Deep AI

Library "Deeptest"
Comprehensive quantitative backtesting library with 112+ metrics: Sharpe/Sortino ratios, drawdown analysis, Monte Carlo simulation, Walk-Forward Analysis, VaR/CVaR, benchmark comparison, and interactive table rendering for TradingView strategies
version 1.0.1 (01.01.2026)
============================================================================
CHANGELOG
============================================================================

v1.0.1 (01.01.2026)
- Added textSize parameter to runDeeptest() for controlling table text size
- New values: size.auto, size.small, size.tiny, size.normal, size.large
- Applies to all tables: main, stress test, drawdowns, recoveries, trades

v1.0.0 (31.12.2025)
- Initial release
- 112+ backtesting metrics
- Monte Carlo simulation and Walk-Forward Analysis
- Interactive table rendering with tooltips
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TABLE OF CONTENTS
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SECTION 1: File Header & Metadata
SECTION 2: Constants & Configuration
SECTION 3: Type Definitions
SECTION 4: Core Calculation Functions - Array Utilities
SECTION 5: Core Calculation Functions - Return Extraction
SECTION 6: Core Calculation Functions - Sharpe & Sortino
SECTION 7: Core Calculation Functions - Performance Metrics
SECTION 8: Core Calculation Functions - Drawdown Analysis
SECTION 9: Core Calculation Functions - Recovery Analysis
SECTION 10: Core Calculation Functions - Trade Analysis
SECTION 11: Core Calculation Functions - Statistical Distribution
SECTION 12: Core Calculation Functions - Risk Metrics
SECTION 13: Core Calculation Functions - Benchmark Comparison
SECTION 14: Core Calculation Functions - Time-Based Metrics
SECTION 15: Core Calculation Functions - Rolling Statistics
SECTION 16: Core Calculation Functions - Strategy Integration
SECTION 17: Core Calculation Functions - Walk Forward Analysis
SECTION 18: Core Calculation Functions - Monte Carlo Simulation
SECTION 19: Core Calculation Functions - Out-of-Sample Analysis
SECTION 20: Formatting Utilities - Value Formatting
SECTION 21: Formatting Utilities - Duration Formatting
SECTION 22: Formatting Utilities - Frequency Formatting
SECTION 23: Formatting Utilities - Date Formatting
SECTION 24: Tooltip Builders - Main Table Metrics
SECTION 25: Tooltip Builders - Complementary Metrics
SECTION 26: Tooltip Builders - Stress Test Metrics
SECTION 27: Tooltip Builders - Period Analysis Cards
SECTION 28: Table Rendering - Structure Helpers
SECTION 29: Table Rendering - Main Deeptest Table
SECTION 30: Table Rendering - Cell Renderers - Complementary Row
SECTION 31: Table Rendering - Stress Test Table
SECTION 32: Table Rendering - Period Analysis Cards
SECTION 33: Main Entry Point

============================================================================
API REFERENCE
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Main Export:
------------
runDeeptest() - Complete backtest analysis orchestrator

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KEY FEATURES
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- Comprehensive backtesting metrics (112+ functions)
- Rolling window analysis with statistical distributions
- Advanced risk metrics (Sharpe, Sortino, Calmar, Martin, VaR, CVaR)
- Drawdown and recovery analysis
- Monte Carlo simulation and Walk-Forward Analysis
- Trade analysis (top/worst trades, consecutive streaks)
- Benchmark comparison (Alpha, Beta, R², Buy & Hold)
- Interactive table rendering with tooltips

============================================================================
USAGE EXAMPLE
============================================================================

╔══════════════════════════════════════════════════════════════════════════════╗
║ PROGRESSIVE USAGE EXAMPLES ║
╠══════════════════════════════════════════════════════════════════════════════╣
║ Three examples demonstrating increasing complexity: ║
║ 1. MINIMAL - "Hello World" with basic MA crossover ║
║ 2. BALANCED - Production ready with risk management & filters ║
║ 3. PROFESSIONAL - Full-featured with trailing stops & session filters ║
╚══════════════════════════════════════════════════════════════════════════════╝

╔══════════════════════════════════════════════════════════════════════════════╗
║ EXAMPLE 1: MINIMAL (The "Hello World") ║
╠══════════════════════════════════════════════════════════════════════════════╣
║ The simplest possible integration - just 3 lines to get started: ║
║ 1. Import the library ║
║ 2. Write your strategy logic ║
║ 3. Call runDeeptest() ║
╚══════════════════════════════════════════════════════════════════════════════╝

//version=6
strategy("MA Crossover [Minimal]", overlay=true)

// ═══════════════════════════════════════════════════════════════════════════
// ⮟ Import Deeptest (Direct import - no namespace prefix needed)
// ═══════════════════════════════════════════════════════════════════════════
import Fractalyst/Deeptest/1 as *

