feature: export drift1m, remove take profit, add profit report for li…

…sting pnl by date

config/drift.yaml

@@ -31,25 +31,25 @@ exchangeStrategies:
     stoploss: 0.3%
     source: close
     predictOffset: 2
-    # the init value of takeProfitFactor Series, position avg +- takeProfitFactor * atr as take profit price
-    takeProfitFactor: 6
-    profitFactorWindow: 8
     noTrailingStopLoss: false
     trailingStopLossType: kline
     # stddev on high/low-source
     hlVarianceMultiplier: 0.23
     hlRangeWindow: 5
+    window1m: 24
+    smootherWindow1m: 24
+    fisherTransformWindow1m: 162
     smootherWindow: 1
     fisherTransformWindow: 9
     atrWindow: 14
     # orders not been traded will be canceled after `pendingMinutes` minutes
-    pendingMinutes: 4
+    pendingMinutes: 3
     noRebalance: true
     trendWindow: 12
     rebalanceFilter: 1.5
 
-    trailingActivationRatio: [0.008, 0.015]
-    trailingCallbackRate: [0.002, 0.001]
+    trailingActivationRatio: [0.004]
+    trailingCallbackRate: [0.001]
 
     generateGraph: true
     graphPNLDeductFee: true
@@ -88,7 +88,7 @@ sync:
 
 backtest:
   startTime: "2022-01-01"
-  endTime: "2022-07-30"
+  endTime: "2022-08-30"
   symbols:
     - ETHBUSD
   sessions: [binance]

config/driftBTC.yaml

@@ -38,6 +38,9 @@ exchangeStrategies:
     hlRangeWindow: 5
     smootherWindow: 1
     fisherTransformWindow: 9
+    window1m: 28
+    smootherWindow1m: 14
+    fisherTransformWindow1m: 162
     # the init value of takeProfitFactor Series, the coefficient of ATR as TP
     takeProfitFactor: 4
     profitFactorWindow: 5
@@ -51,11 +54,11 @@ exchangeStrategies:
     # ActivationRatio should be increasing order
     # when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
     #trailingActivationRatio: [0.007, 0.011, 0.02, 0.05]
-    trailingActivationRatio: [0.001, 0.002, 0.004] 
+    trailingActivationRatio: [0.002, 0.02, 0.04] 
     #trailingActivationRatio: []
     #trailingCallbackRate: []
     #trailingCallbackRate: [0.002, 0.001, 0.002, 0.001]
-    trailingCallbackRate: [0.0005, 0.0008, 0.002]
+    trailingCallbackRate: [0.0005, 0.001, 0.003]
 
     generateGraph: true
     graphPNLDeductFee: false
@@ -128,5 +131,5 @@ backtest:
       makerFeeRate: 0.000
       #takerFeeRate: 0.000
       balances:
-        BTC: 1
-        USDT: 5000
+        BTC: 0
+        USDT: 21

go.mod

@@ -25,6 +25,7 @@ require (
 	github.com/golang/mock v1.6.0
 	github.com/google/uuid v1.3.0
 	github.com/gorilla/websocket v1.5.0
+	github.com/jedib0t/go-pretty/v6 v6.3.6
 	github.com/jmoiron/sqlx v1.3.4
 	github.com/joho/godotenv v1.3.0
 	github.com/leekchan/accounting v0.0.0-20191218023648-17a4ce5f94d4
@@ -83,7 +84,6 @@ require (
 	github.com/golang/protobuf v1.5.2 // indirect
 	github.com/hashicorp/hcl v1.0.0 // indirect
 	github.com/inconshreveable/mousetrap v1.0.0 // indirect
-	github.com/jedib0t/go-pretty/v6 v6.3.6 // indirect
 	github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 // indirect
 	github.com/json-iterator/go v1.1.11 // indirect
 	github.com/lann/builder v0.0.0-20180802200727-47ae307949d0 // indirect

go.sum

@@ -81,7 +81,6 @@ github.com/c9s/requestgen v1.3.0/go.mod h1:5n9FU3hr5307IiXAmbMiZbHYaPiys1u9jCWYe
 github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b h1:wT8c03PHLv7+nZUIGqxAzRvIfYHNxMCNVWwvdGkOXTs=
 github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b/go.mod h1:EKObf66Cp7erWxym2de+07qNN5T1N9PXxHdh97N44EQ=
 github.com/census-instrumentation/opencensus-proto v0.2.1/go.mod h1:f6KPmirojxKA12rnyqOA5BBL4O983OfeGPqjHWSTneU=
-github.com/cespare/xxhash v1.1.0 h1:a6HrQnmkObjyL+Gs60czilIUGqrzKutQD6XZog3p+ko=
 github.com/cespare/xxhash v1.1.0/go.mod h1:XrSqR1VqqWfGrhpAt58auRo0WTKS1nRRg3ghfAqPWnc=
 github.com/cespare/xxhash/v2 v2.1.1/go.mod h1:VGX0DQ3Q6kWi7AoAeZDth3/j3BFtOZR5XLFGgcrjCOs=
 github.com/cespare/xxhash/v2 v2.1.2 h1:YRXhKfTDauu4ajMg1TPgFO5jnlC2HCbmLXMcTG5cbYE=
@@ -149,7 +148,6 @@ github.com/fatih/color v1.7.0/go.mod h1:Zm6kSWBoL9eyXnKyktHP6abPY2pDugNf5Kwzbycv
 github.com/fatih/color v1.10.0/go.mod h1:ELkj/draVOlAH/xkhN6mQ50Qd0MPOk5AAr3maGEBuJM=
 github.com/fatih/color v1.13.0 h1:8LOYc1KYPPmyKMuN8QV2DNRWNbLo6LZ0iLs8+mlH53w=
 github.com/fatih/color v1.13.0/go.mod h1:kLAiJbzzSOZDVNGyDpeOxJ47H46qBXwg5ILebYFFOfk=
-github.com/fatih/structtag v1.2.0/go.mod h1:mBJUNpUnHmRKrKlQQlmCrh5PuhftFbNv8Ys4/aAZl94=
 github.com/fogleman/gg v1.2.1-0.20190220221249-0403632d5b90/go.mod h1:R/bRT+9gY/C5z7JzPU0zXsXHKM4/ayA+zqcVNZzPa1k=
 github.com/fsnotify/fsnotify v1.4.7/go.mod h1:jwhsz4b93w/PPRr/qN1Yymfu8t87LnFCMoQvtojpjFo=
 github.com/fsnotify/fsnotify v1.4.9 h1:hsms1Qyu0jgnwNXIxa+/V/PDsU6CfLf6CNO8H7IWoS4=
@@ -441,7 +439,6 @@ github.com/mattn/go-isatty v0.0.12/go.mod h1:cbi8OIDigv2wuxKPP5vlRcQ1OAZbq2CE4Ky
 github.com/mattn/go-isatty v0.0.14 h1:yVuAays6BHfxijgZPzw+3Zlu5yQgKGP2/hcQbHb7S9Y=
 github.com/mattn/go-isatty v0.0.14/go.mod h1:7GGIvUiUoEMVVmxf/4nioHXj79iQHKdU27kJ6hsGG94=
 github.com/mattn/go-runewidth v0.0.4/go.mod h1:LwmH8dsx7+W8Uxz3IHJYH5QSwggIsqBzpuz5H//U1FU=
-github.com/mattn/go-runewidth v0.0.12 h1:Y41i/hVW3Pgwr8gV+J23B9YEY0zxjptBuCWEaxmAOow=
 github.com/mattn/go-runewidth v0.0.12/go.mod h1:RAqKPSqVFrSLVXbA8x7dzmKdmGzieGRCM46jaSJTDAk=
 github.com/mattn/go-runewidth v0.0.13 h1:lTGmDsbAYt5DmK6OnoV7EuIF1wEIFAcxld6ypU4OSgU=
 github.com/mattn/go-runewidth v0.0.13/go.mod h1:Jdepj2loyihRzMpdS35Xk/zdY8IAYHsh153qUoGf23w=
@@ -603,6 +600,7 @@ github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+
 github.com/stretchr/objx v0.1.1/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME=
 github.com/stretchr/objx v0.2.0 h1:Hbg2NidpLE8veEBkEZTL3CvlkUIVzuU9jDplZO54c48=
 github.com/stretchr/objx v0.2.0/go.mod h1:qt09Ya8vawLte6SNmTgCsAVtYtaKzEcn8ATUoHMkEqE=
+github.com/stretchr/objx v0.4.0 h1:M2gUjqZET1qApGOWNSnZ49BAIMX4F/1plDv3+l31EJ4=
 github.com/stretchr/objx v0.4.0/go.mod h1:YvHI0jy2hoMjB+UWwv71VJQ9isScKT/TqJzVSSt89Yw=
 github.com/stretchr/testify v1.1.4/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.0/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
@@ -611,7 +609,6 @@ github.com/stretchr/testify v1.3.0/go.mod h1:M5WIy9Dh21IEIfnGCwXGc5bZfKNJtfHm1UV
 github.com/stretchr/testify v1.4.0/go.mod h1:j7eGeouHqKxXV5pUuKE4zz7dFj8WfuZ+81PSLYec5m4=
 github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5cxcmMvtA=
 github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
-github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5CcY=
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/stretchr/testify v1.7.4 h1:wZRexSlwd7ZXfKINDLsO4r7WBt3gTKONc6K/VesHvHM=
@@ -622,7 +619,6 @@ github.com/tebeka/strftime v0.1.3 h1:5HQXOqWKYRFfNyBMNVc9z5+QzuBtIXy03psIhtdJYto
 github.com/tebeka/strftime v0.1.3/go.mod h1:7wJm3dZlpr4l/oVK0t1HYIc4rMzQ2XJlOMIUJUJH6XQ=
