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types: calculate MaximumConsecutiveLosses and MaximumConsecutiveProfits
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parent
151d907457
commit
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15
pkg/fixedpoint/helpers.go
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15
pkg/fixedpoint/helpers.go
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@ -0,0 +1,15 @@
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package fixedpoint
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func Sum(values []Value) (s Value) {
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s = Zero
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for _, value := range values {
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s = s.Add(value)
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}
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return s
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}
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func Avg(values []Value) (avg Value) {
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s := Sum(values)
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avg = s.Div(NewFromInt(int64(len(values))))
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return avg
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}
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@ -1,6 +1,7 @@
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package types
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import (
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"math"
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"time"
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"gopkg.in/yaml.v3"
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@ -95,18 +96,41 @@ func (s IntervalProfitCollector) MarshalYAML() (interface{}, error) {
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// See https://www.metatrader5.com/en/terminal/help/algotrading/testing_report
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type TradeStats struct {
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Symbol string `json:"symbol"`
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WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
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NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
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NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
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GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
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GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
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Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
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Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
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MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
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MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
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LargestProfitTrade fixedpoint.Value `json:"largestProfitTrade,omitempty" yaml:"largestProfitTrade"`
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LargestLossTrade fixedpoint.Value `json:"largestLossTrade,omitempty" yaml:"largestLossTrade"`
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AverageProfitTrade fixedpoint.Value `json:"averageProfitTrade" yaml:"averageProfitTrade"`
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AverageLossTrade fixedpoint.Value `json:"averageLossTrade" yaml:"averageLossTrade"`
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ProfitFactor fixedpoint.Value `json:"profitFactor" yaml:"profitFactor"`
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TotalNetProfit fixedpoint.Value `json:"totalNetProfit" yaml:"totalNetProfit"`
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IntervalProfits map[Interval]*IntervalProfitCollector `jons:"intervalProfits,omitempty" yaml: "intervalProfits,omitempty"`
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// MaximumConsecutiveWins - (counter) the longest series of winning trades
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MaximumConsecutiveWins int `json:"maximumConsecutiveWins" yaml:"maximumConsecutiveWins"`
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// MaximumConsecutiveLosses - (counter) the longest series of losing trades
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MaximumConsecutiveLosses int `json:"maximumConsecutiveLosses" yaml:"maximumConsecutiveLosses"`
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// MaximumConsecutiveProfit - ($) the longest series of winning trades and their total profit;
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MaximumConsecutiveProfit fixedpoint.Value `json:"maximumConsecutiveProfit" yaml:"maximumConsecutiveProfit"`
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// MaximumConsecutiveLoss - ($) the longest series of losing trades and their total loss;
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MaximumConsecutiveLoss fixedpoint.Value `json:"maximumConsecutiveLoss" yaml:"maximumConsecutiveLoss"`
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consecutiveSide int
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consecutiveCounter int
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consecutiveAmount fixedpoint.Value
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}
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func NewTradeStats(symbol string) *TradeStats {
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@ -119,7 +143,7 @@ func (s *TradeStats) SetIntervalProfitCollector(c *IntervalProfitCollector) {
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}
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func (s *TradeStats) Add(profit *Profit) {
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if profit.Symbol != s.Symbol {
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if s.Symbol != "" && profit.Symbol != s.Symbol {
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return
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}
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@ -134,12 +158,42 @@ func (s *TradeStats) add(pnl fixedpoint.Value) {
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s.NumOfProfitTrade++
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s.Profits = append(s.Profits, pnl)
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s.GrossProfit = s.GrossProfit.Add(pnl)
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s.MostProfitableTrade = fixedpoint.Max(s.MostProfitableTrade, pnl)
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s.LargestProfitTrade = fixedpoint.Max(s.LargestProfitTrade, pnl)
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// consecutive same side (made profit last time)
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if s.consecutiveSide == 0 || s.consecutiveSide == 1 {
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s.consecutiveSide = 1
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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} else { // was loss, now profit, store the last loss and the loss amount
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s.MaximumConsecutiveLosses = int(math.Max(float64(s.MaximumConsecutiveLosses), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveLoss = fixedpoint.Min(s.MaximumConsecutiveLoss, s.consecutiveAmount)
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s.consecutiveSide = 1
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s.consecutiveCounter = 0
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s.consecutiveAmount = pnl
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}
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} else {
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s.NumOfLossTrade++
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s.Losses = append(s.Losses, pnl)
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s.GrossLoss = s.GrossLoss.Add(pnl)
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s.MostLossTrade = fixedpoint.Min(s.MostLossTrade, pnl)
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s.LargestLossTrade = fixedpoint.Min(s.LargestLossTrade, pnl)
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// consecutive same side (made loss last time)
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if s.consecutiveSide == 0 || s.consecutiveSide == -1 {
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s.consecutiveSide = -1
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s.consecutiveCounter++
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s.consecutiveAmount = s.consecutiveAmount.Add(pnl)
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} else { // was profit, now loss, store the last win and profit
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s.MaximumConsecutiveWins = int(math.Max(float64(s.MaximumConsecutiveWins), float64(s.consecutiveCounter)))
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s.MaximumConsecutiveProfit = fixedpoint.Max(s.MaximumConsecutiveProfit, s.consecutiveAmount)
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s.consecutiveSide = -1
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s.consecutiveCounter = 0
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s.consecutiveAmount = pnl
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}
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}
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s.TotalNetProfit = s.TotalNetProfit.Add(pnl)
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@ -153,6 +207,8 @@ func (s *TradeStats) add(pnl fixedpoint.Value) {
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}
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s.ProfitFactor = s.GrossProfit.Div(s.GrossLoss.Abs())
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s.AverageProfitTrade = fixedpoint.Avg(s.Profits)
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s.AverageLossTrade = fixedpoint.Avg(s.Losses)
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}
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// Output TradeStats without Profits and Losses
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@ -164,8 +220,8 @@ func (s *TradeStats) BriefString() string {
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NumOfProfitTrade: s.NumOfProfitTrade,
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GrossProfit: s.GrossProfit,
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GrossLoss: s.GrossLoss,
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MostProfitableTrade: s.MostProfitableTrade,
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MostLossTrade: s.MostLossTrade,
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LargestProfitTrade: s.LargestProfitTrade,
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LargestLossTrade: s.LargestLossTrade,
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ProfitFactor: s.ProfitFactor,
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TotalNetProfit: s.TotalNetProfit,
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IntervalProfits: s.IntervalProfits,
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