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printresults.go
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printresults.go
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package statistics
import (
"errors"
"fmt"
"sort"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/common"
data2 "github.com/thrasher-corp/gocryptotrader/backtester/data"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/fill"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
gctcommon "github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/common/convert"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/log"
)
const (
limit12 = 12
limit14 = 14
limit10 = 10
)
// addReason basic helper to append event reason if one is there
func addReason(reason, msg string) string {
if reason != "" {
msg += "\tReason: " + reason
}
return msg
}
// PrintTotalResults outputs all results to the CMD
func (s *Statistic) PrintTotalResults() {
log.Infoln(common.Statistics, common.CMDColours.H1+"------------------Strategy-----------------------------------"+common.CMDColours.Default)
log.Infof(common.Statistics, "Strategy Name: %v", s.StrategyName)
log.Infof(common.Statistics, "Strategy Nickname: %v", s.StrategyNickname)
log.Infof(common.Statistics, "Strategy Goal: %v\n\n", s.StrategyGoal)
log.Infoln(common.Statistics, common.CMDColours.H2+"------------------Total Results------------------------------"+common.CMDColours.Default)
log.Infoln(common.Statistics, common.CMDColours.H3+"------------------Orders-------------------------------------"+common.CMDColours.Default)
log.Infof(common.Statistics, "Total buy orders: %v", convert.IntToHumanFriendlyString(s.TotalBuyOrders, ","))
log.Infof(common.Statistics, "Total sell orders: %v", convert.IntToHumanFriendlyString(s.TotalSellOrders, ","))
log.Infof(common.Statistics, "Total long orders: %v", convert.IntToHumanFriendlyString(s.TotalLongOrders, ","))
log.Infof(common.Statistics, "Total short orders: %v", convert.IntToHumanFriendlyString(s.TotalShortOrders, ","))
log.Infof(common.Statistics, "Total orders: %v\n\n", convert.IntToHumanFriendlyString(s.TotalOrders, ","))
if s.BiggestDrawdown != nil {
log.Infoln(common.Statistics, common.CMDColours.H3+"------------------Biggest Drawdown-----------------------"+common.CMDColours.Default)
log.Infof(common.Statistics, "Exchange: %v Asset: %v Currency: %v", s.BiggestDrawdown.Exchange, s.BiggestDrawdown.Asset, s.BiggestDrawdown.Pair)
log.Infof(common.Statistics, "Highest Price: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Highest.Value, 8, ".", ","))
log.Infof(common.Statistics, "Highest Price Time: %v", s.BiggestDrawdown.MaxDrawdown.Highest.Time)
log.Infof(common.Statistics, "Lowest Price: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Lowest.Value, 8, ".", ","))
log.Infof(common.Statistics, "Lowest Price Time: %v", s.BiggestDrawdown.MaxDrawdown.Lowest.Time)
log.Infof(common.Statistics, "Calculated Drawdown: %s%%", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.DrawdownPercent, 2, ".", ","))
log.Infof(common.Statistics, "Difference: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Highest.Value.Sub(s.BiggestDrawdown.MaxDrawdown.Lowest.Value), 8, ".", ","))
log.Infof(common.Statistics, "Drawdown length: %v candles\n\n", convert.IntToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.IntervalDuration, ","))
}
if s.BestMarketMovement != nil && s.BestStrategyResults != nil {
