TradeSummary

API documentation for tradeexecutor.analysis.trade_analyser.TradeSummary Python class in Trading Strategy framework.

class TradeSummary

Bases: object

Some generic statistics over all the trades

Warning

Be very careful when editing or removing existing fields here as this can intefere with legacy data testing

TDOO: Cleam this up

__init__(won, lost, zero_loss, stop_losses, undecided, realised_profit, open_value, uninvested_cash, initial_cash, extra_return, duration, average_winning_trade_profit_pc, average_losing_trade_loss_pc, biggest_winning_trade_pc, biggest_losing_trade_pc, average_duration_of_winning_trades, average_duration_of_losing_trades, time_bucket=None, total_trades=None, average_trade=None, median_trade=None, max_pos_cons=None, max_neg_cons=None, max_delta_neutral_cons=None, max_pullback=None, max_loss_risk=None, max_realised_loss=None, avg_realised_risk=None, average_delta_neutral_profit_pc=None, biggest_delta_neutral_pc=None, delta_neutral=0, take_profits=0, trade_volume=0.0, lp_fees_paid=0, lp_fees_average_pc=0, daily_returns=None, compounding_returns=None, winning_stop_losses=0, losing_stop_losses=0, winning_take_profits=0, losing_take_profits=0, median_win=None, median_loss=None, median_delta_neutral=None, sharpe_ratio=None, sortino_ratio=None, profit_factor=None, max_drawdown=None, max_runup=None, average_duration_of_delta_neutral_positions=None, average_duration_of_zero_loss_trades=None, average_duration_of_all_trades=None, unrealised_profit=None, average_interest_paid_usd=None, total_interest_paid_usd=None, median_interest_paid_usd=None, max_interest_paid_usd=None, min_interest_paid_usd=None, total_claimed_interest=None, average_duration_between_position_openings=None, average_position_frequency=None, average_duration_between_positions=0, average_duration_between_postions=0, time_in_market=None, time_in_market_volatile=None, start_at=None, end_at=None)

Parameters:

• won (int) –

• lost (int) –

• zero_loss (int) –

• stop_losses (int) –

• undecided (int) –

• realised_profit (float) –

• open_value (float) –

• uninvested_cash (float) –

• initial_cash (float) –

• extra_return (float) –

• duration (Optional[timedelta]) –

• average_winning_trade_profit_pc (Optional[float]) –

• average_losing_trade_loss_pc (Optional[float]) –

• biggest_winning_trade_pc (Optional[float]) –

• biggest_losing_trade_pc (Optional[float]) –

• average_duration_of_winning_trades (timedelta) –

• average_duration_of_losing_trades (timedelta) –

• time_bucket (Optional[TimeBucket]) –

• total_trades (Optional[int]) –

• average_trade (Optional[float]) –

• median_trade (Optional[float]) –

• max_pos_cons (Optional[int]) –

• max_neg_cons (Optional[int]) –

• max_delta_neutral_cons (Optional[int]) –

• max_pullback (Optional[float]) –

• max_loss_risk (Optional[float]) –

• max_realised_loss (Optional[float]) –

• avg_realised_risk (Optional[float]) –

• average_delta_neutral_profit_pc (Optional[float]) –

• biggest_delta_neutral_pc (Optional[float]) –

• delta_neutral (int) –

• take_profits (int) –

• trade_volume (float) –

• lp_fees_paid (Optional[float]) –

• lp_fees_average_pc (Optional[float]) –

• daily_returns (Optional[Series]) –

• compounding_returns (Optional[Series]) –

• winning_stop_losses (Optional[int]) –

• losing_stop_losses (Optional[int]) –

• winning_take_profits (Optional[int]) –

• losing_take_profits (Optional[int]) –

• median_win (Optional[float]) –

• median_loss (Optional[float]) –

• median_delta_neutral (Optional[float]) –

• sharpe_ratio (Optional[float]) –

• sortino_ratio (Optional[float]) –

• profit_factor (Optional[float]) –

• max_drawdown (Optional[float]) –

• max_runup (Optional[float]) –

• average_duration_of_delta_neutral_positions (Optional[timedelta]) –

• average_duration_of_zero_loss_trades (Optional[timedelta]) –

• average_duration_of_all_trades (Optional[timedelta]) –

• unrealised_profit (Optional[float]) –

• average_interest_paid_usd (Optional[float]) –

• total_interest_paid_usd (Optional[float]) –

• median_interest_paid_usd (Optional[float]) –

• max_interest_paid_usd (Optional[float]) –

• min_interest_paid_usd (Optional[float]) –

• total_claimed_interest (Optional[float]) –

• average_duration_between_position_openings (Optional[timedelta]) –

• average_position_frequency (Optional[timedelta]) –

• average_duration_between_positions (int) –

• average_duration_between_postions (int) –

• time_in_market (Optional[timedelta]) –

• time_in_market_volatile (Optional[timedelta]) –

• start_at (Optional[datetime]) –

• end_at (Optional[datetime]) –

Return type:

