Gahow Wang
149a00c458
- main.py: add IBKR-style tiered fee schedule (fee_base + fee_per_share), PIT universe support, and open-to-close execution improvements - metrics.py: add raw_summary helper for JSON-safe metric export - Misc strategy fixes: deprecation warnings, NaN handling Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
88 lines
2.9 KiB
Python
88 lines
2.9 KiB
Python
import numpy as np
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import pandas as pd
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def total_return(equity: pd.Series) -> float:
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return equity.iloc[-1] / equity.iloc[0] - 1
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def annualized_return(equity: pd.Series, periods: int = 252) -> float:
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n = len(equity)
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return (1 + total_return(equity)) ** (periods / n) - 1
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def annualized_volatility(returns: pd.Series, periods: int = 252) -> float:
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return returns.std() * np.sqrt(periods)
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def sharpe_ratio(returns: pd.Series, risk_free_rate: float = 0.0, periods: int = 252) -> float:
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excess = returns - risk_free_rate / periods
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std = excess.std()
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if std == 0:
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return 0.0
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return (excess.mean() / std) * np.sqrt(periods)
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def sortino_ratio(returns: pd.Series, risk_free_rate: float = 0.0, periods: int = 252) -> float:
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excess = returns - risk_free_rate / periods
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downside_std = excess[excess < 0].std()
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if downside_std == 0:
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return 0.0
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return (excess.mean() / downside_std) * np.sqrt(periods)
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def max_drawdown(equity: pd.Series) -> float:
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rolling_peak = equity.cummax()
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drawdown = (equity - rolling_peak) / rolling_peak
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return drawdown.min()
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def calmar_ratio(equity: pd.Series, periods: int = 252) -> float:
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ann_ret = annualized_return(equity, periods)
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mdd = abs(max_drawdown(equity))
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if mdd == 0:
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return np.inf
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return ann_ret / mdd
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def win_rate(returns: pd.Series) -> float:
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active = returns[returns != 0]
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if len(active) == 0:
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return 0.0
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return (active > 0).sum() / len(active)
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def raw_summary(equity: pd.Series) -> dict:
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"""Return numeric metrics suitable for JSON serialization."""
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returns = equity.pct_change().dropna()
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return {
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"totalReturn": float(total_return(equity)),
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"annualizedReturn": float(annualized_return(equity)),
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"annualizedVolatility": float(annualized_volatility(returns)),
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"sharpeRatio": float(sharpe_ratio(returns)),
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"sortinoRatio": float(sortino_ratio(returns)),
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"maxDrawdown": float(max_drawdown(equity)),
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"calmarRatio": float(calmar_ratio(equity)),
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"winRate": float(win_rate(returns)),
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}
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def summary(equity: pd.Series, name: str = "Strategy") -> dict:
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returns = equity.pct_change().dropna()
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metrics = {
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"Total Return": f"{total_return(equity):.2%}",
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"Annualized Return": f"{annualized_return(equity):.2%}",
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"Annualized Volatility": f"{annualized_volatility(returns):.2%}",
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"Sharpe Ratio": f"{sharpe_ratio(returns):.2f}",
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"Sortino Ratio": f"{sortino_ratio(returns):.2f}",
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"Max Drawdown": f"{max_drawdown(equity):.2%}",
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"Calmar Ratio": f"{calmar_ratio(equity):.2f}",
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"Win Rate": f"{win_rate(returns):.2%}",
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}
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print(f"\n{'='*45}")
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print(f" {name}")
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print(f"{'='*45}")
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for k, v in metrics.items():
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print(f" {k:<26} {v:>10}")
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return metrics
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