feature: add plot for series. add autocorrelation. add clone for indi…

…cators/series
wayhome · Jul 26, 2022 · c51a994 · c51a994
1 parent 69b45e9
commit c51a994
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Showing 18 changed files with 359 additions and 53 deletions.
diff --git a/config/drift.yaml b/config/drift.yaml
@@ -14,23 +14,24 @@ exchangeStrategies:
     # kline interval for indicators
     interval: 15m
     window: 3
-    exits:
-    - roiStopLoss:
-       percentage: 0.8%
-    - roiTakeProfit:
-       percentage: 35%
-    - protectiveStopLoss:
-       activationRatio: 0.6%
-       stopLossRatio: 0.1%
-       placeStopOrder: false
-    - protectiveStopLoss:
-       activationRatio: 5%
-       stopLossRatio: 1%
-       placeStopOrder: false
-    - cumulatedVolumeTakeProfit:
-       interval: 5m
-       window: 2
-       minQuoteVolume: 200_000_000
+    stoploss: 2%
+    #exits:
+    #- roiStopLoss:
+    #   percentage: 0.8%
+    #- roiTakeProfit:
+    #   percentage: 35%
+    #- protectiveStopLoss:
+    #   activationRatio: 0.6%
+    #   stopLossRatio: 0.1%
+    #   placeStopOrder: false
+    #- protectiveStopLoss:
+    #   activationRatio: 5%
+    #   stopLossRatio: 1%
+    #   placeStopOrder: false
+    #- cumulatedVolumeTakeProfit:
+    #   interval: 5m
+    #   window: 2
+    #   minQuoteVolume: 200_000_000
     #- protectiveStopLoss:
     #    activationRatio: 2%
     #    stopLossRatio: 1%
@@ -53,8 +54,8 @@ backtest:
   sessions: [binance]
   accounts:
     binance:
-      #makerFeeRate: 0
-      #takerFeeRate: 0
+      #makerFeeRate: 0.00001
+      #takerFeeRate: 0.00001
       balances:
-        ETH: 0.0
+        ETH: 10.0
         USDT: 5000.0
diff --git a/go.mod b/go.mod
@@ -2,7 +2,7 @@
 
 module github.com/c9s/bbgo
 
-go 1.17
+go 1.18
 
 require (
 	github.com/DATA-DOG/go-sqlmock v1.5.0
@@ -43,6 +43,7 @@ require (
 	github.com/spf13/viper v1.7.1
 	github.com/stretchr/testify v1.7.0
 	github.com/valyala/fastjson v1.5.1
+	github.com/wcharczuk/go-chart/v2 v2.1.0
 	github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90
 	github.com/x-cray/logrus-prefixed-formatter v0.5.2
 	github.com/zserge/lorca v0.1.9
@@ -75,6 +76,7 @@ require (
 	github.com/go-test/deep v1.0.6 // indirect
 	github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 // indirect
 	github.com/golang-sql/sqlexp v0.1.0 // indirect
+	github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 // indirect
 	github.com/golang/mock v1.6.0 // indirect
 	github.com/golang/protobuf v1.5.2 // indirect
 	github.com/hashicorp/hcl v1.0.0 // indirect
@@ -117,6 +119,7 @@ require (
 	go.opentelemetry.io/otel/trace v0.19.0 // indirect
 	go.uber.org/atomic v1.9.0 // indirect
 	golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e // indirect
+	golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 // indirect
 	golang.org/x/mod v0.5.1 // indirect
 	golang.org/x/net v0.0.0-20220403103023-749bd193bc2b // indirect
 	golang.org/x/sys v0.0.0-20220615213510-4f61da869c0c // indirect

diff --git a/go.sum b/go.sum
@@ -182,6 +182,7 @@ github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0kt
 github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0=
 github.com/golang-sql/sqlexp v0.1.0 h1:ZCD6MBpcuOVfGVqsEmY5/4FtYiKz6tSyUv9LPEDei6A=
 github.com/golang-sql/sqlexp v0.1.0/go.mod h1:J4ad9Vo8ZCWQ2GMrC4UCQy1JpCbwU9m3EOqtpKwwwHI=
+github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0 h1:DACJavvAHhabrF08vX0COfcOBJRhZ8lUbR+ZWIs0Y5g=
 github.com/golang/freetype v0.0.0-20170609003504-e2365dfdc4a0/go.mod h1:E/TSTwGwJL78qG/PmXZO1EjYhfJinVAhrmmHX6Z8B9k=
 github.com/golang/glog v0.0.0-20160126235308-23def4e6c14b/go.mod h1:SBH7ygxi8pfUlaOkMMuAQtPIUF8ecWP5IEl/CR7VP2Q=
 github.com/golang/groupcache v0.0.0-20190129154638-5b532d6fd5ef/go.mod h1:cIg4eruTrX1D+g88fzRXU5OdNfaM+9IcxsU14FzY7Hc=
@@ -516,6 +517,7 @@ github.com/ugorji/go/codec v1.2.3 h1:/mVYEV+Jo3IZKeA5gBngN0AvNnQltEDkR+eQikkWQu0
 github.com/ugorji/go/codec v1.2.3/go.mod h1:5FxzDJIgeiWJZslYHPj+LS1dq1ZBQVelZFnjsFGI/Uc=
 github.com/valyala/fastjson v1.5.1 h1:SXaQZVSwLjZOVhDEhjiCcDtnX0Feu7Z7A1+C5atpoHM=
 github.com/valyala/fastjson v1.5.1/go.mod h1:CLCAqky6SMuOcxStkYQvblddUtoRxhYMGLrsQns1aXY=
+github.com/wcharczuk/go-chart/v2 v2.1.0 h1:tY2slqVQ6bN+yHSnDYwZebLQFkphK4WNrVwnt7CJZ2I=
 github.com/wcharczuk/go-chart/v2 v2.1.0/go.mod h1:yx7MvAVNcP/kN9lKXM/NTce4au4DFN99j6i1OwDclNA=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90 h1:G/O1RFjhc9hgVYjaPQ0Oceqxf3GwRQl/5XEAWYetjmg=
 github.com/webview/webview v0.0.0-20210216142346-e0bfdf0e5d90/go.mod h1:rpXAuuHgyEJb6kXcXldlkOjU6y4x+YcASKKXJNUhh0Y=
@@ -584,6 +586,7 @@ golang.org/x/exp v0.0.0-20200224162631-6cc2880d07d6/go.mod h1:3jZMyOhIsHpP37uCMk
 golang.org/x/image v0.0.0-20180708004352-c73c2afc3b81/go.mod h1:ux5Hcp/YLpHSI86hEcLt0YII63i6oz57MZXIpbrjZUs=
 golang.org/x/image v0.0.0-20190227222117-0694c2d4d067/go.mod h1:kZ7UVZpmo3dzQBMxlp+ypCbDeSB+sBbTgSJuh5dn5js=
 golang.org/x/image v0.0.0-20190802002840-cff245a6509b/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
+golang.org/x/image v0.0.0-20200927104501-e162460cd6b5 h1:QelT11PB4FXiDEXucrfNckHoFxwt8USGY1ajP1ZF5lM=
 golang.org/x/image v0.0.0-20200927104501-e162460cd6b5/go.mod h1:FeLwcggjj3mMvU+oOTbSwawSJRM1uh48EjtB4UJZlP0=
 golang.org/x/lint v0.0.0-20181026193005-c67002cb31c3/go.mod h1:UVdnD1Gm6xHRNCYTkRU2/jEulfH38KcIWyp/GAMgvoE=
 golang.org/x/lint v0.0.0-20190227174305-5b3e6a55c961/go.mod h1:wehouNa3lNwaWXcvxsM5YxQ5yQlVC4a0KAMCusXpPoU=

diff --git a/pkg/indicator/atr.go b/pkg/indicator/atr.go
@@ -22,6 +22,24 @@ type ATR struct {
 
 var _ types.SeriesExtend = &ATR{}
 
+func (inc *ATR) Clone() *ATR {
+	out := &ATR{
+		IntervalWindow:       inc.IntervalWindow,
+		PercentageVolatility: inc.PercentageVolatility[:],
+		PreviousClose:        inc.PreviousClose,
+		RMA:                  inc.RMA.Clone().(*RMA),
+		EndTime:              inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
+	c := inc.Clone()
+	c.Update(high, low, cloze)
+	return c
+}
+
 func (inc *ATR) Update(high, low, cloze float64) {
 	if inc.Window <= 0 {
 		panic("window must be greater than 0")

diff --git a/pkg/indicator/cci.go b/pkg/indicator/cci.go
@@ -78,7 +78,6 @@ func (inc *CCI) Length() int {
 
 var _ types.SeriesExtend = &CCI{}
 
-
 func (inc *CCI) PushK(k types.KLine) {
 	inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
 }

diff --git a/pkg/indicator/const.go b/pkg/indicator/const.go
@@ -9,4 +9,3 @@ import (
 var three = fixedpoint.NewFromInt(3)
 
 var zeroTime = time.Time{}
-
diff --git a/pkg/indicator/dema.go b/pkg/indicator/dema.go
@@ -18,6 +18,23 @@ type DEMA struct {
 	UpdateCallbacks []func(value float64)
 }
 
+func (inc *DEMA) Clone() *DEMA {
+	out := &DEMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		a1:             inc.a1.Clone(),
+		a2:             inc.a2.Clone(),
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *DEMA) TestUpdate(value float64) *DEMA {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *DEMA) Update(value float64) {
 	if len(inc.Values) == 0 {
 		inc.SeriesBase.Series = inc

diff --git a/pkg/indicator/drift.go b/pkg/indicator/drift.go
@@ -45,6 +45,24 @@ func (inc *Drift) Update(value float64) {
 	}
 }
 
+func (inc *Drift) Clone() (out *Drift) {
+	out = &Drift{
+		IntervalWindow: inc.IntervalWindow,
+		chng:           inc.chng.Clone(),
+		Values:         inc.Values[:],
+		SMA:            inc.SMA.Clone().(*SMA),
+		LastValue:      inc.LastValue,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *Drift) TestUpdate(value float64) *Drift {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *Drift) Index(i int) float64 {
 	if inc.Values == nil {
 		return 0

diff --git a/pkg/indicator/ewma.go b/pkg/indicator/ewma.go
@@ -23,6 +23,22 @@ type EWMA struct {
 
 var _ types.SeriesExtend = &EWMA{}
 
+func (inc *EWMA) Clone() *EWMA {
+	out := &EWMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		LastOpenTime:   inc.LastOpenTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
+func (inc *EWMA) TestUpdate(value float64) *EWMA {
+	out := inc.Clone()
+	out.Update(value)
+	return out
+}
+
 func (inc *EWMA) Update(value float64) {
 	var multiplier = 2.0 / float64(1+inc.Window)
 

diff --git a/pkg/indicator/rma.go b/pkg/indicator/rma.go
@@ -25,6 +25,20 @@ type RMA struct {
 	updateCallbacks []func(value float64)
 }
 
+func (inc *RMA) Clone() types.UpdatableSeriesExtend {
+	out := &RMA{
+		IntervalWindow: inc.IntervalWindow,
+		Values:         inc.Values[:],
+		counter:        inc.counter,
+		Adjust:         inc.Adjust,
+		tmp:            inc.tmp,
+		sum:            inc.sum,
+		EndTime:        inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
 func (inc *RMA) Update(x float64) {
 	lambda := 1 / float64(inc.Window)
 	if inc.counter == 0 {

diff --git a/pkg/indicator/sma.go b/pkg/indicator/sma.go
@@ -40,6 +40,16 @@ func (inc *SMA) Length() int {
 	return inc.Values.Length()
 }
 
+func (inc *SMA) Clone() types.UpdatableSeriesExtend {
+	out := &SMA{
+		Values:    inc.Values[:],
+		rawValues: types.Clone(inc.rawValues).(*types.Queue),
+		EndTime:   inc.EndTime,
+	}
+	out.SeriesBase.Series = out
+	return out
+}
+
 var _ types.SeriesExtend = &SMA{}
 
 func (inc *SMA) Update(value float64) {

diff --git a/pkg/indicator/util.go b/pkg/indicator/util.go
@@ -1,2 +1 @@
 package indicator
-