log.Infoln(common.Statistics, common.CMDColours.H4+"------------------Orders----------------------------------"+common.CMDColours.Default)
log.Infof(common.Statistics, "Best performing market movement: %v %v %v %v%%", s.BestMarketMovement.Exchange, s.BestMarketMovement.Asset, s.BestMarketMovement.Pair, convert.DecimalToHumanFriendlyString(s.BestMarketMovement.MarketMovement, 2, ".", ","))
log.Infof(common.Statistics, "Best performing strategy movement: %v %v %v %v%%\n\n", s.BestStrategyResults.Exchange, s.BestStrategyResults.Asset, s.BestStrategyResults.Pair, convert.DecimalToHumanFriendlyString(s.BestStrategyResults.StrategyMovement, 2, ".", ","))
}
}
// PrintAllEventsChronologically outputs all event details in the CMD
// rather than separated by exchange, asset and currency pair, it's
// grouped by time to allow a clearer picture of events
func (s *Statistic) PrintAllEventsChronologically() {
log.Infoln(common.Statistics, common.CMDColours.H1+"------------------Events-------------------------------------"+common.CMDColours.Default)
var errs error
var results []eventOutputHolder
for _, currencyStatistic := range s.ExchangeAssetPairStatistics {
for i := range currencyStatistic.Events {
var result string
var tt time.Time
var err error
switch {
case currencyStatistic.Events[i].FillEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].FillEvent)
if err != nil {
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].FillEvent.GetTime()
case currencyStatistic.Events[i].SignalEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].SignalEvent)
if err != nil {
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].SignalEvent.GetTime()
case currencyStatistic.Events[i].DataEvent != nil:
result, err = s.CreateLog(currencyStatistic.Events[i].DataEvent)
if err != nil {
errs = gctcommon.AppendError(errs, err)
continue
}
tt = currencyStatistic.Events[i].DataEvent.GetTime()
}
results = addEventOutputToTime(results, tt, result)
}
}
sort.Slice(results, func(i, j int) bool {
b1 := results[i]
b2 := results[j]
return b1.Time.Before(b2.Time)
})
for i := range results {
for j := range results[i].Events {
log.Infoln(common.Statistics, results[i].Events[j])
}
}
if errs != nil {
log.Infoln(common.Statistics, common.CMDColours.Error+"------------------Errors-------------------------------------"+common.CMDColours.Default)
for err := errors.Unwrap(errs); err != nil; err = errors.Unwrap(errs) {
log.Errorln(common.Statistics, err.Error())
}
}
}
// CreateLog renders a string log depending on what events are populated
// at a given offset. Can render logs live, or at the end of a backtesting run
func (s *Statistic) CreateLog(data common.Event) (string, error) {
var (
result string
colour = common.CMDColours.Default
)
switch ev := data.(type) {
case fill.Event:
direction := ev.GetDirection()
if direction == order.CouldNotBuy ||
direction == order.CouldNotSell ||
direction == order.CouldNotLong ||
direction == order.CouldNotShort ||
direction == order.MissingData ||
direction == order.DoNothing ||
direction == order.TransferredFunds ||
direction == order.UnknownSide {
if direction == order.DoNothing {
colour = common.CMDColours.DarkGrey
}
result = fmt.Sprintf(colour+
"%v %v%v%v| Price: %v\tDirection: %v",
ev.GetTime().Format(time.DateTime),
fSIL(ev.GetExchange(), limit12),
fSIL(ev.GetAssetType().String(), limit10),
fSIL(ev.Pair().String(), limit14),
ev.GetClosePrice().Round(8),
ev.GetDirection())
result = addReason(ev.GetConcatReasons(), result)
result += common.CMDColours.Default
} else {
// successful order!
