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format strategy results #26

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merged 3 commits into from
Jun 10, 2022
Merged

format strategy results #26

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8064ff8
format strategy results
avsek477 Jun 10, 2022
498ef79
strategy package fork
avsek477 Jun 10, 2022
fbddc32
update version
tferraz-bitfinex Jun 10, 2022
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89 changes: 2 additions & 87 deletions index.js
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Original file line number Diff line number Diff line change
@@ -1,25 +1,19 @@
'use strict'

const { std } = require('mathjs')
const _sum = require('lodash/sum')
const _min = require('lodash/min')
const _max = require('lodash/max')
const _isNil = require('lodash/isNil')
const _isEmpty = require('lodash/isEmpty')
const _reverse = require('lodash/reverse')
const _isFunction = require('lodash/isFunction')
const _isPlainObject = require('lodash/isPlainObject')

const { candleWidth } = require('bfx-hf-util')
const { subscribe } = require('bfx-api-node-core')
const { padCandles } = require('bfx-api-node-util')
const PromiseThrottle = require('promise-throttle')
const debug = require('debug')('bfx:hf:strategy-exec')

const {
onSeedCandle, onCandle, onTrade, closeOpenPositions,
getPosition, positionPl
} = require('bfx-hf-strategy')
const _generateStrategyResults = require('bfx-hf-strategy/lib/util/generate_strategy_results')

const EventEmitter = require('events')

Expand Down Expand Up @@ -332,86 +326,7 @@ class LiveStrategyExecution extends EventEmitter {
* @returns {object}
*/
generateResults (openPosition = null) {
const { symbol, timeframe } = this.strategyOptions
const { trades: strategyTrades = [], marketData = {} } = this.strategyState

if (_isPlainObject(openPosition)) {
const openOrder = strategyTrades.find(st => st.position_id === openPosition.id)
if (openOrder) {
openOrder.pl = openPosition.pl
}
}

const candles = marketData[`candles-${symbol}-${timeframe}`] || []
const trades = marketData[`trades-${symbol}`] || []

const nCandles = candles.length
const nTrades = trades.length

const nStrategyTrades = strategyTrades.length
const pls = strategyTrades.map(t => t.pl)
const gains = pls.filter(pl => pl > 0)
const losses = pls.filter(pl => pl < 0)
const nOpens = pls.filter(pl => pl === 0).length
const vol = _sum(strategyTrades.map(t => Math.abs(t.price * t.amount)))
const fees = _sum(strategyTrades.map(t => t.fee))
const totalGain = _sum(gains)
const totalLoss = _sum(losses)
const pf = totalGain / Math.abs(totalLoss)
const pl = _sum(pls)
const minPL = _min(pls)
const maxPL = _max(pls)
const accumulatedPLs = strategyTrades.map(x => x.pl)
const stdDeviation = std(accumulatedPLs.length > 0 ? accumulatedPLs : [0])
const avgPL = _sum(accumulatedPLs) / accumulatedPLs.length
const allocation = this.perfManager.allocation
const positionSize = this.perfManager.positionSize()
const currentAllocation = this.perfManager.currentAllocation()
const availableFunds = this.perfManager.availableFunds
const equityCurve = this.perfManager.equityCurve()
const ret = this.perfManager.return()
const retPerc = this.perfManager.returnPerc()
const drawdown = this.perfManager.drawdown()

return {
vol,
fees,
candles,
trades: trades.map(t => ({
...t,
date: new Date(t.mts)
})),

nTrades,
nCandles,
nStrategyTrades,
nOpens,
nGains: gains.length,
nLosses: losses.length,

stdDeviation,
pl,
pf: isNaN(pf) ? 0 : pf,
avgPL: isNaN(avgPL) ? 0 : avgPL,
minPL: _isNil(minPL) ? 0 : minPL,
maxPL: _isNil(maxPL) ? 0 : maxPL,

allocation,
positionSize,
currentAllocation,
availableFunds,
equityCurve,
return: ret,
returnPerc: retPerc,
drawdown,

strategy: {
trades: strategyTrades.map(t => ({
...t,
date: new Date(t.mts)
}))
}
}
return _generateStrategyResults(this.perfManager, this.strategyState, openPosition)
}
}

Expand Down
3 changes: 1 addition & 2 deletions package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -37,11 +37,10 @@
"dependencies": {
"bfx-api-node-core": "^1.5.8",
"bfx-api-node-util": "^1.0.2",
"bfx-hf-strategy": "git+https://github.com/bitfinexcom/bfx-hf-strategy.git#v1.3.0",
"bfx-hf-strategy": "git+https://github.com/avsek477/bfx-hf-strategy.git#generate-strategy-results",
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"bfx-hf-util": "git+https://github.com/bitfinexcom/bfx-hf-util.git#v1.0.12",
"debug": "^4.3.3",
"lodash": "^4.17.10",
"mathjs": "^10.1.0",
"promise-throttle": "^1.0.0"
},
"devDependencies": {
Expand Down