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strategy/supertrend: add last period accumulated profit report

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This commit is contained in:
Andy Cheng 2022-08-03 15:31:20 +08:00
parent dc9ecdd6ca
commit 5d1bfc6010
1 changed files with 17 additions and 1 deletions
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18
pkg/strategy/supertrend/strategy.go
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@ -92,6 +92,10 @@ type Strategy struct {
accumulatedProfitMA *indicator.SMA accumulatedProfitMA *indicator.SMA
// AccumulatedProfitMAWindow Accumulated profit SMA window // AccumulatedProfitMAWindow Accumulated profit SMA window
AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"` AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"`
dailyAccumulatedProfits types.Float64Slice
lastDayAccumulatedProfit fixedpoint.Value
// AccumulatedProfitLastPeriodWindow Last period window of accumulated profit
AccumulatedProfitLastPeriodWindow int `json:"accumulatedProfitLastPeriodWindow"`
} }
func (s *Strategy) ID() string { func (s *Strategy) ID() string {
@ -123,6 +127,9 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval})
s.ExitMethods.SetAndSubscribe(session, s) s.ExitMethods.SetAndSubscribe(session, s)
// Accumulated profit report
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
} }
// Position control // Position control
@ -277,10 +284,11 @@ func (s *Strategy) PrintResult(o *os.File) {
f := bufio.NewWriter(o) f := bufio.NewWriter(o)
defer f.Flush() defer f.Flush()
hiyellow := color.New(color.FgHiYellow).FprintfFunc() hiyellow := color.New(color.FgHiYellow).FprintfFunc()
hiyellow(f, "------ %s Results ------\n", s.InstanceID()) hiyellow(f, "------ %s Accumulated Profit Results ------\n", s.InstanceID())
hiyellow(f, "Symbol: %v\n", s.Symbol) hiyellow(f, "Symbol: %v\n", s.Symbol)
hiyellow(f, "Accumulated Profit: %v\n", s.accumulatedProfit) hiyellow(f, "Accumulated Profit: %v\n", s.accumulatedProfit)
hiyellow(f, "Accumulated Profit %dMA: %f\n", s.AccumulatedProfitMAWindow, s.accumulatedProfitMA.Last()) hiyellow(f, "Accumulated Profit %dMA: %f\n", s.AccumulatedProfitMAWindow, s.accumulatedProfitMA.Last())
hiyellow(f, "Last %d day(s) Accumulated Profit: %f\n", s.AccumulatedProfitLastPeriodWindow, s.dailyAccumulatedProfits.Sum())
hiyellow(f, "\n") hiyellow(f, "\n")
} }
@ -338,6 +346,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.accumulatedProfit = s.accumulatedProfit.Add(profit.Profit) s.accumulatedProfit = s.accumulatedProfit.Add(profit.Profit)
s.accumulatedProfitMA.Update(s.accumulatedProfit.Float64()) s.accumulatedProfitMA.Update(s.accumulatedProfit.Float64())
}) })
if s.AccumulatedProfitLastPeriodWindow <= 0 {
s.AccumulatedProfitLastPeriodWindow = 7
}
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) {
s.dailyAccumulatedProfits.Update(s.accumulatedProfit.Sub(s.lastDayAccumulatedProfit).Float64())
s.dailyAccumulatedProfits = s.dailyAccumulatedProfits.Tail(s.AccumulatedProfitLastPeriodWindow)
s.lastDayAccumulatedProfit = s.accumulatedProfit
}))
// Sync position to redis on trade // Sync position to redis on trade
s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {