) {
|
||||
|
|
@ -119,18 +123,18 @@ func TestSigmoid(t *testing.T) {
|
|||
|
||||
// from https://en.wikipedia.org/wiki/Logistic_regression
|
||||
func TestLogisticRegression(t *testing.T) {
|
||||
a := []Float64Slice{{0.5, 0.75, 1., 1.25, 1.5, 1.75, 2.0, 2.25, 2.5, 2.75, 3., 3.25, 3.5, 4., 4.25, 4.5, 4.75, 5., 5.5}}
|
||||
a := []Float64Slice{{0.5, 0.75, 1., 1.25, 1.5, 1.75, 1.75, 2.0, 2.25, 2.5, 2.75, 3., 3.25, 3.5, 4., 4.25, 4.5, 4.75, 5., 5.5}}
|
||||
b := Float64Slice{0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1}
|
||||
var x []Series
|
||||
x = append(x, &a[0])
|
||||
|
||||
model := LogisticRegression(x, &b, a[0].Length(), 8000, 0.0009)
|
||||
model := LogisticRegression(x, &b, a[0].Length(), 90000, 0.0018)
|
||||
inputs := []float64{1., 2., 2.7, 3., 4., 5.}
|
||||
results := []bool{false, false, true, true, true, true}
|
||||
for i, x := range inputs {
|
||||
input := []float64{x}
|
||||
pred := model.Predict(input)
|
||||
assert.Equal(t, pred > 0.5, results[i])
|
||||
assert.Equal(t, pred >= 0.5, results[i])
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -144,3 +148,23 @@ func TestDot(t *testing.T) {
|
|||
out3 := Dot(3., &a, 2)
|
||||
assert.InDelta(t, out2, out3, 0.001)
|
||||
}
|
||||
|
||||
func TestClone(t *testing.T) {
|
||||
a := NewQueue(3)
|
||||
a.Update(3.)
|
||||
b := Clone(a)
|
||||
b.Update(4.)
|
||||
assert.Equal(t, a.Last(), 3.)
|
||||
assert.Equal(t, b.Last(), 4.)
|
||||
}
|
||||
|
||||
func TestPlot(t *testing.T) {
|
||||
ct := NewCanvas("test", Interval5m)
|
||||
a := Float64Slice{200., 205., 230., 236}
|
||||
ct.Plot("test", &a, Time(time.Now()), 4)
|
||||
assert.Equal(t, ct.Interval, Interval5m)
|
||||
assert.Equal(t, ct.Series[0].(chart.TimeSeries).Len(), 4)
|
||||
//f, _ := os.Create("output.png")
|
||||
//defer f.Close()
|
||||
//ct.Render(chart.PNG, f)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -71,6 +71,26 @@ type KLine struct {
|
|||
Closed bool `json:"closed" db:"closed"`
|
||||
}
|
||||
|
||||
func (k *KLine) Set(o *KLine) {
|
||||
k.GID = o.GID
|
||||
k.Exchange = o.Exchange
|
||||
k.Symbol = o.Symbol
|
||||
k.StartTime = o.StartTime
|
||||
k.EndTime = o.EndTime
|
||||
k.Interval = o.Interval
|
||||
k.Open = o.Open
|
||||
k.Close = o.Close
|
||||
k.High = o.High
|
||||
k.Low = o.Low
|
||||
k.Volume = o.Volume
|
||||
k.QuoteVolume = o.QuoteVolume
|
||||
k.TakerBuyBaseAssetVolume = o.TakerBuyBaseAssetVolume
|
||||
k.TakerBuyQuoteAssetVolume = o.TakerBuyQuoteAssetVolume
|
||||
k.LastTradeID = o.LastTradeID
|
||||
k.NumberOfTrades = o.NumberOfTrades
|
||||
k.Closed = o.Closed
|
||||
}
|
||||
|
||||
func (k KLine) GetStartTime() Time {
|
||||
return k.StartTime
|
||||
}
|
||||
|
|
|
|||
28
pkg/types/omega.go
Normal file
28
pkg/types/omega.go
Normal file
|
|
@ -0,0 +1,28 @@
|
|||
