mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
dce54845c2
- Built event-driven backtesting engine with spread/slippage modeling, 3-TP partial closes, trailing stops, and rich trade logging (20+ features) - Implemented 5 strategy signal generators (MA Breakout, VWAP Reversal, Key Level Breakout, EMA Ribbon Scalp, Momentum Exhaustion) - Full indicator library (EMA, SMA, RSI, ATR, MACD, ADX, Stochastic, Session VWAP bands, swing points, key levels, RSI divergence) - Data pipeline: Dukascopy download, validation, 70/30 train/test split - Baseline results: all 5 strategies generate 200+ trades on training data (Jan 2021 - Aug 2023), best profit factors 0.82-0.96 on select pairs - Trade logs and reports saved for Phase 3 ML feature engineering Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
103 lines
4.0 KiB
HTML
103 lines
4.0 KiB
HTML
{% extends "base.html" %}
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{% block title %}fx-quant — Backtest Results{% endblock %}
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{% block content %}
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<h4 class="mb-4">Backtest Results</h4>
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{% if not summaries %}
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<div class="alert alert-info">No backtest results found. Run the backtester first.</div>
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{% endif %}
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{% for s in summaries %}
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<div class="card mb-4">
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<div class="card-header">
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<strong>{% if s.strategy_name %}{{ s.strategy_name }} — {% endif %}{{ s.instrument }} / {{ s.granularity }}</strong>
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<span class="text-muted float-end">Run: {{ s.run_time[:19] }} | {{ s.data_range.bars | default(0) }} bars ({{ s.data_range.start[:10] }} to {{ s.data_range.end[:10] }})</span>
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</div>
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<div class="card-body">
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<!-- Summary Metrics -->
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<div class="row mb-3">
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<div class="col-md-2 text-center">
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<div class="text-muted small">Starting Equity</div>
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<div class="fs-5">${{ "{:,.2f}".format(s.metrics.starting_equity) }}</div>
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</div>
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<div class="col-md-2 text-center">
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<div class="text-muted small">Final Equity</div>
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<div class="fs-5 {% if s.metrics.final_equity >= s.metrics.starting_equity %}text-success{% else %}text-danger{% endif %}">
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${{ "{:,.2f}".format(s.metrics.final_equity) }}
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</div>
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</div>
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<div class="col-md-2 text-center">
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<div class="text-muted small">Total Return</div>
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<div class="fs-5 {% if s.metrics.total_return_pct >= 0 %}text-success{% else %}text-danger{% endif %}">
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{{ "{:+.2f}".format(s.metrics.total_return_pct) }}%
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</div>
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</div>
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<div class="col-md-2 text-center">
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<div class="text-muted small">Max Drawdown</div>
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<div class="fs-5 text-danger">{{ "{:.2f}".format(s.metrics.max_drawdown_pct) }}%</div>
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</div>
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<div class="col-md-2 text-center">
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<div class="text-muted small">Win Rate</div>
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<div class="fs-5">{{ "{:.1f}".format(s.metrics.win_rate_pct) }}%</div>
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</div>
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<div class="col-md-2 text-center">
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<div class="text-muted small">Sharpe</div>
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<div class="fs-5">{{ "{:.2f}".format(s.metrics.sharpe_ratio) }}</div>
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</div>
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</div>
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<div class="row mb-3">
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<div class="col-md-4">
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<span class="text-muted small">Trades:</span> {{ s.metrics.num_trades }} ({{ s.metrics.round_trips }} round-trips)
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</div>
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</div>
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<!-- Monthly P&L Table -->
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<h6>Monthly P&L</h6>
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<div class="table-responsive">
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<table class="table table-sm table-striped">
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<thead>
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<tr>
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<th>Month</th>
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<th class="text-end">Start Equity</th>
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<th class="text-end">End Equity</th>
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<th class="text-end">P&L ($)</th>
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<th class="text-end">P&L (%)</th>
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<th style="width:30%">Performance</th>
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</tr>
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</thead>
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<tbody>
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{% for m in s.monthly_pnl %}
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<tr>
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<td><strong>{{ m.month }}</strong></td>
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<td class="text-end">${{ "{:,.2f}".format(m.start_equity) }}</td>
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<td class="text-end">${{ "{:,.2f}".format(m.end_equity) }}</td>
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<td class="text-end {% if m.pnl >= 0 %}text-success{% else %}text-danger{% endif %}">
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{{ "{:+,.2f}".format(m.pnl) }}
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</td>
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<td class="text-end {% if m.pnl_pct >= 0 %}text-success{% else %}text-danger{% endif %}">
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{{ "{:+.2f}".format(m.pnl_pct) }}%
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</td>
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<td>
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{% set bar_width = [m.pnl_pct | abs * 10, 100] | min %}
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{% if m.pnl >= 0 %}
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<div class="progress" style="height: 18px;">
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<div class="progress-bar bg-success" style="width: {{ bar_width }}%"></div>
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</div>
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{% else %}
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<div class="progress" style="height: 18px;">
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<div class="progress-bar bg-danger" style="width: {{ bar_width }}%"></div>
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</div>
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{% endif %}
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</td>
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</tr>
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{% endfor %}
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</tbody>
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</table>
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</div>
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</div>
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</div>
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{% endfor %}
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{% endblock %}
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