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Francois Klieber committed
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const _ = require('lodash');
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const moment = require('moment');
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const statslite = require('stats-lite');
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const util = require('../../core/util');
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const log = require(util.dirs().core + 'log')
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const ENV = util.gekkoEnv();
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const config = util.getConfig();
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const perfConfig = config.performanceAnalyzer;
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const watchConfig = config.watch;
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const Logger = require('./logger');
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const PerformanceAnalyzer = function() {
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_.bindAll(this);
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this.dates = {
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start: false,
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end: false
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}
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this.startPrice = 0;
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this.endPrice = 0;
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this.currency = watchConfig.currency;
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this.asset = watchConfig.asset;
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this.logger = new Logger(watchConfig);
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this.trades = 0;
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this.exposure = 0;
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this.roundTrips = [];
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this.losses = [];
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this.roundTrip = {
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id: 0,
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entry: false,
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exit: false
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}
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this.portfolio = {};
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this.balance;
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this.start = {};
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this.openRoundTrip = false;
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this.warmupCompleted = false;
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}
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PerformanceAnalyzer.prototype.processPortfolioValueChange = function(event) {
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if(!this.start.balance) {
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this.start.balance = event.balance;
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}
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this.balance = event.balance;
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}
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PerformanceAnalyzer.prototype.processPortfolioChange = function(event) {
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if(!this.start.portfolio) {
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this.start.portfolio = event;
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}
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}
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PerformanceAnalyzer.prototype.processStratWarmupCompleted = function() {
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this.warmupCompleted = true;
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this.processCandle(this.warmupCandle, _.noop);
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}
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PerformanceAnalyzer.prototype.processCandle = function(candle, done) {
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if(!this.warmupCompleted) {
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this.warmupCandle = candle;
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return done();
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}
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this.price = candle.close;
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this.dates.end = candle.start.clone().add(1, 'minute');
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if(!this.dates.start) {
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this.dates.start = candle.start;
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this.startPrice = candle.close;
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}
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this.endPrice = candle.close;
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if(this.openRoundTrip) {
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this.emitRoundtripUpdate();
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}
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done();
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}
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PerformanceAnalyzer.prototype.emitRoundtripUpdate = function() {
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const uPnl = this.price - this.roundTrip.entry.price;
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this.deferredEmit('roundtripUpdate', {
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at: this.dates.end,
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duration: this.dates.end.diff(this.roundTrip.entry.date),
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uPnl,
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uProfit: uPnl / this.roundTrip.entry.total * 100
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})
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}
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PerformanceAnalyzer.prototype.processTradeCompleted = function(trade) {
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this.trades++;
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this.portfolio = trade.portfolio;
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this.balance = trade.balance;
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this.registerRoundtripPart(trade);
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const report = this.calculateReportStatistics();
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if(report) {
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this.logger.handleTrade(trade, report);
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this.deferredEmit('performanceReport', report);
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}
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}
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PerformanceAnalyzer.prototype.registerRoundtripPart = function(trade) {
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if(this.trades === 1 && trade.action === 'sell') {
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// this is not part of a valid roundtrip
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return;
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}
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if(trade.action === 'buy') {
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if (this.roundTrip.exit) {
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this.roundTrip.id++;
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this.roundTrip.exit = false
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}
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this.roundTrip.entry = {
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date: trade.date,
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price: trade.price,
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total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
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}
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this.openRoundTrip = true;
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} else if(trade.action === 'sell') {
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this.roundTrip.exit = {
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date: trade.date,
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price: trade.price,
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total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
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}
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this.openRoundTrip = false;
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this.handleCompletedRoundtrip();
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}
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}
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PerformanceAnalyzer.prototype.handleCompletedRoundtrip = function() {
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var roundtrip = {
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id: this.roundTrip.id,
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entryAt: this.roundTrip.entry.date,
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entryPrice: this.roundTrip.entry.price,
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entryBalance: this.roundTrip.entry.total,
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exitAt: this.roundTrip.exit.date,
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exitPrice: this.roundTrip.exit.price,
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exitBalance: this.roundTrip.exit.total,
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duration: this.roundTrip.exit.date.diff(this.roundTrip.entry.date)
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}
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roundtrip.pnl = roundtrip.exitBalance - roundtrip.entryBalance;
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roundtrip.profit = (100 * roundtrip.exitBalance / roundtrip.entryBalance) - 100;
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this.roundTrips[this.roundTrip.id] = roundtrip;
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this.logger.handleRoundtrip(roundtrip);
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this.deferredEmit('roundtrip', roundtrip);
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// update cached exposure
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this.exposure = this.exposure + Date.parse(this.roundTrip.exit.date) - Date.parse(this.roundTrip.entry.date);
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// track losses separately for downside report
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if (roundtrip.exitBalance < roundtrip.entryBalance)
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this.losses.push(roundtrip);
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}
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PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
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if(!this.start.balance || !this.start.portfolio) {
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log.error('Cannot calculate a profit report without having received portfolio data.');
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log.error('Skipping performanceReport..');
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return false;
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}
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// the portfolio's balance is measured in {currency}
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const profit = this.balance - this.start.balance;
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const timespan = moment.duration(
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this.dates.end.diff(this.dates.start)
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);
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const relativeProfit = this.balance / this.start.balance * 100 - 100;
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const relativeYearlyProfit = relativeProfit / timespan.asYears();
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const percentExposure = this.exposure / (Date.parse(this.dates.end) - Date.parse(this.dates.start));
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const sharpe = (relativeYearlyProfit - perfConfig.riskFreeReturn)
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/ statslite.stdev(this.roundTrips.map(r => r.profit))
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/ Math.sqrt(this.trades / (this.trades - 2));
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const downside = statslite.percentile(this.losses.map(r => r.profit), 0.25)
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* Math.sqrt(this.trades / (this.trades - 2));
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const ratioRoundTrips = this.roundTrips.length > 0 ? (this.roundTrips.filter(roundTrip => roundTrip.pnl > 0 ).length / this.roundTrips.length * 100).toFixed(4) : 100;
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const report = {
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startTime: this.dates.start.utc().format('YYYY-MM-DD HH:mm:ss'),
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endTime: this.dates.end.utc().format('YYYY-MM-DD HH:mm:ss'),
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timespan: timespan.humanize(),
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market: this.endPrice * 100 / this.startPrice - 100,
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balance: this.balance,
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profit,
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relativeProfit: relativeProfit,
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yearlyProfit: profit / timespan.asYears(),
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relativeYearlyProfit,
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startPrice: this.startPrice,
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endPrice: this.endPrice,
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trades: this.trades,
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startBalance: this.start.balance,
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exposure: percentExposure,
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sharpe,
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downside,
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ratioRoundTrips
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}
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report.alpha = report.relativeProfit - report.market;
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return report;
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}
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PerformanceAnalyzer.prototype.finalize = function(done) {
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if(!this.trades) {
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return done();
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}
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const report = this.calculateReportStatistics();
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if(report) {
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this.logger.finalize(report);
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this.emit('performanceReport', report);
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}
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done();
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}
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module.exports = PerformanceAnalyzer;
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