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oprava rel profit + exit protection

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This commit is contained in:
David Brazda
2023-11-16 17:09:27 +01:00
parent ce24c43218
commit cc64026ade
8 changed files with 72 additions and 38 deletions
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6
v2realbot/controller/services.py
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@ -669,7 +669,7 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
res["profit"]["batch_sum_rel_profit"] = inter_batch_params["batch_rel_profit"]
#rel_profit zprumerovane
res["profit"]["daily_rel_profit_avg"] = float(np.mean(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
res["profit"]["daily_rel_profit_avg"] = float(np.sum(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#rel_profit rozepsane zisky
res["profit"]["daily_rel_profit_list"] = strat.state.rel_profit_cum
@ -728,7 +728,7 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
mpt_string = "PT"+str(max_profit_time.hour)+":"+str(max_profit_time.minute) if max_profit_time is not None else ""
mlt_string ="LT"+str(max_loss_time.hour)+":"+str(max_loss_time.minute) if max_loss_time is not None else ""
rp_string = "RP" + str(float(np.mean(strat.state.rel_profit_cum))) if len(strat.state.rel_profit_cum) >0 else "noRP"
rp_string = "RP" + str(float(np.sum(strat.state.rel_profit_cum))) if len(strat.state.rel_profit_cum) >0 else "noRP"
##summary pro rychle zobrazeni P333L-222 PT9:30 PL10:30
res["profit"]["sum"]="P"+str(int(max_profit))+"L"+str(int(max_loss))+" "+ mpt_string+" " + mlt_string + rp_string + " "+str(strat.state.rel_profit_cum)
@ -768,7 +768,7 @@ def archive_runner(runner: Runner, strat: StrategyInstance, inter_batch_params:
#add profit of this batch iteration to batch_sum_profit
if inter_batch_params is not None:
inter_batch_params["batch_profit"] += round(float(strat.state.profit),2)
inter_batch_params["batch_rel_profit"] += float(np.mean(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
inter_batch_params["batch_rel_profit"] += float(np.sum(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#WIP

2
v2realbot/static/js/libs/prism/prism-log.js
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@ -36,7 +36,7 @@ Prism.languages.log = {
alias: ['info', 'keyword']
},
{
pattern: /\b(?:DBG|DEBUG|FINE|REVERSE|ADD|EXITADD|SIGNAL|PRECOND)\b/,
pattern: /\b(?:DBG|DEBUG|FINE|REVERSE|ADD|EXITADD|DONT_EXIT|SIGNAL|PRECOND)\b/,
alias: ['debug', 'keyword']
},
{

