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 __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
)
self._final_stats["AnnualReturnPer"] = round(
convert_Return2Annual(
self._final_stats["FinalProfitPer"] / 100,
self._trade_period_years,
)
* 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 test_calculate_sharp_ratio(retrun, std, expected):
resp = calculate_sharp_ratio(retrun, std)
assert resp == expected