advanced_metrics#

tradeexecutor.analysis.advanced_metrics Python module in Trading Strategy framework.

Module description#

Advanced metrics.

Use Quantstats library to calculate various metrics about the strategy performance.

This will generate metrics like:

  • Sharpe

  • Sortino

  • Max drawdown

Note: These metrics are based on equity curve and returns - they do go down to the individual trade level. Any consecutive wins and losses are measured in days, not in the trade or candle count.

Classes#

AdvancedMetricsMode

What we will make quantstats to spit out.

Functions#

calculate_advanced_metrics(returns[, mode, ...])

Calculate advanced strategy performance statistics using Quantstats.

visualise_advanced_metrics(returns[, mode])

Calculate advanced strategy performance statistics using Quantstats.