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strategy/supertrend: accumulated daily profit uses its own window config

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This commit is contained in:
Andy Cheng 2022-08-24 11:23:48 +08:00
parent 592eae8c3c
commit 978db22c0a
1 changed files with 8 additions and 1 deletions
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9
pkg/strategy/supertrend/strategy.go
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@ -43,6 +43,9 @@ type AccumulatedProfitReport struct {
// TsvReportPath The path to output report to
TsvReportPath string `json:"tsvReportPath"`
// AccumulatedDailyProfitWindow The window to sum up the daily profit, in days
AccumulatedDailyProfitWindow int `json:"accumulatedDailyProfitWindow"`
// Accumulated profit
accumulatedProfit fixedpoint.Value
accumulatedProfitPerDay types.Float64Slice
@ -73,6 +76,9 @@ func (r *AccumulatedProfitReport) Initialize() {
if r.IntervalWindow <= 0 {
r.IntervalWindow = 7
}
if r.AccumulatedDailyProfitWindow <= 0 {
r.AccumulatedDailyProfitWindow = 7
}
if r.NumberOfInterval <= 0 {
r.NumberOfInterval = 1
}
@ -118,10 +124,11 @@ func (r *AccumulatedProfitReport) Output(symbol string) {
}
defer tsvwiter.Close()
// Output symbol, total acc. profit, acc. profit 60MA, interval acc. profit, fee, win rate, profit factor
_ = tsvwiter.Write([]string{"#", "Symbol", "accumulatedProfit", "accumulatedProfitMA", fmt.Sprintf("%dd profit", r.AccumulatedDailyProfitWindow), "accumulatedFee", "winRatio", "profitFactor"})
for i := 0; i <= r.NumberOfInterval-1; i++ {
accumulatedProfit := fmt.Sprintf("%f", r.accumulatedProfitPerDay.Index(r.IntervalWindow*i))
accumulatedProfitMA := fmt.Sprintf("%f", r.accumulatedProfitMAPerDay.Index(r.IntervalWindow*i))
intervalAccumulatedProfit := fmt.Sprintf("%f", r.dailyProfit.Tail(r.IntervalWindow*(i+1)).Sum()-r.dailyProfit.Tail(r.IntervalWindow*i).Sum())
intervalAccumulatedProfit := fmt.Sprintf("%f", r.dailyProfit.Tail(r.AccumulatedDailyProfitWindow+r.IntervalWindow*i).Sum()-r.dailyProfit.Tail(r.IntervalWindow*i).Sum())
accumulatedFee := fmt.Sprintf("%f", r.accumulatedFeePerDay.Index(r.IntervalWindow*i))
winRatio := fmt.Sprintf("%f", r.winRatioPerDay.Index(r.IntervalWindow*i))
profitFactor := fmt.Sprintf("%f", r.profitFactorPerDay.Index(r.IntervalWindow*i))