def portfolio_metrics() -> List[
Union[Union[List[Union[str, Any]], List[str], List[Union[Union[str, float], Any]]], Any]]:
data = stats.trades(store.completed_trades.trades, store.app.daily_balance)
metrics = [
['Total Closed Trades', data['total']],
['Total Net Profit',
'{} ({})'.format(jh.format_currency(round(data['net_profit'], 4)),
str(round(data['net_profit_percentage'], 2)) + '%')],
['Starting => Finishing Balance',
'{} => {}'.format(jh.format_currency(round(data['starting_balance'], 2)),
jh.format_currency(round(data['finishing_balance'], 2)))],
['Total Open Trades', data['total_open_trades']],
['Open PL', jh.format_currency(round(data['open_pl'], 2))],
['Total Paid Fees', jh.format_currency(round(data['fee'], 2))],
['Max Drawdown', '{}%'.format(round(data['max_drawdown'], 2))],
['Annual Return', '{}%'.format(round(data['annual_return'], 2))],
['Expectancy',
'{} ({})'.format(jh.format_currency(round(data['expectancy'], 2)),
str(round(data['expectancy_percentage'], 2)) + '%')],
['Avg Win | Avg Loss', '{} | {}'.format(jh.format_currency(round(data['average_win'], 2)),
jh.format_currency(round(data['average_loss'], 2)))],
['Ratio Avg Win / Avg Loss', round(data['ratio_avg_win_loss'], 2)],
['Percent Profitable', str(round(data['win_rate'] * 100)) + '%'],
['Longs | Shorts', '{}% | {}%'.format(round(data['longs_percentage']), round(data['short_percentage']))],
['Avg Holding Time', jh.readable_duration(data['average_holding_period'], 3)],
['Winning Trades Avg Holding Time',
np.nan if np.isnan(data['average_winning_holding_period']) else jh.readable_duration(
data['average_winning_holding_period'], 3)],
['Losing Trades Avg Holding Time',
np.nan if np.isnan(data['average_losing_holding_period']) else jh.readable_duration(
data['average_losing_holding_period'], 3)]
]
if jh.get_config('env.metrics.sharpe_ratio', True):
metrics.append(['Sharpe Ratio', round(data['sharpe_ratio'], 2)])
if jh.get_config('env.metrics.calmar_ratio', False):
metrics.append(['Calmar Ratio', round(data['calmar_ratio'], 2)])
if jh.get_config('env.metrics.sortino_ratio', False):
metrics.append(['Sortino Ratio', round(data['sortino_ratio'], 2)])
if jh.get_config('env.metrics.omega_ratio', False):
metrics.append(['Omega Ratio', round(data['omega_ratio'], 2)])
if jh.get_config('env.metrics.winning_streak', False):
metrics.append(['Winning Streak', data['winning_streak']])
if jh.get_config('env.metrics.losing_streak', False):
metrics.append(['Losing Streak', data['losing_streak']])
if jh.get_config('env.metrics.largest_winning_trade', False):
metrics.append(['Largest Winning Trade', jh.format_currency(round(data['largest_winning_trade'], 2))])
if jh.get_config('env.metrics.largest_losing_trade', False):
metrics.append(['Largest Losing Trade', jh.format_currency(round(data['largest_losing_trade'], 2))])
if jh.get_config('env.metrics.total_winning_trades', False):
metrics.append(['Total Winning Trades', data['total_winning_trades']])
if jh.get_config('env.metrics.total_losing_trades', False):
metrics.append(['Total Losing Trades', data['total_losing_trades']])
return metrics
def portfolio_metrics():
data = stats.trades(store.completed_trades.trades, store.app.daily_balance)
return [['Total Closed Trades', data['total']],
[
'Total Net Profit',
'{} ({})'.format(round(data['net_profit'], 4),
str(data['net_profit_percentage']) + '%')
],
[
'Starting => Finishing Balance',
'{} => {}'.format(round(data['starting_balance'], 2),
round(data['finishing_balance'], 2))
], ['Total Open Trades', data['total_open_trades']],
['Open PL', round(data['open_pl'], 2)],
['Total Paid Fees', round(data['fee'], 2)],
['Max Drawdown', '{}%'.format(data['max_drawdown'])],
['Sharpe Ratio', data['sharpe_ratio']],
['Annual Return', '{}%'.format(data['annual_return'])],
[
'Expectancy', '{} ({})'.format(
round(data['expectancy'], 2),
str(round(data['expectancy_percentage'], 2)) + '%')
],
[
'Avg Win | Avg Loss',
'{} | {}'.format(round(data['average_win'], 2),
round(data['average_loss'], 2))
],
['Ratio Avg Win / Avg Loss',
round(data['ratio_avg_win_loss'], 2)],
['Percent Profitable',
str(round(data['win_rate'] * 100)) + '%'],
[
'Longs | Shorts',
'{}% | {}%'.format(round(data['longs_percentage']),
round(data['short_percentage']))
],
[
'Avg Holding Time',
jh.readable_duration(data['average_holding_period'], 3)
],
[
'Winning Trades Avg Holding Time',
np.nan if np.isnan(data['average_winning_holding_period']) else
jh.readable_duration(data['average_winning_holding_period'], 3)
],
[
'Losing Trades Avg Holding Time',
np.nan if np.isnan(data['average_losing_holding_period']) else
jh.readable_duration(data['average_losing_holding_period'], 3)
]]
def positions():
"""
:return:
"""
array = []
# headers
array.append([
'type', 'strategy', 'symbol', 'opened at', 'qty', 'entry',
'current price', 'PNL (%)'
])
for p in store.positions.storage:
pos = store.positions.storage[p]
if pos.pnl_percentage > 0:
pnl_color = 'green'
elif pos.pnl_percentage < 0:
pnl_color = 'red'
else:
pnl_color = 'black'
if pos.type == 'long':
type_color = 'green'
elif pos.type == 'short':
type_color = 'red'
else:
type_color = 'black'
array.append([
jh.color(pos.type, type_color),
pos.strategy.name,
pos.symbol,
'' if pos.is_close else '{} ago'.format(
jh.readable_duration((jh.now() - pos.opened_at) / 1000, 3)),
pos.qty if abs(pos.qty) > 0 else None,
pos.entry_price,
pos.current_price,
'' if pos.is_close else '{} ({}%)'.format(
jh.color(str(round(pos.pnl, 2)), pnl_color),
jh.color(str(round(pos.pnl_percentage, 4)), pnl_color)),
])
return array
def test_readable_duration():
assert jh.readable_duration(604312) == "6 days, 23 hours"