package types
|
||||
|
||||
// Determines the Omega ratio of a strategy
|
||||
// See https://en.wikipedia.org/wiki/Omega_ratio for more details
|
||||
//
|
||||
// @param returns (Series): Series of profit/loss percentage every specific interval
|
||||
// @param returnThresholds(float64): threshold for returns filtering
|
||||
// @return Omega ratio for give return series and threshold
|
||||
func Omega(returns Series, returnThresholds ...float64) float64 {
|
||||
threshold := 0.0
|
||||
if len(returnThresholds) > 0 {
|
||||
threshold = returnThresholds[0]
|
||||
} else {
|
||||
threshold = Mean(returns)
|
||||
}
|
||||
length := returns.Length()
|
||||
win := 0.0
|
||||
loss := 0.0
|
||||
for i := 0; i < length; i++ {
|
||||
out := threshold - returns.Index(i)
|
||||
if out > 0 {
|
||||
win += out
|
||||
} else {
|
||||
loss -= out
|
||||
}
|
||||
}
|
||||
return win / loss
|
||||
}
|
||||
12
pkg/types/omega_test.go
Normal file
12
pkg/types/omega_test.go
Normal file
|
|
@ -0,0 +1,12 @@
|
|||
package types
|
||||
|
||||
import (
|
||||
"github.com/stretchr/testify/assert"
|
||||
"testing"
|
||||
)
|
||||
|
||||
func TestOmega(t *testing.T) {
|
||||
var a Series = &Float64Slice{0.08, 0.09, 0.07, 0.15, 0.02, 0.03, 0.04, 0.05, 0.06, 0.01}
|
||||
output := Omega(a)
|
||||
assert.InDelta(t, output, 1, 0.0001)
|
||||
}
|
||||
|
|
@ -121,6 +121,10 @@ func (s *SeriesBase) Correlation(b Series, length int, method ...CorrFunc) float
|
|||
return Correlation(s, b, length, method...)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) AutoCorrelation(length int, lag ...int) float64 {
|
||||
return AutoCorrelation(s, length, lag...)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) Rank(length int) SeriesExtend {
|
||||
return Rank(s, length)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,32 +1,28 @@
|
|||
package statistics
|
||||
package types
|
||||
|
||||
import (
|
||||
"math"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// Sharpe: Calcluates the sharpe ratio of access returns
|
||||
//
|
||||
// @param returns (Series): Series of profit/loss percentage every specific interval
|
||||
// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy)
|
||||
// @param annualize (bool): return annualize sharpe?
|
||||
// @param smart (bool): return smart sharpe ratio
|
||||
func Sharpe(returns types.Series, periods int, annualize bool, smart bool) float64 {
|
||||
func Sharpe(returns Series, periods int, annualize bool, smart bool) float64 {
|
||||
data := returns
|
||||
num := data.Length()
|
||||
if types.Lowest(data, num) >= 0 && types.Highest(data, num) > 1 {
|
||||
data = types.PercentageChange(returns)
|
||||
}
|
||||
divisor := types.Stdev(data, data.Length(), 1)
|
||||
divisor := Stdev(data, data.Length(), 1)
|
||||
if smart {
|
||||
sum := 0.
