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fix: drift empty pnl. exit condition

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This commit is contained in:
zenix 2022-08-16 12:30:29 +09:00
parent 71d3b926ec
commit 9f8b8d97d0
2 changed files with 29 additions and 28 deletions
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14
config/driftBTC.yaml
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@ -45,17 +45,17 @@ exchangeStrategies:
# orders not been traded will be canceled after `pendingMinutes` minutes
pendingMinutes: 5
noRebalance: true
trendWindow: 60
rebalanceFilter: 1.1
trendWindow: 576
rebalanceFilter: 0
# ActivationRatio should be increasing order
# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
#trailingActivationRatio: [0.007, 0.011, 0.02, 0.05]
trailingActivationRatio: [0.0005, 0.002, 0.04]
#trailingActivationRatio: [0.01, 0.016, 0.05]
trailingActivationRatio: [0.0012, 0.002, 0.01, 0.016]
#trailingActivationRatio: []
#trailingCallbackRate: []
#trailingCallbackRate: [0.002, 0.001, 0.002, 0.001]
trailingCallbackRate: [0.0002, 0.0004, 0.002]
#trailingCallbackRate: [0.002, 0.01, 0.1]
trailingCallbackRate: [0.0004, 0.0008, 0.002, 0.01]
generateGraph: true
graphPNLDeductFee: false
@ -128,5 +128,5 @@ backtest:
makerFeeRate: 0.000
#takerFeeRate: 0.000
balances:
BTC: 0
BTC: 1
USDT: 5000

43
pkg/strategy/drift/strategy.go
View File

@ -447,12 +447,7 @@ func (s *Strategy) DrawIndicators(time types.Time, priceLine types.SeriesExtend,
hi := s.drift.drift.Abs().Highest(Length)
h1m := s.drift1m.Abs().Highest(Length * s.Interval.Minutes())
ratio := highestPrice / highestDrift
for i := 0; i < s.drift1m.Length(); i++ {
if s.drift1m.Index(i) != s.drift1m.Index(i) {
log.Infof("%d, %f", i, s.drift1m.Index(i-1))
}
}
log.Infof("%d, %v", s.drift1m.Length(), s.drift1m.Array(10))
canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
canvas.Plot("ma", s.ma, time, Length)
canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
@ -592,6 +587,11 @@ func (s *Strategy) Rebalance(ctx context.Context) {
s.beta = beta
}
func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
balances := s.Session.GetAccount().Balances()
return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
instanceID := s.InstanceID()
// Will be set by persistence if there's any from DB
@ -644,8 +644,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
for _, method := range s.ExitMethods {
method.Bind(session, s.GeneralOrderExecutor)
}
profit := types.Float64Slice{}
cumProfit := types.Float64Slice{}
profit := types.Float64Slice{1.}
price, _ := s.Session.LastPrice(s.Symbol)
cumProfit := types.Float64Slice{s.CalcAssetValue(price).Float64()}
modify := func(p float64) float64 {
return p
}
@ -663,16 +665,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
tag := order.Tag
price := trade.Price.Float64()
balances := s.Session.GetAccount().Balances()
if s.buyPrice > 0 {
profit.Update(modify(price / s.buyPrice))
asset := balances[s.Market.BaseCurrency].Total().Mul(trade.Price).Add(balances[s.Market.QuoteCurrency].Total())
cumProfit.Update(asset.Float64())
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
} else if s.sellPrice > 0 {
profit.Update(modify(s.sellPrice / price))
asset := balances[s.Market.BaseCurrency].Total().Mul(trade.Price).Add(balances[s.Market.QuoteCurrency].Total())
cumProfit.Update(asset.Float64())
cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
}
s.positionLock.Lock()
defer s.positionLock.Unlock()
@ -751,7 +750,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.SendPhoto(&buffer)
})
bbgo.RegisterCommand("/pnl", "Draw PNL per trade", func(reply interact.Reply) {
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
canvas := s.DrawPNL(&profit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
@ -762,7 +761,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.SendPhoto(&buffer)
})
bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL", func(reply interact.Reply) {
bbgo.RegisterCommand("/cumpnl", "Draw Cummulative PNL(Quote)", func(reply interact.Reply) {
canvas := s.DrawCumPNL(&cumProfit)
var buffer bytes.Buffer
if err := canvas.Render(chart.PNG, &buffer); err != nil {
@ -903,10 +902,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
// Notify will parse args to strings and process separately
bbgo.Notify("balances: [Base] %s(%vU) [Quote] %s",
bbgo.Notify("balances: [Base] %s(%v %s) [Quote] %s [Total] %v %s",
balances[s.Market.BaseCurrency].String(),
balances[s.Market.BaseCurrency].Total().Mul(price),
balances[s.Market.QuoteCurrency].String())
s.Market.QuoteCurrency,
balances[s.Market.QuoteCurrency].String(),
s.CalcAssetValue(price),
s.Market.QuoteCurrency,
)
shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
@ -917,11 +920,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
shortCondition = false
}
}
exitShortCondition := s.sellPrice > 0 && ( //!shortCondition && !longCondition ||
s.sellPrice*(1.+stoploss) <= highf ||
exitShortCondition := s.sellPrice > 0 && !shortCondition && !longCondition && (s.sellPrice*(1.+stoploss) <= highf ||
s.trailingCheck(pricef, "short"))
exitLongCondition := s.buyPrice > 0 && ( //!longCondition && !shortCondition ||
s.buyPrice*(1.-stoploss) >= lowf ||
exitLongCondition := s.buyPrice > 0 && !longCondition && !shortCondition && (s.buyPrice*(1.-stoploss) >= lowf ||
s.trailingCheck(pricef, "long"))
if exitShortCondition || exitLongCondition {