Merge 5316bc5e3a into 37106c35b7

pkg/backtest/report.go

@@ -68,21 +68,49 @@ func ReadSummaryReport(filename string) (*SummaryReport, error) {
 // SessionSymbolReport is the report per exchange session
 // trades are merged, collected and re-calculated
 type SessionSymbolReport struct {
-	Exchange        types.ExchangeName        `json:"exchange"`
+	Exchange                 types.ExchangeName        `json:"exchange"`
-	Symbol          string                    `json:"symbol,omitempty"`
+	Symbol                   string                    `json:"symbol,omitempty"`
-	Intervals       []types.Interval          `json:"intervals,omitempty"`
+	Intervals                []types.Interval          `json:"intervals,omitempty"`
-	Subscriptions   []types.Subscription      `json:"subscriptions"`
+	Subscriptions            []types.Subscription      `json:"subscriptions"`
-	Market          types.Market              `json:"market"`
+	Market                   types.Market              `json:"market"`
-	LastPrice       fixedpoint.Value          `json:"lastPrice,omitempty"`
+	LastPrice                fixedpoint.Value          `json:"lastPrice,omitempty"`
-	StartPrice      fixedpoint.Value          `json:"startPrice,omitempty"`
+	StartPrice               fixedpoint.Value          `json:"startPrice,omitempty"`
-	PnL             *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
+	PnL                      *pnl.AverageCostPnLReport `json:"pnl,omitempty"`
-	InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
+	InitialBalances          types.BalanceMap          `json:"initialBalances,omitempty"`
-	FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
+	FinalBalances            types.BalanceMap          `json:"finalBalances,omitempty"`
-	Manifests       Manifests                 `json:"manifests,omitempty"`
+	Manifests                Manifests                 `json:"manifests,omitempty"`
-	Sharpe          fixedpoint.Value          `json:"sharpeRatio"`
+	TradeCount               fixedpoint.Value          `json:"tradeCount,omitempty"`
-	Sortino         fixedpoint.Value          `json:"sortinoRatio"`
+	RoundTurnCount           fixedpoint.Value          `json:"roundTurnCount,omitempty"`
-	ProfitFactor    fixedpoint.Value          `json:"profitFactor"`
+	TotalNetProfit           fixedpoint.Value          `json:"totalNetProfit,omitempty"`
-	WinningRatio    fixedpoint.Value          `json:"winningRatio"`
+	AvgNetProfit             fixedpoint.Value          `json:"avgNetProfit,omitempty"`
+	GrossProfit              fixedpoint.Value          `json:"grossProfit,omitempty"`
+	GrossLoss                fixedpoint.Value          `json:"grossLoss,omitempty"`
+	PRR                      fixedpoint.Value          `json:"prr,omitempty"`
+	PercentProfitable        fixedpoint.Value          `json:"percentProfitable,omitempty"`
+	MaxDrawdown              fixedpoint.Value          `json:"maxDrawdown,omitempty"`
+	AverageDrawdown          fixedpoint.Value          `json:"avgDrawdown,omitempty"`
+	MaxProfit                fixedpoint.Value          `json:"maxProfit,omitempty"`
+	MaxLoss                  fixedpoint.Value          `json:"maxLoss,omitempty"`
+	AvgProfit                fixedpoint.Value          `json:"avgProfit,omitempty"`
+	AvgLoss                  fixedpoint.Value          `json:"avgLoss,omitempty"`
+	TotalTimeInMarketSec     int64                     `json:"totalTimeInMarketSec,omitempty"`
+	AvgHoldSec               int64                     `json:"avgHoldSec,omitempty"`
+	WinningCount             int                       `json:"winningCount,omitempty"`
+	LosingCount              int                       `json:"losingCount,omitempty"`
+	MaxLossStreak            int                       `json:"maxLossStreak,omitempty"`
+	Sharpe                   fixedpoint.Value          `json:"sharpeRatio"`
+	AnnualHistoricVolatility fixedpoint.Value          `json:"annualHistoricVolatility,omitempty"`
+	CAGR                     fixedpoint.Value          `json:"cagr,omitempty"`
+	Calmar                   fixedpoint.Value          `json:"calmar,omitempty"`
+	Sterling                 fixedpoint.Value          `json:"sterling,omitempty"`
+	Burke                    fixedpoint.Value          `json:"burke,omitempty"`
+	Kelly                    fixedpoint.Value          `json:"kelly,omitempty"`
+	OptimalF                 fixedpoint.Value          `json:"optimalF,omitempty"`
+	StatN                    fixedpoint.Value          `json:"statN,omitempty"`
+	StdErr                   fixedpoint.Value          `json:"statNStdErr,omitempty"`
+	Sortino                  fixedpoint.Value          `json:"sortinoRatio"`
+	ProfitFactor             fixedpoint.Value          `json:"profitFactor"`
+	WinningRatio             fixedpoint.Value          `json:"winningRatio"`
 }
 
