gocryptotrader/backtester/eventhandlers/statistics/statistics.go

package statistics

import (
	"encoding/json"
	"errors"
	"fmt"
	"sort"
	"time"

	"github.com/shopspring/decimal"
	"github.com/thrasher-corp/gocryptotrader/backtester/common"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/fill"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/order"
	"github.com/thrasher-corp/gocryptotrader/backtester/eventtypes/signal"
	gctcommon "github.com/thrasher-corp/gocryptotrader/common"
	"github.com/thrasher-corp/gocryptotrader/common/convert"
	gctmath "github.com/thrasher-corp/gocryptotrader/common/math"
	"github.com/thrasher-corp/gocryptotrader/currency"
	"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
	"github.com/thrasher-corp/gocryptotrader/log"
)

// Reset returns the struct to defaults
func (s *Statistic) Reset() {
	*s = Statistic{}
}

// SetupEventForTime sets up the big map for to store important data at each time interval
func (s *Statistic) SetupEventForTime(ev common.DataEventHandler) error {
	if ev == nil {
		return common.ErrNilEvent
	}
	ex := ev.GetExchange()
	a := ev.GetAssetType()
	p := ev.Pair()
	s.setupMap(ex, a)
	lookup := s.ExchangeAssetPairStatistics[ex][a][p]
	if lookup == nil {
		lookup = &CurrencyPairStatistic{}
	}
	for i := range lookup.Events {
		if lookup.Events[i].DataEvent.GetTime().Equal(ev.GetTime()) &&
			lookup.Events[i].DataEvent.GetExchange() == ev.GetExchange() &&
			lookup.Events[i].DataEvent.GetAssetType() == ev.GetAssetType() &&
			lookup.Events[i].DataEvent.Pair().Equal(ev.Pair()) &&
			lookup.Events[i].DataEvent.GetOffset() == ev.GetOffset() {
			return ErrAlreadyProcessed
		}
	}
	lookup.Events = append(lookup.Events,
		EventStore{
			DataEvent: ev,
		},
	)
	s.ExchangeAssetPairStatistics[ex][a][p] = lookup

	return nil
}

func (s *Statistic) setupMap(ex string, a asset.Item) {
	if s.ExchangeAssetPairStatistics == nil {
		s.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*CurrencyPairStatistic)
	}
	if s.ExchangeAssetPairStatistics[ex] == nil {
		s.ExchangeAssetPairStatistics[ex] = make(map[asset.Item]map[currency.Pair]*CurrencyPairStatistic)
	}
	if s.ExchangeAssetPairStatistics[ex][a] == nil {
		s.ExchangeAssetPairStatistics[ex][a] = make(map[currency.Pair]*CurrencyPairStatistic)
	}
}

// SetEventForOffset sets the event for the time period in the event
func (s *Statistic) SetEventForOffset(ev common.EventHandler) error {
	if ev == nil {
		return common.ErrNilEvent
	}
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	exch := ev.GetExchange()
	a := ev.GetAssetType()
	p := ev.Pair()
	offset := ev.GetOffset()
	lookup := s.ExchangeAssetPairStatistics[exch][a][p]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set signal event", errCurrencyStatisticsUnset, exch, a, p)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].DataEvent.GetOffset() == offset {
			return applyEventAtOffset(ev, lookup, i)
		}
	}

	return nil
}

func applyEventAtOffset(ev common.EventHandler, lookup *CurrencyPairStatistic, i int) error {
	switch t := ev.(type) {
	case common.DataEventHandler:
		lookup.Events[i].DataEvent = t
	case signal.Event:
		lookup.Events[i].SignalEvent = t
	case order.Event:
		lookup.Events[i].OrderEvent = t
	case fill.Event:
		lookup.Events[i].FillEvent = t
	default:
		return fmt.Errorf("unknown event type received: %v", ev)
	}
	return nil
}

// AddHoldingsForTime adds all holdings to the statistics at the time period
func (s *Statistic) AddHoldingsForTime(h *holdings.Holding) error {
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	lookup := s.ExchangeAssetPairStatistics[h.Exchange][h.Asset][h.Pair]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set holding event", errCurrencyStatisticsUnset, h.Exchange, h.Asset, h.Pair)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].DataEvent.GetOffset() == h.Offset {
			lookup.Events[i].Holdings = *h
			break
		}
	}
	return nil
}

