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strategy/supertrend: output by interval
This commit is contained in:
Andy Cheng
parent
2b638d1f8f
commit
592eae8c3c
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@ -1,12 +1,10 @@
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package supertrend
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import (
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"bufio"
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"context"
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"fmt"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/risk"
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"github.com/fatih/color"
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"os"
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"sync"
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@ -31,6 +29,108 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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// AccumulatedProfitReport For accumulated profit report output
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type AccumulatedProfitReport struct {
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// AccumulatedProfitMAWindow Accumulated profit SMA window, in number of trades
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AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"`
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// IntervalWindow interval window, in days
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IntervalWindow int `json:"intervalWindow"`
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// NumberOfInterval How many intervals to output to TSV
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NumberOfInterval int `json:"NumberOfInterval"`
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// TsvReportPath The path to output report to
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TsvReportPath string `json:"tsvReportPath"`
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// Accumulated profit
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accumulatedProfit fixedpoint.Value
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accumulatedProfitPerDay types.Float64Slice
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previousAccumulatedProfit fixedpoint.Value
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// Accumulated profit MA
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accumulatedProfitMA *indicator.SMA
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accumulatedProfitMAPerDay types.Float64Slice
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// Daily profit
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dailyProfit types.Float64Slice
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// Accumulated fee
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accumulatedFee fixedpoint.Value
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accumulatedFeePerDay types.Float64Slice
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// Win ratio
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winRatioPerDay types.Float64Slice
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// Profit factor
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profitFactorPerDay types.Float64Slice
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}
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func (r *AccumulatedProfitReport) Initialize() {
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if r.AccumulatedProfitMAWindow <= 0 {
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r.AccumulatedProfitMAWindow = 60
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}
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if r.IntervalWindow <= 0 {
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r.IntervalWindow = 7
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}
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if r.NumberOfInterval <= 0 {
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r.NumberOfInterval = 1
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}
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r.accumulatedProfitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1d, Window: r.AccumulatedProfitMAWindow}}
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}
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func (r *AccumulatedProfitReport) RecordProfit(profit fixedpoint.Value) {
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r.accumulatedProfit = r.accumulatedProfit.Add(profit)
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r.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
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}
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func (r *AccumulatedProfitReport) RecordFee(fee fixedpoint.Value) {
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r.accumulatedFee = r.accumulatedFee.Add(fee)
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}
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func (r *AccumulatedProfitReport) DailyUpdate(tradeStats *types.TradeStats) {
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// Daily profit
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r.dailyProfit.Update(r.accumulatedProfit.Sub(r.previousAccumulatedProfit).Float64())
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r.previousAccumulatedProfit = r.accumulatedProfit
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// Accumulated profit
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r.accumulatedProfitPerDay.Update(r.accumulatedProfit.Float64())
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// Accumulated profit MA
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r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last())
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// Accumulated Fee
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r.accumulatedFeePerDay.Update(r.accumulatedFee.Float64())
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// Win ratio
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r.winRatioPerDay.Update(tradeStats.WinningRatio.Float64())
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// Profit factor
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r.profitFactorPerDay.Update(tradeStats.ProfitFactor.Float64())
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}
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// Output Accumulated profit report to a TSV file
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func (r *AccumulatedProfitReport) Output(symbol string) {
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if r.TsvReportPath != "" {
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tsvwiter, err := tsv.AppendWriterFile(r.TsvReportPath)
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if err != nil {
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panic(err)
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}
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defer tsvwiter.Close()
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// Output symbol, total acc. profit, acc. profit 60MA, interval acc. profit, fee, win rate, profit factor
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for i := 0; i <= r.NumberOfInterval-1; i++ {
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accumulatedProfit := fmt.Sprintf("%f", r.accumulatedProfitPerDay.Index(r.IntervalWindow*i))
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accumulatedProfitMA := fmt.Sprintf("%f", r.accumulatedProfitMAPerDay.Index(r.IntervalWindow*i))
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intervalAccumulatedProfit := fmt.Sprintf("%f", r.dailyProfit.Tail(r.IntervalWindow*(i+1)).Sum()-r.dailyProfit.Tail(r.IntervalWindow*i).Sum())
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accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
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winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i))
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profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i))
