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feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance
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7d03c69406
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@ -81,6 +81,8 @@ type SessionSymbolReport struct {
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Manifests Manifests `json:"manifests,omitempty"`
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Manifests Manifests `json:"manifests,omitempty"`
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Sharpe fixedpoint.Value `json:"sharpeRatio"`
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Sharpe fixedpoint.Value `json:"sharpeRatio"`
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Sortino fixedpoint.Value `json:"sortinoRatio"`
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Sortino fixedpoint.Value `json:"sortinoRatio"`
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ProfitFactor fixedpoint.Value `json:"profitFactor"`
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WinningRatio fixedpoint.Value `json:"winningRatio"`
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}
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}
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func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
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func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
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@ -4,11 +4,6 @@ import (
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"bufio"
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"bufio"
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"context"
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"context"
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"fmt"
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"fmt"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/fatih/color"
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"github.com/google/uuid"
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"os"
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"os"
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"path/filepath"
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"path/filepath"
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"sort"
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"sort"
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@ -16,6 +11,12 @@ import (
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"syscall"
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"syscall"
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"time"
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"time"
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"github.com/c9s/bbgo/pkg/cmd/cmdutil"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/fatih/color"
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"github.com/google/uuid"
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"github.com/pkg/errors"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"github.com/spf13/cobra"
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@ -523,8 +524,11 @@ var BacktestCmd = &cobra.Command{
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for _, session := range environ.Sessions() {
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for _, session := range environ.Sessions() {
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for symbol, trades := range session.Trades {
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for symbol, trades := range session.Trades {
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intervalProfits := sessionTradeStats[session.Name][symbol].IntervalProfits[types.Interval1d]
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tradeState := sessionTradeStats[session.Name][symbol]
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symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades, intervalProfits)
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profitFactor := tradeState.ProfitFactor
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winningRatio := tradeState.WinningRatio
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intervalProfits := tradeState.IntervalProfits[types.Interval1d]
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symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades, intervalProfits, profitFactor, winningRatio)
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if err != nil {
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if err != nil {
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return err
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return err
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}
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}
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@ -615,7 +619,8 @@ func collectSubscriptionIntervals(environ *bbgo.Environment) (allKLineIntervals
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return allKLineIntervals, requiredInterval, backTestIntervals
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return allKLineIntervals, requiredInterval, backTestIntervals
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}
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}
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func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, intervalProfit *types.IntervalProfitCollector) (
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func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, intervalProfit *types.IntervalProfitCollector,
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profitFactor, winningRatio fixedpoint.Value) (
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*backtest.SessionSymbolReport,
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*backtest.SessionSymbolReport,
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error,
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error,
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) {
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) {
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@ -663,6 +668,8 @@ func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession,
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// Manifests: manifests,
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// Manifests: manifests,
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Sharpe: sharpeRatio,
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Sharpe: sharpeRatio,
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Sortino: sortinoRatio,
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Sortino: sortinoRatio,
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ProfitFactor: profitFactor,
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WinningRatio: winningRatio,
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}
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}
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for _, s := range session.Subscriptions {
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for _, s := range session.Subscriptions {
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@ -79,7 +79,7 @@ func LoadConfig(yamlConfigFileName string) (*Config, error) {
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switch objective := strings.ToLower(optConfig.Objective); objective {
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switch objective := strings.ToLower(optConfig.Objective); objective {
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case "", "default":
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case "", "default":
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optConfig.Objective = HpOptimizerObjectiveEquity
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optConfig.Objective = HpOptimizerObjectiveEquity
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case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume:
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case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume, HpOptimizerObjectiveProfitFactor:
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optConfig.Objective = objective
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optConfig.Objective = objective
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default:
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default:
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return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective)
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return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective)
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@ -14,30 +14,43 @@ import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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)
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type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value
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type MetricValueFunc func(summaryReport *backtest.SummaryReport) float64
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var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
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var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
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return summaryReport.TotalProfit
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return summaryReport.TotalProfit.Float64()
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}
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}
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var TotalVolume = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
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var TotalVolume = func(summaryReport *backtest.SummaryReport) float64 {
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if len(summaryReport.SymbolReports) == 0 {
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if len(summaryReport.SymbolReports) == 0 {
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return fixedpoint.Zero
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return 0
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}
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}
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buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume
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buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume.Float64()
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sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume
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sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume.Float64()
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return buyVolume.Add(sellVolume)
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return buyVolume + sellVolume
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}
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}
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var TotalEquityDiff = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
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var TotalEquityDiff = func(summaryReport *backtest.SummaryReport) float64 {
