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statistics.go
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statistics.go
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package statistics
import (
"encoding/json"
"fmt"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/backtester/common"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/fill"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/kline"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/order"
"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
gctcommon "github.com/thrasher-corp/gocryptotrader/common"
"github.com/thrasher-corp/gocryptotrader/common/key"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/log"
)
// Reset returns the struct to defaults
func (s *Statistic) Reset() error {
if s == nil {
return gctcommon.ErrNilPointer
}
s.StrategyName = ""
s.StrategyDescription = ""
s.StrategyNickname = ""
s.StrategyGoal = ""
s.StartDate = time.Time{}
s.EndDate = time.Time{}
s.CandleInterval = 0
s.RiskFreeRate = decimal.Zero
s.ExchangeAssetPairStatistics = make(map[key.ExchangePairAsset]*CurrencyPairStatistic)
s.CurrencyStatistics = nil
s.TotalBuyOrders = 0
s.TotalLongOrders = 0
s.TotalShortOrders = 0
s.TotalSellOrders = 0
s.TotalOrders = 0
s.BiggestDrawdown = nil
s.BestStrategyResults = nil
s.BestMarketMovement = nil
s.WasAnyDataMissing = false
s.FundingStatistics = nil
s.FundManager = nil
s.HasCollateral = false
return nil
}
// SetEventForOffset sets up the big map for to store important data at each time interval
func (s *Statistic) SetEventForOffset(ev common.Event) error {
if ev == nil {
return common.ErrNilEvent
}
if ev.GetBase() == nil {
return fmt.Errorf("%w event base", common.ErrNilEvent)
}
ex := ev.GetExchange()
a := ev.GetAssetType()
p := ev.Pair()
if s.ExchangeAssetPairStatistics == nil {
s.ExchangeAssetPairStatistics = make(map[key.ExchangePairAsset]*CurrencyPairStatistic)
}
mapKey := key.ExchangePairAsset{
Exchange: ex,
Base: p.Base.Item,
Quote: p.Quote.Item,
Asset: a,
}
stats, ok := s.ExchangeAssetPairStatistics[mapKey]
if !ok {
stats = &CurrencyPairStatistic{
Exchange: ex,
Asset: a,
Currency: p,
UnderlyingPair: ev.GetUnderlyingPair(),
}
s.ExchangeAssetPairStatistics[mapKey] = stats
}
for i := range stats.Events {
if stats.Events[i].Offset != ev.GetOffset() {
continue
}
return applyEventAtOffset(ev, &stats.Events[i])
}
// add to events and then apply the supplied event to it
stats.Events = append(stats.Events, DataAtOffset{
Offset: ev.GetOffset(),
Time: ev.GetTime(),
})
err := applyEventAtOffset(ev, &stats.Events[len(stats.Events)-1])
if err != nil {
return err
}
return nil
}
func applyEventAtOffset(ev common.Event, data *DataAtOffset) error {
switch t := ev.(type) {
case kline.Event:
// using kline.Event as signal.Event also matches data.Event
if data.DataEvent != nil && data.DataEvent != ev {
return fmt.Errorf("kline event %w %v %v %v %v", ErrAlreadyProcessed, ev.GetExchange(), ev.GetAssetType(), ev.Pair(), ev.GetOffset())
}
data.DataEvent = t
case signal.Event:
if data.SignalEvent != nil {
return fmt.Errorf("signal event %w %v %v %v %v", ErrAlreadyProcessed, ev.GetExchange(), ev.GetAssetType(), ev.Pair(), ev.GetOffset())
}
data.SignalEvent = t
case order.Event:
if data.OrderEvent != nil {
return fmt.Errorf("order event %w %v %v %v %v", ErrAlreadyProcessed, ev.GetExchange(), ev.GetAssetType(), ev.Pair(), ev.GetOffset())
}
data.OrderEvent = t
case fill.Event:
if data.FillEvent != nil {