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_ = tsvwiter.Write([]string{fmt.Sprintf("%d", i+1), symbol, accumulatedProfit, accumulatedProfitMA, intervalAccumulatedProfit, accumulatedFee, winRatio, profitFactor})
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}
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}
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Market types.Market
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@ -93,16 +193,7 @@ type Strategy struct {
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bbgo.StrategyController
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// Accumulated profit report
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accumulatedProfit fixedpoint.Value
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accumulatedProfitMA *indicator.SMA
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// AccumulatedProfitMAWindow Accumulated profit SMA window
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AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"`
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dailyAccumulatedProfits types.Float64Slice
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lastDayAccumulatedProfit fixedpoint.Value
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// AccumulatedProfitLastPeriodWindow Last period window of accumulated profit
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AccumulatedProfitLastPeriodWindow int `json:"accumulatedProfitLastPeriodWindow"`
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// AccumulatedProfitReportTsv outputs acc. profit report to specified tsv file
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AccumulatedProfitReportTsv string `json:"accumulatedProfitReportTsv"`
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AccumulatedProfitReport AccumulatedProfitReport `json:"accumulatedProfitReport"`
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}
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func (s *Strategy) ID() string {
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@ -299,29 +390,6 @@ func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoin
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}
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}
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// PrintResult prints accumulated profit status
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func (s *Strategy) PrintResult(o *os.File) {
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f := bufio.NewWriter(o)
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defer f.Flush()
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hiyellow := color.New(color.FgHiYellow).FprintfFunc()
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hiyellow(f, "------ %s Accumulated Profit Results ------\n", s.InstanceID())
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hiyellow(f, "Symbol: %v\n", s.Symbol)
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hiyellow(f, "Accumulated Profit: %v\n", s.accumulatedProfit)
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hiyellow(f, "Accumulated Profit %dMA: %f\n", s.AccumulatedProfitMAWindow, s.accumulatedProfitMA.Last())
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hiyellow(f, "Last %d day(s) Accumulated Profit: %f\n", s.AccumulatedProfitLastPeriodWindow, s.dailyAccumulatedProfits.Sum())
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hiyellow(f, "\n")
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if s.AccumulatedProfitReportTsv != "" {
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tsvwiter, err := tsv.AppendWriterFile(s.AccumulatedProfitReportTsv)
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if err != nil {
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panic(err)
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}
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defer tsvwiter.Close()
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// Output symbol, total acc. profit, acc. profit 60MA, 7d acc. profit
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tsvwiter.Write([]string{s.Symbol, s.accumulatedProfit.String(), fmt.Sprintf("%f", s.accumulatedProfitMA.Last()), fmt.Sprintf("%f", s.dailyAccumulatedProfits.Sum())})
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}
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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s.session = session
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@ -375,26 +443,22 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.AccountValueCalculator = risk.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
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// Accumulated profit report
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if s.AccumulatedProfitMAWindow <= 0 {
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s.AccumulatedProfitMAWindow = 60
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}
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s.accumulatedProfitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.AccumulatedProfitMAWindow}}
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s.orderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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if bbgo.IsBackTesting {
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s.AccumulatedProfitReport.Initialize()
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s.orderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) {
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if profit == nil {
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return
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}
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s.accumulatedProfit = s.accumulatedProfit.Add(profit.Profit)
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s.accumulatedProfitMA.Update(s.accumulatedProfit.Float64())
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})
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if s.AccumulatedProfitLastPeriodWindow <= 0 {
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s.AccumulatedProfitLastPeriodWindow = 7
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s.AccumulatedProfitReport.RecordProfit(profit.Profit)
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})
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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s.AccumulatedProfitReport.RecordFee(trade.Fee)
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) {
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s.AccumulatedProfitReport.DailyUpdate(s.TradeStats)
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}))
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}
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) {
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s.dailyAccumulatedProfits.Update(s.accumulatedProfit.Sub(s.lastDayAccumulatedProfit).Float64())
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s.dailyAccumulatedProfits = s.dailyAccumulatedProfits.Tail(s.AccumulatedProfitLastPeriodWindow)
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s.lastDayAccumulatedProfit = s.accumulatedProfit
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}))
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// Sync position to redis on trade
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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@ -500,8 +564,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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// Print accumulated profit report
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defer s.PrintResult(os.Stdout)
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// Output accumulated profit report
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if bbgo.IsBackTesting {
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defer s.AccumulatedProfitReport.Output(s.Symbol)
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}
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_ = s.orderExecutor.GracefulCancel(ctx)
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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