Data report is added. (#218)

# Describe Request

Data report is added to enable the backtest results to be
programmatically accessed.

Fixed #217

# Change Type

New feature.

backtest/README.md

@@ -25,9 +25,18 @@ The information provided on this project is strictly for informational purposes
 ## Index
 
 - [Constants](<#constants>)
+- [func RegisterReportBuilder\(name string, builder ReportBuilderFunc\)](<#RegisterReportBuilder>)
 - [type Backtest](<#Backtest>)
   - [func NewBacktest\(repository asset.Repository, report Report\) \*Backtest](<#NewBacktest>)
   - [func \(b \*Backtest\) Run\(\) error](<#Backtest.Run>)
+- [type DataReport](<#DataReport>)
+  - [func NewDataReport\(\) \*DataReport](<#NewDataReport>)
+  - [func \(d \*DataReport\) AssetBegin\(name string, strategies \[\]strategy.Strategy\) error](<#DataReport.AssetBegin>)
+  - [func \(\*DataReport\) AssetEnd\(\_ string\) error](<#DataReport.AssetEnd>)
+  - [func \(\*DataReport\) Begin\(\_ \[\]string, \_ \[\]strategy.Strategy\) error](<#DataReport.Begin>)
+  - [func \(\*DataReport\) End\(\) error](<#DataReport.End>)
+  - [func \(d \*DataReport\) Write\(assetName string, currentStrategy strategy.Strategy, snapshots \<\-chan \*asset.Snapshot, actions \<\-chan strategy.Action, outcomes \<\-chan float64\) error](<#DataReport.Write>)
+- [type DataStrategyResult](<#DataStrategyResult>)
 - [type HTMLReport](<#HTMLReport>)
   - [func NewHTMLReport\(outputDir string\) \*HTMLReport](<#NewHTMLReport>)
   - [func \(h \*HTMLReport\) AssetBegin\(name string, strategies \[\]strategy.Strategy\) error](<#HTMLReport.AssetBegin>)
@@ -36,6 +45,8 @@ The information provided on this project is strictly for informational purposes
   - [func \(h \*HTMLReport\) End\(\) error](<#HTMLReport.End>)
   - [func \(h \*HTMLReport\) Write\(assetName string, currentStrategy strategy.Strategy, snapshots \<\-chan \*asset.Snapshot, actions \<\-chan strategy.Action, outcomes \<\-chan float64\) error](<#HTMLReport.Write>)
 - [type Report](<#Report>)
+  - [func NewReport\(name, config string\) \(Report, error\)](<#NewReport>)
+- [type ReportBuilderFunc](<#ReportBuilderFunc>)
 
 
 ## Constants
@@ -61,6 +72,24 @@ const (
 )
 ```
 
+<a name="HTMLReportBuilderName"></a>
+
+```go
+const (
+    // HTMLReportBuilderName is the name for the HTML report builder.
+    HTMLReportBuilderName = "html"
+)
+```
+
+<a name="RegisterReportBuilder"></a>
+## func [RegisterReportBuilder](<https://github.com/cinar/indicator/blob/master/backtest/report_factory.go#L25>)
+
+```go
+func RegisterReportBuilder(name string, builder ReportBuilderFunc)
+```
+
+RegisterReportBuilder registers the given builder.
+
 <a name="Backtest"></a>
 ## type [Backtest](<https://github.com/cinar/indicator/blob/master/backtest/backtest.go#L43-L61>)
 
@@ -102,10 +131,100 @@ func (b *Backtest) Run() error
 
 Run executes a comprehensive performance evaluation of the designated strategies, applied to a specified collection of assets. In the absence of explicitly defined assets, encompasses all assets within the repository. Likewise, in the absence of explicitly defined strategies, encompasses all the registered strategies.
 
+<a name="DataReport"></a>
+## type [DataReport](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L32-L35>)
+
+DataReport is the bactest data report enablign programmatic access to the backtest results.
+
+```go
+type DataReport struct {
+    // Results are the backtest results for the assets.
+    Results map[string][]*DataStrategyResult
+}
+```
+
+<a name="NewDataReport"></a>
+### func [NewDataReport](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L38>)
+
+```go
+func NewDataReport() *DataReport
+```
+
+NewDataReport initializes a new data report instance.
+
+<a name="DataReport.AssetBegin"></a>
+### func \(\*DataReport\) [AssetBegin](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L50>)
+
+```go
+func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error
+```
+
+AssetBegin is called when backtesting for the given asset begins.
+
+<a name="DataReport.AssetEnd"></a>
+### func \(\*DataReport\) [AssetEnd](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L79>)
+
+```go
+func (*DataReport) AssetEnd(_ string) error
+```
+
+AssetEnd is called when backtesting for the given asset ends.
+
+<a name="DataReport.Begin"></a>
+### func \(\*DataReport\) [Begin](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L45>)
+
+```go
+func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error
+```
+
+Begin is called when the backtest begins.
+
+<a name="DataReport.End"></a>
+### func \(\*DataReport\) [End](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L84>)
+
+```go
+func (*DataReport) End() error
+```
+
+End is called when the backtest ends.
+
+<a name="DataReport.Write"></a>
+### func \(\*DataReport\) [Write](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L56>)
+
+```go
+func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error
+```
+
+Write writes the given strategy actions and outomes to the report.
+
+<a name="DataStrategyResult"></a>
+## type [DataStrategyResult](<https://github.com/cinar/indicator/blob/master/backtest/data_report.go#L14-L29>)
+
+DataStrategyResult is the strategy result.
+
+```go
+type DataStrategyResult struct {
+    // Asset is the asset name.
+    Asset string
+
+    // Strategy is the strategy instnace.
+    Strategy strategy.Strategy
+
+    // Outcome is the strategy outcome.
+    Outcome float64
+
+    // Action is the final action recommended by the strategy.
+    Action strategy.Action
+
+    // Transactions are the action recommendations.
+    Transactions []strategy.Action
+}
+```
+
 <a name="HTMLReport"></a>
 ## type [HTMLReport](<https://github.com/cinar/indicator/blob/master/backtest/html_report.go#L36-L53>)
 
-HTMLReport is the backtest HTML report interface.
+HTMLReport is the backtest HTML report.
 
