askmike
commented
6 years ago This is what I am currently thinking:
You are 100% right that the current PnL representation (as well as order execution of swapping 100% of the balance back and forth) is very limited. However it also keeps things simple to understand for everyone. See for example the difference between an exchange like Poloniex and an exchange like Bitmex. You definitely have a ton more control and statistics in the latter, but this is at the cost of requiring a deeper understanding of finance (math).
I am liking your proposal however, I don't want to make the current one more complex for everyone. What about some kind of an advanced mode? I think the majority of Gekko users are people getting into automated trading, it's really meant as a starterskit and I don't want to raise the entry bar even higher.
Can we move this discussion to the forum?
hilkoc
Improved PnL reporting (Feature Request)
The PnL reporting in Gekko is based on 'round trips'. This is nice because it keeps things simple, but is also limiting Gekko's capabilities. As a prerequisite for enabling strategies in Gekko to trade parts of the balance, a more flexible PnL reporting is needed.
Here is a proposal for how to implement this. It is really quite simple and can be done in 10 min in a spread sheet.
PnL is reported per currency pair. For a currency pair we refer to the left hand side as base or asset and to the right hand side as term or currency. To report PnL correctly, we set up a table with the history of all trades, and next to each trade the current position and PnL.
The first two are trade columns. They record what was traded. The middle columns show the current position, which is derived from the two trade columns. The last three columns indicate the PnL. The PnL is calculated based on the market price, i.e. last traded price, which is stored in the first column.
An example for BTCUSD would look like this:
The meaning of each column is as follows
Price : The price at which was traded, in units of term currency.
Signed Volume: The amount in base that was traded. Positive for buy, negative for sell. In units of base currency.
Position : The total amount of base currency in the portfolio. In units of base currency. = Total Sum of all signed volume up to and including this trade = Previous position + Signed Volume.
Average Open : The volume weighted average price of all buy trades at which the Position was bought. In units of term currency. For two trades with volumes v1, v2 at prices p1, p2 this is Average Open = (v1 p1 + v2 p2) / (v1 + v2). Important is that all volumes have the same sign, e.g. v1 > 0 and v2 > 0. The sum must include all previous buy trades. To incrementally calculate this one simply takes v1 = the previous position and p1 the previous 'Average Open' and v2 = volume of current trade and p2 the current price. If the traded volume is negative, i.e. it is a sell trade. The average open is not updated, it stays equal to its previous value.
Invested : = Position * Average Open. In units of term currency.
Current Value: = Position * Price (term). In units of term currency.
Cash PnL : In units of term currency. This only occurs for Sell trades. For buy trades this is by definition set equal to zero. For a sell trade it is calculated as Abs(Signed Volume) * ( Price (term) - Average Open). Conceptually this is the amount of profit taken (or loss taken) by closing out a part of the position.
PnL (term): = Current Value - Invested. In units of term currency.
PnL % : = Price / Average Open - 1.
The final cumulative PnL would be the sum of all the Cash PnL plus the amount of PnL (term) in the last row (i.e. the Cash PnL for closing out the position).
The above definitions assume long positions only. If one also considers the possibility of naked short positions, i.e. where total Position is negative, things become slightly more complicated. We will not go into details here.
Show a thumbs up if you'd want this feature. If there's enough enthusiasm for this I might have a go at implementing this myself.