sharpe

README.md

@@ -55,7 +55,7 @@ To use:
 5. Clone this repo, cd into directory
 
 
-6. Run npm i hitbtc-api express request ejs body-parser
-
+6. Run npm i hitbtc-api express request ejs body-parser portfolio-analytics
+ 
 
 7. Run node hitbtc.js

READMEBINANCE.md

@@ -59,7 +59,7 @@ To use:
 5. Clone this repo, cd into directory
 
 
-6. Run npm i binance-api-node express request ejs body-parser
+6. Run npm i binance-api-node express request ejs body-parser portfolio-analytics
 
 
 7. Run node binance.js

hitbtc.js

@@ -1,4 +1,32 @@
 const HitBTC = require('hitbtc-api').default
+var PortfolioAnalytics = require('portfolio-analytics');
+let returnPortfolio;
+let benchmark;
+let zeroRisk;
+let sharpe;
+setInterval(function(){
+      rdiffs.append(rdiff)
+      retdiffs.append(retdiff)
+      var retdiffs = [0.003, 0.026, 0.011, -0.01, 0.015, 0.025, 0.016, 0.067, -0.014, 0.04, -0.005, 0.081, 0.04, -0.037, -0.061, 0.017, -0.049, -0.022, 0.07, 0.058, -0.065, 0.024, -0.005, -0.009];
+      var rdiffs = [0.002, 0.025, 0.018, -0.011, 0.014, 0.018, 0.014, 0.065, -0.015, 0.042, -0.006, 0.083, 0.039, -0.038, -0.062, 0.015, -0.048, 0.021, 0.06, 0.056, -0.067, 0.019, -0.003, 0];
+
+      // Build the equity curves corresponding to the returns
+      returnPortfolio = new Array(retdiffs.length + 1);
+      benchmark = new Array(rdiffs.length + 1);
+      zeroRisk = new Array(rdiffs.length + 1);
+      returnPortfolio[0] = 100;
+      benchmark[0] = 100;
+      zeroRisk[0] = 100;
+      for (var i=0; i<retdiffs.length; ++i) {
+        returnPortfolio[i+1] = returnPortfolio[i] * (1 + retdiffs[i]);
+        benchmark[i+1] = benchmark[i] * (1 + rdiffs[i]);
+        zeroRisk[i+1] = zeroRisk[i];
+      }
+      sharpe = PortfolioAnalytics.sharpeRatio(returnPortfolio, zeroRisk)
+      console.log('sharpe: ' + sharpe)
+
+}, 60 * 1000);
+
 let key = "";
 let secret = "";
 const restClient = new HitBTC({ key, secret, isDemo: false });
@@ -160,6 +188,10 @@ getTrades();
 setInterval(function(){
     getTrades()
 }, 60 * 1001)
+let rdiff = 0;
+let retdiff = 0;
+let rdiffs = []
+let retdiffs = []
 async function doPost(req, res) {
     numOrders = 0;
     let orders2  = (await restClient.getMyActiveOrders()).orders
@@ -211,7 +243,15 @@ async function doPost(req, res) {
     ethtotal = (((total2 / btcs2['ETH'])));
     let btcdiff = 100* (-1 * (1 - (btctotal / btcstart)));
     let ethdiff = 100* (-1 * (1 - (ethtotal / ethstart)));
-
+    rdiff = refdiff;
+    let adiff = [usddiff, btcdiff, ethdiff]
+    let lll = -9999999999999999999999999999
+    for (var a in adiff){
+        if (adiff[a] > lll){
+            lll = adiff[a]
+        }
+    }
+    retdiff = lll;
     totalbefore = total2;
     if (req.query.name) {
         res.json({
@@ -230,7 +270,8 @@ async function doPost(req, res) {
             balances2 : bals4, 
             btcVol: btcVol, 
             least: least,
-            refdiff: refdiff
+            refdiff: refdiff,
+            sharpe: sharpe
         });
 
     } else {

package.json

@@ -20,6 +20,7 @@
     "mongodb": "*",
     "path": "*",
     "poloniex-api-node": "^1.9.0",
+    "portfolio-analytics": "0.0.4",
     "request": "^2.88.0",
     "serve-favicon": "*",
     "socks-proxy-agent": "*",

views/index.ejs

@@ -199,7 +199,7 @@
 <script src="https://code.highcharts.com/stock/highstock.js"></script>
 <script src="https://code.highcharts.com/stock/modules/exporting.js"></script>
 <script src="https://code.highcharts.com/stock/modules/export-data.js"></script>
-The goal of this bot isn't to profit: it's to show off that there would be profits if we eliminated the 0.1% trading fee, or effect a market maker rebate of -0.01% or up to -0.1%. Imagine this chart as you're watching it without the steep falls after some of the green (buying) lines: those drops are fees. Imagine it with bigger climbs on some of the red (selling) lines: sales without fees. <a href="https://medium.com/@jarettrsdunn/binance-hitbtc-etc-market-maker-pitch-how-to-get-rich-online-2988c1d328ac">Read More Here.</a> <br> <br> # current orders: <div id = 'numOrders'></div> Buy orders: <div id = 'buyOrders'></div> Sell orders: <div id = 'sellOrders'></div>  <br> # recent trades: <div id = 'numTrades'></div><br>All balances: <div id = "balances"></div><br>Oldest trade in recent memory: <div id = 'least'></div> and btcVol in recent memory: <div id='btcVol'></div><br>Hours since oldest trade: <div id ='hours'></div><br>Est. daily vol: <div id="dailyvol"></div><br><br>Est. 1 BTC invested: <div id="1btc"></div>Est. 5 BTC invested: <div id="5btc"></div>Est. 10 BTC invested: <div id="10btc"></div>Est. 20 BTC invested: <div id="20btc"></div>
+The goal of this bot isn't to profit: it's to show off that there would be profits if we eliminated the 0.1% trading fee, or effect a market maker rebate of -0.01% or up to -0.1%. Imagine this chart as you're watching it without the steep falls after some of the green (buying) lines: those drops are fees. Imagine it with bigger climbs on some of the red (selling) lines: sales without fees. <a href="https://medium.com/@jarettrsdunn/binance-hitbtc-etc-market-maker-pitch-how-to-get-rich-online-2988c1d328ac">Read More Here.</a> <br> <br> # current orders: <div id = 'numOrders'></div> Buy orders: <div id = 'buyOrders'></div> Sell orders: <div id = 'sellOrders'></div>  <br> # recent trades: <div id = 'numTrades'></div><br>All balances: <div id = "balances"></div><br>Oldest trade in recent memory: <div id = 'least'></div> and btcVol in recent memory: <div id='btcVol'></div><br>Hours since oldest trade: <div id ='hours'></div><br>Est. daily vol: <div id="dailyvol"></div><br><br>Est. 1 BTC invested: <div id="1btc"></div>Est. 5 BTC invested: <div id="5btc"></div>Est. 10 BTC invested: <div id="10btc"></div>Est. 20 BTC invested: <div id="20btc"></div><br>Minutely Sharpe vs. hold BTC: <div id="sharpe"></div>
 
 <div id="container0" style="height: 500px; min-width: 310px"></div>
 <div id="container" style="height: 500px; min-width: 310px"></div>
@@ -281,7 +281,8 @@ console.log(div)
 console.log(jsondata.btcVol)	
 	    let dailyvol = div * jsondata.btcVol
 console.log(dailyvol)            
-$('#dailyvol').html(dailyvol)
+$('#dailyvol').html(dailyvol)  
+$('#sharpe').html(jsondata.sharpe)
 
 let a = jsondata.btc / 0.01
             let b2 = dailyvol / a