return fmt.Errorf("fill event %w %v %v %v %v", ErrAlreadyProcessed, ev.GetExchange(), ev.GetAssetType(), ev.Pair(), ev.GetOffset())
}
data.FillEvent = t
default:
return fmt.Errorf("unknown event type received: %v", ev)
}
data.Time = ev.GetTime()
data.ClosePrice = ev.GetClosePrice()
return nil
}
// AddHoldingsForTime adds all holdings to the statistics at the time period
func (s *Statistic) AddHoldingsForTime(h *holdings.Holding) error {
if s.ExchangeAssetPairStatistics == nil {
return errExchangeAssetPairStatsUnset
}
lookup := s.ExchangeAssetPairStatistics[key.ExchangePairAsset{
Exchange: h.Exchange,
Base: h.Pair.Base.Item,
Quote: h.Pair.Quote.Item,
Asset: h.Asset,
}]
if lookup == nil {
return fmt.Errorf("%w for %v %v %v to set holding event", errCurrencyStatisticsUnset, h.Exchange, h.Asset, h.Pair)
}
for i := len(lookup.Events) - 1; i >= 0; i-- {
if lookup.Events[i].Offset == h.Offset {
lookup.Events[i].Holdings = *h
return nil
}
}
return fmt.Errorf("%v %v %v %w %v", h.Exchange, h.Asset, h.Pair, errNoDataAtOffset, h.Offset)
}
// AddPNLForTime stores PNL data for tracking purposes
func (s *Statistic) AddPNLForTime(pnl *portfolio.PNLSummary) error {
if pnl == nil {
return fmt.Errorf("%w requires PNL", gctcommon.ErrNilPointer)
}
if s.ExchangeAssetPairStatistics == nil {
return errExchangeAssetPairStatsUnset
}
lookup := s.ExchangeAssetPairStatistics[key.ExchangePairAsset{
Exchange: pnl.Exchange,
Base: pnl.Pair.Base.Item,
Quote: pnl.Pair.Quote.Item,
Asset: pnl.Asset,
}]
if lookup == nil {
return fmt.Errorf("%w for %v %v %v to set pnl", errCurrencyStatisticsUnset, pnl.Exchange, pnl.Asset, pnl.Pair)
}
for i := len(lookup.Events) - 1; i >= 0; i-- {
if lookup.Events[i].Offset == pnl.Offset {
lookup.Events[i].PNL = pnl
lookup.Events[i].Holdings.BaseSize = pnl.Result.Exposure
return nil
}
}
return fmt.Errorf("%v %v %v %w %v", pnl.Exchange, pnl.Asset, pnl.Pair, errNoDataAtOffset, pnl.Offset)
}
// AddComplianceSnapshotForTime adds the compliance snapshot to the statistics at the time period
func (s *Statistic) AddComplianceSnapshotForTime(c *compliance.Snapshot, e common.Event) error {
if c == nil {
return fmt.Errorf("%w compliance snapshot", common.ErrNilEvent)
}
if e == nil {
return fmt.Errorf("%w fill event", common.ErrNilEvent)
}
if s.ExchangeAssetPairStatistics == nil {
return errExchangeAssetPairStatsUnset
}
exch := e.GetExchange()
a := e.GetAssetType()
p := e.Pair()
lookup := s.ExchangeAssetPairStatistics[key.ExchangePairAsset{
Exchange: exch,
Base: p.Base.Item,
Quote: p.Quote.Item,
Asset: a,
}]
if lookup == nil {
return fmt.Errorf("%w for %v %v %v to set compliance snapshot", errCurrencyStatisticsUnset, exch, a, p)
}
for i := len(lookup.Events) - 1; i >= 0; i-- {
if lookup.Events[i].Offset == e.GetOffset() {
lookup.Events[i].ComplianceSnapshot = c
return nil
}
}
return fmt.Errorf("%v %v %v %w %v", e.GetExchange(), e.GetAssetType(), e.Pair(), errNoDataAtOffset, e.GetOffset())
}
// CalculateAllResults calculates the statistics of all exchange asset pair holdings,
// orders, ratios and drawdowns
func (s *Statistic) CalculateAllResults() error {
log.Infoln(common.Statistics, "Calculating backtesting results")
s.PrintAllEventsChronologically()
currCount := 0
finalResults := make([]FinalResultsHolder, 0, len(s.ExchangeAssetPairStatistics))
var err error
for mapKey, stats := range s.ExchangeAssetPairStatistics {
currCount++
last := stats.Events[len(stats.Events)-1]
if last.PNL != nil {
s.HasCollateral = true
}
err = stats.CalculateResults(s.RiskFreeRate)
if err != nil {
log.Errorln(common.Statistics, err)