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if len(summaryReport.SymbolReports) == 0 {
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if len(summaryReport.SymbolReports) == 0 {
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return fixedpoint.Zero
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return 0
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}
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}
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initEquity := summaryReport.InitialEquityValue
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initEquity := summaryReport.InitialEquityValue.Float64()
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finalEquity := summaryReport.FinalEquityValue
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finalEquity := summaryReport.FinalEquityValue.Float64()
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return finalEquity.Sub(initEquity)
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return finalEquity - initEquity
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}
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var ProfitFactorMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
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if len(summaryReport.SymbolReports) == 0 {
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return 0
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}
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if len(summaryReport.SymbolReports) > 1 {
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panic("multiple symbols' profitfactor optimization not supported")
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}
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report := summaryReport.SymbolReports[0]
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pf := report.ProfitFactor.Float64()
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win := report.WinningRatio.Float64()
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return pf*0.9 + win*0.1
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}
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}
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type Metric struct {
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type Metric struct {
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@ -51,7 +64,7 @@ type Metric struct {
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Key string `json:"key"`
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Key string `json:"key"`
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// Value is the metric value of the metric
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// Value is the metric value of the metric
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Value fixedpoint.Value `json:"value,omitempty"`
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Value float64 `json:"value,omitempty"`
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}
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}
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func copyParams(params []interface{}) []interface{} {
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func copyParams(params []interface{}) []interface{} {
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@ -199,6 +212,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
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"totalProfit": TotalProfitMetricValueFunc,
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"totalProfit": TotalProfitMetricValueFunc,
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"totalVolume": TotalVolume,
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"totalVolume": TotalVolume,
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"totalEquityDiff": TotalEquityDiff,
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"totalEquityDiff": TotalEquityDiff,
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"profitFactor": ProfitFactorMetricValueFunc,
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}
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}
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var metrics = map[string][]Metric{}
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var metrics = map[string][]Metric{}
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@ -287,7 +301,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
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sort.Slice(metrics[n], func(i, j int) bool {
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sort.Slice(metrics[n], func(i, j int) bool {
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a := metrics[n][i].Value
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a := metrics[n][i].Value
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b := metrics[n][j].Value
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b := metrics[n][j].Value
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return a.Compare(b) > 0
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return a > b
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})
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})
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}
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}
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@ -3,6 +3,9 @@ package optimizer
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import (
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import (
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"context"
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"context"
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"fmt"
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"fmt"
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"math"
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"sync"
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"github.com/c-bata/goptuna"
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"github.com/c-bata/goptuna"
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goptunaCMAES "github.com/c-bata/goptuna/cmaes"
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goptunaCMAES "github.com/c-bata/goptuna/cmaes"
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goptunaSOBOL "github.com/c-bata/goptuna/sobol"
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goptunaSOBOL "github.com/c-bata/goptuna/sobol"
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@ -11,10 +14,9 @@ import (
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"github.com/cheggaaa/pb/v3"
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"github.com/cheggaaa/pb/v3"
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"github.com/sirupsen/logrus"
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"github.com/sirupsen/logrus"
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"golang.org/x/sync/errgroup"
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"golang.org/x/sync/errgroup"
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"math"
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"sync"
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)
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)
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// WARNING: the text here could only be lower cases
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const (
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const (
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// HpOptimizerObjectiveEquity optimize the parameters to maximize equity gain
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// HpOptimizerObjectiveEquity optimize the parameters to maximize equity gain
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HpOptimizerObjectiveEquity = "equity"
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HpOptimizerObjectiveEquity = "equity"
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@ -22,6 +24,8 @@ const (
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HpOptimizerObjectiveProfit = "profit"
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HpOptimizerObjectiveProfit = "profit"
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// HpOptimizerObjectiveVolume optimize the parameters to maximize trading volume
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// HpOptimizerObjectiveVolume optimize the parameters to maximize trading volume
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HpOptimizerObjectiveVolume = "volume"
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HpOptimizerObjectiveVolume = "volume"
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// HpOptimizerObjectiveProfitFactor optimize the parameters to maximize profit factor
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HpOptimizerObjectiveProfitFactor = "profitfactor"
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)
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)
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const (
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const (
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@ -198,6 +202,8 @@ func (o *HyperparameterOptimizer) buildObjective(executor Executor, configJson [
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metricValueFunc = TotalVolume
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metricValueFunc = TotalVolume
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case HpOptimizerObjectiveEquity:
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case HpOptimizerObjectiveEquity:
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metricValueFunc = TotalEquityDiff
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metricValueFunc = TotalEquityDiff
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case HpOptimizerObjectiveProfitFactor:
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metricValueFunc = ProfitFactorMetricValueFunc
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}
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}
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return func(trial goptuna.Trial) (float64, error) {
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return func(trial goptuna.Trial) (float64, error) {
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@ -225,7 +231,7 @@ func (o *HyperparameterOptimizer) buildObjective(executor Executor, configJson [
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return 0.0, err
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return 0.0, err
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}
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}
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// By config, the Goptuna optimize the parameters by maximize the objective output.
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// By config, the Goptuna optimize the parameters by maximize the objective output.
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return metricValueFunc(summary).Float64(), nil
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return metricValueFunc(summary), nil
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}
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}
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}
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}
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