23
v2realbot/strategy/StrategyClassicSL.py
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@ -36,35 +36,34 @@ class StrategyClassicSL(Strategy):
max_sum_profit_to_quit_rel = safe_get(self.state.vars, "max_sum_profit_to_quit_rel", None)
max_sum_loss_to_quit_rel = safe_get(self.state.vars, "max_sum_loss_to_quit_rel", None)
rel_profit = round(float(np.sum(self.state.rel_profit_cum)),5)
if max_sum_profit_to_quit_rel is not None:
rel_profit = round(float(np.mean(self.state.rel_profit_cum)),5)
if rel_profit >= float(max_sum_profit_to_quit_rel):
self.state.ilog(e=f"QUITTING MAX SUM REL PROFIT REACHED {max_sum_profit_to_quit_rel=} {self.state.profit=} {rel_profit=}")
self.state.ilog(e=f"QUITTING MAX SUM REL PROFIT REACHED {max_sum_profit_to_quit_rel=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.state.vars.pending = "max_sum_profit_to_quit_rel"
send_to_telegram(f"QUITTING MAX SUM REL PROFIT REACHED {max_sum_profit_to_quit_rel=} {self.state.profit=} {rel_profit=}")
send_to_telegram(f"QUITTING MAX SUM REL PROFIT REACHED {max_sum_profit_to_quit_rel=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.se.set()
return True
if max_sum_loss_to_quit_rel is not None:
rel_profit = round(float(np.mean(self.state.rel_profit_cum)),5)
if rel_profit < 0 and rel_profit <= float(max_sum_loss_to_quit_rel):
self.state.ilog(e=f"QUITTING MAX SUM REL LOSS REACHED {max_sum_loss_to_quit_rel=} {self.state.profit=} {rel_profit=}")
self.state.ilog(e=f"QUITTING MAX SUM REL LOSS REACHED {max_sum_loss_to_quit_rel=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.state.vars.pending = "max_sum_loss_to_quit_rel"
send_to_telegram(f"QUITTING MAX SUM REL LOSS REACHED {max_sum_loss_to_quit_rel=} {self.state.profit=} {rel_profit=}")
send_to_telegram(f"QUITTING MAX SUM REL LOSS REACHED {max_sum_loss_to_quit_rel=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.se.set()
return True
if max_sum_profit_to_quit is not None:
if float(self.state.profit) >= float(max_sum_profit_to_quit):
self.state.ilog(e=f"QUITTING MAX SUM ABS PROFIT REACHED {max_sum_profit_to_quit=} {self.state.profit=} {rel_profit=}")
self.state.ilog(e=f"QUITTING MAX SUM ABS PROFIT REACHED {max_sum_profit_to_quit=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.state.vars.pending = "max_sum_profit_to_quit"
send_to_telegram(f"QUITTING MAX SUM ABS PROFIT REACHED {max_sum_profit_to_quit=} {self.state.profit=} {rel_profit=}")
send_to_telegram(f"QUITTING MAX SUM ABS PROFIT REACHED {max_sum_profit_to_quit=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.se.set()
return True
if max_sum_loss_to_quit is not None:
if float(self.state.profit) < 0 and float(self.state.profit) <= float(max_sum_loss_to_quit):
self.state.ilog(e=f"QUITTING MAX SUM ABS LOSS REACHED {max_sum_loss_to_quit=} {self.state.profit=} {rel_profit=}")
self.state.ilog(e=f"QUITTING MAX SUM ABS LOSS REACHED {max_sum_loss_to_quit=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.state.vars.pending = "max_sum_loss_to_quit"
send_to_telegram(f"QUITTING MAX SUM ABS LOSS REACHED {max_sum_loss_to_quit=} {self.state.profit=} {rel_profit=}")
send_to_telegram(f"QUITTING MAX SUM ABS LOSS REACHED {max_sum_loss_to_quit=} {self.state.profit=} {rel_profit=} relprofits:{str(self.state.rel_profit_cum)}")
self.se.set()
return True
@ -135,7 +134,7 @@ class StrategyClassicSL(Strategy):
#TODO pokud mame partial exit, tak se spravne vypocita relativni profit, ale
# je jen na mensi mnozszvi take z nej delat cum_calculate je blbost - OPRAVIT
self.state.rel_profit_cum.append(rel_profit)
rel_profit_cum_calculated = round(np.mean(self.state.rel_profit_cum),5)
rel_profit_cum_calculated = round(np.sum(self.state.rel_profit_cum),5)
self.state.ilog(e=f"BUY notif - SHORT PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum=str(self.state.rel_profit_cum), bought_amount=bought_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
@ -264,7 +263,7 @@ class StrategyClassicSL(Strategy):
#pokud jde o finalni FILL - pridame do pole relativnich profit (ze ktereho se pocita kumulativni relativni profit)
if data.event == TradeEvent.FILL:
self.state.rel_profit_cum.append(rel_profit)
rel_profit_cum_calculated = round(np.mean(self.state.rel_profit_cum),5)
rel_profit_cum_calculated = round(np.sum(self.state.rel_profit_cum),5)
self.state.ilog(e=f"SELL notif - PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum = str(self.state.rel_profit_cum), sold_amount=sold_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))

1
v2realbot/strategy/base.py
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@ -706,6 +706,7 @@ class StrategyState:
self.resolution = None
self.runner_id = runner_id
self.bt = bt
self.dont_exit_already_activated = False
self.ilog_save = ilog_save
self.sl_optimizer_short = optimsl.SLOptimizer(ptm.TradeDirection.SHORT)
self.sl_optimizer_long = optimsl.SLOptimizer(ptm.TradeDirection.LONG)

1
v2realbot/strategyblocks/activetrade/close/close_position.py
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@ -38,6 +38,7 @@ def close_position(state, data, direction: TradeDirection, reason: str, followup
#pri uzavreni tradu zapisujeme SL history - lepsi zorbazeni v grafu
insert_SL_history(state)
state.dont_exit_already_activated = False
state.vars.pending = state.vars.activeTrade.id
state.vars.activeTrade = None
state.vars.last_exit_index = data["index"]

