feature: optimizer add profitFactor optimization. Optimization value use float64 instead to save memory and boost performance

pkg/backtest/report.go

@@ -81,6 +81,8 @@ type SessionSymbolReport struct {
 	Manifests       Manifests                 `json:"manifests,omitempty"`
 	Sharpe          fixedpoint.Value          `json:"sharpeRatio"`
 	Sortino         fixedpoint.Value          `json:"sortinoRatio"`
+	ProfitFactor    fixedpoint.Value          `json:"profitFactor"`
+	WinningRatio    fixedpoint.Value          `json:"winningRatio"`
 }
 
 func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {

pkg/cmd/backtest.go

@@ -4,11 +4,6 @@ import (
 	"bufio"
 	"context"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
-	"github.com/c9s/bbgo/pkg/data/tsv"
-	"github.com/c9s/bbgo/pkg/util"
-	"github.com/fatih/color"
-	"github.com/google/uuid"
 	"os"
 	"path/filepath"
 	"sort"
@@ -16,6 +11,12 @@ import (
 	"syscall"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	"github.com/c9s/bbgo/pkg/data/tsv"
+	"github.com/c9s/bbgo/pkg/util"
+	"github.com/fatih/color"
+	"github.com/google/uuid"
+
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 	"github.com/spf13/cobra"
@@ -523,8 +524,11 @@ var BacktestCmd = &cobra.Command{
 
 		for _, session := range environ.Sessions() {
 			for symbol, trades := range session.Trades {
-				intervalProfits := sessionTradeStats[session.Name][symbol].IntervalProfits[types.Interval1d]
+				tradeState := sessionTradeStats[session.Name][symbol]
-				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades, intervalProfits)
+				profitFactor := tradeState.ProfitFactor
+				winningRatio := tradeState.WinningRatio
+				intervalProfits := tradeState.IntervalProfits[types.Interval1d]
+				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades, intervalProfits, profitFactor, winningRatio)
 				if err != nil {
 					return err
 				}
@@ -615,7 +619,8 @@ func collectSubscriptionIntervals(environ *bbgo.Environment) (allKLineIntervals
 	return allKLineIntervals, requiredInterval, backTestIntervals
 }
 
-func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, intervalProfit *types.IntervalProfitCollector) (
+func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, intervalProfit *types.IntervalProfitCollector,
+	profitFactor, winningRatio fixedpoint.Value) (
 	*backtest.SessionSymbolReport,
 	error,
 ) {
@@ -661,8 +666,10 @@ func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession,
 		InitialBalances: initBalances,
 		FinalBalances:   finalBalances,
 		// Manifests:       manifests,
-		Sharpe:  sharpeRatio,
+		Sharpe:       sharpeRatio,
-		Sortino: sortinoRatio,
+		Sortino:      sortinoRatio,
+		ProfitFactor: profitFactor,
+		WinningRatio: winningRatio,
 	}
 
 	for _, s := range session.Subscriptions {

pkg/optimizer/config.go

@@ -79,7 +79,7 @@ func LoadConfig(yamlConfigFileName string) (*Config, error) {
 	switch objective := strings.ToLower(optConfig.Objective); objective {
 	case "", "default":
 		optConfig.Objective = HpOptimizerObjectiveEquity
-	case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume:
+	case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume, HpOptimizerObjectiveProfitFactor:
 		optConfig.Objective = objective
 	default:
 		return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective)

pkg/optimizer/grid.go

@@ -14,30 +14,43 @@ import (
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
-type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value
+type MetricValueFunc func(summaryReport *backtest.SummaryReport) float64
 
-var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
+var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
-	return summaryReport.TotalProfit
+	return summaryReport.TotalProfit.Float64()
 }
 
-var TotalVolume = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
+var TotalVolume = func(summaryReport *backtest.SummaryReport) float64 {
 	if len(summaryReport.SymbolReports) == 0 {
-		return fixedpoint.Zero
+		return 0
 	}
 
-	buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume
+	buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume.Float64()
-	sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume
+	sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume.Float64()
-	return buyVolume.Add(sellVolume)
+	return buyVolume + sellVolume
 }
 
