chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using Newtonsoft.Json;
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using QuantConnect.Util;
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namespace QuantConnect.Statistics
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{
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/// <summary>
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/// The <see cref="TradeStatistics"/> class represents a set of statistics calculated from a list of closed trades
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/// </summary>
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public class TradeStatistics
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{
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/// <summary>
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/// The entry date/time of the first trade
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/// </summary>
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public DateTime? StartDateTime { get; set; }
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/// <summary>
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/// The exit date/time of the last trade
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/// </summary>
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public DateTime? EndDateTime { get; set; }
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/// <summary>
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/// The total number of trades
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/// </summary>
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public int TotalNumberOfTrades { get; set; }
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/// <summary>
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/// The total number of winning trades
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/// </summary>
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public int NumberOfWinningTrades { get; set; }
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/// <summary>
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/// The total number of losing trades
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/// </summary>
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public int NumberOfLosingTrades { get; set; }
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/// <summary>
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/// The total profit/loss for all trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal TotalProfitLoss { get; set; }
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/// <summary>
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/// The total profit for all winning trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal TotalProfit { get; set; }
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/// <summary>
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/// The total loss for all losing trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal TotalLoss { get; set; }
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/// <summary>
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/// The largest profit in a single trade (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal LargestProfit { get; set; }
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/// <summary>
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/// The largest loss in a single trade (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal LargestLoss { get; set; }
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/// <summary>
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/// The average profit/loss (a.k.a. Expectancy or Average Trade) for all trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageProfitLoss { get; set; }
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/// <summary>
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/// The average profit for all winning trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageProfit { get; set; }
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/// <summary>
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/// The average loss for all winning trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageLoss { get; set; }
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/// <summary>
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/// The average duration for all trades
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/// </summary>
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public TimeSpan AverageTradeDuration { get; set; }
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/// <summary>
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/// The average duration for all winning trades
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/// </summary>
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public TimeSpan AverageWinningTradeDuration { get; set; }
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/// <summary>
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/// The average duration for all losing trades
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/// </summary>
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public TimeSpan AverageLosingTradeDuration { get; set; }
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/// <summary>
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/// The median duration for all trades
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/// </summary>
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public TimeSpan MedianTradeDuration { get; set; }
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/// <summary>
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/// The median duration for all winning trades
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/// </summary>
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public TimeSpan MedianWinningTradeDuration { get; set; }
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/// <summary>
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/// The median duration for all losing trades
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/// </summary>
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public TimeSpan MedianLosingTradeDuration { get; set; }
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/// <summary>
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/// The maximum number of consecutive winning trades
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/// </summary>
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public int MaxConsecutiveWinningTrades { get; set; }
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/// <summary>
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/// The maximum number of consecutive losing trades
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/// </summary>
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public int MaxConsecutiveLosingTrades { get; set; }
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/// <summary>
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/// The ratio of the average profit per trade to the average loss per trade
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/// </summary>