colour = common.CMDColours.Success
if ev.IsLiquidated() {
colour = common.CMDColours.Error
}
result = fmt.Sprintf(colour+
"%v %v%v%v| Price: %v\tDirection %v\tOrder placed: Amount: %v\tFee: %v\tTotal: %v",
ev.GetTime().Format(time.DateTime),
fSIL(ev.GetExchange(), limit12),
fSIL(ev.GetAssetType().String(), limit10),
fSIL(ev.Pair().String(), limit14),
ev.GetPurchasePrice().Round(8),
ev.GetDirection(),
ev.GetAmount().Round(8),
ev.GetExchangeFee(),
ev.GetTotal().Round(8))
result = addReason(ev.GetConcatReasons(), result)
result += common.CMDColours.Default
}
case signal.Event:
result = fmt.Sprintf("%v %v%v%v| Price: $%v",
ev.GetTime().Format(time.DateTime),
fSIL(ev.GetExchange(), limit12),
fSIL(ev.GetAssetType().String(), limit10),
fSIL(ev.Pair().String(), limit14),
ev.GetClosePrice().Round(8))
result = addReason(ev.GetConcatReasons(), result)
result += common.CMDColours.Default
case data2.Event:
result = fmt.Sprintf("%v %v%v%v| Price: $%v",
ev.GetTime().Format(time.DateTime),
fSIL(ev.GetExchange(), limit12),
fSIL(ev.GetAssetType().String(), limit10),
fSIL(ev.Pair().String(), limit14),
ev.GetClosePrice().Round(8))
result = addReason(ev.GetConcatReasons(), result)
result += common.CMDColours.Default
default:
return "", fmt.Errorf(common.CMDColours.Error+"unexpected data received %T %+v"+common.CMDColours.Default, data, data)
}
return result, nil
}
// PrintResults outputs all calculated statistics to the command line
func (c *CurrencyPairStatistic) PrintResults(e string, a asset.Item, p currency.Pair, usingExchangeLevelFunding bool) error {
if len(c.Events) == 0 {
return errCurrencyStatisticsUnset
}
sort.Slice(c.Events, func(i, j int) bool {
return c.Events[i].Time.Before(c.Events[j].Time)
})
last := c.Events[len(c.Events)-1]
first := c.Events[0]
if first.DataEvent == nil {
return errNoDataAtOffset
}
c.StartingClosePrice.Value = first.DataEvent.GetClosePrice()
c.StartingClosePrice.Time = first.Time
c.EndingClosePrice.Value = last.DataEvent.GetClosePrice()
c.EndingClosePrice.Time = last.Time
c.TotalOrders = c.BuyOrders + c.SellOrders
last.Holdings.TotalValueLost = last.Holdings.TotalValueLostToSlippage.Add(last.Holdings.TotalValueLostToVolumeSizing)
sep := fmt.Sprintf("%v %v %v |\t", fSIL(e, limit12), fSIL(a.String(), limit10), fSIL(p.String(), limit14))
currStr := fmt.Sprintf(common.CMDColours.H1+"------------------Stats for %v %v %v------------------------------------------------------"+common.CMDColours.Default, e, a, p)
log.Infof(common.CurrencyStatistics, currStr[:70])
if a.IsFutures() {
log.Infof(common.CurrencyStatistics, "%s Long orders: %s", sep, convert.IntToHumanFriendlyString(c.BuyOrders, ","))
log.Infof(common.CurrencyStatistics, "%s Short orders: %s", sep, convert.IntToHumanFriendlyString(c.SellOrders, ","))
log.Infof(common.CurrencyStatistics, "%s Highest Unrealised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestUnrealisedPNL.Value, 8, ".", ","), c.HighestUnrealisedPNL.Time)
log.Infof(common.CurrencyStatistics, "%s Lowest Unrealised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.LowestUnrealisedPNL.Value, 8, ".", ","), c.LowestUnrealisedPNL.Time)
log.Infof(common.CurrencyStatistics, "%s Highest Realised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestRealisedPNL.Value, 8, ".", ","), c.HighestRealisedPNL.Time)
log.Infof(common.CurrencyStatistics, "%s Lowest Realised PNL: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.LowestRealisedPNL.Value, 8, ".", ","), c.LowestRealisedPNL.Time)
log.Infof(common.CurrencyStatistics, "%s Highest committed funds: %s %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestCommittedFunds.Value, 8, ".", ","), c.UnderlyingPair.Quote, c.HighestCommittedFunds.Time)
} else {
log.Infof(common.CurrencyStatistics, "%s Buy orders: %s", sep, convert.IntToHumanFriendlyString(c.BuyOrders, ","))
log.Infof(common.CurrencyStatistics, "%s Buy amount: %s %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.BoughtAmount, 8, ".", ","), last.Holdings.Pair.Base)
