Analytics機能の強化

tktk4751 · Jan 28, 2024 · 38247c0 · 38247c0
1 parent c5b084d
commit 38247c0
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Showing 24 changed files with 704 additions and 345 deletions.
diff --git a/cmd/main.go b/cmd/main.go
@@ -5,6 +5,7 @@ import (
 	"log"
 
 	// "net/http"
+
 	"v1/pkg/analytics"
 	chart "v1/pkg/charts"
 	"v1/pkg/execute"
@@ -51,7 +52,7 @@ import (
 //	}
 func main() {
 	strategyName := "DBO"
-	assetName := "ARBUSDT"
+	assetName := "SEIUSDT"
 	duration := "1h"
 	tableName := strategyName + "_" + assetName + "_" + duration
 
@@ -82,7 +83,7 @@ func main() {
 	d := analytics.MaxDrawdown(df.Signal)
 	dr := d * 100
 
-	// fmt.Println(df.Signal)
+	fmt.Println(df.Signal)
 
 	fmt.Println(tableName)
 	fmt.Println("初期残高", analytics.AccountBalance)
@@ -94,6 +95,13 @@ func main() {
 	fmt.Println("最大ドローダウン", dr, "% ")
 	fmt.Println("純利益", analytics.NetProfit(df.Signal))
 	fmt.Println("シャープレシオ", analytics.SharpeRatio(df.Signal, 0.06))
+	fmt.Println("トータルトレード回数", analytics.TotalTrades(df.Signal))
+	fmt.Println("勝ちトレード回数", analytics.WinningTrades(df.Signal))
+	fmt.Println("負けトレード回数", analytics.LosingTrades(df.Signal))
+	fmt.Println("平均利益", analytics.AveregeProfit(df.Signal))
+	fmt.Println("平均損失", analytics.AveregeLoss(df.Signal))
+	fmt.Println("ペイオフレシオ", analytics.PayOffRatio(df.Signal))
+	// fmt.Println("バルサラの破産確率", analytics.BalsaraAxum(df.Signal))
 
 	// s := execute.NewSignalEvents()
 

diff --git a/go.mod b/go.mod
@@ -16,6 +16,7 @@ require (
 )
 
