optimizer: support multi metric value functions

Signed-off-by: c9s <yoanlin93@gmail.com>

config/pivotshort_optimizer.yaml

@@ -5,10 +5,10 @@
 ---
 matrix:
 
-#- type: iterate
-#  label: interval
-#  path: '/exchangeStrategies/0/pivotshort/interval'
-#  values: [ "5m", "30m" ]
+- type: iterate
+  label: interval
+  path: '/exchangeStrategies/0/pivotshort/interval'
+  values: [ "1m", "5m", "30m" ]
 
 #- type: range
 #  path: '/exchangeStrategies/0/pivotshort/pivotLength'
@@ -17,31 +17,31 @@ matrix:
 #  max: 200.0
 #  step: 20.0
 
-- type: range
-  path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
-  label: stopEMARange
-  min: 0%
-  max: 10%
-  step: 1%
-
-- type: range
-  path: '/exchangeStrategies/0/pivotshort/exit/roiStopLossPercentage'
-  label: roiStopLossPercentage
-  min: 0.5%
-  max: 2%
-  step: 0.5%
-
-- type: range
-  path: '/exchangeStrategies/0/pivotshort/exit/roiTakeProfitPercentage'
-  label: roiTakeProfitPercentage
-  min: 10%
-  max: 50%
-  step: 5%
-
-- type: range
-  path: '/exchangeStrategies/0/pivotshort/exit/roiMinTakeProfitPercentage'
-  label: roiMinTakeProfitPercentage
-  min: 3%
-  max: 10%
-  step: 1%
+#  - type: range
+#    path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
+#    label: stopEMARange
+#    min: 0%
+#    max: 10%
+#    step: 1%
 
+#  - type: range
+#    path: '/exchangeStrategies/0/pivotshort/exit/roiStopLossPercentage'
+#    label: roiStopLossPercentage
+#    min: 0.5%
+#    max: 2%
+#    step: 0.5%
+#  
+#  - type: range
+#    path: '/exchangeStrategies/0/pivotshort/exit/roiTakeProfitPercentage'
+#    label: roiTakeProfitPercentage
+#    min: 10%
+#    max: 50%
+#    step: 5%
+#  
+#  - type: range
+#    path: '/exchangeStrategies/0/pivotshort/exit/roiMinTakeProfitPercentage'
+#    label: roiMinTakeProfitPercentage
+#    min: 3%
+#    max: 10%
+#    step: 1%
+#  

pkg/cmd/optimize.go

@@ -104,12 +104,15 @@ var optimizeCmd = &cobra.Command{
 			// print metrics JSON to stdout
 			fmt.Println(string(out))
 		} else {
-			if len(metrics) > 0 {
-				fmt.Printf("%v\n", metrics[0].Labels)
-			}
+			for n, values := range metrics {
+				if len(values) == 0 {
+					continue
+				}
 
-			for _, m := range metrics {
-				fmt.Printf("%v => %v\n", m.Params, m.Value)
+				fmt.Printf("%v => %s\n", values[0].Labels, n)
+				for _, m := range values {
+					fmt.Printf("%v => %s %v\n", m.Params, n, m.Value)
+				}
 			}
 		}
 

pkg/optimizer/grid.go

@@ -23,6 +23,18 @@ type Metric struct {
 	Value  fixedpoint.Value `json:"value,omitempty"`
 }
 
+func copyParams(params []interface{}) []interface{} {
+	var c = make([]interface{}, len(params))
+	copy(c, params)
+	return c
+}
+
+func copyLabels(labels []string) []string {
+	var c = make([]string, len(labels))
+	copy(c, labels)
+	return c
+}
+
 type GridOptimizer struct {
 	Config *Config
 
@@ -149,10 +161,13 @@ func (o *GridOptimizer) buildOps() []OpFunc {
 	return ops
 }
 
-func (o *GridOptimizer) Run(executor Executor, configJson []byte) ([]Metric, error) {
+func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]Metric, error) {
 	o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
 
-	var metrics []Metric
+	var valueFunctions = map[string]MetricValueFunc{
+		"totalProfit": TotalProfitMetricValueFunc,
+	}
+	var metrics = map[string][]Metric{}
 
 	var ops = o.buildOps()
 	var app = func(configJson []byte, next func(configJson []byte) error) error {
@@ -161,19 +176,20 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) ([]Metric, err
 			return err
 		}
 
-		// TODO: Add more metric value function
-		metricValue := TotalProfitMetricValueFunc(summaryReport)
+		for metricName, metricFunc := range valueFunctions {
+			var metricValue = metricFunc(summaryReport)
+			var currentParams = copyParams(o.CurrentParams)
+			var labels = copyLabels(o.ParamLabels)
 
-		var currentParams = make([]interface{}, len(o.CurrentParams))
-		copy(currentParams, o.CurrentParams)
+			metrics[metricName] = append(metrics[metricName], Metric{
+				Params: currentParams,
+				Labels: labels,
+				Value:  metricValue,
+			})
 
-		metrics = append(metrics, Metric{
-			Params: currentParams,
-			Labels: o.ParamLabels,
-			Value:  metricValue,
-		})
+			log.Infof("params: %+v => %s %+v", currentParams, metricName, metricValue)
+		}
 
-		log.Infof("current params: %+v => %+v", currentParams, metricValue)
 		return nil
 	}
 
@@ -193,11 +209,14 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) ([]Metric, err
 
 	err := wrapper(configJson)
 
-	sort.Slice(metrics, func(i, j int) bool {
-		a := metrics[i].Value
-		b := metrics[j].Value
-		return a.Compare(b) > 0
-	})
+	for n := range metrics {
+		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 metrics, err
 }
 

pkg/optimizer/local.go

@@ -76,6 +76,8 @@ func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryRepo
 	return e.readReport(output)
 }
 
+// jsonToYamlConfig translate json format config into a YAML format config file
+// The generated file is a temp file
 func jsonToYamlConfig(dir string, configJson []byte) (*os.File, error) {
 	var o map[string]interface{}
 	if err := json.Unmarshal(configJson, &o); err != nil {