// AddComplianceSnapshotForTime adds the compliance snapshot to the statistics at the time period
func (s *Statistic) AddComplianceSnapshotForTime(c compliance.Snapshot, e fill.Event) error {
	if e == nil {
		return common.ErrNilEvent
	}
	if s.ExchangeAssetPairStatistics == nil {
		return errExchangeAssetPairStatsUnset
	}
	exch := e.GetExchange()
	a := e.GetAssetType()
	p := e.Pair()
	lookup := s.ExchangeAssetPairStatistics[exch][a][p]
	if lookup == nil {
		return fmt.Errorf("%w for %v %v %v to set compliance snapshot", errCurrencyStatisticsUnset, exch, a, p)
	}
	for i := len(lookup.Events) - 1; i >= 0; i-- {
		if lookup.Events[i].DataEvent.GetOffset() == e.GetOffset() {
			lookup.Events[i].Transactions = c
			break
		}
	}

	return nil
}

// CalculateAllResults calculates the statistics of all exchange asset pair holdings,
// orders, ratios and drawdowns
func (s *Statistic) CalculateAllResults() error {
	log.Info(log.BackTester, "calculating backtesting results")
	s.PrintAllEventsChronologically()
	currCount := 0
	var finalResults []FinalResultsHolder
	var err error
	for exchangeName, exchangeMap := range s.ExchangeAssetPairStatistics {
		for assetItem, assetMap := range exchangeMap {
			for pair, stats := range assetMap {
				currCount++
				last := stats.Events[len(stats.Events)-1]
				err = stats.CalculateResults(s.RiskFreeRate)
				if err != nil {
					log.Error(log.BackTester, err)
				}
				stats.PrintResults(exchangeName, assetItem, pair, s.FundManager.IsUsingExchangeLevelFunding())
				stats.FinalHoldings = last.Holdings
				stats.InitialHoldings = stats.Events[0].Holdings
				stats.FinalOrders = last.Transactions
				s.StartDate = stats.Events[0].DataEvent.GetTime()
				s.EndDate = last.DataEvent.GetTime()

				finalResults = append(finalResults, FinalResultsHolder{
					Exchange:         exchangeName,
					Asset:            assetItem,
					Pair:             pair,
					MaxDrawdown:      stats.MaxDrawdown,
					MarketMovement:   stats.MarketMovement,
					StrategyMovement: stats.StrategyMovement,
				})
				s.TotalBuyOrders += stats.BuyOrders
				s.TotalSellOrders += stats.SellOrders
				if stats.ShowMissingDataWarning {
					s.WasAnyDataMissing = true
				}
			}
		}
	}
	s.FundingStatistics, err = CalculateFundingStatistics(s.FundManager, s.ExchangeAssetPairStatistics, s.RiskFreeRate, s.CandleInterval)
	if err != nil {
		return err
	}
	err = s.FundingStatistics.PrintResults(s.WasAnyDataMissing)
	if err != nil {
		return err
	}

	s.TotalOrders = s.TotalBuyOrders + s.TotalSellOrders
	if currCount > 1 {
		s.BiggestDrawdown = s.GetTheBiggestDrawdownAcrossCurrencies(finalResults)
		s.BestMarketMovement = s.GetBestMarketPerformer(finalResults)
		s.BestStrategyResults = s.GetBestStrategyPerformer(finalResults)
		s.PrintTotalResults()
	}

	return nil
}

// PrintTotalResults outputs all results to the CMD
func (s *Statistic) PrintTotalResults() {
	log.Info(log.BackTester, "------------------Strategy-----------------------------------")
	log.Infof(log.BackTester, "Strategy Name: %v", s.StrategyName)
	log.Infof(log.BackTester, "Strategy Nickname: %v", s.StrategyNickname)
	log.Infof(log.BackTester, "Strategy Goal: %v\n\n", s.StrategyGoal)

	log.Info(log.BackTester, "------------------Total Results------------------------------")
	log.Info(log.BackTester, "------------------Orders-------------------------------------")
	log.Infof(log.BackTester, "Total buy orders: %v", convert.IntToHumanFriendlyString(s.TotalBuyOrders, ","))
	log.Infof(log.BackTester, "Total sell orders: %v", convert.IntToHumanFriendlyString(s.TotalSellOrders, ","))
	log.Infof(log.BackTester, "Total orders: %v\n\n", convert.IntToHumanFriendlyString(s.TotalOrders, ","))

