Merge pull request #813 from zenixls2/feature/drift_study

feature: drift study

config/drift.yaml

@@ -0,0 +1,80 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    futures: false
+    envVarPrefix: binance
+    heikinAshi: false
+
+exchangeStrategies:
+ 
+- on: binance
+  drift:
+    canvasPath: "./output.png"
+    symbol: ETHUSDT
+    # kline interval for indicators
+    interval: 15m
+    window: 2
+    stoploss: 0.3%
+    source: close
+    predictOffset: 2
+    # position avg +- takeProfitFactor * atr as take profit price
+    takeProfitFactor: 1.4
+    noTrailingStopLoss: true
+    # stddev on high/low-source
+    hlVarianceMultiplier: 0.22
+
+    generateGraph: true
+    graphPNLDeductFee: false
+    graphPNLPath: "./pnl.png"
+    graphCumPNLPath: "./cumpnl.png"
+    #exits:
+    #- roiStopLoss:
+    #   percentage: 0.8%
+    #- roiTakeProfit:
+    #   percentage: 35%
+    #- protectiveStopLoss:
+    #   activationRatio: 0.6%
+    #   stopLossRatio: 0.1%
+    #   placeStopOrder: false
+    #- protectiveStopLoss:
+    #   activationRatio: 5%
+    #   stopLossRatio: 1%
+    #   placeStopOrder: false
+    #- cumulatedVolumeTakeProfit:
+    #   interval: 5m
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
+    #- protectiveStopLoss:
+    #    activationRatio: 2%
+    #    stopLossRatio: 1%
+    #    placeStopOrder: false
+
+sync:
+  userDataStream:
+    trades: true
+    filledOrders: true
+  sessions:
+    - binance
+  symbols:
+    - ETHUSDT
+
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-06-18"
+  symbols:
+    - ETHUSDT
+  sessions: [binance]
+  accounts:
+    binance:
+      #makerFeeRate: 0.00001
+      #takerFeeRate: 0.00001
+      balances:
+        ETH: 10
+        USDT: 5000.0

config/driftBTC.yaml

@@ -0,0 +1,91 @@
+---
+persistence:
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    futures: false
+    envVarPrefix: binance
+    heikinAshi: false
+
+exchangeStrategies:
+ 
+- on: binance
+  drift:
+    canvasPath: "./output.png"
+    symbol: BTCBUSD
+    # kline interval for indicators
+    interval: 15m
+    window: 2
+    stoploss: 0.3%
+    source: close
+    predictOffset: 2
+    # position avg +- takeProfitFactor * atr as take profit price
+    takeProfitFactor: 1.2
+    noTrailingStopLoss: true
+    # stddev on high/low-source
+    hlVarianceMultiplier: 0.27
+
+    generateGraph: true
+    graphPNLDeductFee: true
+    graphPNLPath: "./pnl.png"
+    graphCumPNLPath: "./cumpnl.png"
+    exits:
+    #- roiStopLoss:
+    #   percentage: 0.8%
+    #- roiTakeProfit:
+    #   percentage: 3%
+    #- protectiveStopLoss:
+    #   activationRatio: 0.5%
+    #   stopLossRatio: 0.1%
+    #   placeStopOrder: false
+    - trailingStop:
+        callbackRate: 1%
+        # activationRatio is relative to the average cost,
+        # when side is buy, 1% means lower 1% than the average cost.
+        # when side is sell, 1% means higher 1% than the average cost.
+        activationRatio: 3%
+        # minProfit uses the position ROI to calculate the profit ratio
+        minProfit: 1%
+        interval: 1m
+        side: buy
+        closePosition: 100%
+    #- protectiveStopLoss:
+    #   activationRatio: 5%
+    #   stopLossRatio: 1%
+    #   placeStopOrder: false
+    #- cumulatedVolumeTakeProfit:
+    #   interval: 5m
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
+    #- protectiveStopLoss:
+    #    activationRatio: 2%
+    #    stopLossRatio: 1%
+    #    placeStopOrder: false
+
+sync:
+  userDataStream:
+    trades: true
+    filledOrders: true
+  sessions:
+    - binance
+  symbols:
+    - BTCBUSD
+
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-06-18"
+  symbols:
+    - BTCBUSD
+  sessions: [binance]
+  accounts:
+    binance:
+      makerFeeRate: 0.000
+      takerFeeRate: 0.00075
+      balances:
+        BTC: 10
+        BUSD: 5000.0

go.mod

@@ -2,7 +2,7 @@
 
 module github.com/c9s/bbgo
 
-go 1.17
+go 1.18
 
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0
@@ -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