 func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {

pkg/cmd/backtest.go

@@ -12,12 +12,6 @@ import (
 
 	"github.com/fatih/color"
 	"github.com/google/uuid"
-
-	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
-	"github.com/c9s/bbgo/pkg/core"
-	"github.com/c9s/bbgo/pkg/data/tsv"
-	"github.com/c9s/bbgo/pkg/util"
-
 	"github.com/pkg/errors"
 	log "github.com/sirupsen/logrus"
 	"github.com/spf13/cobra"
@@ -26,10 +20,14 @@ import (
 	"github.com/c9s/bbgo/pkg/accounting/pnl"
 	"github.com/c9s/bbgo/pkg/backtest"
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
+	"github.com/c9s/bbgo/pkg/core"
+	"github.com/c9s/bbgo/pkg/data/tsv"
 	"github.com/c9s/bbgo/pkg/exchange"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/service"
 	"github.com/c9s/bbgo/pkg/types"
+	"github.com/c9s/bbgo/pkg/util"
 )
 
 func init() {
@@ -547,12 +545,9 @@ var BacktestCmd = &cobra.Command{
 					continue
 				}
 
-				tradeState := sessionTradeStats[session.Name][symbol]
+				tradeStats := sessionTradeStats[session.Name][symbol]
-				profitFactor := tradeState.ProfitFactor
-				winningRatio := tradeState.WinningRatio
-				intervalProfits := tradeState.IntervalProfits[types.Interval1d]
 
-				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), intervalProfits, profitFactor, winningRatio)
+				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Copy(), tradeStats)
 				if err != nil {
 					return err
 				}
@@ -563,8 +558,8 @@ var BacktestCmd = &cobra.Command{
 				summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
 				summaryReport.InitialEquityValue = summaryReport.InitialEquityValue.Add(symbolReport.InitialEquityValue())
 				summaryReport.FinalEquityValue = summaryReport.FinalEquityValue.Add(symbolReport.FinalEquityValue())
-				summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
+				summaryReport.TotalGrossProfit = summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
-				summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
+				summaryReport.TotalGrossLoss = summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
 
 				// write report to a file
 				if generatingReport {
@@ -617,14 +612,12 @@ var BacktestCmd = &cobra.Command{
 	},
 }
 
-func createSymbolReport(
+func createSymbolReport(userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade, tradeStats *types.TradeStats) (
-	userConfig *bbgo.Config, session *bbgo.ExchangeSession, symbol string, trades []types.Trade,
-	intervalProfit *types.IntervalProfitCollector,
-	profitFactor, winningRatio fixedpoint.Value,
-) (
 	*backtest.SessionSymbolReport,
 	error,
 ) {
+	intervalProfit := tradeStats.IntervalProfits[types.Interval1d]
+
 	backtestExchange, ok := session.Exchange.(*backtest.Exchange)
 	if !ok {
 		return nil, fmt.Errorf("unexpected error, exchange instance is not a backtest exchange")
@@ -634,6 +627,11 @@ func createSymbolReport(
 	if !ok {
 		return nil, fmt.Errorf("market not found: %s, %s", symbol, session.Exchange.Name())
 	}
+	tStart, tEnd := trades[0].Time, trades[len(trades)-1].Time
+
+	periodStart := tStart.Time()
+	periodEnd := tEnd.Time()
+	period := periodEnd.Sub(periodStart)
 
 	startPrice, ok := session.StartPrice(symbol)
 	if !ok {
@@ -650,29 +648,81 @@ func createSymbolReport(
 		Market:             market,
 	}
 
