クローズフラグメント実装 *注 リファクタリング必須

config.yml

@@ -2,9 +2,9 @@
 
 
 #バックテストの基本設定
-assetName: "LINKUSDT"
-duration: "15m"
-start: ""
-end: ""
+assetName: "AVAXUSDT"
+duration: "1h"
+start: "20220101"
+end: "20230101"
 simpleInterest: false
 positionPersentage: 0.9

main.go

@@ -10,8 +10,8 @@ func main() {
 
 	start := time.Now()
 
-	strategey.RunEmaOptimize()
-	strategey.RunSTOptimize()
+	// strategey.RunEmaOptimize()
+	// strategey.RunSTOptimize()
 	strategey.RunEmaRsiOptimize()
 	// strategey.RunDonchainOptimize()
 

pkg/analytics/profit_and_loss.go

@@ -82,12 +82,12 @@ func LongProfit(s *execute.SignalEvents) float64 {
 	}
 	for _, signal := range s.Signals {
 
-		if signal.Side != "BUY" && signal.Side != "SELL" {
+		if signal.Side != "BUY" && signal.Side != "SELL" && signal.Side != "CLOSE" {
 			return 0.0
 		}
 		if signal.Side == "BUY" {
 			buyPrice = signal.Price
-		} else if signal.Side == "SELL" && buyPrice != 0 {
+		} else if signal.Side == "CLOSE" && buyPrice != 0 {
 			if signal.Price > buyPrice {
 				profit += (signal.Price - buyPrice) * signal.Size
 			}
@@ -111,12 +111,12 @@ func LongLoss(s *execute.SignalEvents) float64 {
 	}
 	for _, signal := range s.Signals {
 
-		if signal.Side != "BUY" && signal.Side != "SELL" {
+		if signal.Side != "BUY" && signal.Side != "SELL" && signal.Side != "CLOSE" {
 			return 0.0
 		}
 		if signal.Side == "BUY" {
 			buyPrice = signal.Price
-		} else if signal.Side == "SELL" && buyPrice != 0 {
+		} else if signal.Side == "CLOSE" && buyPrice != 0 {
 			if signal.Price < buyPrice {
 				loss += (buyPrice - signal.Price) * signal.Size
 			}
@@ -139,12 +139,12 @@ func ShortProfit(s *execute.SignalEvents) float64 {
 	}
 	for _, signal := range s.Signals {
 
-		if signal.Side != "BUY" && signal.Side != "SELL" {
+		if signal.Side != "BUY" && signal.Side != "SELL" && signal.Side != "CLOSE" {
 			return 0.0
 		}
 		if signal.Side == "SELL" {
 			sellPrice = signal.Price
-		} else if signal.Side == "BUY" && sellPrice != 0 {
+		} else if signal.Side == "CLOSE" && sellPrice != 0 {
 			if signal.Price < sellPrice {
 				profit += (sellPrice - signal.Price) * signal.Size
 			}
@@ -168,12 +168,12 @@ func ShortLoss(s *execute.SignalEvents) float64 {
 	}
 	for _, signal := range s.Signals {
 
-		if signal.Side != "BUY" && signal.Side != "SELL" {
+		if signal.Side != "BUY" && signal.Side != "SELL" && signal.Side != "CLOSE" {
 			return 0.0
 		}
 		if signal.Side == "SELL" {
 			sellPrice = signal.Price
-		} else if signal.Side == "BUY" && sellPrice != 0 {
+		} else if signal.Side == "CLOSE" && sellPrice != 0 {
 			if signal.Price > sellPrice {
 				loss += (signal.Price - sellPrice) * signal.Size
 			}

pkg/analytics/total_trade_counts.go

@@ -22,6 +22,25 @@ import (
 // 	return totalTrades
 // }
 
+// func TotalTrades(s *execute.SignalEvents) int {
+
+// 	if s == nil {
+// 		return 0
+// 	}
+// 	var totalTrades int
+
+// 	for i := 0; i < len(s.Signals)-1; i++ {
+// 		currentSignal := s.Signals[i]
+// 		nextSignal := s.Signals[i+1]
+
+// 		if currentSignal.Side != nextSignal.Side {
+// 			totalTrades++
+// 		}
+// 	}
+
+// 	return totalTrades
+// }
+
 func TotalTrades(s *execute.SignalEvents) int {
 
 	if s == nil {
@@ -31,9 +50,8 @@ func TotalTrades(s *execute.SignalEvents) int {
 
 	for i := 0; i < len(s.Signals)-1; i++ {
 		currentSignal := s.Signals[i]
-		nextSignal := s.Signals[i+1]
 
-		if currentSignal.Side != nextSignal.Side {
+		if currentSignal.Side == "CLOSE" {
 			totalTrades++
 		}
 	}

pkg/analytics/winrate.go

@@ -126,13 +126,13 @@ func TotalWinRate(s *execute.SignalEvents) float64 {
 		currentSignal := s.Signals[i]
 		nextSignal := s.Signals[i+1]
 
