46 lines
1.9 KiB
C#
46 lines
1.9 KiB
C#
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namespace Wickra.Examples;
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/// <summary>Summary statistics for a long-only equity curve.</summary>
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public sealed record EquityResult(double TotalReturnPct, double Sharpe, double MaxDrawdownPct, int Trades, double FinalEquity);
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/// <summary>
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/// Minimal long-only backtest helper: turn a stream of per-bar fractional
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/// returns into a PnL / Sharpe / max-drawdown summary. The strategy examples
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/// produce the returns; this aggregates them.
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/// </summary>
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public static class Backtest
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{
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/// <param name="periodReturns">Per-bar fractional returns (0.01 == +1%).</param>
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/// <param name="trades">Number of position entries.</param>
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/// <param name="periodsPerYear">Annualisation factor for the Sharpe ratio.</param>
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public static EquityResult Summarize(IReadOnlyList<double> periodReturns, int trades, double periodsPerYear = 252.0)
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{
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double equity = 1.0, peak = 1.0, maxDrawdown = 0.0;
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foreach (var r in periodReturns)
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{
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equity *= 1.0 + r;
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peak = Math.Max(peak, equity);
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if (peak > 0)
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{
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maxDrawdown = Math.Max(maxDrawdown, (peak - equity) / peak);
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}
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}
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var mean = periodReturns.Count > 0 ? periodReturns.Average() : 0.0;
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var variance = periodReturns.Count > 1
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? periodReturns.Sum(x => (x - mean) * (x - mean)) / (periodReturns.Count - 1)
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: 0.0;
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var stdDev = Math.Sqrt(variance);
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var sharpe = stdDev > 1e-12 ? mean / stdDev * Math.Sqrt(periodsPerYear) : 0.0;
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return new EquityResult((equity - 1.0) * 100.0, sharpe, maxDrawdown * 100.0, trades, equity);
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}
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/// <summary>Prints a one-line summary.</summary>
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public static void Print(string name, EquityResult r)
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{
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Console.WriteLine(
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$"{name,-26} return={r.TotalReturnPct,8:F2}% sharpe={r.Sharpe,6:F2} maxDD={r.MaxDrawdownPct,6:F2}% trades={r.Trades}");
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}
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}
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