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/// <remarks>If the average loss is zero, ProfitLossRatio is set to 0</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal ProfitLossRatio { get; set; }
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/// <summary>
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/// The ratio of the number of winning trades to the number of losing trades
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/// </summary>
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/// <remarks>If the total number of trades is zero, WinLossRatio is set to zero</remarks>
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/// <remarks>If the number of losing trades is zero and the number of winning trades is nonzero, WinLossRatio is set to 10</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal WinLossRatio { get; set; }
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/// <summary>
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/// The ratio of the number of trades with positive profit loss to the total number of trades
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/// </summary>
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/// <remarks>If the total number of trades is zero, WinRate is set to zero</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal WinRate { get; set; }
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/// <summary>
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/// The ratio of the number of trades with zero or negative profit loss to the total number of trades
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/// </summary>
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/// <remarks>If the total number of trades is zero, LossRate is set to zero</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal LossRate { get; set; }
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/// <summary>
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/// The average Maximum Adverse Excursion for all trades
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageMAE { get; set; }
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/// <summary>
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/// The average Maximum Favorable Excursion for all trades
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageMFE { get; set; }
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/// <summary>
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/// The largest Maximum Adverse Excursion in a single trade (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal LargestMAE { get; set; }
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/// <summary>
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/// The largest Maximum Favorable Excursion in a single trade (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal LargestMFE { get; set; }
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/// <summary>
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/// The maximum closed-trade drawdown for all trades (as symbol currency)
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/// </summary>
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/// <remarks>The calculation only takes into account the profit/loss of each trade</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal MaximumClosedTradeDrawdown { get; set; }
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/// <summary>
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/// The maximum intra-trade drawdown for all trades (as symbol currency)
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/// </summary>
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/// <remarks>The calculation takes into account MAE and MFE of each trade</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal MaximumIntraTradeDrawdown { get; set; }
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/// <summary>
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/// The standard deviation of the profits/losses for all trades (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal ProfitLossStandardDeviation { get; set; }
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/// <summary>
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/// The downside deviation of the profits/losses for all trades (as symbol currency)
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/// </summary>
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/// <remarks>This metric only considers deviations of losing trades</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal ProfitLossDownsideDeviation { get; set; }
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/// <summary>
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/// The ratio of the total profit to the total loss
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/// </summary>
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/// <remarks>If the total profit is zero, ProfitFactor is set to zero</remarks>
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/// <remarks>if the total loss is zero and the total profit is nonzero, ProfitFactor is set to 10</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal ProfitFactor { get; set; }
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/// <summary>
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/// The ratio of the average profit/loss to the standard deviation
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal SharpeRatio { get; set; }
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/// <summary>
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/// The ratio of the average profit/loss to the downside deviation
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal SortinoRatio { get; set; }
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/// <summary>
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/// The ratio of the total profit/loss to the maximum closed trade drawdown
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/// </summary>
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/// <remarks>If the total profit/loss is zero, ProfitToMaxDrawdownRatio is set to zero</remarks>
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/// <remarks>if the drawdown is zero and the total profit is nonzero, ProfitToMaxDrawdownRatio is set to 10</remarks>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal ProfitToMaxDrawdownRatio { get; set; }
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/// <summary>
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/// The maximum amount of profit given back by a single trade before exit (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal MaximumEndTradeDrawdown { get; set; }
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/// <summary>
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/// The average amount of profit given back by all trades before exit (as symbol currency)
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal AverageEndTradeDrawdown { get; set; }
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/// <summary>
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/// The maximum amount of time to recover from a drawdown (longest time between new equity highs or peaks)
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/// </summary>