-	sharpeRatio := fixedpoint.NewFromFloat(intervalProfit.GetSharpe())
-	sortinoRatio := fixedpoint.NewFromFloat(intervalProfit.GetSortino())
-
 	report := calculator.Calculate(symbol, trades, lastPrice)
 	accountConfig := userConfig.Backtest.GetAccount(session.Exchange.Name().String())
 	initBalances := accountConfig.Balances.BalanceMap()
 	finalBalances := session.GetAccount().Balances()
+	maxProfit := n(intervalProfit.Profits.Max())
+	maxLoss := n(intervalProfit.Profits.Min())
+	drawdown := types.Drawdown(intervalProfit.Profits)
+	maxDrawdown := drawdown.Max()
+	avgDrawdown := drawdown.Average()
+	roundTurnCount := n(float64(tradeStats.NumOfProfitTrade + tradeStats.NumOfLossTrade))
+	roundTurnLength := n(float64(intervalProfit.Profits.Length()))
+	winningCount := n(float64(tradeStats.NumOfProfitTrade))
+	loosingCount := n(float64(tradeStats.NumOfLossTrade))
+	avgProfit := tradeStats.GrossProfit.Div(n(types.NNZ(float64(tradeStats.NumOfProfitTrade), 1)))
+	avgLoss := tradeStats.GrossLoss.Div(n(types.NNZ(float64(tradeStats.NumOfLossTrade), 1)))
+
+	winningPct := winningCount.Div(roundTurnCount)
+	// losingPct := fixedpoint.One.Sub(winningPct)
+
+	sharpeRatio := n(intervalProfit.GetSharpe())
+	sortinoRatio := n(intervalProfit.GetSortino())
+	annVolHis := n(types.AnnualHistoricVolatility(intervalProfit.Profits))
+	totalTimeInMarketSec, avgHoldSec := intervalProfit.GetTimeInMarket()
+	statn, stdErr := types.StatN(intervalProfit.Profits)
 	symbolReport := backtest.SessionSymbolReport{
-		Exchange:        session.Exchange.Name(),
+		Exchange:                 session.Exchange.Name(),
-		Symbol:          symbol,
+		Symbol:                   symbol,
-		Market:          market,
+		Market:                   market,
-		LastPrice:       lastPrice,
+		LastPrice:                lastPrice,
-		StartPrice:      startPrice,
+		StartPrice:               startPrice,
-		PnL:             report,
+		InitialBalances:          initBalances,
-		InitialBalances: initBalances,
+		FinalBalances:            finalBalances,
-		FinalBalances:   finalBalances,
+		TradeCount:               fixedpoint.NewFromInt(int64(len(trades))),
-		// Manifests:       manifests,
+		GrossLoss:                tradeStats.GrossLoss,
-		Sharpe:       sharpeRatio,
+		GrossProfit:              tradeStats.GrossProfit,
-		Sortino:      sortinoRatio,
+		WinningCount:             tradeStats.NumOfProfitTrade,
-		ProfitFactor: profitFactor,
+		LosingCount:              tradeStats.NumOfLossTrade,
-		WinningRatio: winningRatio,
+		RoundTurnCount:           roundTurnCount,
+		WinningRatio:             tradeStats.WinningRatio,
+		PercentProfitable:        winningPct,
+		ProfitFactor:             tradeStats.ProfitFactor,
+		MaxDrawdown:              n(maxDrawdown),
+		AverageDrawdown:          n(avgDrawdown),
+		MaxProfit:                maxProfit,
+		MaxLoss:                  maxLoss,
+		MaxLossStreak:            tradeStats.MaximumConsecutiveLosses,
+		TotalTimeInMarketSec:     totalTimeInMarketSec,
+		AvgHoldSec:               avgHoldSec,
+		AvgProfit:                avgProfit,
+		AvgLoss:                  avgLoss,
+		AvgNetProfit:             tradeStats.TotalNetProfit.Div(roundTurnLength),
+		TotalNetProfit:           tradeStats.TotalNetProfit,
+		AnnualHistoricVolatility: annVolHis,
+		PnL:                      report,
+		PRR:                      types.PRR(tradeStats.GrossProfit, tradeStats.GrossLoss, winningCount, loosingCount),
+		Kelly:                    types.KellyCriterion(tradeStats.ProfitFactor, winningPct),
+		OptimalF:                 types.OptimalF(intervalProfit.Profits),
+		StatN:                    statn,
+		StdErr:                   stdErr,
+		Sharpe:                   sharpeRatio,
+		Sortino:                  sortinoRatio,
 	}
 
