mirror of
https://github.com/KhizarImran/backtestingfx.git
synced 2026-07-27 20:17:44 +00:00
made pyclass work for stats
This commit is contained in:
@@ -10,5 +10,6 @@ use pyo3::prelude::*;
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#[pymodule]
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fn backtestingfx(m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<types::Bar>()?;
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m.add_class::<stats::Stats>()?;
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Ok(())
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}
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+65
-25
@@ -1,21 +1,33 @@
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use crate::broker::Broker;
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use pyo3::prelude::*;
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pub struct Stats {
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#[pyclass]
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pub struct Stats {
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#[pyo3(get)]
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pub initial_cash: f64,
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#[pyo3(get)]
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pub final_cash: f64,
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#[pyo3(get)]
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pub total_return_pct: f64,
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#[pyo3(get)]
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pub num_trades: usize,
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#[pyo3(get)]
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pub num_wins: usize,
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#[pyo3(get)]
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pub win_rate_pct: f64,
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#[pyo3(get)]
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pub avg_pnl: f64,
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#[pyo3(get)]
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pub best_trade: f64,
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#[pyo3(get)]
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pub worst_trade: f64,
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#[pyo3(get)]
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pub profit_factor: f64,
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pub max_drawdown_pct: f64
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#[pyo3(get)]
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pub max_drawdown_pct: f64,
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}
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}
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fn max_drawdown(equity_curve: &[f64]) -> f64 {
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fn max_drawdown(equity_curve: &[f64]) -> f64 {
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let mut peak = f64::NEG_INFINITY;
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let mut max_dd = 0.0f64;
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@@ -31,9 +43,9 @@ use crate::broker::Broker;
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}
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}
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max_dd
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}
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}
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impl Stats {
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impl Stats {
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pub fn compute(broker: &Broker, equity_curve: &[f64]) -> Self {
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let num_trades = broker.trade_history.len();
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let initial_cash = broker.initial_cash;
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@@ -43,23 +55,44 @@ use crate::broker::Broker;
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let num_wins = broker.trade_history.iter().filter(|t| t.pnl > 0.0).count();
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let win_rate_pct = if num_trades > 0 {
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num_wins as f64 / num_trades as f64 * 100.0
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} else { 0.0 };
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} else {
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0.0
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};
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let avg_pnl = if num_trades > 0 {
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broker.trade_history.iter().map(|t| t.pnl).sum::<f64>() / num_trades as f64
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} else { 0.0 };
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} else {
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0.0
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};
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let best_trade = broker.trade_history.iter().map(|t| t.pnl)
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let best_trade = broker
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.trade_history
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.iter()
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.map(|t| t.pnl)
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.fold(f64::NEG_INFINITY, f64::max);
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let worst_trade = broker.trade_history.iter().map(|t| t.pnl)
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let worst_trade = broker
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.trade_history
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.iter()
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.map(|t| t.pnl)
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.fold(f64::INFINITY, f64::min);
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let gross_profit: f64 = broker.trade_history.iter()
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.filter(|t| t.pnl > 0.0).map(|t| t.pnl).sum();
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let gross_loss: f64 = broker.trade_history.iter()
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.filter(|t| t.pnl < 0.0).map(|t| t.pnl.abs()).sum();
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let profit_factor = if gross_loss > 0.0 { gross_profit / gross_loss } else {
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f64::INFINITY };
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let gross_profit: f64 = broker
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.trade_history
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.iter()
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.filter(|t| t.pnl > 0.0)
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.map(|t| t.pnl)
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.sum();
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let gross_loss: f64 = broker
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.trade_history
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.iter()
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.filter(|t| t.pnl < 0.0)
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.map(|t| t.pnl.abs())
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.sum();
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let profit_factor = if gross_loss > 0.0 {
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gross_profit / gross_loss
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} else {
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f64::INFINITY
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};
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let max_drawdown_pct = max_drawdown(equity_curve);
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Stats {
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@@ -73,14 +106,15 @@ use crate::broker::Broker;
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best_trade: if num_trades > 0 { best_trade } else { 0.0 },
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worst_trade: if num_trades > 0 { worst_trade } else { 0.0 },
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profit_factor,
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max_drawdown_pct
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}
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max_drawdown_pct,
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}
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}
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}
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impl std::fmt::Display for Stats {
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impl std::fmt::Display for Stats {
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fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
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write!(f,
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write!(
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f,
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"--- Backtest Results ---\n\
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Initial Cash: {:.2}\n\
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Final Cash: {:.2}\n\
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@@ -92,10 +126,16 @@ use crate::broker::Broker;
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Worst Trade: {:.5}\n\
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Profit Factor: {:.2}\n\
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Max Drawdown: {:.2}%",
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self.initial_cash, self.final_cash, self.total_return_pct,
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self.num_trades, self.win_rate_pct, self.avg_pnl,
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self.best_trade, self.worst_trade, self.profit_factor,
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self.initial_cash,
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self.final_cash,
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self.total_return_pct,
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self.num_trades,
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self.win_rate_pct,
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self.avg_pnl,
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self.best_trade,
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self.worst_trade,
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self.profit_factor,
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self.max_drawdown_pct
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)
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}
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}
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}
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