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Add per route metrics.

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This commit is contained in:
Markus
2021-09-23 10:35:05 +02:00
parent f89b34d7e9
commit 5558511b9a
3 changed files with 39 additions and 21 deletions
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1
jesse/config.py
View File

@@ -213,6 +213,7 @@ config = {
'largest_winning_trade': False,
'total_winning_trades': False,
'total_losing_trades': False,
'per_route_metrics': False,
},
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58
jesse/services/metrics.py
View File

@@ -6,7 +6,7 @@ import pandas as pd
import jesse.helpers as jh
from jesse.store import store
from jesse.routes import router
def candles(candles_array: np.ndarray) -> List[List[str]]:
period = jh.date_diff_in_days(jh.timestamp_to_arrow(candles_array[0][0]),
@@ -53,6 +53,41 @@ def trades(trades_list: list, daily_balance: list) -> dict:
df = pd.DataFrame.from_records([t.to_dict() for t in trades_list])
daily_returns = pd.Series(daily_balance).pct_change(1).values
max_drawdown = crypto_empyrical.max_drawdown(daily_returns) * 100
annual_return = crypto_empyrical.annual_return(daily_returns) * 100
sharpe_ratio = crypto_empyrical.sharpe_ratio(daily_returns)
calmar_ratio = crypto_empyrical.calmar_ratio(daily_returns)
sortino_ratio = crypto_empyrical.sortino_ratio(daily_returns)
omega_ratio = crypto_empyrical.omega_ratio(daily_returns)
total_open_trades = store.app.total_open_trades
open_pl = store.app.total_open_pl
metrics = {
'finishing_balance': np.nan if np.isnan(current_balance) else current_balance,
'max_drawdown': max_drawdown,
'annual_return': annual_return,
'sharpe_ratio': sharpe_ratio,
'calmar_ratio': calmar_ratio,
'sortino_ratio': sortino_ratio,
'omega_ratio': omega_ratio,
'total_open_trades': total_open_trades,
'open_pl': open_pl,
}
trade_metrics = calculate_metrics_from_df(df, starting_balance)
metrics.update(trade_metrics)
if jh.get_config('env.metrics.per_route_metrics', False) and len(router.routes) > 1:
grouped = df.groupby(df.symbol)
for name, group in grouped:
metrics[name] = calculate_metrics_from_df(group, starting_balance)
return metrics
def calculate_metrics_from_df(df: pd.DataFrame, starting_balance: float) -> dict:
total_completed = len(df)
winning_trades = df.loc[df['PNL'] > 0]
total_winning_trades = len(winning_trades)
@@ -99,22 +134,11 @@ def trades(trades_list: list, daily_balance: list) -> dict:
gross_profit = winning_trades['PNL'].sum()
gross_loss = losing_trades['PNL'].sum()
daily_returns = pd.Series(daily_balance).pct_change(1).values
max_drawdown = crypto_empyrical.max_drawdown(daily_returns) * 100
annual_return = crypto_empyrical.annual_return(daily_returns) * 100
sharpe_ratio = crypto_empyrical.sharpe_ratio(daily_returns)
calmar_ratio = crypto_empyrical.calmar_ratio(daily_returns)
sortino_ratio = crypto_empyrical.sortino_ratio(daily_returns)
omega_ratio = crypto_empyrical.omega_ratio(daily_returns)
total_open_trades = store.app.total_open_trades
open_pl = store.app.total_open_pl
return {
'total': np.nan if np.isnan(total_completed) else total_completed,
'total_winning_trades': np.nan if np.isnan(total_winning_trades) else total_winning_trades,
'total_losing_trades': np.nan if np.isnan(total_losing_trades) else total_losing_trades,
'starting_balance': np.nan if np.isnan(starting_balance) else starting_balance,
'finishing_balance': np.nan if np.isnan(current_balance) else current_balance,
'win_rate': np.nan if np.isnan(win_rate) else win_rate,
'max_R': np.nan if np.isnan(max_R) else max_R,
'min_R': np.nan if np.isnan(min_R) else min_R,
@@ -138,17 +162,9 @@ def trades(trades_list: list, daily_balance: list) -> dict:
'average_losing_holding_period': average_losing_holding_period,
'gross_profit': gross_profit,
'gross_loss': gross_loss,
'max_drawdown': max_drawdown,
'annual_return': annual_return,
'sharpe_ratio': sharpe_ratio,
'calmar_ratio': calmar_ratio,
'sortino_ratio': sortino_ratio,
'omega_ratio': omega_ratio,
'total_open_trades': total_open_trades,
'open_pl': open_pl,
'winning_streak': winning_streak,
'losing_streak': losing_streak,
'largest_losing_trade': largest_losing_trade,
'largest_winning_trade': largest_winning_trade,
'current_streak': current_streak[-1],
}
}

1
jesse/services/project_maker/project_template/config.py
View File

@@ -196,6 +196,7 @@ config = {
'largest_winning_trade': False,
'total_winning_trades': False,
'total_losing_trades': False,
'per_route_metrics': False,
},
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