+	cagr := types.NN(
+		types.CAGR(
+			symbolReport.InitialEquityValue().Float64(),
+			symbolReport.FinalEquityValue().Float64(),
+			int(period.Hours())/24,
+		), 0)
+
+	symbolReport.CAGR = n(cagr)
+	symbolReport.Calmar = n(types.CalmarRatio(cagr, maxDrawdown))
+	symbolReport.Sterling = n(types.SterlingRatio(cagr, avgDrawdown))
+	symbolReport.Burke = n(types.BurkeRatio(cagr, drawdown.AverageSquared()))
+
 	for _, s := range session.Subscriptions {
 		symbolReport.Subscriptions = append(symbolReport.Subscriptions, s)
 	}
@@ -691,6 +741,10 @@ func createSymbolReport(
 	return &symbolReport, nil
 }
 
+func n(v float64) fixedpoint.Value {
+	return fixedpoint.NewFromFloat(v)
+}
+
 func verify(
 	userConfig *bbgo.Config, backtestService *service.BacktestService,
 	sourceExchanges map[types.ExchangeName]types.Exchange, startTime, endTime time.Time,

pkg/datatype/floats/slice.go

@@ -112,6 +112,18 @@ func (s Slice) Average() float64 {
 	return total / float64(len(s))
 }
 
+func (s Slice) AverageSquared() float64 {
+	if len(s) == 0 {
+		return 0.0
+	}
+
+	total := 0.0
+	for _, value := range s {
+		total += math.Pow(value, 2)
+	}
+	return total / float64(len(s))
+}
+
 func (s Slice) Diff() (values Slice) {
 	for i, v := range s {
 		if i == 0 {