None

Methods

__init__(won, lost, zero_loss, stop_losses, ...)
display()	Create human readable summary tables and display them in IPython notebook.
format_bars(duration_timedelta)
format_duration(duration_timedelta)
format_summary_dataframe(df)	Format the summary dataframe for display in Jupyter notebook with clickable links.
from_dict(kvs, *[, infer_missing])
from_json(s, *[, parse_float, parse_int, ...])
get_trading_core_metrics()	Get metrics displayed on a equity curve benchmark tooltip.
help_links()
schema(*[, infer_missing, only, exclude, ...])
single_column_dfs(*dfs)
to_dataframe([format_headings])	Creates a human-readable Pandas dataframe summary table from the object.
to_dict([encode_json])
to_json(*[, skipkeys, ensure_ascii, ...])

Attributes

won
lost
zero_loss
stop_losses
undecided
realised_profit
open_value	Value at the open positinos at the end
uninvested_cash	Cash at hand at the end
initial_cash
extra_return
duration
average_winning_trade_profit_pc
average_losing_trade_loss_pc
biggest_winning_trade_pc
biggest_losing_trade_pc
average_duration_of_winning_trades
average_duration_of_losing_trades
time_bucket
total_positions
win_percent
lost_percent
delta_neutral_percent
return_percent
annualised_return_percent
all_stop_loss_percent
lost_stop_loss_percent
all_take_profit_percent
won_take_profit_percent
average_net_profit
end_value
total_trades
average_trade
median_trade
max_pos_cons
max_neg_cons
max_delta_neutral_cons
max_pullback
max_loss_risk
max_realised_loss
avg_realised_risk
average_delta_neutral_profit_pc
biggest_delta_neutral_pc
delta_neutral
take_profits
trade_volume
lp_fees_paid
lp_fees_average_pc
daily_returns	advanced users can use this property instead of the provided quantstats helper methods
compounding_returns
winning_stop_losses
losing_stop_losses
winning_take_profits
losing_take_profits
winning_stop_losses_percent
losing_stop_losses_percent
winning_take_profits_percent
losing_take_profits_percent
median_win
median_loss
median_delta_neutral
sharpe_ratio
sortino_ratio
profit_factor
max_drawdown
max_runup
average_duration_of_delta_neutral_positions
average_duration_of_zero_loss_trades
average_duration_of_all_trades
unrealised_profit	Profit in open positions at the end
average_interest_paid_usd	Interest stats
total_interest_paid_usd
median_interest_paid_usd
max_interest_paid_usd
min_interest_paid_usd
total_claimed_interest
average_duration_between_position_openings
average_position_frequency
average_duration_between_positions
average_duration_between_postions
time_in_market
time_in_market_volatile
start_at	When the backtesting started
end_at	When the backtesting started

open_value: float

Value at the open positinos at the end

uninvested_cash: float

Cash at hand at the end

daily_returns: Optional[Series]

advanced users can use this property instead of the provided quantstats helper methods

unrealised_profit: Optional[float]

Profit in open positions at the end

average_interest_paid_usd: Optional[float]

Interest stats

start_at: Optional[datetime]

When the backtesting started

end_at: Optional[datetime]

When the backtesting started

get_trading_core_metrics()

Get metrics displayed on a equity curve benchmark tooltip.

See :py:func:``tradeexecutor.analysis.grid_search._get_hover_template`.

Returns:

Preformatted dictionary

Return type:

Dict[str, str]

to_dataframe(format_headings=True)

Creates a human-readable Pandas dataframe summary table from the object.

Return type:

DataFrame

static format_summary_dataframe(df)

Format the summary dataframe for display in Jupyter notebook with clickable links.

Parameters:

df (DataFrame) – The dataframe to format.

Returns:

Formatted dataframe with clickable links.

Return type:

DataFrame

display()

Create human readable summary tables and display them in IPython notebook.