}
stats.FinalHoldings = last.Holdings
stats.InitialHoldings = stats.Events[0].Holdings
if last.ComplianceSnapshot == nil {
return errMissingSnapshots
}
stats.FinalOrders = *last.ComplianceSnapshot
s.StartDate = stats.Events[0].Time
s.EndDate = last.Time
cp := currency.NewPair(mapKey.Base.Currency(), mapKey.Quote.Currency())
err = stats.PrintResults(mapKey.Exchange, mapKey.Asset, cp, s.FundManager.IsUsingExchangeLevelFunding())
if err != nil {
return err
}
finalResults = append(finalResults, FinalResultsHolder{
Exchange: mapKey.Exchange,
Asset: mapKey.Asset,
Pair: cp,
MaxDrawdown: stats.MaxDrawdown,
MarketMovement: stats.MarketMovement,
StrategyMovement: stats.StrategyMovement,
})
if mapKey.Asset.IsFutures() {
s.TotalLongOrders += stats.BuyOrders
s.TotalShortOrders += stats.SellOrders
} else {
s.TotalBuyOrders += stats.BuyOrders
s.TotalSellOrders += stats.SellOrders
}
s.TotalOrders += stats.TotalOrders
if stats.ShowMissingDataWarning {
s.WasAnyDataMissing = true
}
}
s.FundingStatistics, err = CalculateFundingStatistics(s.FundManager, s.ExchangeAssetPairStatistics, s.RiskFreeRate, s.CandleInterval)
if err != nil {
return err
}
err = s.FundingStatistics.PrintResults(s.WasAnyDataMissing)
if err != nil {
return err
}
if currCount > 1 {
s.BiggestDrawdown = s.GetTheBiggestDrawdownAcrossCurrencies(finalResults)
s.BestMarketMovement = s.GetBestMarketPerformer(finalResults)
s.BestStrategyResults = s.GetBestStrategyPerformer(finalResults)
s.PrintTotalResults()
}
return nil
}
// GetBestMarketPerformer returns the best final market movement
func (s *Statistic) GetBestMarketPerformer(results []FinalResultsHolder) *FinalResultsHolder {
var result FinalResultsHolder
for i := range results {
if results[i].MarketMovement.GreaterThan(result.MarketMovement) || result.MarketMovement.IsZero() {
result = results[i]
}
}
return &result
}
// GetBestStrategyPerformer returns the best performing strategy result
func (s *Statistic) GetBestStrategyPerformer(results []FinalResultsHolder) *FinalResultsHolder {
result := &FinalResultsHolder{}
for i := range results {
if results[i].StrategyMovement.GreaterThan(result.StrategyMovement) || result.StrategyMovement.IsZero() {
result = &results[i]
}
}
return result
}
// GetTheBiggestDrawdownAcrossCurrencies returns the biggest drawdown across all currencies in a backtesting run
func (s *Statistic) GetTheBiggestDrawdownAcrossCurrencies(results []FinalResultsHolder) *FinalResultsHolder {
result := &FinalResultsHolder{}
for i := range results {
if results[i].MaxDrawdown.DrawdownPercent.GreaterThan(result.MaxDrawdown.DrawdownPercent) || result.MaxDrawdown.DrawdownPercent.IsZero() {
result = &results[i]
}
}
return result
}
func addEventOutputToTime(events []eventOutputHolder, t time.Time, message string) []eventOutputHolder {
for i := range events {
if events[i].Time.Equal(t) {
events[i].Events = append(events[i].Events, message)
return events
}
}
events = append(events, eventOutputHolder{Time: t, Events: []string{message}})
return events
}
// SetStrategyName sets the name for statistical identification
func (s *Statistic) SetStrategyName(name string) {
s.StrategyName = name
}
// Serialise outputs the Statistic struct in json
func (s *Statistic) Serialise() (string, error) {
s.CurrencyStatistics = nil
for _, stats := range s.ExchangeAssetPairStatistics {
s.CurrencyStatistics = append(s.CurrencyStatistics, stats)
}
resp, err := json.MarshalIndent(s, "", " ")
if err != nil {
return "", err
}
return string(resp), nil
}