	if s.BiggestDrawdown != nil {
		log.Info(log.BackTester, "------------------Biggest Drawdown-----------------------")
		log.Infof(log.BackTester, "Exchange: %v Asset: %v Currency: %v", s.BiggestDrawdown.Exchange, s.BiggestDrawdown.Asset, s.BiggestDrawdown.Pair)
		log.Infof(log.BackTester, "Highest Price: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Highest.Value, 8, ".", ","))
		log.Infof(log.BackTester, "Highest Price Time: %v", s.BiggestDrawdown.MaxDrawdown.Highest.Time)
		log.Infof(log.BackTester, "Lowest Price: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Lowest.Value, 8, ".", ","))
		log.Infof(log.BackTester, "Lowest Price Time: %v", s.BiggestDrawdown.MaxDrawdown.Lowest.Time)
		log.Infof(log.BackTester, "Calculated Drawdown: %s%%", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.DrawdownPercent, 2, ".", ","))
		log.Infof(log.BackTester, "Difference: %s", convert.DecimalToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.Highest.Value.Sub(s.BiggestDrawdown.MaxDrawdown.Lowest.Value), 8, ".", ","))
		log.Infof(log.BackTester, "Drawdown length: %v\n\n", convert.IntToHumanFriendlyString(s.BiggestDrawdown.MaxDrawdown.IntervalDuration, ","))
	}
	if s.BestMarketMovement != nil && s.BestStrategyResults != nil {
		log.Info(log.BackTester, "------------------Orders----------------------------------")
		log.Infof(log.BackTester, "Best performing market movement: %v %v %v %v%%", s.BestMarketMovement.Exchange, s.BestMarketMovement.Asset, s.BestMarketMovement.Pair, convert.DecimalToHumanFriendlyString(s.BestMarketMovement.MarketMovement, 2, ".", ","))
		log.Infof(log.BackTester, "Best performing strategy movement: %v %v %v %v%%\n\n", s.BestStrategyResults.Exchange, s.BestStrategyResults.Asset, s.BestStrategyResults.Pair, convert.DecimalToHumanFriendlyString(s.BestStrategyResults.StrategyMovement, 2, ".", ","))
	}
}

// GetBestMarketPerformer returns the best final market movement
func (s *Statistic) GetBestMarketPerformer(results []FinalResultsHolder) *FinalResultsHolder {
	result := &FinalResultsHolder{}
	for i := range results {
		if results[i].MarketMovement.GreaterThan(result.MarketMovement) || result.MarketMovement.IsZero() {
			result = &results[i]
			break
		}
	}

	return result
}

// GetBestStrategyPerformer returns the best performing strategy result
func (s *Statistic) GetBestStrategyPerformer(results []FinalResultsHolder) *FinalResultsHolder {
	result := &FinalResultsHolder{}
	for i := range results {
		if results[i].StrategyMovement.GreaterThan(result.StrategyMovement) || result.StrategyMovement.IsZero() {
			result = &results[i]
		}
	}

	return result
}

// GetTheBiggestDrawdownAcrossCurrencies returns the biggest drawdown across all currencies in a backtesting run
func (s *Statistic) GetTheBiggestDrawdownAcrossCurrencies(results []FinalResultsHolder) *FinalResultsHolder {
	result := &FinalResultsHolder{}
	for i := range results {
		if results[i].MaxDrawdown.DrawdownPercent.GreaterThan(result.MaxDrawdown.DrawdownPercent) || result.MaxDrawdown.DrawdownPercent.IsZero() {
			result = &results[i]
		}
	}

	return result
}

func addEventOutputToTime(events []eventOutputHolder, t time.Time, message string) []eventOutputHolder {
	for i := range events {
		if events[i].Time.Equal(t) {
			events[i].Events = append(events[i].Events, message)
			return events
		}
	}
	events = append(events, eventOutputHolder{Time: t, Events: []string{message}})
	return events
}

