def __compute_final_stats(self):
self._final_stats["MeanProfit"] = np.mean(
self._trade_detail["EverytimeProfit"])
self._final_stats["MaxLoss"] = np.min(
self._trade_detail["EverytimeProfit"])
self._final_stats["FinalProfit"] = self._trade_detail[
"EverytimeProfit"].values[-1]
self._final_stats["MeanProfitPer"] = round(
self._final_stats["MeanProfit"] / self.trader_fund * 100, 2)
self._final_stats["FinalProfitPer"] = round(
self._final_stats["FinalProfit"] / self.trader_fund * 100, 2)
self._final_stats["MaxLossPer"] = round(
self._final_stats["MaxLoss"] / self.trader_fund * 100, 2)
# +1, calculate_Datenbr not include last day
trade_days = (calculate_Datenbr(
self._trade_detail["date"].min(),
self._trade_detail["date"].max(),
) + 1)
trade_years = (trade_days + 1) / 365
# +1, self._trade_detail wihtout contain first day
self._final_stats["AnnualReturnPer"] = round(
((self._final_stats["FinalProfitPer"] / 100 + 1)**
(1 / trade_years) - 1) * 100,
2,
)
timestep_returns = (self._trade_detail["EverytimeProfit"] -
self._trade_detail["EverytimeProfit"].shift(1)) / (
self._trade_detail["EverytimeProfit"].shift(1)
+ self.trader_fund)
stratagy_return = np.mean(timestep_returns)
stratagy_std = np.std(timestep_returns)
self._final_stats["AnnualSharpRatio"] = calculate_sharp_ratio(
stratagy_return, stratagy_std)
def __init__(
self,
user_id: str = "",
password: str = "",
stock_id: str = "",
start_date: str = "",
end_date: str = "",
trader_fund: float = 0,
fee: float = 0.001425,
strategy: Strategy = None,
):
self.stock_id = stock_id
self.start_date = start_date
self.end_date = end_date
self.trader_fund = trader_fund
self.fee = fee
underlying_type = get_asset_underlying_type(stock_id)
self.tax = get_underlying_trading_tax(underlying_type)
self.trader = Trader(
stock_id=stock_id,
hold_volume=0,
hold_cost=0,
trader_fund=trader_fund,
fee=self.fee,
tax=self.tax,
)
self.user_id = user_id
self.password = password
self.strategy = strategy
self.stock_price = pd.DataFrame()
self._trade_detail = pd.DataFrame()
self._final_stats = pd.Series()
self.__init_base_data()
self._trade_period_years = convert_period_days2years(
calculate_Datenbr(start_date, end_date) + 1
)
self._compare_market_detail = pd.DataFrame()
self._compare_market_stats = pd.Series()
def test_calculate_Datenbr(day1, day2, expected):
resp = calculate_Datenbr(day1, day2)
assert resp == expected