From de4f3721a27607ec575da856822e8f37a4cbeed0 Mon Sep 17 00:00:00 2001
From: Raphanus Lo <coldturnip@gmail.com>
Date: Wed, 24 Aug 2022 17:45:34 +0800
Subject: [PATCH] backtest: avoid inifite float64 JSON serializing issue

---
 pkg/cmd/backtest.go | 16 ++++++++++++++--
 1 file changed, 14 insertions(+), 2 deletions(-)

diff --git a/pkg/cmd/backtest.go b/pkg/cmd/backtest.go
index bc53e4149..4ad019106 100644
--- a/pkg/cmd/backtest.go
+++ b/pkg/cmd/backtest.go
@@ -4,6 +4,7 @@ import (
 	"bufio"
 	"context"
 	"fmt"
+	"math"
 	"os"
 	"path/filepath"
 	"sort"
@@ -621,6 +622,17 @@ func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession,
 		Market:             market,
 	}
 
+	finiteRatio := func(ratio float64) float64 {
+		if math.IsInf(ratio, 1) {
+			return 99999.99
+		} else if math.IsInf(ratio, -1) {
+			return -99999.99
+		}
+		return ratio
+	}
+	sharpeRatio := finiteRatio(intervalProfit.GetSharpe())
+	sortinoRatio := finiteRatio(intervalProfit.GetSortino())
+
 	report := calculator.Calculate(symbol, trades, lastPrice)
 	accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
 	initBalances := accountConfig.Balances.BalanceMap()
@@ -635,8 +647,8 @@ func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession,
 		InitialBalances: initBalances,
 		FinalBalances:   finalBalances,
 		// Manifests:       manifests,
-		Sharpe:  intervalProfit.GetSharpe(),
-		Sortino: intervalProfit.GetSortino(),
+		Sharpe:  sharpeRatio,
+		Sortino: sortinoRatio,
 	}
 
 	for _, s := range session.Subscriptions {