// 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 (s *Statistic) PrintAllEventsChronologically() {
	var results []eventOutputHolder
	log.Info(log.BackTester, "------------------Events-------------------------------------")
	var errs gctcommon.Errors
	for exch, x := range s.ExchangeAssetPairStatistics {
		for a, y := range x {
			for pair, currencyStatistic := range y {
				for i := range currencyStatistic.Events {
					switch {
					case currencyStatistic.Events[i].FillEvent != nil:
						direction := currencyStatistic.Events[i].FillEvent.GetDirection()
						if direction == common.CouldNotBuy ||
							direction == common.CouldNotSell ||
							direction == common.DoNothing ||
							direction == common.MissingData ||
							direction == common.TransferredFunds ||
							direction == "" {
							results = addEventOutputToTime(results, currencyStatistic.Events[i].FillEvent.GetTime(),
								fmt.Sprintf("%v %v %v %v | Price: $%v - Direction: %v - Reason: %s",
									currencyStatistic.Events[i].FillEvent.GetTime().Format(gctcommon.SimpleTimeFormat),
									currencyStatistic.Events[i].FillEvent.GetExchange(),
									currencyStatistic.Events[i].FillEvent.GetAssetType(),
									currencyStatistic.Events[i].FillEvent.Pair(),
									currencyStatistic.Events[i].FillEvent.GetClosePrice().Round(8),
									currencyStatistic.Events[i].FillEvent.GetDirection(),
									currencyStatistic.Events[i].FillEvent.GetReason()))
						} else {
							results = addEventOutputToTime(results, currencyStatistic.Events[i].FillEvent.GetTime(),
								fmt.Sprintf("%v %v %v %v | Price: $%v - Amount: %v - Fee: $%v - Total: $%v - Direction %v - Reason: %s",
									currencyStatistic.Events[i].FillEvent.GetTime().Format(gctcommon.SimpleTimeFormat),
									currencyStatistic.Events[i].FillEvent.GetExchange(),
									currencyStatistic.Events[i].FillEvent.GetAssetType(),
									currencyStatistic.Events[i].FillEvent.Pair(),
									currencyStatistic.Events[i].FillEvent.GetPurchasePrice().Round(8),
									currencyStatistic.Events[i].FillEvent.GetAmount().Round(8),
									currencyStatistic.Events[i].FillEvent.GetExchangeFee().Round(8),
									currencyStatistic.Events[i].FillEvent.GetTotal().Round(8),
									currencyStatistic.Events[i].FillEvent.GetDirection(),
									currencyStatistic.Events[i].FillEvent.GetReason(),
								))
						}
					case currencyStatistic.Events[i].SignalEvent != nil:
						results = addEventOutputToTime(results, currencyStatistic.Events[i].SignalEvent.GetTime(),
							fmt.Sprintf("%v %v %v %v | Price: $%v - Reason: %v",
								currencyStatistic.Events[i].SignalEvent.GetTime().Format(gctcommon.SimpleTimeFormat),
								currencyStatistic.Events[i].SignalEvent.GetExchange(),
								currencyStatistic.Events[i].SignalEvent.GetAssetType(),
								currencyStatistic.Events[i].SignalEvent.Pair(),
								currencyStatistic.Events[i].SignalEvent.GetPrice().Round(8),
								currencyStatistic.Events[i].SignalEvent.GetReason()))
					case currencyStatistic.Events[i].DataEvent != nil:
						results = addEventOutputToTime(results, currencyStatistic.Events[i].DataEvent.GetTime(),
							fmt.Sprintf("%v %v %v %v | Price: $%v - Reason: %v",
								currencyStatistic.Events[i].DataEvent.GetTime().Format(gctcommon.SimpleTimeFormat),
								currencyStatistic.Events[i].DataEvent.GetExchange(),
								currencyStatistic.Events[i].DataEvent.GetAssetType(),
								currencyStatistic.Events[i].DataEvent.Pair(),
								currencyStatistic.Events[i].DataEvent.ClosePrice().Round(8),
								currencyStatistic.Events[i].DataEvent.GetReason()))
					default:
						errs = append(errs, fmt.Errorf("%v %v %v unexpected data received %+v", exch, a, pair, currencyStatistic.Events[i]))
					}
				}
			}
		}
	}

	sort.Slice(results, func(i, j int) bool {
		b1 := results[i]
		b2 := results[j]
		return b1.Time.Before(b2.Time)
	})
	for i := range results {
		for j := range results[i].Events {
			log.Info(log.BackTester, results[i].Events[j])
		}
	}
	if len(errs) > 0 {
		log.Info(log.BackTester, "------------------Errors-------------------------------------")
		for i := range errs {
			log.Error(log.BackTester, errs[i].Error())
		}
	}
}

// SetStrategyName sets the name for statistical identification
func (s *Statistic) SetStrategyName(name string) {
	s.StrategyName = name
}