|
||||
coef := math.Abs(types.Correlation(data, types.Shift(data, 1), num-1))
|
||||
coef := math.Abs(Correlation(data, Shift(data, 1), num-1))
|
||||
for i := 1; i < num; i++ {
|
||||
sum += float64(num-i) / float64(num) * math.Pow(coef, float64(i))
|
||||
}
|
||||
divisor = divisor * math.Sqrt(1.+2.*sum)
|
||||
}
|
||||
result := types.Mean(data) / divisor
|
||||
result := Mean(data) / divisor
|
||||
if annualize {
|
||||
return result * math.Sqrt(float64(periods))
|
||||
}
|
||||
|
|
@ -1,7 +1,6 @@
|
|||
package statistics
|
||||
package types
|
||||
|
||||
import (
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
"github.com/stretchr/testify/assert"
|
||||
"testing"
|
||||
)
|
||||
|
|
@ -17,7 +16,7 @@ print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, False, False))
|
|||
print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, True, False))
|
||||
*/
|
||||
func TestSharpe(t *testing.T) {
|
||||
var a types.Series = &types.Float64Slice{0.01, 0.1, 0.001}
|
||||
var a Series = &Float64Slice{0.01, 0.1, 0.001}
|
||||
output := Sharpe(a, 0, false, false)
|
||||
assert.InDelta(t, output, 0.67586, 0.0001)
|
||||
output = Sharpe(a, 252, false, false)
|
||||
|
|
@ -1,30 +1,121 @@
|
|||
package types
|
||||
|
||||
import (
|
||||
"time"
|
||||
|
||||
"gopkg.in/yaml.v3"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/fixedpoint"
|
||||
)
|
||||
|
||||
type IntervalProfitCollector struct {
|
||||
Interval Interval `json:"interval"`
|
||||
Profits *Float64Slice `json:"profits"`
|
||||
tmpTime time.Time `json:"tmpTime"`
|
||||
}
|
||||
|
||||
func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
|
||||
return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &Float64Slice{1.}}
|
||||
}
|
||||
|
||||
// Update the collector by every traded profit
|
||||
func (s *IntervalProfitCollector) Update(profit *Profit) {
|
||||
if s.tmpTime.IsZero() {
|
||||
panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
|
||||
} else {
|
||||
duration := s.Interval.Duration()
|
||||
if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
|
||||
(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
|
||||
} else {
|
||||
for {
|
||||
s.Profits.Update(1.)
|
||||
s.tmpTime = s.tmpTime.Add(duration)
|
||||
if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
|
||||
(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Get number of profitable traded intervals
|
||||
func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
|
||||
if s.Profits == nil {
|
||||
panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
|
||||
}
|
||||
for _, v := range *s.Profits {
|
||||
if v > 1. {
|
||||
profit += 1
|
||||
}
|
||||
}
|
||||
return profit
|
||||
}
|
||||
|
||||
// Get number of non-profitable traded intervals
|
||||
// (no trade within the interval or pnl = 0 will be also included here)
|
||||
func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit int) {
|
||||
if s.Profits == nil {
|
||||
panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
|
||||
}
|
||||
for _, v := range *s.Profits {
|
||||
if v <= 1. {
|
||||
nonprofit += 1
|
||||
}
|
||||
}
|
||||
return nonprofit
|
||||
}
|
||||
|
||||
// Get sharpe value with the interval of profit collected.
|
||||
// no smart sharpe ON for the calculated result
|
||||
func (s *IntervalProfitCollector) GetSharpe() float64 {
|
||||
if s.tmpTime.IsZero() {
|
||||
panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
|
||||
}
|
||||
if s.Profits == nil {
|
||||
panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
|
||||
}
|
||||
return Sharpe(Minus(s.Profits, 1.), s.Profits.Length(), true, false)
|
||||
}
|
||||
|
||||
func (s *IntervalProfitCollector) GetOmega() float64 {
|
||||
return Omega(Minus(s.Profits, 1.))
|
||||
}
|
||||
|
||||
func (s IntervalProfitCollector) MarshalYAML() (interface{}, error) {
|
||||
result := make(map[string]interface{})
|
||||
result["Sharpe Ratio"] = s.GetSharpe()
|
||||
result["Omega Ratio"] = s.GetOmega()
|
||||
result["Profitable Count"] = s.GetNumOfProfitableIntervals()
|
||||
result["NonProfitable Count"] = s.GetNumOfNonProfitableIntervals()
|
||||
return result, nil
|
||||
}
|
||||
|
||||
// TODO: Add more stats from the reference:
|
||||
// See https://www.metatrader5.com/en/terminal/help/algotrading/testing_report
|
||||