log.Infof(common.CurrencyStatistics, "%s Sell orders: %s", sep, convert.IntToHumanFriendlyString(c.SellOrders, ","))
log.Infof(common.CurrencyStatistics, "%s Sell amount: %s %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.SoldAmount, 8, ".", ","), last.Holdings.Pair.Base)
log.Infof(common.CurrencyStatistics, "%s Highest committed funds: %s %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestCommittedFunds.Value, 8, ".", ","), last.Holdings.Pair.Quote, c.HighestCommittedFunds.Time)
}
log.Infof(common.CurrencyStatistics, "%s Total orders: %s", sep, convert.IntToHumanFriendlyString(c.TotalOrders, ","))
log.Infoln(common.CurrencyStatistics, common.CMDColours.H2+"------------------Max Drawdown-------------------------------"+common.CMDColours.Default)
log.Infof(common.CurrencyStatistics, "%s Highest Price of drawdown: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.MaxDrawdown.Highest.Value, 8, ".", ","), c.MaxDrawdown.Highest.Time)
log.Infof(common.CurrencyStatistics, "%s Lowest Price of drawdown: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.MaxDrawdown.Lowest.Value, 8, ".", ","), c.MaxDrawdown.Lowest.Time)
log.Infof(common.CurrencyStatistics, "%s Calculated Drawdown: %s%%", sep, convert.DecimalToHumanFriendlyString(c.MaxDrawdown.DrawdownPercent, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Difference: %s", sep, convert.DecimalToHumanFriendlyString(c.MaxDrawdown.Highest.Value.Sub(c.MaxDrawdown.Lowest.Value), 2, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Drawdown length: %s", sep, convert.IntToHumanFriendlyString(c.MaxDrawdown.IntervalDuration, ","))
if !usingExchangeLevelFunding && c.TotalOrders > 1 {
log.Infoln(common.CurrencyStatistics, common.CMDColours.H2+"------------------Ratios------------------------------------------------"+common.CMDColours.Default)
log.Infoln(common.CurrencyStatistics, common.CMDColours.H3+"------------------Rates-------------------------------------------------"+common.CMDColours.Default)
log.Infof(common.CurrencyStatistics, "%s Compound Annual Growth Rate: %s", sep, convert.DecimalToHumanFriendlyString(c.CompoundAnnualGrowthRate, 2, ".", ","))
log.Infoln(common.CurrencyStatistics, common.CMDColours.H4+"------------------Arithmetic--------------------------------------------"+common.CMDColours.Default)
if c.ShowMissingDataWarning {
log.Infoln(common.CurrencyStatistics, "Missing data was detected during this backtesting run")
log.Infoln(common.CurrencyStatistics, "Ratio calculations will be skewed")
}
log.Infof(common.CurrencyStatistics, "%s Sharpe ratio: %v", sep, c.ArithmeticRatios.SharpeRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Sortino ratio: %v", sep, c.ArithmeticRatios.SortinoRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Information ratio: %v", sep, c.ArithmeticRatios.InformationRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Calmar ratio: %v", sep, c.ArithmeticRatios.CalmarRatio.Round(4))
log.Infoln(common.CurrencyStatistics, common.CMDColours.H4+"------------------Geometric--------------------------------------------"+common.CMDColours.Default)
if c.ShowMissingDataWarning {
log.Infoln(common.CurrencyStatistics, "Missing data was detected during this backtesting run")
log.Infoln(common.CurrencyStatistics, "Ratio calculations will be skewed")
}
log.Infof(common.CurrencyStatistics, "%s Sharpe ratio: %v", sep, c.GeometricRatios.SharpeRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Sortino ratio: %v", sep, c.GeometricRatios.SortinoRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Information ratio: %v", sep, c.GeometricRatios.InformationRatio.Round(4))
log.Infof(common.CurrencyStatistics, "%s Calmar ratio: %v", sep, c.GeometricRatios.CalmarRatio.Round(4))
}
log.Infoln(common.CurrencyStatistics, common.CMDColours.H2+"------------------Results------------------------------------"+common.CMDColours.Default)
