made pyclass work for stats

This commit is contained in:
KhizarImran
2026-06-14 01:29:20 +01:00
parent 6f39fc2d34
commit 322ff54d63
2 changed files with 121 additions and 80 deletions
+1
View File
@@ -10,5 +10,6 @@ use pyo3::prelude::*;
#[pymodule]
fn backtestingfx(m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<types::Bar>()?;
m.add_class::<stats::Stats>()?;
Ok(())
}
+65 -25
View File
@@ -1,21 +1,33 @@
use crate::broker::Broker;
use pyo3::prelude::*;
pub struct Stats {
#[pyclass]
pub struct Stats {
#[pyo3(get)]
pub initial_cash: f64,
#[pyo3(get)]
pub final_cash: f64,
#[pyo3(get)]
pub total_return_pct: f64,
#[pyo3(get)]
pub num_trades: usize,
#[pyo3(get)]
pub num_wins: usize,
#[pyo3(get)]
pub win_rate_pct: f64,
#[pyo3(get)]
pub avg_pnl: f64,
#[pyo3(get)]
pub best_trade: f64,
#[pyo3(get)]
pub worst_trade: f64,
#[pyo3(get)]
pub profit_factor: f64,
pub max_drawdown_pct: f64
#[pyo3(get)]
pub max_drawdown_pct: f64,
}
}
fn max_drawdown(equity_curve: &[f64]) -> f64 {
fn max_drawdown(equity_curve: &[f64]) -> f64 {
let mut peak = f64::NEG_INFINITY;
let mut max_dd = 0.0f64;
@@ -31,9 +43,9 @@ use crate::broker::Broker;
}
}
max_dd
}
}
impl Stats {
impl Stats {
pub fn compute(broker: &Broker, equity_curve: &[f64]) -> Self {
let num_trades = broker.trade_history.len();
let initial_cash = broker.initial_cash;
@@ -43,23 +55,44 @@ use crate::broker::Broker;
let num_wins = broker.trade_history.iter().filter(|t| t.pnl > 0.0).count();
let win_rate_pct = if num_trades > 0 {
num_wins as f64 / num_trades as f64 * 100.0
} else { 0.0 };
} else {
0.0
};
let avg_pnl = if num_trades > 0 {
broker.trade_history.iter().map(|t| t.pnl).sum::<f64>() / num_trades as f64
} else { 0.0 };
} else {
0.0
};
let best_trade = broker.trade_history.iter().map(|t| t.pnl)
let best_trade = broker
.trade_history
.iter()
.map(|t| t.pnl)
.fold(f64::NEG_INFINITY, f64::max);
let worst_trade = broker.trade_history.iter().map(|t| t.pnl)
let worst_trade = broker
.trade_history
.iter()
.map(|t| t.pnl)
.fold(f64::INFINITY, f64::min);
let gross_profit: f64 = broker.trade_history.iter()
.filter(|t| t.pnl > 0.0).map(|t| t.pnl).sum();
let gross_loss: f64 = broker.trade_history.iter()
.filter(|t| t.pnl < 0.0).map(|t| t.pnl.abs()).sum();
let profit_factor = if gross_loss > 0.0 { gross_profit / gross_loss } else {
f64::INFINITY };
let gross_profit: f64 = broker
.trade_history
.iter()
.filter(|t| t.pnl > 0.0)
.map(|t| t.pnl)
.sum();
let gross_loss: f64 = broker
.trade_history
.iter()
.filter(|t| t.pnl < 0.0)
.map(|t| t.pnl.abs())
.sum();
let profit_factor = if gross_loss > 0.0 {
gross_profit / gross_loss
} else {
f64::INFINITY
};
let max_drawdown_pct = max_drawdown(equity_curve);
Stats {
@@ -73,14 +106,15 @@ use crate::broker::Broker;
best_trade: if num_trades > 0 { best_trade } else { 0.0 },
worst_trade: if num_trades > 0 { worst_trade } else { 0.0 },
profit_factor,
max_drawdown_pct
}
max_drawdown_pct,
}
}
}
impl std::fmt::Display for Stats {
impl std::fmt::Display for Stats {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
write!(f,
write!(
f,
"--- Backtest Results ---\n\
Initial Cash: {:.2}\n\
Final Cash: {:.2}\n\
@@ -92,10 +126,16 @@ use crate::broker::Broker;
Worst Trade: {:.5}\n\
Profit Factor: {:.2}\n\
Max Drawdown: {:.2}%",
self.initial_cash, self.final_cash, self.total_return_pct,
self.num_trades, self.win_rate_pct, self.avg_pnl,
self.best_trade, self.worst_trade, self.profit_factor,
self.initial_cash,
self.final_cash,
self.total_return_pct,
self.num_trades,
self.win_rate_pct,
self.avg_pnl,
self.best_trade,
self.worst_trade,
self.profit_factor,
self.max_drawdown_pct
)
}
}
}