59
v2realbot/strategyblocks/activetrade/close/conditions.py
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@ -21,34 +21,53 @@ def dontexit_protection_met(state, data, direction: TradeDirection):
else:
smer = "short"
mother_signal = state.vars.activeTrade.generated_by
#zapracovana optimalizace, kdy po aktivovanem DONTEXITU to opet klesne pod profit a neprodá se
#vyreseno pri kazde aktivaci se vyplni flag already_activated
#pri naslednem false podminky se v pripade, ze je aktivovany flag posle True -
#take se vyrusi v closu
def process_result(result):
if result:
state.dont_exit_already_activated = True
return True
else:
return False
if mother_signal is not None:
#TESTUJEME DONT_EXIT_
cond_dict = state.vars.conditions[KW.dont_exit][mother_signal][smer]
def evaluate_result():
mother_signal = state.vars.activeTrade.generated_by
if mother_signal is not None:
#TESTUJEME DONT_EXIT_
cond_dict = state.vars.conditions[KW.dont_exit][mother_signal][smer]
#OR
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "OR")
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict, already_activated=str(state.dont_exit_already_activated))
if result:
return True
#OR neprosly testujeme AND
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "AND")
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict, already_activated=str(state.dont_exit_already_activated))
if result:
return True
cond_dict = state.vars.conditions[KW.dont_exit]["common"][smer]
#OR
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "OR")
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict)
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict, already_activated=str(state.dont_exit_already_activated))
if result:
return True
#OR neprosly testujeme AND
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "AND")
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
if result:
return True
cond_dict = state.vars.conditions[KW.dont_exit]["common"][smer]
#OR
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "OR")
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict)
if result:
return True
#OR neprosly testujeme AND
result, conditions_met = evaluate_directive_conditions(state, cond_dict, "AND")
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
return result
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict, already_activated=str(state.dont_exit_already_activated))
return result
#nejprve evaluujeme vsechny podminky
result = evaluate_result()
#pak evaluujeme vysledek a vracíme
return process_result(result)
def exit_conditions_met(state, data, direction: TradeDirection):
if direction == TradeDirection.LONG:

16
v2realbot/strategyblocks/activetrade/close/evaluate_close.py
View File

@ -96,6 +96,13 @@ def eval_close_position(state: StrategyState, data):
if max_price_signal or dontexit_protection_met(state=state, data=data,direction=TradeDirection.SHORT) is False:
close_position(state=state, data=data, direction=TradeDirection.SHORT, reason=f"PROFIT or MAXPROFIT REACHED {max_price_signal=}")
return
#pokud je cena horsi, ale byla uz dont exit aktivovany - pak prodavame také
elif state.dont_exit_already_activated == True:
#TODO toto mozna take na direktivu, timto neprodavame pokud porkacuje trend - EXIT_PROT_BOUNCE_IMMEDIATE
#if dontexit_protection_met(state=state, data=data,direction=TradeDirection.SHORT) is False:
close_position(state=state, data=data, direction=TradeDirection.SHORT, reason=f"EXIT PROTECTION BOUNCE {state.dont_exit_already_activated=}")
state.dont_exit_already_activated = False
return
#FORCED EXIT PRI KONCI DNE
if eod_exit_activated(state, data, TradeDirection.SHORT):
@ -177,7 +184,14 @@ def eval_close_position(state: StrategyState, data):
if max_price_signal or dontexit_protection_met(state, data, direction=TradeDirection.LONG) is False:
close_position(state=state, data=data, direction=TradeDirection.LONG, reason=f"PROFIT or MAXPROFIT REACHED {max_price_signal=}")
return
#pokud je cena horsi, ale byl uz dont exit aktivovany - pak prodavame také
elif state.dont_exit_already_activated == True:
#TODO toto mozna take na direktivu, timto neprodavame pokud porkacuje trend - EXIT_PROT_BOUNCE_IMMEDIATE
# if dontexit_protection_met(state=state, data=data,direction=TradeDirection.LONG) is False:
close_position(state=state, data=data, direction=TradeDirection.LONG, reason=f"EXIT PROTECTION BOUNCE {state.dont_exit_already_activated=}")
state.dont_exit_already_activated = False
return
#FORCED EXIT PRI KONCI DNE
if eod_exit_activated(state, data, TradeDirection.LONG):
close_position(state=state, data=data, direction=TradeDirection.LONG, reason="EOD EXIT ACTIVATED")

2
v2realbot/strategyblocks/indicators/indicators_hub.py
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@ -55,7 +55,7 @@ def populate_all_indicators(data, state: StrategyState):
#TODO tento lof patri spis do nextu classic SL - je poplatny typu stratefie
#TODO na toto se podivam, nejak moc zajasonovani a zpatky -
#PERF PROBLEM
state.ilog(lvl=1,e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value if state.vars.activeTrade is not None else None} GP:{state.vars.activeTrade.goal_price if state.vars.activeTrade is not None else None} profit:{round(float(state.profit),2)} profit_rel:{round(np.mean(state.rel_profit_cum),6) if len(state.rel_profit_cum)>0 else 0} Trades:{len(state.tradeList)} pend:{state.vars.pending}", rel_profit_cum=str(state.rel_profit_cum), activeTrade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)), prescribedTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)), pending=str(state.vars.pending))
state.ilog(lvl=1,e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value if state.vars.activeTrade is not None else None} GP:{state.vars.activeTrade.goal_price if state.vars.activeTrade is not None else None} profit:{round(float(state.profit),2)} profit_rel:{round(np.sum(state.rel_profit_cum),6) if len(state.rel_profit_cum)>0 else 0} Trades:{len(state.tradeList)} pend:{state.vars.pending}", rel_profit_cum=str(state.rel_profit_cum), activeTrade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)), prescribedTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)), pending=str(state.vars.pending))
#kroky pro CONFIRMED BAR only
if conf_bar == 1: