statistics

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 Go to latest Published: May 23, 2022 License: MIT Imports: 21 Imported by: 0

README

GoCryptoTrader Backtester: Statistics package

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This statistics package is part of the GoCryptoTrader codebase.

This is still in active development

You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.

Join our slack to discuss all things related to GoCryptoTrader! GoCryptoTrader Slack

Statistics package overview

The statistics package is used for storing all relevant data over the course of a GoCryptoTrader Backtesting run. All types of events are tracked by exchange, asset and currency pair. When multiple currencies are included in your strategy, the statistics package will be able to calculate which exchange asset currency pair has performed the best, along with the biggest drop downs in the market.

It can calculate the following:

  • Calmar ratio
  • Information ratio
  • Sharpe ratio
  • Sortino ratio
  • CAGR
  • Drawdowns, both the biggest and longest
  • Whether the strategy outperformed the market
  • If the strategy made a profit

Ratios

Ratio Description A good range
Calmar ratio It is a function of the fund's average compounded annual rate of return versus its maximum drawdown. The higher the Calmar ratio, the better it performed on a risk-adjusted basis during the given time frame, which is mostly commonly set at 36 months 3.0 to 5.0
Information ratio It is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The ratio is often used as a measure of a portfolio manager's level of skill and ability to generate excess returns relative to a benchmark 0.40-0.60. Any positive number means that it has beaten the benchmark
Sharpe ratio The Sharpe Ratio is a financial metric often used by investors when assessing the performance of investment management products and professionals. It consists of taking the excess return of the portfolio, relative to the risk-free rate, and dividing it by the standard deviation of the portfolio's excess returns Any Sharpe ratio greater than 1.0 is good. Higher than 2.0 is very good. 3.0 or higher is excellent. Under 1.0 is sub-optimal
Sortino ratio The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally The higher the better, but > 2 is considered good
Compound annual growth rate Compound annual growth rate is the rate of return that would be required for an investment to grow from its beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the investment’s lifespan Any positive number

Arithmetic or versus geometric?

Both! We calculate ratios where an average is required using both types. The reasoning for using either is debated by finance and mathematicians. This is a good breakdown of both, but here is an extra simple table

Average type A reason to use it
Arithmetic The arithmetic mean is the average of a sum of numbers, which reflects the central tendency of the position of the numbers
Geometric The geometric mean differs from the arithmetic average, or arithmetic mean, in how it is calculated because it takes into account the compounding that occurs from period to period. Because of this, investors usually consider the geometric mean a more accurate measure of returns than the arithmetic mean

USD total tracking

If the strategy config setting DisableUSDTracking is false, then the GoCryptoTrader Backtester will automatically retrieve USD data that matches your backtesting currencies, eg pair BTC/LTC will track BTC/USD and LTC/USD as well. This allows for tracking overall strategic performance against one currency. This can allow for much easier performance calculations and comparisons

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Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

When submitting a PR, please abide by our coding guidelines:

  • Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
  • Code must be documented adhering to the official Go commentary guidelines.
  • Code must adhere to our coding style.
  • Pull requests need to be based on and opened against the master branch.

Donations

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Documentation

Index

Constants

This section is empty.

Variables

View Source 
var (
	// ErrAlreadyProcessed occurs when an event has already been processed
	ErrAlreadyProcessed = errors.New("this event has been processed already")
)

Functions

This section is empty.

Types

type CurrencyPairStatistic 

type CurrencyPairStatistic struct {
	ShowMissingDataWarning       bool `json:"-"`
	IsStrategyProfitable         bool `json:"is-strategy-profitable"`
	DoesPerformanceBeatTheMarket bool `json:"does-performance-beat-the-market"`

	BuyOrders   int64 `json:"buy-orders"`
	SellOrders  int64 `json:"sell-orders"`
	TotalOrders int64 `json:"total-orders"`

	StartingClosePrice           decimal.Decimal `json:"starting-close-price"`
	EndingClosePrice             decimal.Decimal `json:"ending-close-price"`
	LowestClosePrice             decimal.Decimal `json:"lowest-close-price"`
	HighestClosePrice            decimal.Decimal `json:"highest-close-price"`
	MarketMovement               decimal.Decimal `json:"market-movement"`
	StrategyMovement             decimal.Decimal `json:"strategy-movement"`
	CompoundAnnualGrowthRate     decimal.Decimal `json:"compound-annual-growth-rate"`
	TotalAssetValue              decimal.Decimal
	TotalFees                    decimal.Decimal
	TotalValueLostToVolumeSizing decimal.Decimal
	TotalValueLostToSlippage     decimal.Decimal
	TotalValueLost               decimal.Decimal

