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* currency: Add method to derive pair * currency: Add method to lower entire charset but used the slice copy and returned that. This will change the original, just gotta see if this is an issue, but the slice usually goes out of scope anyway. * currency/pairs: add filter method * currency: add function to derive select currencies from currency pairs * currency/engine: slight adjustments * currency: fix linter issue also shift burden of proof to caller instead of repair, more performant. * currency: more linter * pairs: optimize; reduce allocs/op and B/op * currency: Add in function 'NewPairsFromString' for testing purposes * currency: don't suppress error * currency: stop panic on empty currency code * currency: Add helper method to match currencies between exchanges * currency: fixed my bad spelling * currency: Implement stable coin checks, refactored base code methods, optimized upper and lower case strings for currency code/pairs * currency: add pairs method to derive stable coins from internal list. * Currency: Cleanup, fix tests. * engine/exchanges/currency: fix whoops * Currency: force govet no copy on Item datatype * Currency: fix naughty linter issues * exchange: revert change * currency/config: fix config upgrade mistake * currency: re-implement currency sub-systems * *RetrieveConfigCurrencyPairs removed *CheckCurrencyConfigValues to only provide warnings, add additional support when, disable when support is lost or not available and set default values. *Drop Cryptocurrencies from configuration as this is not needed. *Drop REST Poll delay field as this was unused. *Update default values for currencyFileUpdateDuration & foreignExchangeUpdateDuration. *Allow Role to be marshalled for file type. *Refactor RunUpdater to verify and check config values and set default running foreign exchange provider. * currency: cleanup * currency: change match -> equal for comparison which is more of a standard and little easier to find * currency: address nits * currency: fix whoops * currency: Add some more pairs methods * currency: linter issues * currency: RM unused field * currency: rm verbose * currency: fix word * currency: gocritic * currency: fix another whoopsie * example_config: default to show log system name * Currency: Force all support packages to use Equal method for comparison as there is a small comparison bug when checking upper and lower casing, this has a more of a pronounced impact between exchanges and client instances of currency generation * currency: fix log name * ordermanager: fix potential panic * currency: small optim. * engine: display correct bool and force shutdown * currency: add function and fix regression * Change ConvertCurrency -> ConvertFiat to be more precise * ADD GetForeignExchangeRate to get specific exchange rate for fiat pair * Fix currency display and formatting regression and tied in with config.Currency fields * engine: fix tests * currency: return the amount when no conversion needs to take place * currency: reduce method name * currency: Address nits glorious nits * currency: fix linter * currency: addr nits * currency: check underlying role in test * gct: change to EMPTYCODE and EMPTYPAIR across codebase * currency: fix nits * currency: this fixes test race but this issue has not been resolved. Please see: https://trello.com/c/54eizOIo/143-currency-package-upgrades * currency: Add temp dir for testing * Update engine/engine.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * documentation: update and regen * currency: Address niterinos * currency: Add test case for config upgrade when falling over to exchange rate host as default from exchangeRates provider * currency: addr nits * currency: fix whoops Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
GoCryptoTrader Backtester: Statistics package
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
Please click GoDocs chevron above to view current GoDoc information for this package
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
masterbranch.
Donations
If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
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