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improve/linregmaker: add profit report

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Andy Cheng 2023-07-17 11:45:37 +08:00
parent bc4eae5e39
commit e5254e6446
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2 changed files with 49 additions and 0 deletions
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9
config/linregmaker.yaml
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@ -175,3 +175,12 @@ exchangeStrategies:
# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
- roiStopLoss:
percentage: 30%
profitStatsTracker:
interval: 1d
window: 30
accumulatedProfitReport:
profitMAWindow: 60
shortTermProfitWindow: 14
tsvReportPath: res.tsv
trackParameters: false

40
pkg/strategy/linregmaker/strategy.go
View File

@ -3,6 +3,8 @@ package linregmaker
import (
"context"
"fmt"
"github.com/c9s/bbgo/pkg/report"
"os"
"sync"
"github.com/c9s/bbgo/pkg/risk/dynamicrisk"
@ -135,6 +137,10 @@ type Strategy struct {
ProfitStats *types.ProfitStats `persistence:"profit_stats"`
TradeStats *types.TradeStats `persistence:"trade_stats"`
// ProfitStatsTracker tracks profit related status and generates report
ProfitStatsTracker *report.ProfitStatsTracker `json:"profitStatsTracker"`
TrackParameters bool `json:"trackParameters"`
Environment *bbgo.Environment
StandardIndicatorSet *bbgo.StandardIndicatorSet
Market types.Market
@ -242,6 +248,11 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
if len(s.DynamicQuantityDecrease) > 0 {
s.DynamicQuantityDecrease.Initialize(s.Symbol, session)
}
// Profit tracker
if s.ProfitStatsTracker != nil {
s.ProfitStatsTracker.Subscribe(session, s.Symbol)
}
}
func (s *Strategy) CurrentPosition() *types.Position {
@ -664,6 +675,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
})
s.ExitMethods.Bind(session, s.orderExecutor)
// Setup profit tracker
if s.ProfitStatsTracker != nil {
if s.ProfitStatsTracker.CurrentProfitStats == nil {
s.ProfitStatsTracker.InitLegacy(s.Market, &s.ProfitStats, s.TradeStats)
}
// Add strategy parameters to report
if s.TrackParameters && s.ProfitStatsTracker.AccumulatedProfitReport != nil {
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("ReverseEMAWindow", fmt.Sprintf("%d", s.ReverseEMA.Window))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("FastLinRegInterval", fmt.Sprintf("%s", s.FastLinReg.Interval))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("SlowLinRegWindow", fmt.Sprintf("%d", s.SlowLinReg.Window))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("SlowLinRegInterval", fmt.Sprintf("%s", s.SlowLinReg.Interval))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("FasterDecreaseRatio", fmt.Sprintf("%f", s.FasterDecreaseRatio))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("NeutralBollingerWindow", fmt.Sprintf("%d", s.NeutralBollinger.Window))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("NeutralBollingerBandWidth", fmt.Sprintf("%f", s.NeutralBollinger.BandWidth))
s.ProfitStatsTracker.AccumulatedProfitReport.AddStrategyParameter("Spread", fmt.Sprintf("%f", s.Spread))
}
s.ProfitStatsTracker.Bind(s.session, s.orderExecutor.TradeCollector())
}
// Indicators initialized by StandardIndicatorSet must be initialized in Run()
// Initialize ReverseEMA
s.ReverseEMA = s.StandardIndicatorSet.EWMA(s.ReverseEMA.IntervalWindow)
@ -812,7 +844,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
defer wg.Done()
// Output profit report
if s.ProfitStatsTracker != nil {
if s.ProfitStatsTracker.AccumulatedProfitReport != nil {
s.ProfitStatsTracker.AccumulatedProfitReport.Output()
}
}
_ = s.orderExecutor.GracefulCancel(ctx)
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
})
return nil