	Events []EventStore `json:"-"`

	MaxDrawdown           Swing               `json:"max-drawdown,omitempty"`
	HighestCommittedFunds ValueAtTime         `json:"highest-committed-funds"`
	GeometricRatios       *Ratios             `json:"geometric-ratios"`
	ArithmeticRatios      *Ratios             `json:"arithmetic-ratios"`
	InitialHoldings       holdings.Holding    `json:"initial-holdings-holdings"`
	FinalHoldings         holdings.Holding    `json:"final-holdings"`
	FinalOrders           compliance.Snapshot `json:"final-orders"`
}

CurrencyPairStatistic Holds all events and statistics relevant to an exchange, asset type and currency pair

func (*CurrencyPairStatistic) CalculateResults 

func (c *CurrencyPairStatistic) CalculateResults(riskFreeRate decimal.Decimal) error

CalculateResults calculates all statistics for the exchange, asset, currency pair

func (*CurrencyPairStatistic) PrintResults 

func (c *CurrencyPairStatistic) PrintResults(e string, a asset.Item, p currency.Pair, usingExchangeLevelFunding bool)

PrintResults outputs all calculated statistics to the command line

type CurrencyStats 

type CurrencyStats interface {
	TotalEquityReturn() (decimal.Decimal, error)
	MaxDrawdown() Swing
	LongestDrawdown() Swing
	SharpeRatio(decimal.Decimal) decimal.Decimal
	SortinoRatio(decimal.Decimal) decimal.Decimal
}

CurrencyStats defines what is expected in order to calculate statistics based on an exchange, asset type and currency pair

type EventStore 

type EventStore struct {
	Holdings     holdings.Holding
	Transactions compliance.Snapshot
	DataEvent    common.DataEventHandler
	SignalEvent  signal.Event
	OrderEvent   order.Event
	FillEvent    fill.Event
}

EventStore is used to hold all event information at a time interval

type FinalResultsHolder 

type FinalResultsHolder struct {
	Exchange         string          `json:"exchange"`
	Asset            asset.Item      `json:"asset"`
	Pair             currency.Pair   `json:"currency"`
	MaxDrawdown      Swing           `json:"max-drawdown"`
	MarketMovement   decimal.Decimal `json:"market-movement"`
	StrategyMovement decimal.Decimal `json:"strategy-movement"`
}

FinalResultsHolder holds important stats about a currency's performance

type FundingItemStatistics 

type FundingItemStatistics struct {
	ReportItem *funding.ReportItem
	// USD stats
	StartingClosePrice       ValueAtTime
	EndingClosePrice         ValueAtTime
	LowestClosePrice         ValueAtTime
	HighestClosePrice        ValueAtTime
	MarketMovement           decimal.Decimal
	StrategyMovement         decimal.Decimal
	DidStrategyBeatTheMarket bool
	RiskFreeRate             decimal.Decimal
	CompoundAnnualGrowthRate decimal.Decimal
	BuyOrders                int64
	SellOrders               int64
	TotalOrders              int64
	MaxDrawdown              Swing
	HighestCommittedFunds    ValueAtTime
}

FundingItemStatistics holds statistics for funding items

func CalculateIndividualFundingStatistics 

func CalculateIndividualFundingStatistics(disableUSDTracking bool, reportItem *funding.ReportItem, relatedStats []relatedCurrencyPairStatistics) (*FundingItemStatistics, error)

CalculateIndividualFundingStatistics calculates statistics for an individual report item

type FundingStatistics 

type FundingStatistics struct {
	Report             *funding.Report
	Items              []FundingItemStatistics
	TotalUSDStatistics *TotalFundingStatistics
}

FundingStatistics stores all funding related statistics

func CalculateFundingStatistics 

func CalculateFundingStatistics(funds funding.IFundingManager, currStats map[string]map[asset.Item]map[currency.Pair]*CurrencyPairStatistic, riskFreeRate decimal.Decimal, interval gctkline.Interval) (*FundingStatistics, error)