 require (
+	github.com/acroca/go-symbols v0.1.1 // indirect
 	github.com/go-echarts/go-echarts/v2 v2.3.3 // indirect
 	github.com/iamjinlei/go-tachart v0.0.0-20210729041122-12052a3368c8 // indirect
 	github.com/iamjinlei/go-tart v0.0.0-20210623083942-ceb57e98706b // indirect
@@ -25,9 +26,13 @@ require (
 	github.com/markcheno/go-talib v0.0.0-20190307022042-cd53a9264d70 // indirect
 	github.com/mattn/go-colorable v0.1.13 // indirect
 	github.com/mattn/go-isatty v0.0.20 // indirect
+	github.com/nsf/gocode v0.0.0-20230322162601-b672b49f3818 // indirect
+	github.com/ramya-rao-a/go-outline v0.0.0-20210608161538-9736a4bde949 // indirect
 	github.com/valyala/bytebufferpool v1.0.0 // indirect
 	github.com/valyala/fasttemplate v1.2.2 // indirect
 	golang.org/x/crypto v0.18.0 // indirect
+	golang.org/x/mod v0.14.0 // indirect
 	golang.org/x/sys v0.16.0 // indirect
 	golang.org/x/text v0.14.0 // indirect
+	golang.org/x/tools v0.17.0 // indirect
 )
diff --git a/go.sum b/go.sum
@@ -1,3 +1,5 @@
+github.com/acroca/go-symbols v0.1.1 h1:q3IzaMNYocw/Bnc2a8jkXf0hM3+POfLoq30x8HYuaPE=
+github.com/acroca/go-symbols v0.1.1/go.mod h1:RKAIDWtcELAw6/wjNJGWRYZ7QEinSWoJeJ2H5cfK6AM=
 github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
 github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
 github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
@@ -28,8 +30,12 @@ github.com/mattn/go-isatty v0.0.20 h1:xfD0iDuEKnDkl03q4limB+vH+GxLEtL/jb4xVJSWWE
 github.com/mattn/go-isatty v0.0.20/go.mod h1:W+V8PltTTMOvKvAeJH7IuucS94S2C6jfK/D7dTCTo3Y=
 github.com/mattn/go-sqlite3 v1.14.19 h1:fhGleo2h1p8tVChob4I9HpmVFIAkKGpiukdrgQbWfGI=
 github.com/mattn/go-sqlite3 v1.14.19/go.mod h1:2eHXhiwb8IkHr+BDWZGa96P6+rkvnG63S2DGjv9HUNg=
+github.com/nsf/gocode v0.0.0-20230322162601-b672b49f3818 h1:btvxUuer0DCdhu/N5fvMxW759ASqzIsm6cF8D23TNYs=
+github.com/nsf/gocode v0.0.0-20230322162601-b672b49f3818/go.mod h1:6Q8/OMaaKAgTX7/jt2bOXVDrm1eJhoNd+iwzghR7jvs=
 github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
 github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
+github.com/ramya-rao-a/go-outline v0.0.0-20210608161538-9736a4bde949 h1:iaD+iVf9xGfajsJp+zYrg9Lrk6gMJ6/hZHO4cYq5D5o=
+github.com/ramya-rao-a/go-outline v0.0.0-20210608161538-9736a4bde949/go.mod h1:9V3eNbj9Z53yO7cKB6cSX9f0O7rYdIiuGBhjA1YsQuw=
 github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME=
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 github.com/stretchr/testify v1.8.4 h1:CcVxjf3Q8PM0mHUKJCdn+eZZtm5yQwehR5yeSVQQcUk=
@@ -46,6 +52,8 @@ golang.org/x/crypto v0.17.0/go.mod h1:gCAAfMLgwOJRpTjQ2zCCt2OcSfYMTeZVSRtQlPC7Nq
 golang.org/x/crypto v0.18.0 h1:PGVlW0xEltQnzFZ55hkuX5+KLyrMYhHld1YHO4AKcdc=
 golang.org/x/crypto v0.18.0/go.mod h1:R0j02AL6hcrfOiy9T4ZYp/rcWeMxM3L6QYxlOuEG1mg=
 golang.org/x/mod v0.4.2/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA=
+golang.org/x/mod v0.14.0 h1:dGoOF9QVLYng8IHTm7BAyWqCqSheQ5pYWGhzW00YJr0=
+golang.org/x/mod v0.14.0/go.mod h1:hTbmBsO62+eylJbnUtE2MGJUyE7QWk4xUqPFrRgJ+7c=
 golang.org/x/net v0.0.0-20190404232315-eb5bcb51f2a3/go.mod h1:t9HGtf8HONx5eT2rtn7q6eTqICYqUVnKs3thJo3Qplg=
 golang.org/x/net v0.0.0-20190620200207-3b0461eec859/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s=
 golang.org/x/net v0.0.0-20210405180319-a5a99cb37ef4/go.mod h1:p54w0d4576C0XHj96bSt6lcn1PtDYWL6XObtHCRCNQM=
@@ -73,7 +81,10 @@ golang.org/x/text v0.14.0 h1:ScX5w1eTa3QqT8oi6+ziP7dTV1S2+ALU0bI+0zXKWiQ=
 golang.org/x/text v0.14.0/go.mod h1:18ZOQIKpY8NJVqYksKHtTdi31H5itFRjB5/qKTNYzSU=
 golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ=
 golang.org/x/tools v0.0.0-20191119224855-298f0cb1881e/go.mod h1:b+2E5dAYhXwXZwtnZ6UAqBI28+e2cm9otk0dWdXHAEo=
+golang.org/x/tools v0.1.1/go.mod h1:o0xws9oXOQQZyjljx8fwUC0k7L1pTE6eaCbjGeHmOkk=
 golang.org/x/tools v0.1.3/go.mod h1:o0xws9oXOQQZyjljx8fwUC0k7L1pTE6eaCbjGeHmOkk=
+golang.org/x/tools v0.17.0 h1:FvmRgNOcs3kOa+T20R1uhfP9F6HgG2mfxDv1vrx1Htc=
+golang.org/x/tools v0.17.0/go.mod h1:xsh6VxdV005rRVaS6SSAf9oiAqljS7UZUacMZ8Bnsps=
 golang.org/x/xerrors v0.0.0-20190717185122-a985d3407aa7/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
 golang.org/x/xerrors v0.0.0-20191011141410-1b5146add898/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
 golang.org/x/xerrors v0.0.0-20200804184101-5ec99f83aff1/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=

diff --git a/pkg/analytics/analytics.go b/pkg/analytics/analytics.go
@@ -1,6 +1,14 @@
 package analytics
 
-var AccountBalance float64 = 10000.000
+import (
+	"v1/pkg/execute"
+)
+
+var AccountBalance float64 = 1000.000
+
+var s *execute.SignalEvents
+
+// var df, _ = dbquery.GetCandleData(s.AssetName, s.Duration)
 
 type Analytics struct {
 

diff --git a/pkg/analytics/balsara.go b/pkg/analytics/balsara.go
@@ -0,0 +1,35 @@
+package analytics
+
+import (
+	"fmt"
+	"math"
+	"v1/pkg/execute"
+)
+
+func BalsaraAxum(s *execute.SignalEvents) float64 {
+
+	if s == nil {
+		return 0.0
+	}
+	p := WinRate(s)
+	fmt.Println("barusara p", p)
+	k := PayOffRatio(s)
+	fmt.Println("balsara k", k)
+	// n := 1000.00
+	n2 := 1000.00 * 0.9
+	b := 0.9
+
+	x := p*math.Pow(p, 1+k) + (1 - p)
+	fmt.Println("balsara x", x)
+	if x <= 0 || x >= 1 {
+		fmt.Println("Error: x must be between 0 and 1")
+		return -1
+	}
+
+	// Q1 := math.Pow(x, n/b)
+	Q2 := math.Pow(x, n2/b)
+
+	fmt.Println("バルサラの破産確率: ", Q2, "%")
+
+	return Q2
+}
diff --git a/pkg/analytics/calc_drawdown.go b/pkg/analytics/calc_drawdown.go
diff --git a/pkg/analytics/calc_positionsize.go b/pkg/analytics/calc_positionsize.go
diff --git a/pkg/analytics/calc_profit.go b/pkg/analytics/calc_profit.go