Added Round function and unit tests

backtesting.go

@@ -31,7 +31,7 @@ func Backtest(trader *Trader) {
 			trader.Tick()    // Allow the trader to process the current candlesticks.
 			broker.Advance() // Give the trader access to the next candlestick.
 		}
-		log.Println("Backtest complete. Opening report...")
+		log.Printf("Backtest completed on %d candles. Opening report...\n", trader.Stats().Dated.Len())
 		stats := trader.Stats()
 
 		page := components.NewPage()
@@ -40,11 +40,22 @@ func Backtest(trader *Trader) {
 		balChart := charts.NewLine()
 		balChart.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
 			Title:    "Balance",
-			Subtitle: fmt.Sprintf("%s %s %T  (took %.2f seconds) %s", trader.Symbol, trader.Frequency, trader.Strategy, time.Since(start).Seconds(), time.Now().Format(time.DateTime)),
+			Subtitle: fmt.Sprintf("%s %s %T  %s (took %.2f seconds)", trader.Symbol, trader.Frequency, trader.Strategy, time.Now().Format(time.DateTime), time.Since(start).Seconds()),
+		}), charts.WithTooltipOpts(opts.Tooltip{
+			Show:      true,
+			Trigger:   "axis",
+			TriggerOn: "mousemove|click",
+		}), charts.WithYAxisOpts(opts.YAxis{
+			AxisLabel: &opts.AxisLabel{
+				Show:      true,
+				Formatter: "${value}",
+			},
 		}))
 		balChart.SetXAxis(seriesStringArray(stats.Dated.Dates())).
-			AddSeries("Equity", lineDataFromSeries(stats.Dated.Series("Equity"))).
-			AddSeries("Drawdown", lineDataFromSeries(stats.Dated.Series("Drawdown")))
+			AddSeries("Equity", lineDataFromSeries(stats.Dated.Series("Equity")), func(s *charts.SingleSeries) {
+			}).
+			AddSeries("Profit", lineDataFromSeries(stats.Dated.Series("Profit")))
+			// AddSeries("Drawdown", lineDataFromSeries(stats.Dated.Series("Drawdown")))
 
 		// Sort Returns by value.
 		// Plot returns as a bar chart.
@@ -83,6 +94,11 @@ func Backtest(trader *Trader) {
 		returnsChart.SetGlobalOptions(charts.WithTitleOpts(opts.Title{
 			Title:    "Returns",
 			Subtitle: fmt.Sprintf("Average: $%.2f", avg),
+		}), charts.WithYAxisOpts(opts.YAxis{
+			AxisLabel: &opts.AxisLabel{
+				Show:      true,
+				Formatter: "${value}",
+			},
 		}))
 		returnsChart.SetXAxis(returnsLabels).
 			AddSeries("Returns", returnsBars)
@@ -122,16 +138,16 @@ func Backtest(trader *Trader) {
 	}
 }
 
-func barDataFromSeries(s Series) []opts.BarData {
-	if s == nil || s.Len() == 0 {
-		return []opts.BarData{}
-	}
-	data := make([]opts.BarData, s.Len())
-	for i := 0; i < s.Len(); i++ {
-		data[i] = opts.BarData{Value: s.Value(i)}
-	}
-	return data
-}
+// func barDataFromSeries(s Series) []opts.BarData {
+// 	if s == nil || s.Len() == 0 {
+// 		return []opts.BarData{}
+// 	}
+// 	data := make([]opts.BarData, s.Len())
+// 	for i := 0; i < s.Len(); i++ {
+// 		data[i] = opts.BarData{Value: s.Value(i)}
+// 	}
+// 	return data
+// }
 
 func lineDataFromSeries(s Series) []opts.LineData {
 	if s == nil || s.Len() == 0 {
@@ -139,7 +155,7 @@ func lineDataFromSeries(s Series) []opts.LineData {
 	}
 	data := make([]opts.LineData, s.Len())
 	for i := 0; i < s.Len(); i++ {
-		data[i] = opts.LineData{Value: s.Value(i)}
+		data[i] = opts.LineData{Value: Round(s.Value(i).(float64), 2)}
 	}
 	return data
 }
@@ -294,6 +310,14 @@ func (b *TestBroker) NAV() float64 {
 	return nav
 }
 