CalculateFundingStatistics calculates funding statistics for total USD strategy results along with individual funding item statistics

func (*FundingStatistics) PrintResults 

func (f *FundingStatistics) PrintResults(wasAnyDataMissing bool) error

PrintResults outputs all calculated funding statistics to the command line

type Handler 

type Handler interface {
	SetStrategyName(string)
	SetupEventForTime(common.DataEventHandler) error
	SetEventForOffset(common.EventHandler) error
	AddHoldingsForTime(*holdings.Holding) error
	AddComplianceSnapshotForTime(compliance.Snapshot, fill.Event) error
	CalculateAllResults() error
	Reset()
	Serialise() (string, error)
}

Handler interface details what a statistic is expected to do

type Ratios 

type Ratios struct {
	SharpeRatio      decimal.Decimal `json:"sharpe-ratio"`
	SortinoRatio     decimal.Decimal `json:"sortino-ratio"`
	InformationRatio decimal.Decimal `json:"information-ratio"`
	CalmarRatio      decimal.Decimal `json:"calmar-ratio"`
}

Ratios stores all the ratios used for statistics

func CalculateRatios 

func CalculateRatios(benchmarkRates, returnsPerCandle []decimal.Decimal, riskFreeRatePerCandle decimal.Decimal, maxDrawdown *Swing, logMessage string) (arithmeticStats, geometricStats *Ratios, err error)

CalculateRatios creates arithmetic and geometric ratios from funding or currency pair data

type ResultEvent 

type ResultEvent struct {
	Time time.Time `json:"time"`
}

ResultEvent stores the time

type ResultTransactions 

type ResultTransactions struct {
	Time      time.Time       `json:"time"`
	Direction gctorder.Side   `json:"direction"`
	Price     decimal.Decimal `json:"price"`
	Amount    decimal.Decimal `json:"amount"`
	Reason    string          `json:"reason,omitempty"`
}

ResultTransactions stores details on a transaction

type Results 

type Results struct {
	Pair              string               `json:"pair"`
	TotalEvents       int                  `json:"totalEvents"`
	TotalTransactions int                  `json:"totalTransactions"`
	Events            []ResultEvent        `json:"events"`
	Transactions      []ResultTransactions `json:"transactions"`
	StrategyName      string               `json:"strategyName"`
}

Results holds some statistics on results

type Statistic 

type Statistic struct {
	StrategyName                string                                                             `json:"strategy-name"`
	StrategyDescription         string                                                             `json:"strategy-description"`
	StrategyNickname            string                                                             `json:"strategy-nickname"`
	StrategyGoal                string                                                             `json:"strategy-goal"`
	StartDate                   time.Time                                                          `json:"start-date"`
	EndDate                     time.Time                                                          `json:"end-date"`
	CandleInterval              gctkline.Interval                                                  `json:"candle-interval"`
	RiskFreeRate                decimal.Decimal                                                    `json:"risk-free-rate"`
	ExchangeAssetPairStatistics map[string]map[asset.Item]map[currency.Pair]*CurrencyPairStatistic `json:"exchange-asset-pair-statistics"`
	TotalBuyOrders              int64                                                              `json:"total-buy-orders"`
	TotalSellOrders             int64                                                              `json:"total-sell-orders"`
	TotalOrders                 int64                                                              `json:"total-orders"`
	BiggestDrawdown             *FinalResultsHolder                                                `json:"biggest-drawdown,omitempty"`
	BestStrategyResults         *FinalResultsHolder                                                `json:"best-start-results,omitempty"`
	BestMarketMovement          *FinalResultsHolder                                                `json:"best-market-movement,omitempty"`
	CurrencyPairStatistics      []CurrencyPairStatistic                                            `json:"currency-pair-statistics"` // as ExchangeAssetPairStatistics cannot be rendered via json.Marshall, we append all result to this slice instead
	WasAnyDataMissing           bool                                                               `json:"was-any-data-missing"`
	FundingStatistics           *FundingStatistics                                                 `json:"funding-statistics"`
	FundManager                 funding.IFundingManager                                            `json:"-"`
}

Statistic holds all statistical information for a backtester run, from drawdowns to ratios. Any currency specific information is handled in currencystatistics

func (*Statistic) AddComplianceSnapshotForTime 

func (s *Statistic) AddComplianceSnapshotForTime(c compliance.Snapshot, e fill.Event) error

AddComplianceSnapshotForTime adds the compliance snapshot to the statistics at the time period

func (*Statistic) AddHoldingsForTime 

func (s *Statistic) AddHoldingsForTime(h *holdings.Holding) error

AddHoldingsForTime adds all holdings to the statistics at the time period

func (*Statistic) CalculateAllResults 

func (s *Statistic) CalculateAllResults() error

CalculateAllResults calculates the statistics of all exchange asset pair holdings, orders, ratios and drawdowns

func (*Statistic) GetBestMarketPerformer 

func (s *Statistic) GetBestMarketPerformer(results []FinalResultsHolder) *FinalResultsHolder

GetBestMarketPerformer returns the best final market movement

func (*Statistic) GetBestStrategyPerformer 

func (s *Statistic) GetBestStrategyPerformer(results []FinalResultsHolder) *FinalResultsHolder

GetBestStrategyPerformer returns the best performing strategy result

func (*Statistic) GetTheBiggestDrawdownAcrossCurrencies 

func (s *Statistic) GetTheBiggestDrawdownAcrossCurrencies(results []FinalResultsHolder) *FinalResultsHolder

GetTheBiggestDrawdownAcrossCurrencies returns the biggest drawdown across all currencies in a backtesting run

func (*Statistic) PrintAllEventsChronologically 

func (s *Statistic) PrintAllEventsChronologically()

PrintAllEventsChronologically outputs all event details in the CMD rather than separated by exchange, asset and currency pair, it's grouped by time to allow a clearer picture of events

func (*Statistic) PrintTotalResults 

func (s *Statistic) PrintTotalResults()

PrintTotalResults outputs all results to the CMD

func (*Statistic) Reset 

func (s *Statistic) Reset()

Reset returns the struct to defaults

func (*Statistic) Serialise 

func (s *Statistic) Serialise() (string, error)

Serialise outputs the Statistic struct in json

func (*Statistic) SetEventForOffset 

func (s *Statistic) SetEventForOffset(ev common.EventHandler) error

SetEventForOffset sets the event for the time period in the event

func (*Statistic) SetStrategyName 

func (s *Statistic) SetStrategyName(name string)

SetStrategyName sets the name for statistical identification

func (*Statistic) SetupEventForTime 

func (s *Statistic) SetupEventForTime(ev common.DataEventHandler) error

SetupEventForTime sets up the big map for to store important data at each time interval

type Swing 

type Swing struct {
	Highest          ValueAtTime     `json:"highest"`
	Lowest           ValueAtTime     `json:"lowest"`
	DrawdownPercent  decimal.Decimal `json:"drawdown"`
	IntervalDuration int64
}

Swing holds a drawdown

func CalculateBiggestEventDrawdown 

func CalculateBiggestEventDrawdown(closePrices []common.DataEventHandler) (Swing, error)

CalculateBiggestEventDrawdown calculates the biggest drawdown using a slice of DataEvents

func CalculateBiggestValueAtTimeDrawdown 

func CalculateBiggestValueAtTimeDrawdown(closePrices []ValueAtTime, interval gctkline.Interval) (Swing, error)

CalculateBiggestValueAtTimeDrawdown calculates the biggest drawdown using a slice of ValueAtTimes

type TotalFundingStatistics 

type TotalFundingStatistics struct {
	HoldingValues            []ValueAtTime
	InitialHoldingValue      ValueAtTime
	FinalHoldingValue        ValueAtTime
	HighestHoldingValue      ValueAtTime
	LowestHoldingValue       ValueAtTime
	BenchmarkMarketMovement  decimal.Decimal
	StrategyMovement         decimal.Decimal
	RiskFreeRate             decimal.Decimal
	CompoundAnnualGrowthRate decimal.Decimal
	BuyOrders                int64
	SellOrders               int64
	TotalOrders              int64
	MaxDrawdown              Swing
	GeometricRatios          *Ratios
	ArithmeticRatios         *Ratios
	DidStrategyBeatTheMarket bool
	DidStrategyMakeProfit    bool
	HoldingValueDifference   decimal.Decimal
}

TotalFundingStatistics holds values for overal statistics for funding items

type ValueAtTime 

type ValueAtTime struct {
	Time  time.Time       `json:"time"`
	Value decimal.Decimal `json:"value"`
}

ValueAtTime is an individual iteration of price at a time

Source Files

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