tsuz/go-pine

package backtest

import (
    "time"

    "github.com/tsuz/go-pine/pine"
)

type BackTestable interface {
    OnNextOHLCV(Strategy, pine.OHLCVSeries, map[string]interface{}) error
}

type BacktestResult struct {
    ClosedOrd         []Position
    NetProfit         float64
    PercentProfitable float64
    ProfitableTrades  int64
    TotalClosedTrades int64
}

// EntryOpts is additional entry options
type EntryOpts struct {
    Comment string

    // Limit price is used if this value is non nil. If it's nil, market order is executed
    Limit *float64

    OrdID string
    Side  Side
    Stop  string
    Qty   string
}

// Px generates a non nil float64
func Px(v float64) *float64 {
    v2 := &v
    return v2
}

type Side string

const (
    Long  Side = "long"
    Short Side = "short"
)

type Position struct {
    EntryPx   float64
    ExitPx    float64
    EntryTime time.Time
    ExitTime  time.Time
    EntrySide Side
    OrdID     string
}

func (p Position) Profit() float64 {
    switch p.EntrySide {
    case Long:
        return p.ExitPx / p.EntryPx
    case Short:
        return p.EntryPx / p.ExitPx
    }
    return 0
}

func (b *BacktestResult) CalculateNetProfit() {
    start := 1.0
    for _, v := range b.ClosedOrd {
        p := v.Profit()
        start = start * p
    }
    b.NetProfit = start
}