type TradeStats struct {
|
||||
Symbol string `json:"symbol"`
|
||||
WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
|
||||
NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
|
||||
NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
|
||||
GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
|
||||
GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
|
||||
Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
|
||||
Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
|
||||
MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
|
||||
MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
|
||||
ProfitFactor fixedpoint.Value `json:"profitFactor" yaml:"profitFactor"`
|
||||
TotalNetProfit fixedpoint.Value `json:"totalNetProfit" yaml:"totalNetProfit"`
|
||||
Symbol string `json:"symbol"`
|
||||
WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
|
||||
NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
|
||||
NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
|
||||
GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
|
||||
GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
|
||||
Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
|
||||
Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
|
||||
MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
|
||||
MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
|
||||
ProfitFactor fixedpoint.Value `json:"profitFactor" yaml:"profitFactor"`
|
||||
TotalNetProfit fixedpoint.Value `json:"totalNetProfit" yaml:"totalNetProfit"`
|
||||
IntervalProfits map[Interval]*IntervalProfitCollector `jons:"intervalProfits,omitempty" yaml: "intervalProfits,omitempty"`
|
||||
}
|
||||
|
||||
func NewTradeStats(symbol string) *TradeStats {
|
||||
return &TradeStats{Symbol: symbol}
|
||||
return &TradeStats{Symbol: symbol, IntervalProfits: make(map[Interval]*IntervalProfitCollector)}
|
||||
}
|
||||
|
||||
// Set IntervalProfitCollector explicitly to enable the sharpe ratio calculation
|
||||
func (s *TradeStats) SetIntervalProfitCollector(c *IntervalProfitCollector) {
|
||||
s.IntervalProfits[c.Interval] = c
|
||||
}
|
||||
|
||||
func (s *TradeStats) Add(profit *Profit) {
|
||||
|
|
@ -33,6 +124,9 @@ func (s *TradeStats) Add(profit *Profit) {
|
|||
}
|
||||
|
||||
s.add(profit.Profit)
|
||||
for _, v := range s.IntervalProfits {
|
||||
v.Update(profit)
|
||||
}
|
||||
}
|
||||
|
||||
func (s *TradeStats) add(pnl fixedpoint.Value) {
|
||||
|
|
@ -61,6 +155,24 @@ func (s *TradeStats) add(pnl fixedpoint.Value) {
|
|||
s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss.Abs())
|
||||
}
|
||||
|
||||
// Output TradeStats without Profits and Losses
|
||||
func (s *TradeStats) BriefString() string {
|
||||
out, _ := yaml.Marshal(&TradeStats{
|
||||
Symbol: s.Symbol,
|
||||
WinningRatio: s.WinningRatio,
|
||||
NumOfLossTrade: s.NumOfLossTrade,
|
||||
NumOfProfitTrade: s.NumOfProfitTrade,
|
||||
GrossProfit: s.GrossProfit,
|
||||
GrossLoss: s.GrossLoss,
|
||||
MostProfitableTrade: s.MostProfitableTrade,
|
||||
MostLossTrade: s.MostLossTrade,
|
||||
ProfitFactor: s.ProfitFactor,
|
||||
TotalNetProfit: s.TotalNetProfit,
|
||||
IntervalProfits: s.IntervalProfits,
|
||||
})
|
||||
return string(out)
|
||||
}
|
||||
|
||||
func (s *TradeStats) String() string {
|
||||
out, _ := yaml.Marshal(s)
|
||||
return string(out)
|
||||
|
|
|
|||
|
|
@ -1,16 +1,16 @@
|
|||
//go:build !go1.18
|
||||
// +build !go1.18
|
||||
|
||||
package ewoDgtrd
|
||||
package util
|
||||
|
||||
import "sync"
|
||||
|
||||
func tryLock(lock *sync.RWMutex) bool {
|
||||
func TryLock(lock *sync.RWMutex) bool {
|
||||
lock.Lock()
|
||||
return true
|
||||
}
|
||||
|
||||
func tryRLock(lock *sync.RWMutex) bool {
|
||||
func TryRLock(lock *sync.RWMutex) bool {
|
||||
lock.RLock()
|
||||
return true
|
||||
}
|
||||
|
|
@ -1,14 +1,14 @@
|
|||
//go:build go1.18
|
||||
// +build go1.18
|
||||
|
||||
package ewoDgtrd
|
||||
package util
|
||||
|
||||
import "sync"
|
||||
|
||||
func tryLock(lock *sync.RWMutex) bool {
|
||||
func TryLock(lock *sync.RWMutex) bool {
|
||||
return lock.TryLock()
|
||||
}
|
||||
|
||||
func tryRLock(lock *sync.RWMutex) bool {
|
||||
func TryRLock(lock *sync.RWMutex) bool {
|
||||
return lock.TryRLock()
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user