 github.com/tmc/grpc-websocket-proxy v0.0.0-20190109142713-0ad062ec5ee5/go.mod h1:ncp9v5uamzpCO7NfCPTXjqaC+bZgJeR0sMTm6dMHP7U=
 github.com/ugorji/go v1.1.7/go.mod h1:kZn38zHttfInRq0xu/PH0az30d+z6vm202qpg1oXVMw=
-github.com/ugorji/go v1.2.3 h1:WbFSXLxDFKVN69Sk8t+XHGzVCD7R8UoAATR8NqZgTbk=
 github.com/ugorji/go v1.2.3/go.mod h1:5l8GZ8hZvmL4uMdy+mhCO1LjswGRYco9Q3HfuisB21A=
 github.com/ugorji/go/codec v1.1.7/go.mod h1:Ax+UKWsSmolVDwsd+7N3ZtXu+yMGCf907BLYF3GoBXY=
 github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0=
@@ -642,7 +638,6 @@ github.com/yuin/goldmark v1.1.27/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9de
 github.com/yuin/goldmark v1.1.32/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
 github.com/yuin/goldmark v1.2.1/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74=
 github.com/yuin/goldmark v1.3.5/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k=
-github.com/yuin/goldmark v1.4.1/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k=
 github.com/zenazn/goji v0.9.0/go.mod h1:7S9M489iMyHBNxwZnk9/EHS098H4/F6TATF2mIxtB1Q=
 github.com/ziutek/mymysql v1.5.4 h1:GB0qdRGsTwQSBVYuVShFBKaXSnSnYYC2d9knnE1LHFs=
 github.com/ziutek/mymysql v1.5.4/go.mod h1:LMSpPZ6DbqWFxNCHW77HeMg9I646SAhApZ/wKdgO/C0=
@@ -775,8 +770,6 @@ golang.org/x/net v0.0.0-20210405180319-a5a99cb37ef4/go.mod h1:p54w0d4576C0XHj96b
 golang.org/x/net v0.0.0-20210428140749-89ef3d95e781/go.mod h1:OJAsFXCWl8Ukc7SiCT/9KSuxbyM7479/AVlXFRxuMCk=
 golang.org/x/net v0.0.0-20210525063256-abc453219eb5/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
 golang.org/x/net v0.0.0-20210610132358-84b48f89b13b/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
-golang.org/x/net v0.0.0-20211015210444-4f30a5c0130f/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
-golang.org/x/net v0.0.0-20211112202133-69e39bad7dc2/go.mod h1:9nx3DQGgdP8bBQD5qxJ1jj9UTztislL4KSBs9R2vV5Y=
 golang.org/x/net v0.0.0-20220225172249-27dd8689420f/go.mod h1:CfG3xpIq0wQ8r1q4Su4UZFWDARRcnwPjda9FqA0JpMk=
 golang.org/x/net v0.0.0-20220403103023-749bd193bc2b h1:vI32FkLJNAWtGD4BwkThwEy6XS7ZLLMHkSkYfF8M0W0=
 golang.org/x/net v0.0.0-20220403103023-749bd193bc2b/go.mod h1:CfG3xpIq0wQ8r1q4Su4UZFWDARRcnwPjda9FqA0JpMk=
@@ -855,7 +848,6 @@ golang.org/x/sys v0.0.0-20210510120138-977fb7262007/go.mod h1:oPkhp1MJrh7nUepCBc
 golang.org/x/sys v0.0.0-20210603081109-ebe580a85c40/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20210630005230-0f9fa26af87c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
-golang.org/x/sys v0.0.0-20211019181941-9d821ace8654/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20211216021012-1d35b9e2eb4e/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
 golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c h1:aFV+BgZ4svzjfabn8ERpuB4JI4N6/rdy1iusx77G3oU=
 golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
@@ -928,7 +920,6 @@ golang.org/x/tools v0.0.0-20200804011535-6c149bb5ef0d/go.mod h1:njjCfa9FT2d7l9Bc
 golang.org/x/tools v0.0.0-20200825202427-b303f430e36d/go.mod h1:njjCfa9FT2d7l9Bc6FUM5FLjQPp3cFF28FI3qnDFljA=
 golang.org/x/tools v0.0.0-20201224043029-2b0845dc783e/go.mod h1:emZCQorbCU4vsT4fOWvOPXz4eW1wZW4PmDk9uLelYpA=
 golang.org/x/tools v0.1.1/go.mod h1:o0xws9oXOQQZyjljx8fwUC0k7L1pTE6eaCbjGeHmOkk=
-golang.org/x/tools v0.1.8/go.mod h1:nABZi5QlRsZVlzPpHl034qft6wpY4eDcsTt5AaioBiU=
 golang.org/x/tools v0.1.9 h1:j9KsMiaP1c3B0OTQGth0/k+miLGTgLsAFUCrF2vLcF8=
 golang.org/x/tools v0.1.9/go.mod h1:nABZi5QlRsZVlzPpHl034qft6wpY4eDcsTt5AaioBiU=
 golang.org/x/xerrors v0.0.0-20190410155217-1f06c39b4373/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=

pkg/indicator/fisher.go

@@ -34,6 +34,10 @@ func (inc *FisherTransform) Update(value float64) {
 	inc.prices.Update(value)
 	highest := inc.prices.Highest(inc.Window)
 	lowest := inc.prices.Lowest(inc.Window)
+	if highest == lowest {
+		inc.Values.Update(0)
+		return
+	}
 	x := 2*((value-lowest)/(highest-lowest)) - 1
 	if x == 1 {
 		x = 0.9999

pkg/strategy/drift/output.go

@@ -43,6 +43,7 @@ func (s *Strategy) ParamDump(f io.Writer, seriesLength ...int) {
 		}
 		fieldName := t.Name
 		typeName := field.Type().String()
+		log.Infof("fieldName %s typeName %s", fieldName, typeName)
 		value := reflect.NewAt(field.Type(), unsafe.Pointer(field.UnsafeAddr())).Elem()
 		isSeries := true
 		lastFunc := value.MethodByName("Last")
@@ -82,7 +83,7 @@ func (s *Strategy) ParamDump(f io.Writer, seriesLength ...int) {
 			fmt.Fprintf(f, "%s: %v", fieldName, field.Interface())
 		} else if field.Type().Kind() == reflect.Map {
 			fmt.Fprintf(f, "%s: {", fieldName)
-			iter := field.MapRange()
+			iter := value.MapRange()
 			for iter.Next() {
 				k := iter.Key().Interface()
 				v := iter.Value().Interface()
@@ -203,10 +204,7 @@ func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) {
 		}
 	}
 	if pretty {
-		rows = append(rows, table.Row{"takeProfitFactor(last)", "takeProfitFactor", "float64", s.takeProfitFactor.Last()})
 		t.AppendRows(rows)
 		t.Render()
-	} else {
-		hiyellow(f, "takeProfitFactor(last): %f\n", s.takeProfitFactor.Last())
 	}
 }