Slippage and more statistics

backtesting.go

@@ -7,6 +7,7 @@ import (
 	"os"
 	"strconv"
 	"strings"
+	"text/tabwriter"
 	"time"
 
 	"github.com/go-echarts/go-echarts/v2/charts"
@@ -39,6 +40,29 @@ func Backtest(trader *Trader) {
 		log.Printf("Backtest completed on %d candles. Opening report...\n", trader.Stats().Dated.Len())
 		stats := trader.Stats()
 
+		// Divide net profit by maximum drawdown to get the profit factor.
+		var maxDrawdown float64
+		stats.Dated.Series("Drawdown").ForEach(func(i int, val any) {
+			f := val.(float64)
+			if f > maxDrawdown {
+				maxDrawdown = f
+			}
+		})
+		profit := stats.Dated.Float("Profit", -1)
+		profitFactor := stats.Dated.Float("Profit", -1) / maxDrawdown
+		maxDrawdownPct := 100 * maxDrawdown / stats.Dated.Float("Equity", 0)
+
+		// Print a summary of the statistics to the console.
+		{
+			w := tabwriter.NewWriter(os.Stdout, 0, 0, 1, ' ', 0)
+			fmt.Fprintln(w)
+			fmt.Fprintf(w, "Net Profit:\t$%.2f (%.2f%%)\t\n", profit, 100*profit/stats.Dated.Float("Equity", 0))
+			fmt.Fprintf(w, "Profit Factor:\t%.2f\t\n", profitFactor)
+			fmt.Fprintf(w, "Max Drawdown:\t$%.2f (%.2f%%)\t\n", maxDrawdown, maxDrawdownPct)
+			fmt.Fprintln(w)
+			w.Flush()
+		}
+
 		// Pick a datetime layout based on the frequency.
 		dateLayout := time.DateTime
 		if strings.Contains(trader.Frequency, "S") { // Seconds
@@ -302,12 +326,25 @@ type TestBroker struct {
 	Cash       float64
 	Leverage   float64
 	Spread     float64 // Number of pips to add to the price when buying and subtract when selling. (Forex)
+	Slippage   float64 // A percentage of the price to add when buying and subtract when selling.
 
 	candleCount int // The number of candles anyone outside this broker has seen. Also equal to the number of times Candles has been called.
 	orders      []Order
 	positions   []Position
 }
 
+func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
+	return &TestBroker{
+		DataBroker:  dataBroker,
+		Data:        data,
+		Cash:        cash,
+		Leverage:    Max(leverage, 1),
+		Spread:      spread,
+		Slippage:    0.005, // Price +/- 0.5%
+		candleCount: Max(startCandles, 1),
+	}
+}
+
 // CandleIndex returns the index of the current candle.
 func (b *TestBroker) CandleIndex() int {
 	return Max(b.candleCount-1, 0)
@@ -321,6 +358,16 @@ func (b *TestBroker) Advance() {
 	}
 }
 
+// Bid returns the price a seller pays for the current candle.
+func (b *TestBroker) Bid(_ string) float64 {
+	return b.Data.Close(b.CandleIndex())
+}
+
+// Ask returns the price a buyer pays for the current candle.
+func (b *TestBroker) Ask(_ string) float64 {
+	return b.Data.Close(b.CandleIndex()) + b.Spread
+}
+
 // Candles returns the last count candles for the given symbol and frequency. If count is greater than the number of candles, then a dataframe with zero rows is returned.
 //
 // If the TestBroker has a data broker set, then it will use that to get candles. Otherwise, it will return the candles from the data that was set. The first call to Candles will fetch candles from the data broker if it is set, so it is recommended to set the data broker before the first call to Candles and to call Candles the first time with the number of candles you want to fetch.
@@ -352,7 +399,16 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
 			return nil, err
 		}
 	}
-	price := b.Data.Close(b.CandleIndex()) // Get the last close price.
+
+	var price float64
+	if units < 0 {
+		price = b.Bid("")
+	} else {
+		price = b.Ask("")
+	}
+
+	slippage := rand.Float64() * b.Slippage * price
+	price += slippage - slippage/2 // Get a slippage as +/- 50% of the slippage.
 
 	order := &TestOrder{
 		id:         strconv.Itoa(rand.Int()),
@@ -436,17 +492,6 @@ func (b *TestBroker) Positions() []Position {
 	return b.positions
 }
 