// Serialise outputs the Statistic struct in json
func (s *Statistic) Serialise() (string, error) {
	resp, err := json.MarshalIndent(s, "", " ")
	if err != nil {
		return "", err
	}

	return string(resp), nil
}

// CalculateRatios creates arithmetic and geometric ratios from funding or currency pair data
func CalculateRatios(benchmarkRates, returnsPerCandle []decimal.Decimal, riskFreeRatePerCandle decimal.Decimal, maxDrawdown *Swing, logMessage string) (arithmeticStats, geometricStats *Ratios, err error) {
	var arithmeticBenchmarkAverage, geometricBenchmarkAverage decimal.Decimal
	arithmeticBenchmarkAverage, err = gctmath.DecimalArithmeticMean(benchmarkRates)
	if err != nil {
		return nil, nil, err
	}
	geometricBenchmarkAverage, err = gctmath.DecimalFinancialGeometricMean(benchmarkRates)
	if err != nil {
		return nil, nil, err
	}

	riskFreeRateForPeriod := riskFreeRatePerCandle.Mul(decimal.NewFromInt(int64(len(benchmarkRates))))

	var arithmeticReturnsPerCandle, geometricReturnsPerCandle, arithmeticSharpe, arithmeticSortino,
		arithmeticInformation, arithmeticCalmar, geomSharpe, geomSortino, geomInformation, geomCalmar decimal.Decimal

	arithmeticReturnsPerCandle, err = gctmath.DecimalArithmeticMean(returnsPerCandle)
	if err != nil {
		return nil, nil, err
	}
	geometricReturnsPerCandle, err = gctmath.DecimalFinancialGeometricMean(returnsPerCandle)
	if err != nil {
		return nil, nil, err
	}

	arithmeticSharpe, err = gctmath.DecimalSharpeRatio(returnsPerCandle, riskFreeRatePerCandle, arithmeticReturnsPerCandle)
	if err != nil {
		return nil, nil, err
	}
	arithmeticSortino, err = gctmath.DecimalSortinoRatio(returnsPerCandle, riskFreeRatePerCandle, arithmeticReturnsPerCandle)
	if err != nil && !errors.Is(err, gctmath.ErrNoNegativeResults) {
		if errors.Is(err, gctmath.ErrInexactConversion) {
			log.Warnf(log.BackTester, "%s funding arithmetic sortino ratio %v", logMessage, err)
		} else {
			return nil, nil, err
		}
	}
	arithmeticInformation, err = gctmath.DecimalInformationRatio(returnsPerCandle, benchmarkRates, arithmeticReturnsPerCandle, arithmeticBenchmarkAverage)
	if err != nil {
		return nil, nil, err
	}
	arithmeticCalmar, err = gctmath.DecimalCalmarRatio(maxDrawdown.Highest.Value, maxDrawdown.Lowest.Value, arithmeticReturnsPerCandle, riskFreeRateForPeriod)
	if err != nil {
		return nil, nil, err
	}

	arithmeticStats = &Ratios{}
	if !arithmeticSharpe.IsZero() {
		arithmeticStats.SharpeRatio = arithmeticSharpe
	}
	if !arithmeticSortino.IsZero() {
		arithmeticStats.SortinoRatio = arithmeticSortino
	}
	if !arithmeticInformation.IsZero() {
		arithmeticStats.InformationRatio = arithmeticInformation
	}
	if !arithmeticCalmar.IsZero() {
		arithmeticStats.CalmarRatio = arithmeticCalmar
	}

	geomSharpe, err = gctmath.DecimalSharpeRatio(returnsPerCandle, riskFreeRatePerCandle, geometricReturnsPerCandle)
	if err != nil {
		return nil, nil, err
	}
	geomSortino, err = gctmath.DecimalSortinoRatio(returnsPerCandle, riskFreeRatePerCandle, geometricReturnsPerCandle)
	if err != nil && !errors.Is(err, gctmath.ErrNoNegativeResults) {
		if errors.Is(err, gctmath.ErrInexactConversion) {
			log.Warnf(log.BackTester, "%s geometric sortino ratio %v", logMessage, err)
		} else {
			return nil, nil, err
		}
	}
	geomInformation, err = gctmath.DecimalInformationRatio(returnsPerCandle, benchmarkRates, geometricReturnsPerCandle, geometricBenchmarkAverage)
	if err != nil {
		return nil, nil, err
	}
	geomCalmar, err = gctmath.DecimalCalmarRatio(maxDrawdown.Highest.Value, maxDrawdown.Lowest.Value, geometricReturnsPerCandle, riskFreeRateForPeriod)
	if err != nil {
		return nil, nil, err
	}
	geometricStats = &Ratios{}
	if !arithmeticSharpe.IsZero() {
		geometricStats.SharpeRatio = geomSharpe
	}
	if !arithmeticSortino.IsZero() {
		geometricStats.SortinoRatio = geomSortino
	}
	if !arithmeticInformation.IsZero() {
		geometricStats.InformationRatio = geomInformation
	}
	if !arithmeticCalmar.IsZero() {
		geometricStats.CalmarRatio = geomCalmar
	}

	return arithmeticStats, geometricStats, nil
}