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public TimeSpan MaximumDrawdownDuration { get; set; }
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/// <summary>
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/// The sum of fees for all trades
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/// </summary>
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[JsonConverter(typeof(JsonRoundingConverter))]
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public decimal TotalFees { get; set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="TradeStatistics"/> class
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/// </summary>
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/// <param name="trades">The list of closed trades</param>
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public TradeStatistics(IEnumerable<Trade> trades)
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{
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var maxConsecutiveWinners = 0;
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var maxConsecutiveLosers = 0;
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var maxTotalProfitLoss = 0m;
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var maxTotalProfitLossWithMfe = 0m;
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var sumForVariance = 0m;
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var sumForDownsideVariance = 0m;
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var lastPeakTime = DateTime.MinValue;
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var isInDrawdown = false;
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var allTradeDurationsTicks = new List<long>();
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var winningTradeDurationsTicks = new List<long>();
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var losingTradeDurationsTicks = new List<long>();
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var numberOfITMOptionsWinningTrades = 0;
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foreach (var trade in trades)
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{
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if (lastPeakTime == DateTime.MinValue) lastPeakTime = trade.EntryTime;
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if (StartDateTime == null || trade.EntryTime < StartDateTime)
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StartDateTime = trade.EntryTime;
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if (EndDateTime == null || trade.ExitTime > EndDateTime)
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EndDateTime = trade.ExitTime;
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TotalNumberOfTrades++;
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if (TotalProfitLoss + trade.MFE > maxTotalProfitLossWithMfe)
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maxTotalProfitLossWithMfe = TotalProfitLoss + trade.MFE;
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if (TotalProfitLoss + trade.MAE - maxTotalProfitLossWithMfe < MaximumIntraTradeDrawdown)
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MaximumIntraTradeDrawdown = TotalProfitLoss + trade.MAE - maxTotalProfitLossWithMfe;
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if (trade.ProfitLoss > 0)
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{
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// winning trade
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NumberOfWinningTrades++;
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TotalProfitLoss += trade.ProfitLoss;
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TotalProfit += trade.ProfitLoss;
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AverageProfit += (trade.ProfitLoss - AverageProfit) / NumberOfWinningTrades;
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AverageWinningTradeDuration += TimeSpan.FromSeconds((trade.Duration.TotalSeconds - AverageWinningTradeDuration.TotalSeconds) / NumberOfWinningTrades);
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winningTradeDurationsTicks.Add(trade.Duration.Ticks);
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if (trade.ProfitLoss > LargestProfit)
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LargestProfit = trade.ProfitLoss;
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maxConsecutiveWinners++;
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maxConsecutiveLosers = 0;
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if (maxConsecutiveWinners > MaxConsecutiveWinningTrades)
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MaxConsecutiveWinningTrades = maxConsecutiveWinners;
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if (TotalProfitLoss > maxTotalProfitLoss)
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{
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// new equity high
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maxTotalProfitLoss = TotalProfitLoss;
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if (isInDrawdown && trade.ExitTime - lastPeakTime > MaximumDrawdownDuration)
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MaximumDrawdownDuration = trade.ExitTime - lastPeakTime;
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lastPeakTime = trade.ExitTime;
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isInDrawdown = false;
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}
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}
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else
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{
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// losing trade
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NumberOfLosingTrades++;
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TotalProfitLoss += trade.ProfitLoss;
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TotalLoss += trade.ProfitLoss;
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var prevAverageLoss = AverageLoss;
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AverageLoss += (trade.ProfitLoss - AverageLoss) / NumberOfLosingTrades;
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sumForDownsideVariance += (trade.ProfitLoss - prevAverageLoss) * (trade.ProfitLoss - AverageLoss);
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var downsideVariance = NumberOfLosingTrades > 1 ? sumForDownsideVariance / (NumberOfLosingTrades - 1) : 0;
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ProfitLossDownsideDeviation = (decimal)Math.Sqrt((double)downsideVariance);
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AverageLosingTradeDuration += TimeSpan.FromSeconds((trade.Duration.TotalSeconds - AverageLosingTradeDuration.TotalSeconds) / NumberOfLosingTrades);
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losingTradeDurationsTicks.Add(trade.Duration.Ticks);
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if (trade.ProfitLoss < LargestLoss)
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LargestLoss = trade.ProfitLoss;
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// even though losing money, an ITM option trade is a winning trade,
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// so IsWin for an ITM OptionTrade will return true even if the trade was not profitable.