+func (b *TestBroker) PL() float64 {
+	var pl float64
+	for _, position := range b.positions {
+		pl += position.PL()
+	}
+	return pl
+}
+
 func (b *TestBroker) OpenOrders() []Order {
 	orders := make([]Order, 0, len(b.orders))
 	for _, order := range b.orders {

backtesting_test.go

@@ -1,7 +1,6 @@
 package autotrader
 
 import (
-	"math"
 	"strings"
 	"testing"
 	"time"
@@ -83,7 +82,7 @@ func TestBacktestingBrokerCandles(t *testing.T) {
 func TestBacktestingBrokerFunctions(t *testing.T) {
 	broker := NewTestBroker(nil, nil, 100_000, 20, 0, 0)
 
-	if broker.NAV() != 100_000 {
+	if !EqualApprox(broker.NAV(), 100_000) {
 		t.Errorf("Expected NAV to be 100_000, got %f", broker.NAV())
 	}
 }
@@ -155,15 +154,15 @@ func TestBacktestingBrokerOrders(t *testing.T) {
 		t.Errorf("Expected take profit to be 0, got %f", position.TakeProfit())
 	}
 
-	if broker.NAV() != 100_000 { // NAV should not change until the next candle
+	if !EqualApprox(broker.NAV(), 100_000) { // NAV should not change until the next candle
 		t.Errorf("Expected NAV to be 100_000, got %f", broker.NAV())
 	}
 
 	broker.Advance()                       // Advance broker to the next candle
-	if math.Round(position.PL()) != 2500 { // (1.2-1.15) * 50_000 = 2500
+	if !EqualApprox(position.PL(), 2500) { // (1.2-1.15) * 50_000 = 2500
 		t.Errorf("Expected position PL to be 2500, got %f", position.PL())
 	}
-	if math.Round(broker.NAV()) != 102_500 {
+	if !EqualApprox(broker.NAV(), 102_500) {
 		t.Errorf("Expected NAV to be 102_500, got %f", broker.NAV())
 	}
 
@@ -173,7 +172,10 @@ func TestBacktestingBrokerOrders(t *testing.T) {
 		t.Error("Expected position to be closed")
 	}
 	broker.Advance()
-	if broker.NAV() != 102_500 {
+	if !EqualApprox(broker.NAV(), 102_500) {
 		t.Errorf("Expected NAV to still be 102_500, got %f", broker.NAV())
 	}
+	if !EqualApprox(broker.PL(), 2500) {
+		t.Errorf("Expected broker PL to be 2500, got %f", broker.PL())
+	}
 }

broker.go

@@ -61,6 +61,7 @@ type Broker interface {
 	Candles(symbol string, frequency string, count int) (*DataFrame, error)
 	MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error)
 	NAV() float64 // NAV returns the net asset value of the account.
+	PL() float64  // PL returns the profit or loss of the account.
 	OpenOrders() []Order
 	OpenPositions() []Position
 	// Orders returns a slice of orders that have been placed with the broker. If an order has been canceled or

trader.go

@@ -88,6 +88,7 @@ func (t *Trader) Init() {
 	t.stats.Dated = NewDataFrame(
 		NewDataSeries(dataframe.NewSeriesTime("Date", nil)),
 		NewDataSeries(dataframe.NewSeriesFloat64("Equity", nil)),
+		NewDataSeries(dataframe.NewSeriesFloat64("Profit", nil)),
 		NewDataSeries(dataframe.NewSeriesFloat64("Drawdown", nil)),
 		NewDataSeries(dataframe.NewSeriesFloat64("Returns", nil)),
 	)
@@ -104,9 +105,10 @@ func (t *Trader) Tick() {
 	t.Strategy.Next(t) // Run the strategy.
 