 ```go
 type HTMLReport struct {
@@ -198,4 +317,22 @@ type Report interface {
 }
 ```
 
+<a name="NewReport"></a>
+### func [NewReport](<https://github.com/cinar/indicator/blob/master/backtest/report_factory.go#L30>)
+
+```go
+func NewReport(name, config string) (Report, error)
+```
+
+NewReport builds a new report by the given name type and the configuration.
+
+<a name="ReportBuilderFunc"></a>
+## type [ReportBuilderFunc](<https://github.com/cinar/indicator/blob/master/backtest/report_factory.go#L17>)
+
+ReportBuilderFunc defines a function to build a new report using the given configuration parameter.
+
+```go
+type ReportBuilderFunc func(config string) (Report, error)
+```
+
 Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)

backtest/data_report.go

@@ -0,0 +1,86 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package backtest
+
+import (
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+)
+
+// DataStrategyResult is the strategy result.
+type DataStrategyResult struct {
+	// Asset is the asset name.
+	Asset string
+
+	// Strategy is the strategy instnace.
+	Strategy strategy.Strategy
+
+	// Outcome is the strategy outcome.
+	Outcome float64
+
+	// Action is the final action recommended by the strategy.
+	Action strategy.Action
+
+	// Transactions are the action recommendations.
+	Transactions []strategy.Action
+}
+
+// DataReport is the bactest data report enablign programmatic access to the backtest results.
+type DataReport struct {
+	// Results are the backtest results for the assets.
+	Results map[string][]*DataStrategyResult
+}
+
+// NewDataReport initializes a new data report instance.
+func NewDataReport() *DataReport {
+	return &DataReport{
+		Results: make(map[string][]*DataStrategyResult),
+	}
+}
+
+// Begin is called when the backtest begins.
+func (*DataReport) Begin(_ []string, _ []strategy.Strategy) error {
+	return nil
+}
+
+// AssetBegin is called when backtesting for the given asset begins.
+func (d *DataReport) AssetBegin(name string, strategies []strategy.Strategy) error {
+	d.Results[name] = make([]*DataStrategyResult, 0, len(strategies))
+	return nil
+}
+
+// Write writes the given strategy actions and outomes to the report.
+func (d *DataReport) Write(assetName string, currentStrategy strategy.Strategy, snapshots <-chan *asset.Snapshot, actions <-chan strategy.Action, outcomes <-chan float64) error {
+	go helper.Drain(snapshots)
+
+	actionsSplice := helper.Duplicate(actions, 2)
+
+	lastOutcome := helper.Last(outcomes, 1)
+	lastAction := helper.Last(actionsSplice[0], 1)
+	transactions := helper.ChanToSlice(actionsSplice[1])
+
+	result := &DataStrategyResult{
+		Asset:        assetName,
+		Strategy:     currentStrategy,
+		Outcome:      <-lastOutcome,
+		Action:       <-lastAction,
+		Transactions: transactions,
+	}
+
+	d.Results[assetName] = append(d.Results[assetName], result)
+
+	return nil
+}
+
+// AssetEnd is called when backtesting for the given asset ends.
+func (*DataReport) AssetEnd(_ string) error {
+	return nil
+}
+
+// End is called when the backtest ends.
+func (*DataReport) End() error {
+	return nil
+}

backtest/data_report_test.go

@@ -0,0 +1,78 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package backtest_test
+
+import (
+	"testing"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/backtest"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+)
+
+func TestDataReport(t *testing.T) {
+	repository := asset.NewFileSystemRepository("testdata/repository")
+
+	assets := []string{
+		"brk-b",
+	}
+
+	strategies := []strategy.Strategy{
+		strategy.NewBuyAndHoldStrategy(),
+	}
+
+	report := backtest.NewDataReport()
+
+	err := report.Begin(assets, strategies)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	err = report.AssetBegin(assets[0], strategies)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	snapshots, err := repository.Get(assets[0])
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	snapshotsSplice := helper.Duplicate(snapshots, 3)
+	actionsSplice := helper.Duplicate(
+		strategies[0].Compute(snapshotsSplice[1]),
+		2,
+	)
+
+	outcomes := strategy.Outcome(
+		asset.SnapshotsAsClosings(snapshotsSplice[2]),
+		actionsSplice[1],
+	)
+
+	err = report.Write(assets[0], strategies[0], snapshotsSplice[0], actionsSplice[0], outcomes)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	err = report.AssetEnd(assets[0])
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	err = report.End()
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	results, ok := report.Results[assets[0]]
+	if !ok {
+		t.Fatal("asset result not found")
+	}
+
+	if len(results) != len(strategies) {
+		t.Fatalf("results count and strategies count are not the same, %d %d", len(results), len(strategies))
+	}
+}

backtest/data_strategy_result.go

@@ -0,0 +1 @@
+package backtest