-func NewTestBroker(dataBroker Broker, data *DataFrame, cash, leverage, spread float64, startCandles int) *TestBroker {
-	return &TestBroker{
-		DataBroker:  dataBroker,
-		Data:        data,
-		Cash:        cash,
-		Leverage:    Max(leverage, 1),
-		Spread:      spread,
-		candleCount: Max(startCandles, 1),
-	}
-}
-
 type TestPosition struct {
 	broker     *TestBroker
 	closed     bool
@@ -466,7 +511,11 @@ func (p *TestPosition) Close() error {
 		return ErrPositionClosed
 	}
 	p.closed = true
-	p.closePrice = p.broker.Data.Close(p.broker.CandleIndex()) - p.broker.Spread // Get the last close price.
+	if p.units < 0 {
+		p.closePrice = p.broker.Ask("") // Ask because we are short so we have to buy.
+	} else {
+		p.closePrice = p.broker.Bid("") // Ask because we are long so we have to sell.
+	}
 	p.broker.Cash += p.Value() // Return the value of the position to the broker.
 	p.broker.SignalEmit("PositionClosed", p)
 	return nil
@@ -524,8 +573,13 @@ func (p *TestPosition) Value() float64 {
 	if p.closed {
 		return p.closePrice * p.units
 	}
-	bid := p.broker.Data.Close(p.broker.CandleIndex()) - p.broker.Spread
+	var price float64
-	return bid * p.units
+	if p.units < 0 {
+		price = p.broker.Ask("")
+	} else {
+		price = p.broker.Bid("")
+	}
+	return price * p.units
 }
 
 type TestOrder struct {

backtesting_test.go

@@ -90,6 +90,7 @@ func TestBacktestingBrokerFunctions(t *testing.T) {
 func TestBacktestingBrokerOrders(t *testing.T) {
 	data := newTestingDataframe()
 	broker := NewTestBroker(nil, data, 100_000, 50, 0, 0)
+	broker.Slippage = 0
 
 	timeBeforeOrder := time.Now()
 	order, err := broker.MarketOrder("EUR_USD", 50_000, 0, 0) // Buy 50,000 USD for 1000 EUR with no stop loss or take profit

broker.go

@@ -57,6 +57,8 @@ type Position interface {
 //   - PositionClosed(Position) - Emitted after a position is closed either manually or automatically.
 type Broker interface {
 	Signaler
+	Bid(symbol string) float64 // Bid returns the sell price of the symbol.
+	Ask(symbol string) float64 // Ask returns the buy price of the symbol, which is typically higher than the sell price.
 	// Candles returns a dataframe of candles for the given symbol, frequency, and count by querying the broker.
 	Candles(symbol, frequency string, count int) (*DataFrame, error)
 	MarketOrder(symbol string, units, stopLoss, takeProfit float64) (Order, error)

oanda/oanda.go

@@ -42,6 +42,14 @@ func NewOandaBroker(token, accountID string, practice bool) *OandaBroker {
 	}
 }
 
+func (b *OandaBroker) Bid(symbol string) float64 {
+	return 0
+}
+
+func (b *OandaBroker) Ask(symbol string) float64 {
+	return 0
+}
+
 func (b *OandaBroker) Candles(symbol, frequency string, count int) (*auto.DataFrame, error) {
 	req, err := http.NewRequest("GET", b.baseUrl+"/v3/accounts/"+b.accountID+"/instruments/"+symbol+"/candles", nil)
 	if err != nil {

series.go

@@ -46,6 +46,7 @@ type Series interface {
 	Filter(f func(i int, val any) bool) Series    // Where returns a new Series with only the values that return true for the given function.
 	Map(f func(i int, val any) any) Series        // Map returns a new Series with the values modified by the given function.
 	MapReverse(f func(i int, val any) any) Series // MapReverse is the same as Map but it starts from the last item and works backwards.
+	ForEach(f func(i int, val any)) Series        // ForEach calls f for each item in the Series.
 
 	// Statistical functions.
 
@@ -128,6 +129,11 @@ func (s *AppliedSeries) MapReverse(f func(i int, val any) any) Series {
 	return NewAppliedSeries(s.Series.MapReverse(f), s.apply)
 }
 
+func (s *AppliedSeries) ForEach(f func(i int, val any)) Series {
+	_ = s.Series.ForEach(f)
+	return s
+}
+
 func (s *AppliedSeries) WithValueFunc(value func(i int) any) Series {
 	return &AppliedSeries{Series: s.Series.WithValueFunc(value), apply: s.apply}
 }
@@ -189,6 +195,11 @@ func (s *RollingSeries) MapReverse(f func(i int, val any) any) Series {
 	return NewRollingSeries(s.Series.MapReverse(f), s.period)
 }
 
+func (s *RollingSeries) ForEach(f func(i int, val any)) Series {
+	_ = s.Series.ForEach(f)
+	return s
+}
+
 // Average is an alias for Mean.
 func (s *RollingSeries) Average() *AppliedSeries {
 	return s.Mean()
@@ -531,6 +542,13 @@ func (s *DataSeries) MapReverse(f func(i int, val any) any) Series {
 	return series
 }
 
+func (s *DataSeries) ForEach(f func(i int, val any)) Series {
+	for i := 0; i < s.Len(); i++ {
+		f(i, s.value(i))
+	}
+	return s
+}
+
 func (s *DataSeries) Rolling(period int) *RollingSeries {
 	return NewRollingSeries(s, period)
 }