backtest: add gross profit and gross loss fields

c9s · Jul 12, 2022 · a51f26e · a51f26e
1 parent 7d232f8
commit a51f26e
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Showing 4 changed files with 45 additions and 12 deletions.
diff --git a/pkg/accounting/pnl/avg_cost.go b/pkg/accounting/pnl/avg_cost.go
@@ -19,6 +19,8 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 	var bidVolume = fixedpoint.Zero
 	var askVolume = fixedpoint.Zero
 	var feeUSD = fixedpoint.Zero
+	var grossProfit = fixedpoint.Zero
+	var grossLoss = fixedpoint.Zero
 
 	if len(trades) == 0 {
 		return &AverageCostPnlReport{
@@ -64,6 +66,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 			totalNetProfit = totalNetProfit.Add(netProfit)
 		}
 
+		if profit.Sign() > 0 {
+			grossProfit = grossProfit.Add(profit)
+		} else if profit.Sign() < 0 {
+			grossLoss = grossLoss.Add(profit)
+		}
+
 		if trade.IsBuyer {
 			bidVolume = bidVolume.Add(trade.Quantity)
 		} else {
@@ -96,8 +104,12 @@ func (c *AverageCostCalculator) Calculate(symbol string, trades []types.Trade, c
 		Profit:            totalProfit,
 		NetProfit:         totalNetProfit,
 		UnrealizedProfit:  unrealizedProfit,
-		AverageCost:       position.AverageCost,
-		FeeInUSD:          totalProfit.Sub(totalNetProfit),
-		CurrencyFees:      currencyFees,
+
+		GrossProfit: grossProfit,
+		GrossLoss:   grossLoss,
+
+		AverageCost:  position.AverageCost,
+		FeeInUSD:     totalProfit.Sub(totalNetProfit),
+		CurrencyFees: currencyFees,
 	}
 }
diff --git a/pkg/accounting/pnl/report.go b/pkg/accounting/pnl/report.go
@@ -20,10 +20,14 @@ type AverageCostPnlReport struct {
 	Symbol    string           `json:"symbol"`
 	Market    types.Market     `json:"market"`
 
-	NumTrades         int                         `json:"numTrades"`
-	Profit            fixedpoint.Value            `json:"profit"`
-	NetProfit         fixedpoint.Value            `json:"netProfit"`
-	UnrealizedProfit  fixedpoint.Value            `json:"unrealizedProfit"`
+	NumTrades        int              `json:"numTrades"`
+	Profit           fixedpoint.Value `json:"profit"`
+	UnrealizedProfit fixedpoint.Value `json:"unrealizedProfit"`
+
+	NetProfit   fixedpoint.Value `json:"netProfit"`
+	GrossProfit fixedpoint.Value `json:"grossProfit"`
+	GrossLoss   fixedpoint.Value `json:"grossLoss"`
+
 	AverageCost       fixedpoint.Value            `json:"averageCost"`
 	BuyVolume         fixedpoint.Value            `json:"buyVolume,omitempty"`
 	SellVolume        fixedpoint.Value            `json:"sellVolume,omitempty"`

diff --git a/pkg/backtest/report.go b/pkg/backtest/report.go
@@ -39,10 +39,16 @@ type SummaryReport struct {
 	InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
 	FinalTotalBalances   types.BalanceMap `json:"finalTotalBalances"`
 
+	InitialEquityValue fixedpoint.Value `json:"initialEquityValue"`
+	FinalEquityValue   fixedpoint.Value `json:"finalEquityValue"`
+
 	// TotalProfit is the profit aggregated from the symbol reports
 	TotalProfit           fixedpoint.Value `json:"totalProfit,omitempty"`
 	TotalUnrealizedProfit fixedpoint.Value `json:"totalUnrealizedProfit,omitempty"`
 
+	TotalGrossProfit fixedpoint.Value `json:"totalGrossProfit,omitempty"`
+	TotalGrossLoss   fixedpoint.Value `json:"totalGrossLoss,omitempty"`
+
 	SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`
 
 	Manifests Manifests `json:"manifests,omitempty"`
@@ -75,13 +81,21 @@ type SessionSymbolReport struct {
 	Manifests       Manifests                 `json:"manifests,omitempty"`
 }
 
+func (r *SessionSymbolReport) InitialEquityValue() fixedpoint.Value {
+	return InQuoteAsset(r.InitialBalances, r.Market, r.StartPrice)
+}
+
+func (r *SessionSymbolReport) FinalEquityValue() fixedpoint.Value {
+	return InQuoteAsset(r.FinalBalances, r.Market, r.StartPrice)
+}
+
 func (r *SessionSymbolReport) Print(wantBaseAssetBaseline bool) {
 	color.Green("%s %s PROFIT AND LOSS REPORT", r.Exchange, r.Symbol)
 	color.Green("===============================================")
 	r.PnL.Print()
 
-	initQuoteAsset := inQuoteAsset(r.InitialBalances, r.Market, r.StartPrice)
-	finalQuoteAsset := inQuoteAsset(r.FinalBalances, r.Market, r.LastPrice)
+	initQuoteAsset := r.InitialEquityValue()
+	finalQuoteAsset := r.FinalEquityValue()
 	color.Green("INITIAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(initQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.StartPrice)
 	color.Green("FINAL ASSET IN %s ~= %s %s (1 %s = %v)", r.Market.QuoteCurrency, r.Market.FormatQuantity(finalQuoteAsset), r.Market.QuoteCurrency, r.Market.BaseCurrency, r.LastPrice)
 
@@ -186,8 +200,8 @@ func AddReportIndexRun(outputDirectory string, run Run) error {
 	return WriteReportIndex(outputDirectory, reportIndex)
 }
 
-// inQuoteAsset converts all balances in quote asset
-func inQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value {
+// InQuoteAsset converts all balances in quote asset
+func InQuoteAsset(balances types.BalanceMap, market types.Market, price fixedpoint.Value) fixedpoint.Value {
 	quote := balances[market.QuoteCurrency]
 	base := balances[market.BaseCurrency]
 	return base.Total().Mul(price).Add(quote.Total())

diff --git a/pkg/cmd/backtest.go b/pkg/cmd/backtest.go
@@ -493,7 +493,6 @@ var BacktestCmd = &cobra.Command{
 		}
 
 		for _, session := range environ.Sessions() {
-
 			for symbol, trades := range session.Trades {
 				symbolReport, err := createSymbolReport(userConfig, session, symbol, trades.Trades)
 				if err != nil {
@@ -504,6 +503,10 @@ var BacktestCmd = &cobra.Command{
 				summaryReport.SymbolReports = append(summaryReport.SymbolReports, *symbolReport)
 				summaryReport.TotalProfit = symbolReport.PnL.Profit
 				summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
+				summaryReport.InitialEquityValue = summaryReport.InitialEquityValue.Add(symbolReport.InitialEquityValue())
+				summaryReport.FinalEquityValue = summaryReport.FinalEquityValue.Add(symbolReport.FinalEquityValue())
+				summaryReport.TotalGrossProfit.Add(symbolReport.PnL.GrossProfit)
+				summaryReport.TotalGrossLoss.Add(symbolReport.PnL.GrossLoss)
 
 				// write report to a file
 				if generatingReport {