log.Infof(common.CurrencyStatistics, "%s Starting Close Price: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.StartingClosePrice.Value, 8, ".", ","), c.StartingClosePrice.Time)
log.Infof(common.CurrencyStatistics, "%s Finishing Close Price: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.EndingClosePrice.Value, 8, ".", ","), c.EndingClosePrice.Time)
log.Infof(common.CurrencyStatistics, "%s Lowest Close Price: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.LowestClosePrice.Value, 8, ".", ","), c.LowestClosePrice.Time)
log.Infof(common.CurrencyStatistics, "%s Highest Close Price: %s at %v", sep, convert.DecimalToHumanFriendlyString(c.HighestClosePrice.Value, 8, ".", ","), c.HighestClosePrice.Time)
log.Infof(common.CurrencyStatistics, "%s Market movement: %s%%", sep, convert.DecimalToHumanFriendlyString(c.MarketMovement, 2, ".", ","))
if !usingExchangeLevelFunding {
log.Infof(common.CurrencyStatistics, "%s Strategy movement: %s%%", sep, convert.DecimalToHumanFriendlyString(c.StrategyMovement, 2, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Did it beat the market: %v", sep, c.StrategyMovement.GreaterThan(c.MarketMovement))
}
log.Infof(common.CurrencyStatistics, "%s Value lost to volume sizing: %s", sep, convert.DecimalToHumanFriendlyString(c.TotalValueLostToVolumeSizing, 2, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Value lost to slippage: %s", sep, convert.DecimalToHumanFriendlyString(c.TotalValueLostToSlippage, 2, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Total Value lost: %s", sep, convert.DecimalToHumanFriendlyString(c.TotalValueLost, 2, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Total Fees: %s", sep, convert.DecimalToHumanFriendlyString(c.TotalFees, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Final holdings value: %s", sep, convert.DecimalToHumanFriendlyString(c.TotalAssetValue, 8, ".", ","))
if !usingExchangeLevelFunding {
// the following have no direct translation to individual exchange level funds as they
// combine base and quote values
log.Infof(common.CurrencyStatistics, "%s Final funds: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.QuoteSize, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Final holdings: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.BaseSize, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Final total value: %s", sep, convert.DecimalToHumanFriendlyString(last.Holdings.TotalValue, 8, ".", ","))
}
if last.PNL != nil {
var unrealised, realised portfolio.BasicPNLResult
unrealised = last.PNL.GetUnrealisedPNL()
realised = last.PNL.GetRealisedPNL()
log.Infof(common.CurrencyStatistics, "%s Final Unrealised PNL: %s", sep, convert.DecimalToHumanFriendlyString(unrealised.PNL, 8, ".", ","))
log.Infof(common.CurrencyStatistics, "%s Final Realised PNL: %s", sep, convert.DecimalToHumanFriendlyString(realised.PNL, 8, ".", ","))
}
return nil
}
// PrintResults outputs all calculated funding statistics to the command line
func (f *FundingStatistics) PrintResults(wasAnyDataMissing bool) error {
if f.Report == nil {
return fmt.Errorf("%w requires report to be generated", gctcommon.ErrNilPointer)
}
var spotResults, futuresResults []FundingItemStatistics
for i := range f.Items {
if f.Items[i].ReportItem.Asset.IsFutures() {
futuresResults = append(futuresResults, f.Items[i])
} else {
spotResults = append(spotResults, f.Items[i])
}
}
if len(spotResults) > 0 || len(futuresResults) > 0 {
log.Infoln(common.FundingStatistics, common.CMDColours.H1+"------------------Funding------------------------------------"+common.CMDColours.Default)
}
if len(spotResults) > 0 {
log.Infoln(common.FundingStatistics, common.CMDColours.H2+"------------------Funding Spot Item Results------------------"+common.CMDColours.Default)
for i := range spotResults {
if spotResults[i].ReportItem.AppendedViaAPI {
continue
}
sep := fmt.Sprintf("%v%v%v| ", fSIL(spotResults[i].ReportItem.Exchange, limit12), fSIL(spotResults[i].ReportItem.Asset.String(), limit10), fSIL(spotResults[i].ReportItem.Currency.String(), limit14))
