mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #1168 from andycheng123/profit-report-parameter
FEATURE: Accumulated Profit report
This commit is contained in:
c9s
GitHub
commit
8bd5fc246c
197
pkg/report/profit_report.go
Normal file
197
pkg/report/profit_report.go
Normal file
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@ -0,0 +1,197 @@
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package report
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import (
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"fmt"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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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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// AccumulatedDailyProfitWindow The window to sum up the daily profit, in days
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AccumulatedDailyProfitWindow int `json:"accumulatedDailyProfitWindow"`
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Symbol string
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// Accumulated profit
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accumulatedProfit fixedpoint.Value
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accumulatedProfitPerDay floats.Slice
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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 floats.Slice
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// Daily profit
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dailyProfit floats.Slice
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// Accumulated fee
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accumulatedFee fixedpoint.Value
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accumulatedFeePerDay floats.Slice
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// Win ratio
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winRatioPerDay floats.Slice
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// Profit factor
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profitFactorPerDay floats.Slice
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// Trade number
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dailyTrades floats.Slice
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accumulatedTrades int
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previousAccumulatedTrades int
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// Extra values
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extraValues [][2]string
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}
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func (r *AccumulatedProfitReport) Initialize(Symbol string, session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor, TradeStats *types.TradeStats) {
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r.Symbol = Symbol
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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.AccumulatedDailyProfitWindow <= 0 {
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r.AccumulatedDailyProfitWindow = 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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session.Subscribe(types.KLineChannel, r.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
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// Record profit
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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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r.RecordProfit(profit.Profit)
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})
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// Record trade
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orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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r.RecordTrade(trade.Fee)
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})
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// Record daily status
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session.MarketDataStream.OnKLineClosed(types.KLineWith(r.Symbol, types.Interval1d, func(kline types.KLine) {
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r.DailyUpdate(TradeStats)
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}))
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}
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func (r *AccumulatedProfitReport) AddExtraValue(valueAndTitle [2]string) {
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r.extraValues = append(r.extraValues, valueAndTitle)
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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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}
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func (r *AccumulatedProfitReport) RecordTrade(fee fixedpoint.Value) {
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r.accumulatedFee = r.accumulatedFee.Add(fee)
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r.accumulatedTrades += 1
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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.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
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r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last(0))
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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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// Daily trades
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r.dailyTrades.Update(float64(r.accumulatedTrades - r.previousAccumulatedTrades))
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r.previousAccumulatedTrades = r.accumulatedTrades
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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 title row
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titles := []string{
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"#",
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"Symbol",
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"accumulatedProfit",
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"accumulatedProfitMA",
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fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow),
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"accumulatedFee",
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"accumulatedNetProfit",
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"winRatio",
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"profitFactor",
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"60D trades",
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}
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for i := 0; i < len(r.extraValues); i++ {
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titles = append(titles, r.extraValues[i][0])
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}
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_ = tsvwiter.Write(titles)
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// Output data row
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for i := 0; i <= r.NumberOfInterval-1; i++ {
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accumulatedProfit := r.accumulatedProfitPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitStr := fmt.Sprintf("%f", accumulatedProfit)
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accumulatedProfitMA := r.accumulatedProfitMAPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitMAStr := fmt.Sprintf("%f", accumulatedProfitMA)
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intervalAccumulatedProfit := r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum() - r.dailyProfit.Tail(r.IntervalWindow*i).Sum()
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intervalAccumulatedProfitStr := fmt.Sprintf("%f", intervalAccumulatedProfit)
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accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
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accumulatedNetProfit := fmt.Sprintf("%f", accumulatedProfit-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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trades := r.dailyTrades.Tail(60+r.IntervalWindow*i).Sum() - r.dailyTrades.Tail(r.IntervalWindow*i).Sum()
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tradesStr := fmt.Sprintf("%f", trades)
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values := []string{
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fmt.Sprintf("%d", i+1),
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symbol, accumulatedProfitStr,
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accumulatedProfitMAStr,
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intervalAccumulatedProfitStr,
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accumulatedFee,
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accumulatedNetProfit,
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winRatio, profitFactor,
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tradesStr,
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}
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for j := 0; j < len(r.extraValues); j++ {
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values = append(values, r.extraValues[j][1])
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}
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_ = tsvwiter.Write(values)
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}
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}
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}
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@ -9,12 +9,12 @@ import (