pkg/types/trade_stat.go

@@ -0,0 +1,151 @@
+package types
+
+import (
+	"math"
+
+	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+const (
+	// DailyToAnnualFactor is the factor to scale daily observations to annual.
+	// Commonly defined as the number of public market trading days in a year.
+	DailyToAnnualFactor = 252 // todo does this apply to crypto at all?
+)
+
+// AnnualHistoricVolatility is the historic volatility of the equity curve as annualized std dev.
+func AnnualHistoricVolatility(data Series) float64 {
+	var sd = Stdev(data, data.Length(), 1)
+	return sd * math.Sqrt(DailyToAnnualFactor)
+}
+
+// CAGR is the Compound Annual Growth Rate of the equity curve.
+func CAGR(initial, final float64, days int) float64 {
+	var (
+		growthRate = (final - initial) / initial
+		x          = 1 + growthRate
+		y          = 365.0 / float64(days)
+	)
+	return math.Pow(x, y) - 1
+}
+
+// measures of risk-adjusted return based on drawdown risk
+
+// calmar ratio - discounts expected excess return of a portfolio by the
+// worst expected maximum draw down for that portfolio
+// CR = E(re)/MD1 = (E(r) - rf) / MD1
+func CalmarRatio(cagr, maxDrawdown float64) float64 {
+	return cagr / maxDrawdown
+}
+
+// Sterling ratio
+// discounts the expected excess return of a portfolio by the average of the N worst
+// expected maximum drawdowns for that portfolio
+// CR = E(re) / (1/N)(sum MDi)
+func SterlingRatio(cagr, avgDrawdown float64) float64 {
+	return cagr / avgDrawdown
+}
+
+// Burke Ratio
+// similar to sterling, but less sensitive to outliers
+// discounts the expected excess return of a portfolio by the square root of the average
+// of the N worst expected maximum drawdowns for that portfolio
+// BR = E(re) / ((1/N)(sum MD^2))^0.5            ---> smoothing, can take roots, logs etc
+func BurkeRatio(cagr, avgDrawdownSquared float64) float64 {
+	return cagr / math.Sqrt(avgDrawdownSquared)
+}
+
+// KellyCriterion the famous method for trade sizing.
+func KellyCriterion(profitFactor, winP fixedpoint.Value) fixedpoint.Value {
+	return profitFactor.Mul(winP).Sub(fixedpoint.One.Sub(winP)).Div(profitFactor)
+}
+
+// PRR (Pessimistic Return Ratio) is the profit factor with a penalty for a lower number of roundturns.
+func PRR(profit, loss, winningN, losingN fixedpoint.Value) fixedpoint.Value {
+	var (
+		winF  = 1 / math.Sqrt(1+winningN.Float64())
+		loseF = 1 / math.Sqrt(1+losingN.Float64())
+	)
+	return fixedpoint.NewFromFloat((1 - winF) / (1 + loseF) * (1 + profit.Float64()) / (1 + loss.Float64()))
+}
+
+// StatN returns the statistically significant number of samples required based on the distribution of a series.
+// From: https://www.elitetrader.com/et/threads/minimum-number-of-roundturns-required-for-backtesting-results-to-be-trusted.356588/page-2
+func StatN(xs floats.Slice) (sn, se fixedpoint.Value) {
+	var (
+		sd     = Stdev(xs, xs.Length(), 1)
+		m      = Mean(xs)
+		statn  = math.Pow(4*(sd/m), 2)
+		stdErr = stat.StdErr(sd, float64(xs.Length()))
+	)
+	return fixedpoint.NewFromFloat(statn), fixedpoint.NewFromFloat(stdErr)
+}
+
+// OptimalF is a function that returns the 'OptimalF' for a series of trade returns as defined by Ralph Vince.
+// It is a method for sizing positions to maximize geometric return whilst accounting for biggest trading loss.
+// See: https://www.investopedia.com/terms/o/optimalf.asp
+// Param roundturns is the series of profits (-ve amount for losses) for each trade
+func OptimalF(roundturns floats.Slice) fixedpoint.Value {
+	var (
+		maxTWR, optimalF float64
+		maxLoss          = roundturns.Min()
+	)
+	for i := 1.0; i <= 100.0; i++ {
+		twr := 1.0
+		f := i / 100
+		for j := range roundturns {
+			if roundturns[j] == 0 {
+				continue
+			}
+			hpr := 1 + f*(-roundturns[j]/maxLoss)
+			twr *= hpr
+		}
+		if twr > maxTWR {
+			maxTWR = twr
+			optimalF = f
+		}
+	}
+
+	return fixedpoint.NewFromFloat(optimalF)
+}
+
+// NN (Not Number) returns y if x is NaN or Inf.
+func NN(x, y float64) float64 {
+	if math.IsNaN(x) || math.IsInf(x, 0) {
+		return y
+	}
+	return x
+}
+
+// NNZ (Not Number or Zero) returns y if x is NaN or Inf or Zero.
+func NNZ(x, y float64) float64 {
+	if NN(x, y) == y || x == 0 {
+		return y
+	}
+	return x
+}
+
+// Compute the drawdown function associated to a portfolio equity curve,
+// also called the portfolio underwater equity curve.
+// Portfolio Optimization with Drawdown Constraints, Chekhlov et al., 2000
+// http://papers.ssrn.com/sol3/papers.cfm?abstract_id=223323
+func Drawdown(equityCurve floats.Slice) floats.Slice {
+	// Initialize highWaterMark
+	highWaterMark := math.Inf(-1)
+
+	// Create ddVector with the same length as equityCurve
+	ddVector := make([]float64, len(equityCurve))
+
+	// Loop over all the values to compute the drawdown vector
+	for i := 0; i < len(equityCurve); i++ {
+		if equityCurve[i] > highWaterMark {
+			highWaterMark = equityCurve[i]
+		}
+
+		ddVector[i] = (highWaterMark - equityCurve[i]) / highWaterMark
+	}
+
+	return ddVector
+}

pkg/types/trade_stat_test.go

@@ -0,0 +1,56 @@
+package types
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+func TestCAGR(t *testing.T) {
+	giveInitial := 1000.0
+	giveFinal := 2500.0
+	giveDays := 190
+	want := 4.81
+	act := CAGR(giveInitial, giveFinal, giveDays)
+	assert.InDelta(t, want, act, 0.01)
+}
+
+func TestKellyCriterion(t *testing.T) {
+	var (
+		giveProfitFactor = fixedpoint.NewFromFloat(1.6)
+		giveWinP         = fixedpoint.NewFromFloat(0.7)
+		want             = 0.51
+		act              = KellyCriterion(giveProfitFactor, giveWinP)
+	)
+	assert.InDelta(t, want, act.Float64(), 0.01)
+}
+
+func TestAnnualHistoricVolatility(t *testing.T) {
+	var (
+		give = floats.Slice{0.1, 0.2, -0.15, 0.1, 0.8, -0.3, 0.2}
+		want = 5.51
+		act  = AnnualHistoricVolatility(give)
+	)
+	assert.InDelta(t, want, act, 0.01)
+}
+
+func TestOptimalF(t *testing.T) {
+	roundturns := floats.Slice{10, 20, 50, -10, 40, -40}
+	f := OptimalF(roundturns)
+	assert.EqualValues(t, 0.45, f.Float64())
+}
+
+func TestDrawdown(t *testing.T) {
+	roundturns := floats.Slice{100, 50, 100}
+	expected := []float64{.0, .5, .0}
+	drawdown := Drawdown(roundturns)
+	assert.EqualValues(t, 0.5, drawdown.Max())
+	assert.EqualValues(t, 0.16666666666666666, drawdown.Average())
+	assert.EqualValues(t, 0.08333333333333333, drawdown.AverageSquared())
+	for i, v := range expected {
+		assert.EqualValues(t, v, drawdown[i])
+	}
+}

pkg/types/trade_stats.go

@@ -8,45 +8,16 @@ import (
 	"time"
 
 	log "github.com/sirupsen/logrus"
-
 	"gopkg.in/yaml.v3"
 
 	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
-type IntervalProfitCollector struct {
+const (
-	Interval  Interval      `json:"interval"`
+	ErrStartTimeNotValid = "No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-	Profits   *floats.Slice `json:"profits"`
+	ErrProfitArrEmpty    = "profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?"
-	Timestamp *floats.Slice `json:"timestamp"`
+)
-	tmpTime   time.Time     `json:"tmpTime"`
-}
-
-func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
-	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &floats.Slice{1.}, Timestamp: &floats.Slice{float64(startTime.Unix())}}
-}
-
-// Update the collector by every traded profit
-func (s *IntervalProfitCollector) Update(profit *Profit) {
-	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
-	} else {
-		duration := s.Interval.Duration()
-		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-			(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-		} else {
-			for {
-				s.Profits.Update(1.)
-				s.tmpTime = s.tmpTime.Add(duration)
-				s.Timestamp.Update(float64(s.tmpTime.Unix()))
-				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
-					(*s.Profits)[len(*s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
-					break
-				}
-			}
-		}
-	}
-}
 
 type ProfitReport struct {
 	StartTime time.Time `json:"startTime"`
@@ -62,6 +33,55 @@ func (s ProfitReport) String() string {
 	return string(b)
 }
 
+type IntervalProfitCollector struct {
+	Interval     Interval        `json:"interval"`
+	Profits      floats.Slice    `json:"profits"`
+	TimeInMarket []time.Duration `json:"timeInMarket"`
+	Timestamp    floats.Slice    `json:"timestamp"`
+	tmpTime      time.Time       `json:"tmpTime"`
+}
+
+func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
+	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: floats.Slice{1.}, Timestamp: floats.Slice{float64(startTime.Unix())}}
+}
+
+// Update the collector by every traded profit
+func (s *IntervalProfitCollector) Update(profit *Profit) {
+	if s.tmpTime.IsZero() {
+		panic(ErrStartTimeNotValid)
+	} else {
+		s.TimeInMarket = append(s.TimeInMarket, profit.TradedAt.Sub(profit.PositionOpenedAt))
+		duration := s.Interval.Duration()
+		if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+			(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+		} else {
+			for {
+				s.Profits.Update(1.)
+				s.tmpTime = s.tmpTime.Add(duration)
+				s.Timestamp.Update(float64(s.tmpTime.Unix()))
+				if profit.TradedAt.Before(s.tmpTime.Add(duration)) {
+					(s.Profits)[len(s.Profits)-1] *= 1. + profit.NetProfitMargin.Float64()
+					break
+				}
+			}
+		}
+	}
+}
+
+// Determine average and total time spend in market
+func (s *IntervalProfitCollector) GetTimeInMarket() (avgHoldSec, totalTimeInMarketSec int64) {
+	if s.Profits == nil {
+		return 0, 0
+	}
+	l := len(s.TimeInMarket)
+	for i := 0; i < l; i++ {
+		d := s.TimeInMarket[i]
+		totalTimeInMarketSec += int64(d / time.Millisecond)
+	}
+	avgHoldSec = totalTimeInMarketSec / int64(l)
+	return
+}
+
 // Get all none-profitable intervals
 func (s *IntervalProfitCollector) GetNonProfitableIntervals() (result []ProfitReport) {
 	if s.Profits == nil {
@@ -93,9 +113,9 @@ func (s *IntervalProfitCollector) GetProfitableIntervals() (result []ProfitRepor
 // Get number of profitable traded intervals
 func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
-	for _, v := range *s.Profits {
+	for _, v := range s.Profits {
 		if v > 1. {
 			profit += 1
 		}
@@ -107,9 +127,9 @@ func (s *IntervalProfitCollector) GetNumOfProfitableIntervals() (profit int) {
 // (no trade within the interval or pnl = 0 will be also included here)
 func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit int) {
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
-	for _, v := range *s.Profits {
+	for _, v := range s.Profits {
 		if v <= 1. {
 			nonprofit += 1
 		}
@@ -121,10 +141,11 @@ func (s *IntervalProfitCollector) GetNumOfNonProfitableIntervals() (nonprofit in
 // no smart sharpe ON for the calculated result
 func (s *IntervalProfitCollector) GetSharpe() float64 {
 	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
 	}
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
+
 	}
 	return Sharpe(Sub(s.Profits, 1.), s.Profits.Length(), true, false)
 }
@@ -133,10 +154,10 @@ func (s *IntervalProfitCollector) GetSharpe() float64 {
 // No risk-free return rate and smart sortino OFF for the calculated result.
 func (s *IntervalProfitCollector) GetSortino() float64 {
 	if s.tmpTime.IsZero() {
-		panic("No valid start time. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrStartTimeNotValid)
 	}
 	if s.Profits == nil {
-		panic("profits array empty. Did you create IntervalProfitCollector instance using NewIntervalProfitCollector?")
+		panic(ErrProfitArrEmpty)
 	}
 	return Sortino(Sub(s.Profits, 1.), 0., s.Profits.Length(), true, false)
 }