if !spotResults[i].ReportItem.PairedWith.IsEmpty() {
log.Infof(common.FundingStatistics, "%s Paired with: %v", sep, spotResults[i].ReportItem.PairedWith)
}
log.Infof(common.FundingStatistics, "%s Initial funds: %s", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.InitialFunds, 8, ".", ","))
log.Infof(common.FundingStatistics, "%s Final funds: %s", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.FinalFunds, 8, ".", ","))
if !f.Report.DisableUSDTracking && f.Report.UsingExchangeLevelFunding {
log.Infof(common.FundingStatistics, "%s Initial funds in USD: $%s", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.USDInitialFunds, 2, ".", ","))
log.Infof(common.FundingStatistics, "%s Final funds in USD: $%s", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.USDFinalFunds, 2, ".", ","))
}
if spotResults[i].ReportItem.ShowInfinite {
log.Infof(common.FundingStatistics, "%s Difference: ∞%%", sep)
} else {
log.Infof(common.FundingStatistics, "%s Difference: %s%%", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.Difference, 8, ".", ","))
}
if spotResults[i].ReportItem.TransferFee.GreaterThan(decimal.Zero) {
log.Infof(common.FundingStatistics, "%s Transfer fee: %s", sep, convert.DecimalToHumanFriendlyString(spotResults[i].ReportItem.TransferFee, 8, ".", ","))
}
if i != len(spotResults)-1 {
log.Infoln(common.FundingStatistics, "")
}
}
}
if len(futuresResults) > 0 {
log.Infoln(common.FundingStatistics, common.CMDColours.H2+"------------------Funding Futures Item Results---------------"+common.CMDColours.Default)
for i := range futuresResults {
if futuresResults[i].ReportItem.AppendedViaAPI {
continue
}
sep := fmt.Sprintf("%v%v%v| ", fSIL(futuresResults[i].ReportItem.Exchange, limit12), fSIL(futuresResults[i].ReportItem.Asset.String(), limit10), fSIL(futuresResults[i].ReportItem.Currency.String(), limit14))
log.Infof(common.FundingStatistics, "%s Is Collateral: %v", sep, futuresResults[i].IsCollateral)
if futuresResults[i].IsCollateral {
log.Infof(common.FundingStatistics, "%s Initial Collateral: %v %v at %v", sep, futuresResults[i].InitialCollateral.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].InitialCollateral.Time)
log.Infof(common.FundingStatistics, "%s Final Collateral: %v %v at %v", sep, futuresResults[i].FinalCollateral.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].FinalCollateral.Time)
log.Infof(common.FundingStatistics, "%s Lowest Collateral: %v %v at %v", sep, futuresResults[i].LowestCollateral.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].LowestCollateral.Time)
log.Infof(common.FundingStatistics, "%s Highest Collateral: %v %v at %v", sep, futuresResults[i].HighestCollateral.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].HighestCollateral.Time)
} else {
if !futuresResults[i].ReportItem.PairedWith.IsEmpty() {
log.Infof(common.FundingStatistics, "%s Collateral currency: %v", sep, futuresResults[i].ReportItem.PairedWith)
}
log.Infof(common.FundingStatistics, "%s Lowest Contract Holdings: %v %v at %v", sep, futuresResults[i].LowestHoldings.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].LowestHoldings.Time)
log.Infof(common.FundingStatistics, "%s Highest Contract Holdings: %v %v at %v", sep, futuresResults[i].HighestHoldings.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].HighestHoldings.Time)
log.Infof(common.FundingStatistics, "%s Initial Contract Holdings: %v %v at %v", sep, futuresResults[i].InitialHoldings.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].InitialHoldings.Time)
log.Infof(common.FundingStatistics, "%s Final Contract Holdings: %v %v at %v", sep, futuresResults[i].FinalHoldings.Value, futuresResults[i].ReportItem.Currency, futuresResults[i].FinalHoldings.Time)
}
if i != len(futuresResults)-1 {
log.Infoln(common.FundingStatistics, "")
}
}
}
if f.Report.DisableUSDTracking {
return nil
}
