BacktestLibrary

2024년 11월 29일

Library "BacktestLibrary"
A library providing functions for equity calculation and performance metrics.

since(date, active)
  : Calculates the number of candles since a specified date.
  Parameters:
    date (simple float): (simple float): The starting date in timestamp format (e.g., input.time(timestamp()))
    active (simple bool): (simple bool): If true, counts the number of candles since the date; if false, returns 0.
  Returns: (int): The number of candles since the specified date.

buy_and_hold(r, startDate)
  : Calculates the Buy and Hold Equity from a specified date.
  Parameters:
    r (float): (series float): Daily returns of the asset (e.g., 0.02 for 2% move).
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
  Returns: (float): Buy and Hold Equity of the asset from the specified date.

equity(sig, threshold, r, startDate, signals)
  : Calculates the strategy's equity on a candle-by-candle basis.
  Parameters:
    sig (float): (series float): Signal values; positive for long, negative for short.
    threshold (simple float): (simple float): Signal threshold for entering trades.
    r (float): (series float): Daily returns of the asset (e.g., 0.02 for 2% move).
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
    signals (simple string): (simple string): Type of signals to backtest ("Long & Short", "Long Only", "Short Only").
  Returns: (float): Strategy equity on a candle-by-candle basis.

PerformanceMetrics(base, Lookback, startDate)
  : Calculates performance metrics of a strategy from a specified date.
  Parameters:
    base (float): (series float): Equity values of the strategy or Buy and Hold equity.
    Lookback (int): (series int): Number of periods since the start date; recommended to use the 'since' function.
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
  Returns: (float[]): Array of performance metrics.

PerfMetricTable(buy_and_hold, strategy)
  : Plots a table comparing performance metrics of Buy and Hold and Strategy equity.
  Parameters:
    buy_and_hold (array<float>): (float[]): Metrics from the PerformanceMetrics() function for Buy and Hold.
    strategy (array<float>): (float[]): Metrics from the PerformanceMetrics() function for the strategy.
  Returns: : Table displaying the performance metrics comparison.

2024년 12월 4일

릴리즈 노트

v2

Added:
TradeMetrics(startDate, initial_capital, trade_size, Long_entry_bool, Short_entry_bool, Long_exit_bool, Short_exit_bool)
  : Calculates key trading performance metrics based on entry, exit, and trade size logic.
  Parameters:
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
    initial_capital (simple float): (simple float): The starting capital for trade calculations.
    trade_size (simple float): (simple float): The proportion of capital allocated per trade.
    Long_entry_bool (bool): (series bool): Boolean condition indicating a long entry signal.
    Short_entry_bool (bool): (series bool): Boolean condition indicating a short entry signal.
    Long_exit_bool (bool): (series bool): Boolean condition indicating a long exit signal.
    Short_exit_bool (bool): (series bool): Boolean condition indicating a short exit signal.
  Returns: (tuple): A tuple containing:
- signal (int): Current trade signal (-1 for short, 1 for long, 0 for neutral).
- closed_trades_count (int): Total number of closed trades.
- closed_long (int): Total number of closed long trades.
- closed_short (int): Total number of closed short trades.
- win_trades (int): Total number of winning trades.
- win_long (int): Total number of winning long trades.
- win_short (int): Total number of winning short trades.
- gross_profit (float): Total gross profit from all trades.
- gross_losses (float): Total gross losses from all trades.
- gross_L_profit (float): Gross profit from long trades.
- gross_L_losses (float): Gross losses from long trades.
- gross_S_profit (float): Gross profit from short trades.
- gross_S_losses (float): Gross losses from short trades.

TradeMetricsTable(initial_capital, closed_trades_count, closed_long, closed_short, win_trades, win_long, win_short, gross_profit, gross_losses, gross_L_profit, gross_L_losses, gross_S_profit, gross_S_losses)
  : Generates a visual table displaying trade performance metrics for all trades, long trades, and short trades.
  Parameters:
    initial_capital (simple float): (simple float): The starting capital for trade calculations.
    closed_trades_count (int): (series int): Total number of closed trades.
    closed_long (int): (series int): Total number of closed long trades.
    closed_short (int): (series int): Total number of closed short trades.
    win_trades (int): (series int): Total number of winning trades.
    win_long (int): (series int): Total number of winning long trades.
    win_short (int): (series int): Total number of winning short trades.
    gross_profit (float): (series float): Total gross profit from all trades.
    gross_losses (float): (series float): Total gross losses from all trades.
    gross_L_profit (float): (series float): Gross profit from long trades.
    gross_L_losses (float): (series float): Gross losses from long trades.
    gross_S_profit (float): (series float): Gross profit from short trades.
    gross_S_losses (float): (series float): Gross losses from short trades.
  Returns: (table): A table object displaying detailed trade metrics, including:
- Total trades, winning trades, and losing trades.
- Gross and net profit/loss in absolute and percentage terms.
- Profit factor, average trade metrics, and win/loss ratios.
- Metrics categorized by all trades, long trades, and short trades.