-		if currentSignal.Side == "BUY" && nextSignal.Side == "SELL" {
+		if currentSignal.Side == "BUY" && nextSignal.Side == "CLOSE" {
 			if nextSignal.Price > currentSignal.Price {
 				profitCount++
 			} else if nextSignal.Price < currentSignal.Price {
 				lossCount++
 			}
-		} else if currentSignal.Side == "SELL" && nextSignal.Side == "BUY" {
+		} else if currentSignal.Side == "SELL" && nextSignal.Side == "CLOSE" {
 			if nextSignal.Price < currentSignal.Price {
 				profitCount++
 			} else if nextSignal.Price > currentSignal.Price {

pkg/execute/signal.go

@@ -119,33 +119,33 @@ func (s *SignalEvents) CanBuy(t time.Time) bool {
 	}
 
 	lastSignal := s.Signals[lenSignals-1]
-	if lastSignal.Side == "SELL" && lastSignal.Time.Before(t) {
+	if lastSignal.Side == "CLOSE" && lastSignal.Time.Before(t) {
+
 		return true
+
 	}
 	return false
 }
 
-func (s *SignalEvents) CanLongClose(t time.Time) bool {
+func (s *SignalEvents) CanSell(t time.Time) bool {
 	lenSignals := len(s.Signals)
 	if lenSignals == 0 {
-		return false
+		return true
 	}
 
 	lastSignal := s.Signals[lenSignals-1]
-	if lastSignal.Side == "BUY" && lastSignal.Time.Before(t) {
+	if lastSignal.Side == "CLOSE" && lastSignal.Time.Before(t) {
+
 		return true
+
 	}
 	return false
 }
-
-func (s *SignalEvents) CanSell(t time.Time) bool {
+func (s *SignalEvents) CanLongClose(t time.Time) bool {
 	lenSignals := len(s.Signals)
-	if lenSignals == 0 {
-		return false
-	}
 
 	lastSignal := s.Signals[lenSignals-1]
-	if lastSignal.Side == "BUY" && lastSignal.Time.Before(t) {
+	if lastSignal.Side == "BUY" && t.After(lastSignal.Time) {
 		return true
 	}
 	return false
@@ -158,19 +158,18 @@ func (s *SignalEvents) CanShortClose(t time.Time) bool {
 	}
 
 	lastSignal := s.Signals[lenSignals-1]
-	if lastSignal.Side == "SELL" && lastSignal.Time.Before(t) {
+	if lastSignal.Side == "SELL" && t.After(lastSignal.Time) {
 		return true
 	}
 	return false
 }
 
-func (s *SignalEvents) Buy(strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) (bool, uuid.UUID) {
+func (s *SignalEvents) Buy(signalId uuid.UUID, strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) (bool, uuid.UUID) {
 
 	if !s.CanBuy(date) {
 		return false, uuid.UUID{}
 	}
 
-	signalId := uuid.New()
 	signalEvent := SignalEvent{
 		SignalId:       signalId,
 		Time:           date,
@@ -194,12 +193,12 @@ func (s *SignalEvents) Buy(strategyName string, assetName string, duration strin
 	return true, signalId
 }
 
-func (s *SignalEvents) Sell(strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) (bool, uuid.UUID) {
+func (s *SignalEvents) Sell(signalId uuid.UUID, strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) (bool, uuid.UUID) {
 
 	if !s.CanSell(date) {
 		return false, uuid.UUID{}
 	}
-	signalId := uuid.New()
+
 	signalEvent := SignalEvent{
 		SignalId:       signalId,
 		Time:           date,
@@ -223,28 +222,28 @@ func (s *SignalEvents) Sell(strategyName string, assetName string, duration stri
 
 func (s *SignalEvents) Close(signalId uuid.UUID, strategyName string, assetName string, duration string, date time.Time, price, size float64, accountBalance float64, save bool) bool {
 
-	// if !s.CanLongClose(date) || !s.CanShortClose(date) {
+	if s.CanLongClose(date) || s.CanShortClose(date) {
 
-	// 	return false
-	// }
+		signalEvent := SignalEvent{
+			SignalId:       signalId,
+			Time:           date,
+			StrategyName:   strategyName,
+			AssetName:      assetName,
+			Duration:       duration,
+			Side:           "CLOSE",
+			Price:          price,
+			Size:           size,
+			AccountBalance: accountBalance,
+		}
 
-	signalEvent := SignalEvent{
-		SignalId:       signalId,
-		Time:           date,
-		StrategyName:   strategyName,
-		AssetName:      assetName,
-		Duration:       duration,
-		Side:           "CLOSE",
-		Price:          price,
-		Size:           size,
-		AccountBalance: accountBalance,
-	}
+		// if save {
+		// 	signalEvent.Save()
 
-	// if save {
-	// 	signalEvent.Save()
+		// }
 
-	// }
+		s.Signals = append(s.Signals, signalEvent)
+		return true
+	}
 
-	s.Signals = append(s.Signals, signalEvent)
-	return true
+	return false
 }