log.Infoln(common.FundingStatistics, common.CMDColours.H2+"------------------USD Tracking Totals------------------------"+common.CMDColours.Default)
sep := "USD Tracking Total |\t"
log.Infof(common.FundingStatistics, "%s Initial value: $%s", sep, convert.DecimalToHumanFriendlyString(f.Report.InitialFunds, 8, ".", ","))
log.Infof(common.FundingStatistics, "%s Final value: $%s", sep, convert.DecimalToHumanFriendlyString(f.Report.FinalFunds, 8, ".", ","))
log.Infof(common.FundingStatistics, "%s Benchmark Market Movement: %s%%", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.BenchmarkMarketMovement, 8, ".", ","))
log.Infof(common.FundingStatistics, "%s Strategy Movement: %s%%", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.HoldingValueDifference, 8, ".", ","))
log.Infof(common.FundingStatistics, "%s Did strategy make a profit: %v", sep, f.TotalUSDStatistics.DidStrategyMakeProfit)
log.Infof(common.FundingStatistics, "%s Did strategy beat the benchmark: %v", sep, f.TotalUSDStatistics.DidStrategyBeatTheMarket)
log.Infof(common.FundingStatistics, "%s Highest funds: $%s at %v", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.HighestHoldingValue.Value, 8, ".", ","), f.TotalUSDStatistics.HighestHoldingValue.Time)
log.Infof(common.FundingStatistics, "%s Lowest funds: $%s at %v", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.LowestHoldingValue.Value, 8, ".", ","), f.TotalUSDStatistics.LowestHoldingValue.Time)
log.Infoln(common.FundingStatistics, common.CMDColours.H3+"------------------Ratios------------------------------------------------"+common.CMDColours.Default)
log.Infoln(common.FundingStatistics, common.CMDColours.H4+"------------------Rates-------------------------------------------------"+common.CMDColours.Default)
log.Infof(common.FundingStatistics, "%s Risk free rate: %s%%", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.RiskFreeRate.Mul(decimal.NewFromInt(100)), 2, ".", ","))
log.Infof(common.FundingStatistics, "%s Compound Annual Growth Rate: %v%%", sep, convert.DecimalToHumanFriendlyString(f.TotalUSDStatistics.CompoundAnnualGrowthRate, 8, ".", ","))
if f.TotalUSDStatistics.ArithmeticRatios == nil || f.TotalUSDStatistics.GeometricRatios == nil {
return fmt.Errorf("%w missing ratio calculations", gctcommon.ErrNilPointer)
}
log.Infoln(common.FundingStatistics, common.CMDColours.H4+"------------------Arithmetic--------------------------------------------"+common.CMDColours.Default)
if wasAnyDataMissing {
log.Infoln(common.FundingStatistics, "Missing data was detected during this backtesting run")
log.Infoln(common.FundingStatistics, "Ratio calculations will be skewed")
}
log.Infof(common.FundingStatistics, "%s Sharpe ratio: %v", sep, f.TotalUSDStatistics.ArithmeticRatios.SharpeRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Sortino ratio: %v", sep, f.TotalUSDStatistics.ArithmeticRatios.SortinoRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Information ratio: %v", sep, f.TotalUSDStatistics.ArithmeticRatios.InformationRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Calmar ratio: %v", sep, f.TotalUSDStatistics.ArithmeticRatios.CalmarRatio.Round(4))
log.Infoln(common.FundingStatistics, common.CMDColours.H4+"------------------Geometric--------------------------------------------"+common.CMDColours.Default)
if wasAnyDataMissing {
log.Infoln(common.FundingStatistics, "Missing data was detected during this backtesting run")
log.Infoln(common.FundingStatistics, "Ratio calculations will be skewed")
}
log.Infof(common.FundingStatistics, "%s Sharpe ratio: %v", sep, f.TotalUSDStatistics.GeometricRatios.SharpeRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Sortino ratio: %v", sep, f.TotalUSDStatistics.GeometricRatios.SortinoRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Information ratio: %v", sep, f.TotalUSDStatistics.GeometricRatios.InformationRatio.Round(4))
log.Infof(common.FundingStatistics, "%s Calmar ratio: %v\n\n", sep, f.TotalUSDStatistics.GeometricRatios.CalmarRatio.Round(4))
return nil
}