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/report"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -30,130 +30,6 @@ 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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// AccumulatedDailyProfitWindow The window to sum up the daily profit, in days
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AccumulatedDailyProfitWindow int `json:"accumulatedDailyProfitWindow"`
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// Accumulated profit
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accumulatedProfit fixedpoint.Value
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accumulatedProfitPerDay floats.Slice
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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 floats.Slice
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// Daily profit
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dailyProfit floats.Slice
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// Accumulated fee
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accumulatedFee fixedpoint.Value
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accumulatedFeePerDay floats.Slice
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// Win ratio
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winRatioPerDay floats.Slice
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// Profit factor
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profitFactorPerDay floats.Slice
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// Trade number
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dailyTrades floats.Slice
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accumulatedTrades int
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previousAccumulatedTrades int
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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.AccumulatedDailyProfitWindow <= 0 {
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r.AccumulatedDailyProfitWindow = 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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}
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func (r *AccumulatedProfitReport) RecordTrade(fee fixedpoint.Value) {
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r.accumulatedFee = r.accumulatedFee.Add(fee)
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r.accumulatedTrades += 1
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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.accumulatedProfitMA.Update(r.accumulatedProfit.Float64())
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r.accumulatedProfitMAPerDay.Update(r.accumulatedProfitMA.Last(0))
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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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// Daily trades
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r.dailyTrades.Update(float64(r.accumulatedTrades - r.previousAccumulatedTrades))
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r.previousAccumulatedTrades = r.accumulatedTrades
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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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_ = tsvwiter.Write([]string{"#", "Symbol", "accumulatedProfit", "accumulatedProfitMA", fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow), "accumulatedFee", "winRatio", "profitFactor", "60D trades"})
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for i := 0; i <= r.NumberOfInterval-1; i++ {
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accumulatedProfit := r.accumulatedProfitPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitStr := fmt.Sprintf("%f", accumulatedProfit)
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accumulatedProfitMA := r.accumulatedProfitMAPerDay.Index(r.IntervalWindow * i)
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accumulatedProfitMAStr := fmt.Sprintf("%f", accumulatedProfitMA)
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intervalAccumulatedProfit := r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum() - r.dailyProfit.Tail(r.IntervalWindow*i).Sum()
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intervalAccumulatedProfitStr := fmt.Sprintf("%f", intervalAccumulatedProfit)
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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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trades := r.dailyTrades.Tail(60+r.IntervalWindow*i).Sum() - r.dailyTrades.Tail(r.IntervalWindow*i).Sum()
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tradesStr := fmt.Sprintf("%f", trades)
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_ = tsvwiter.Write([]string{fmt.Sprintf("%d", i+1), symbol, accumulatedProfitStr, accumulatedProfitMAStr, intervalAccumulatedProfitStr, accumulatedFee, winRatio, profitFactor, tradesStr})
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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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@ -227,7 +103,7 @@ type Strategy struct {
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bbgo.StrategyController
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// Accumulated profit report
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AccumulatedProfitReport *AccumulatedProfitReport `json:"accumulatedProfitReport"`
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AccumulatedProfitReport *report.AccumulatedProfitReport `json:"accumulatedProfitReport"`
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}
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func (s *Strategy) ID() string {
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@ -255,9 +131,6 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval})
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s.ExitMethods.SetAndSubscribe(session, s)
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// Accumulated profit report
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d})
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}
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// Position control
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@ -484,22 +357,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Accumulated profit report
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if bbgo.IsBackTesting {
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if s.AccumulatedProfitReport == nil {
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s.AccumulatedProfitReport = &AccumulatedProfitReport{}
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s.AccumulatedProfitReport = &report.AccumulatedProfitReport{}
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}
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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.AccumulatedProfitReport.Initialize(s.Symbol, session, s.orderExecutor, s.TradeStats)
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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.RecordTrade(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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// Add strategy parameters to report
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s.AccumulatedProfitReport.AddExtraValue([2]string{"window", fmt.Sprintf("%d", s.Window)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"multiplier", fmt.Sprintf("%f", s.SupertrendMultiplier)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"fastDEMA", fmt.Sprintf("%d", s.FastDEMAWindow)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"slowDEMA", fmt.Sprintf("%d", s.SlowDEMAWindow)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"takeProfitAtrMultiplier", fmt.Sprintf("%f", s.TakeProfitAtrMultiplier)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"stopLossByTriggeringK", fmt.Sprintf("%t", s.StopLossByTriggeringK)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedSupertrend", fmt.Sprintf("%t", s.StopByReversedSupertrend)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedDema", fmt.Sprintf("%t", s.StopByReversedDema)})
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s.AccumulatedProfitReport.AddExtraValue([2]string{"stopByReversedLinGre", fmt.Sprintf("%t", s.StopByReversedLinGre)})
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}
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// For drawing
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@ -509,10 +380,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
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cumProfitSlice := floats.Slice{initAsset, initAsset}
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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if bbgo.IsBackTesting {
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s.AccumulatedProfitReport.RecordTrade(trade.Fee)
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}
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// For drawing/charting
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price := trade.Price.Float64()
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if s.buyPrice > 0 {
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@ -653,10 +520,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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// Output accumulated profit report
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if bbgo.IsBackTesting {
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// Output accumulated profit report
|
||||
defer s.AccumulatedProfitReport.Output(s.Symbol)
|
||||
|
||||
// Draw graph
|
||||
if s.DrawGraph {
|
||||
if err := s.Draw(&profitSlice, &cumProfitSlice); err != nil {
|
||||
log.WithError(err).Errorf("cannot draw graph")
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user