__init__(won, lost, zero_loss, stop_losses, undecided, realised_profit, open_value, uninvested_cash, initial_cash, extra_return, duration, average_winning_trade_profit_pc, average_losing_trade_loss_pc, biggest_winning_trade_pc, biggest_losing_trade_pc, average_duration_of_winning_trades, average_duration_of_losing_trades, time_bucket=None, total_trades=None, average_trade=None, median_trade=None, max_pos_cons=None, max_neg_cons=None, max_delta_neutral_cons=None, max_pullback=None, max_loss_risk=None, max_realised_loss=None, avg_realised_risk=None, average_delta_neutral_profit_pc=None, biggest_delta_neutral_pc=None, delta_neutral=0, take_profits=0, trade_volume=0.0, lp_fees_paid=0, lp_fees_average_pc=0, daily_returns=None, compounding_returns=None, winning_stop_losses=0, losing_stop_losses=0, winning_take_profits=0, losing_take_profits=0, median_win=None, median_loss=None, median_delta_neutral=None, sharpe_ratio=None, sortino_ratio=None, profit_factor=None, max_drawdown=None, max_runup=None, average_duration_of_delta_neutral_positions=None, average_duration_of_zero_loss_trades=None, average_duration_of_all_trades=None, unrealised_profit=None, average_interest_paid_usd=None, total_interest_paid_usd=None, median_interest_paid_usd=None, max_interest_paid_usd=None, min_interest_paid_usd=None, total_claimed_interest=None, average_duration_between_position_openings=None, average_position_frequency=None, average_duration_between_positions=0, average_duration_between_postions=0, time_in_market=None, time_in_market_volatile=None, start_at=None, end_at=None)

Parameters:

• won (int) –

• lost (int) –

• zero_loss (int) –

• stop_losses (int) –

• undecided (int) –

• realised_profit (float) –

• open_value (float) –

• uninvested_cash (float) –

• initial_cash (float) –

• extra_return (float) –

• duration (Optional[timedelta]) –

• average_winning_trade_profit_pc (Optional[float]) –

• average_losing_trade_loss_pc (Optional[float]) –

• biggest_winning_trade_pc (Optional[float]) –

• biggest_losing_trade_pc (Optional[float]) –

• average_duration_of_winning_trades (timedelta) –

• average_duration_of_losing_trades (timedelta) –

• time_bucket (Optional[TimeBucket]) –

• total_trades (Optional[int]) –

• average_trade (Optional[float]) –

• median_trade (Optional[float]) –

• max_pos_cons (Optional[int]) –

• max_neg_cons (Optional[int]) –

• max_delta_neutral_cons (Optional[int]) –

• max_pullback (Optional[float]) –

• max_loss_risk (Optional[float]) –

• max_realised_loss (Optional[float]) –

• avg_realised_risk (Optional[float]) –

• average_delta_neutral_profit_pc (Optional[float]) –

• biggest_delta_neutral_pc (Optional[float]) –

• delta_neutral (int) –

• take_profits (int) –

• trade_volume (float) –

• lp_fees_paid (Optional[float]) –

• lp_fees_average_pc (Optional[float]) –

• daily_returns (Optional[Series]) –

• compounding_returns (Optional[Series]) –

• winning_stop_losses (Optional[int]) –

• losing_stop_losses (Optional[int]) –

• winning_take_profits (Optional[int]) –

• losing_take_profits (Optional[int]) –

• median_win (Optional[float]) –

• median_loss (Optional[float]) –

• median_delta_neutral (Optional[float]) –

• sharpe_ratio (Optional[float]) –

• sortino_ratio (Optional[float]) –

• profit_factor (Optional[float]) –

• max_drawdown (Optional[float]) –

• max_runup (Optional[float]) –

• average_duration_of_delta_neutral_positions (Optional[timedelta]) –

• average_duration_of_zero_loss_trades (Optional[timedelta]) –

• average_duration_of_all_trades (Optional[timedelta]) –

• unrealised_profit (Optional[float]) –

• average_interest_paid_usd (Optional[float]) –

• total_interest_paid_usd (Optional[float]) –

• median_interest_paid_usd (Optional[float]) –

• max_interest_paid_usd (Optional[float]) –

• min_interest_paid_usd (Optional[float]) –

• total_claimed_interest (Optional[float]) –

• average_duration_between_position_openings (Optional[timedelta]) –

• average_position_frequency (Optional[timedelta]) –

• average_duration_between_positions (int) –

• average_duration_between_postions (int) –

• time_in_market (Optional[timedelta]) –

• time_in_market_volatile (Optional[timedelta]) –

• start_at (Optional[datetime]) –

• end_at (Optional[datetime]) –

Return type:

None