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if (trade.IsWin)
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{
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numberOfITMOptionsWinningTrades++;
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maxConsecutiveLosers = 0;
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maxConsecutiveWinners++;
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if (maxConsecutiveWinners > MaxConsecutiveWinningTrades)
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MaxConsecutiveWinningTrades = maxConsecutiveWinners;
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}
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else
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{
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maxConsecutiveWinners = 0;
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maxConsecutiveLosers++;
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if (maxConsecutiveLosers > MaxConsecutiveLosingTrades)
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MaxConsecutiveLosingTrades = maxConsecutiveLosers;
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}
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if (TotalProfitLoss - maxTotalProfitLoss < MaximumClosedTradeDrawdown)
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MaximumClosedTradeDrawdown = TotalProfitLoss - maxTotalProfitLoss;
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isInDrawdown = true;
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}
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var prevAverageProfitLoss = AverageProfitLoss;
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AverageProfitLoss += (trade.ProfitLoss - AverageProfitLoss) / TotalNumberOfTrades;
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sumForVariance += (trade.ProfitLoss - prevAverageProfitLoss) * (trade.ProfitLoss - AverageProfitLoss);
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var variance = TotalNumberOfTrades > 1 ? sumForVariance / (TotalNumberOfTrades - 1) : 0;
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ProfitLossStandardDeviation = (decimal)Math.Sqrt((double)variance);
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AverageTradeDuration += TimeSpan.FromSeconds((trade.Duration.TotalSeconds - AverageTradeDuration.TotalSeconds) / TotalNumberOfTrades);
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allTradeDurationsTicks.Add(trade.Duration.Ticks);
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AverageMAE += (trade.MAE - AverageMAE) / TotalNumberOfTrades;
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AverageMFE += (trade.MFE - AverageMFE) / TotalNumberOfTrades;
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if (trade.MAE < LargestMAE)
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LargestMAE = trade.MAE;
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if (trade.MFE > LargestMFE)
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LargestMFE = trade.MFE;
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if (trade.EndTradeDrawdown > MaximumEndTradeDrawdown)
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MaximumEndTradeDrawdown = trade.EndTradeDrawdown;
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TotalFees += trade.TotalFees;
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}
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// Adjust number of winning and losing trades: ITM options assignment loss counts as a loss for profit and loss calculations,
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// but adds a win to the wins count since this is an actual win even though premium paid is a loss.
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NumberOfWinningTrades += numberOfITMOptionsWinningTrades;
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NumberOfLosingTrades -= numberOfITMOptionsWinningTrades;
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ProfitLossRatio = AverageLoss == 0 ? 0 : AverageProfit / Math.Abs(AverageLoss);
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WinLossRatio = TotalNumberOfTrades == 0 ? 0 : (NumberOfLosingTrades > 0 ? (decimal)NumberOfWinningTrades / NumberOfLosingTrades : 10);
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WinRate = TotalNumberOfTrades > 0 ? (decimal)NumberOfWinningTrades / TotalNumberOfTrades : 0;
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LossRate = TotalNumberOfTrades > 0 ? 1 - WinRate : 0;
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ProfitFactor = TotalProfit == 0 ? 0 : (TotalLoss < 0 ? TotalProfit / Math.Abs(TotalLoss) : 10);
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SharpeRatio = ProfitLossStandardDeviation > 0 ? AverageProfitLoss / ProfitLossStandardDeviation : 0;
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SortinoRatio = ProfitLossDownsideDeviation > 0 ? AverageProfitLoss / ProfitLossDownsideDeviation : 0;
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ProfitToMaxDrawdownRatio = TotalProfitLoss == 0 ? 0 : (MaximumClosedTradeDrawdown < 0 ? TotalProfitLoss / Math.Abs(MaximumClosedTradeDrawdown) : 10);
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AverageEndTradeDrawdown = AverageProfitLoss - AverageMFE;
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if (allTradeDurationsTicks.Count > 0)
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MedianTradeDuration = TimeSpan.FromTicks(allTradeDurationsTicks.Median());
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if (winningTradeDurationsTicks.Count > 0)
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MedianWinningTradeDuration = TimeSpan.FromTicks(winningTradeDurationsTicks.Median());
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if (losingTradeDurationsTicks.Count > 0)
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MedianLosingTradeDuration = TimeSpan.FromTicks(losingTradeDurationsTicks.Median());
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TradeStatistics"/> class
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/// </summary>
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public TradeStatistics()
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{
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}
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}
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}
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Reference in New Issue
Block a user