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=

pkg/bbgo/environment.go

@@ -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

pkg/bbgo/order_executor_general.go

@@ -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 fmt.Errorf("graceful cancel order error: %w", err)
-		return err
 	}
 
 	e.tradeCollector.Process()

pkg/cmd/builtin.go

@@ -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"
 )

pkg/indicator/alma.go

@@ -15,8 +15,8 @@ import (
 type ALMA struct {
 	types.SeriesBase
 	types.IntervalWindow         // required
-	Offset               float64 // required: recommend to be 5
+	Offset               float64 // required: recommend to be 0.5
-	Sigma                int     // required: recommend to be 0.5
+	Sigma                int     // required: recommend to be 5
 	weight               []float64
 	sum                  float64
 	input                []float64

pkg/indicator/atr.go

@@ -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")

pkg/indicator/boll.go

@@ -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}
 	}
 

pkg/indicator/const.go

@@ -9,4 +9,3 @@ import (
 var three = fixedpoint.NewFromInt(3)
 
 var zeroTime = time.Time{}
-

pkg/indicator/dema.go

@@ -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

pkg/indicator/drift.go

@@ -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

pkg/indicator/ewma.go

@@ -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)
 

pkg/indicator/fisher.go

@@ -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()
+}

pkg/indicator/rma.go

@@ -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 {

pkg/indicator/sma.go

@@ -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) {

pkg/indicator/util.go

@@ -1,2 +1 @@
 package indicator
-

pkg/statistics/omega.go

@@ -1 +0,0 @@
-package statistics

pkg/strategy/drift/strategy.go

@@ -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
+}

pkg/strategy/ewoDgtrd/strategy.go

@@ -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
+	PV types.UpdatableSeries
-	V  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() {

pkg/types/float_slice.go

@@ -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:]...)

pkg/types/indicator.go

@@ -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
+	l := a.Length()
-	if len(limit) > 0 {
+	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
+	l := a.Length()
-	if len(limit) > 0 {
+	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
+	l := a.Length()
-	if len(limit) > 0 {
+	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
+	l := a.Length()
-	if len(limit) > 0 {
+	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)
@@ -709,11 +739,9 @@ func PercentageChange(a Series, offset ...int) SeriesExtend {
 
 func Stdev(a Series, params ...int) float64 {
 	length := a.Length()
-	if len(params) > 0 {
+	if len(params) > 0 && params[0] < length {
-		if params[0] < length {
 		length = params[0]
 	}
-	}
 	ddof := 0
 	if len(params) > 1 {
 		ddof = 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

pkg/types/indicator_test.go

@@ -1,9 +1,13 @@
 package types
 
 import (
-	"github.com/stretchr/testify/assert"
+	//"os"
-	"gonum.org/v1/gonum/stat"
 	"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)
+}

pkg/types/kline.go

@@ -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
 }

pkg/types/omega.go

@@ -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
+}

pkg/types/omega_test.go

@@ -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)
+}

pkg/types/seriesbase_imp.go

@@ -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)
 }

pkg/types/sharp.go

@@ -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 {
+	divisor := Stdev(data, data.Length(), 1)
-		data = types.PercentageChange(returns)
-	}
-	divisor := types.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))
 	}

pkg/types/sharp_test.go

@@ -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)

pkg/types/trade_stats.go

@@ -1,11 +1,96 @@
 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 {
@@ -21,10 +106,16 @@ type TradeStats struct {
 	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)

pkg/util/trylock.go

@@ -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
 }

pkg/util/trylock_18.go

@@ -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()
 }