 	// Update the stats.
-	t.stats.Dated.PushValues(map[string]interface{}{
+	err := t.stats.Dated.PushValues(map[string]interface{}{
 		"Date":   t.data.Date(-1),
 		"Equity": t.Broker.NAV(),
+		"Profit": t.Broker.PL(),
 		"Drawdown": func() float64 {
 			var bal float64
 			if t.stats.Dated.Len() > 0 {
@@ -124,6 +126,9 @@ func (t *Trader) Tick() {
 			}
 		}(),
 	})
+	if err != nil {
+		log.Printf("error pushing values to stats dataframe: %v\n", err.Error())
+	}
 	t.stats.returnsThisCandle = 0
 }
 

utils.go

@@ -1,13 +1,14 @@
 package autotrader
 
 import (
+	"math"
 	"os/exec"
 	"runtime"
 
 	"golang.org/x/exp/constraints"
 )
 
-const floatComparisonTolerance = float64(1e-6)
+const float64Tolerance = float64(1e-6)
 
 // Crossover returns true if the latest a value crosses above the latest b value, but only if it just happened. For example, if a series is [1, 2, 3, 4, 5] and b series is [1, 2, 3, 4, 3], then Crossover(a, b) returns false because the latest a value is 5 and the latest b value is 3. However, if a series is [1, 2, 3, 4, 5] and b series is [1, 2, 3, 4, 6], then Crossover(a, b) returns true because the latest a value is 5 and the latest b value is 6
 func Crossover(a, b Series) bool {
@@ -22,8 +23,28 @@ func EasyIndex(i, n int) int {
 	return i
 }
 
+// EqualApprox returns true if a and b are approximately equal. NaN and Inf are handled correctly. The tolerance is 1e-6 or 0.0000001.
 func EqualApprox(a, b float64) bool {
-	return Abs(a-b) < floatComparisonTolerance
+	if math.IsNaN(a) || math.IsNaN(b) {
+		return math.IsNaN(a) && math.IsNaN(b)
+	} else if math.IsInf(a, 1) || math.IsInf(b, 1) {
+		return math.IsInf(a, 1) && math.IsInf(b, 1)
+	} else if math.IsInf(a, -1) || math.IsInf(b, -1) {
+		return math.IsInf(a, -1) && math.IsInf(b, -1)
+	}
+	return math.Abs(a-b) <= float64Tolerance
+}
+
+// Round returns f rounded to d decimal places. d may be negative to round to the left of the decimal point.
+//
+// Examples:
+//
+//	Round(123.456, 0) // 123.0
+//	Round(123.456, 1) // 123.5
+//	Round(123.456, -1) // 120.0
+func Round(f float64, d int) float64 {
+	ratio := math.Pow10(d)
+	return math.Round(f*ratio) / ratio
 }
 
 func Abs[T constraints.Integer | constraints.Float](a T) T {

utils_test.go

@@ -0,0 +1,51 @@
+package autotrader
+
+import (
+	"math"
+	"testing"
+)
+
+func TestEqualApprox(t *testing.T) {
+	if !EqualApprox(0.0000000, float64Tolerance/10) { // 1e-6
+		t.Error("Expected 0.0000000 to be approximately equal to 0.0000001")
+	}
+	if EqualApprox(0.0000000, float64Tolerance+float64Tolerance/10) {
+		t.Error("Expected 0.0000000 to not be approximately equal to 0.0000011")
+	}
+	if !EqualApprox(math.NaN(), math.NaN()) {
+		t.Error("Expected NaN to be approximately equal to NaN")
+	}
+	if EqualApprox(math.NaN(), 0) {
+		t.Error("Expected NaN to not be approximately equal to 0")
+	}
+	if !EqualApprox(math.Inf(1), math.Inf(1)) {
+		t.Error("Expected Inf to be approximately equal to Inf")
+	}
+	if EqualApprox(math.Inf(-1), math.Inf(1)) {
+		t.Error("Expected -Inf to not be approximately equal to Inf")
+	}
+	if EqualApprox(1, 2) {
+		t.Error("Expected 1 to not be approximately equal to 2")
+	}
+	if !EqualApprox(0.3, 0.6/2) {
+		t.Errorf("Expected 0.3 to be approximately equal to %f", 6.0/2)
+	}
+}
+
+func TestRound(t *testing.T) {
+	if Round(0.1234567, 0) != 0 {
+		t.Error("Expected 0.1234567 to round to 0")
+	}
+	if Round(0.1234567, 1) != 0.1 {
+		t.Error("Expected 0.1234567 to round to 0.1")
+	}
+	if Round(0.1234567, 2) != 0.12 {
+		t.Error("Expected 0.1234567 to round to 0.12")
+	}
+	if Round(0.128, 2) != 0.13 {
+		t.Error("Expected 0.128 to round to 0.13")
+	}
+	if Round(12.34, -1) != 10 {
+		t.Error("Expected 12.34 to round to 10")
+	}
+}