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improve/profitStatsTracker: use SMA v2

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This commit is contained in:
Andy Cheng 2023-07-11 11:13:13 +08:00
parent 6e54972304
commit e161deba25
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GPG Key ID: 936427CF651A9D28
1 changed files with 6 additions and 6 deletions
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12
pkg/report/profit_report.go
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@ -5,7 +5,7 @@ import (
"github.com/c9s/bbgo/pkg/data/tsv" "github.com/c9s/bbgo/pkg/data/tsv"
"github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator" indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
"strconv" "strconv"
) )
@ -27,10 +27,10 @@ type AccumulatedProfitReport struct {
// Accumulated profit // Accumulated profit
accumulatedProfit fixedpoint.Value accumulatedProfit fixedpoint.Value
accumulatedProfitPerInterval floats.Slice accumulatedProfitPerInterval *types.Float64Series
// Accumulated profit MA // Accumulated profit MA
profitMA *indicator.SMA profitMA *indicatorv2.SMAStream
profitMAPerInterval floats.Slice profitMAPerInterval floats.Slice
// Profit of each interval // Profit of each interval
@ -71,7 +71,8 @@ func (r *AccumulatedProfitReport) Initialize(symbol string, interval types.Inter
r.ShortTermProfitWindow = 7 r.ShortTermProfitWindow = 7
} }
r.profitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: r.Interval, Window: r.ProfitMAWindow}} r.accumulatedProfitPerInterval = types.NewFloat64Series()
r.profitMA = indicatorv2.SMA2(r.accumulatedProfitPerInterval, r.ProfitMAWindow)
} }
func (r *AccumulatedProfitReport) AddStrategyParameter(title string, value string) { func (r *AccumulatedProfitReport) AddStrategyParameter(title string, value string) {
@ -86,13 +87,12 @@ func (r *AccumulatedProfitReport) AddTrade(trade types.Trade) {
func (r *AccumulatedProfitReport) Rotate(ps *types.ProfitStats, ts *types.TradeStats) { func (r *AccumulatedProfitReport) Rotate(ps *types.ProfitStats, ts *types.TradeStats) {
// Accumulated profit // Accumulated profit
r.accumulatedProfit = r.accumulatedProfit.Add(ps.AccumulatedNetProfit) r.accumulatedProfit = r.accumulatedProfit.Add(ps.AccumulatedNetProfit)
r.accumulatedProfitPerInterval.Update(r.accumulatedProfit.Float64()) r.accumulatedProfitPerInterval.PushAndEmit(r.accumulatedProfit.Float64())
// Profit of each interval // Profit of each interval
r.ProfitPerInterval.Update(ps.AccumulatedNetProfit.Float64()) r.ProfitPerInterval.Update(ps.AccumulatedNetProfit.Float64())
// Profit MA // Profit MA
r.profitMA.Update(r.accumulatedProfit.Float64())
r.profitMAPerInterval.Update(r.profitMA.Last(0)) r.profitMAPerInterval.Update(r.profitMA.Last(0))
// Accumulated Fee // Accumulated Fee