-var TotalEquityDiff = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
+var TotalEquityDiff = func(summaryReport *backtest.SummaryReport) float64 {
 	if len(summaryReport.SymbolReports) == 0 {
-		return fixedpoint.Zero
+		return 0
 	}
 
-	initEquity := summaryReport.InitialEquityValue
+	initEquity := summaryReport.InitialEquityValue.Float64()
-	finalEquity := summaryReport.FinalEquityValue
+	finalEquity := summaryReport.FinalEquityValue.Float64()
-	return finalEquity.Sub(initEquity)
+	return finalEquity - initEquity
+}
+
+var ProfitFactorMetricValueFunc = func(summaryReport *backtest.SummaryReport) float64 {
+	if len(summaryReport.SymbolReports) == 0 {
+		return 0
+	}
+	if len(summaryReport.SymbolReports) > 1 {
+		panic("multiple symbols' profitfactor optimization not supported")
+	}
+	report := summaryReport.SymbolReports[0]
+	pf := report.ProfitFactor.Float64()
+	win := report.WinningRatio.Float64()
+	return pf*0.9 + win*0.1
 }
 
 type Metric struct {
@@ -51,7 +64,7 @@ type Metric struct {
 	Key string `json:"key"`
 
 	// Value is the metric value of the metric
-	Value fixedpoint.Value `json:"value,omitempty"`
+	Value float64 `json:"value,omitempty"`
 }
 
 func copyParams(params []interface{}) []interface{} {
@@ -199,6 +212,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 		"totalProfit":     TotalProfitMetricValueFunc,
 		"totalVolume":     TotalVolume,
 		"totalEquityDiff": TotalEquityDiff,
+		"profitFactor":    ProfitFactorMetricValueFunc,
 	}
 	var metrics = map[string][]Metric{}
 
@@ -287,7 +301,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 		sort.Slice(metrics[n], func(i, j int) bool {
 			a := metrics[n][i].Value
 			b := metrics[n][j].Value
-			return a.Compare(b) > 0
+			return a > b
 		})
 	}
 

pkg/optimizer/hpoptimizer.go

@@ -3,6 +3,9 @@ package optimizer
 import (
 	"context"
 	"fmt"
+	"math"
+	"sync"
+
 	"github.com/c-bata/goptuna"
 	goptunaCMAES "github.com/c-bata/goptuna/cmaes"
 	goptunaSOBOL "github.com/c-bata/goptuna/sobol"
@@ -11,10 +14,9 @@ import (
 	"github.com/cheggaaa/pb/v3"
 	"github.com/sirupsen/logrus"
 	"golang.org/x/sync/errgroup"
-	"math"
-	"sync"
 )
 
+// WARNING: the text here could only be lower cases
 const (
 	// HpOptimizerObjectiveEquity optimize the parameters to maximize equity gain
 	HpOptimizerObjectiveEquity = "equity"
@@ -22,6 +24,8 @@ const (
 	HpOptimizerObjectiveProfit = "profit"
 	// HpOptimizerObjectiveVolume optimize the parameters to maximize trading volume
 	HpOptimizerObjectiveVolume = "volume"
+	// HpOptimizerObjectiveProfitFactor optimize the parameters to maximize profit factor
+	HpOptimizerObjectiveProfitFactor = "profitfactor"
 )
 
 const (
@@ -198,6 +202,8 @@ func (o *HyperparameterOptimizer) buildObjective(executor Executor, configJson [
 		metricValueFunc = TotalVolume
 	case HpOptimizerObjectiveEquity:
 		metricValueFunc = TotalEquityDiff
+	case HpOptimizerObjectiveProfitFactor:
+		metricValueFunc = ProfitFactorMetricValueFunc
 	}
 
 	return func(trial goptuna.Trial) (float64, error) {
@@ -225,7 +231,7 @@ func (o *HyperparameterOptimizer) buildObjective(executor Executor, configJson [
 			return 0.0, err
 		}
 		// By config, the Goptuna optimize the parameters by maximize the objective output.
-		return metricValueFunc(summary).Float64(), nil
+		return metricValueFunc(summary), nil
 	}
 }