// ────────────────────────────────────────────────────────────────────────────
// Strategy Logic: Simple Moving Average Crossover
// ────────────────────────────────────────────────────────────────────────────
fastMA = ta.sma(close, 10) // Fast MA: 10 periods
slowMA = ta.sma(close, 30) // Slow MA: 30 periods

// Plot MAs for visualization
plot(fastMA, "Fast MA", color=color.blue)
plot(slowMA, "Slow MA", color=color.orange)

// Entry: Long when fast MA crosses above slow MA
if ta.crossover(fastMA, slowMA)
strategy.entry("Long", strategy.long)

// Exit: Close when fast MA crosses below slow MA
if ta.crossunder(fastMA, slowMA)
strategy.close("Long")

// ═══════════════════════════════════════════════════════════════════════════
// ⮟ Run backtest analysis (all parameters use smart defaults)
// ═══════════════════════════════════════════════════════════════════════════
DT.runDeeptest()

╔══════════════════════════════════════════════════════════════════════════════╗
║ EXAMPLE 2: BALANCED (Production Ready) ║
╠══════════════════════════════════════════════════════════════════════════════╣
║ Adds essential production features: ║
║ • User-configurable inputs ║
║ • ADX trend filter to avoid choppy markets ║
║ • Stop loss / Take profit for risk management ║
║ • Custom backtest parameters ║
╚══════════════════════════════════════════════════════════════════════════════╝

//version=6
strategy("MA Crossover [Balanced]", overlay=true)

import Fractalyst/Deeptest/1 as *

// ────────────────────────────────────────────────────────────────────────────
// INPUT PARAMETERS
// ────────────────────────────────────────────────────────────────────────────
fastLen = input.int(10, "Fast MA Period", minval=1)
slowLen = input.int(30, "Slow MA Period", minval=1)
riskPct = input.float(2.0, "Risk %", minval=0.1) / 100
slPct = input.float(5.0, "Stop Loss %", minval=0.1) / 100
tpPct = input.float(10.0, "Take Profit %", minval=0.1) / 100
adxThresh = input.int(20, "ADX Trend Threshold")

// ────────────────────────────────────────────────────────────────────────────
// INDICATORS
// ────────────────────────────────────────────────────────────────────────────
fastMA = ta.sma(close, fastLen)
slowMA = ta.sma(close, slowLen)
adx = ta.adx(14)
[diPlus, diMinus] = ta.dmi(14, 14)

// ────────────────────────────────────────────────────────────────────────────
// FILTERS
// ────────────────────────────────────────────────────────────────────────────
trendConfirmed = adx > adxThresh and diPlus > diMinus

// ────────────────────────────────────────────────────────────────────────────
// STRATEGY LOGIC
// ────────────────────────────────────────────────────────────────────────────
// Entry: MA crossover + trend confirmation
if ta.crossover(fastMA, slowMA) and trendConfirmed
strategy.entry("Long", strategy.long)

// Exit: MA crossunder
if ta.crossunder(fastMA, slowMA)
strategy.close("Long")

// Risk management: Stop loss and take profit
if strategy.position_size > 0
strategy.exit("RM", "Long",
stop=strategy.position_avg_price * (1 - slPct),
limit=strategy.position_avg_price * (1 + tpPct))

// ═══════════════════════════════════════════════════════════════════════════
// ⮟ Run backtest with custom parameters
// ═══════════════════════════════════════════════════════════════════════════
DT.runDeeptest(
riskPerTrade = 1.0, // ← 1% risk per trade
targetMaxDDPct = 15.0, // ← 15% max drawdown target
showStressTest = true, // ← Enable stress test table
showPeriodCards = true, // ← Enable period cards
wfaWindows = 12, // ← Walk-forward windows
mcSimulations = 1000, // ← Monte Carlo runs
bullColor = color.new(#00b9ff, 0),
bearColor = color.new(#ff0051, 0),
benchmarkSymbol = "SPX", // ← Compare to S&P 500
periodCardMode = "drawdowns", // ← Show drawdown periods
tradeSortBy = "return" // ← Sort by return %
)

╔══════════════════════════════════════════════════════════════════════════════╗
║ EXAMPLE 3: PROFESSIONAL (Full-Featured) ║
╠══════════════════════════════════════════════════════════════════════════════╣
║ Complete professional implementation: ║
║ • Organized input groups for better UX ║
║ • Multiple filters: ADX trend, ATR volatility, Session timing ║
║ • Trailing stop to lock in profits ║
║ • Position highlighting for visual feedback ║
║ • Full parameter customization with inline documentation ║
╚══════════════════════════════════════════════════════════════════════════════╝

//version=6


runDeeptest(targetMaxDDPct, bullColor, bearColor, tableBg, headerBg, borderColor, textPrimary, textMuted, textSize, showComplementaryRow, showStressTestTable, showDrawdownRecoveryCards, showTradeCards)
  Parameters:
    targetMaxDDPct (float)
    bullColor (color)
    bearColor (color)
    tableBg (color)
    headerBg (color)
    borderColor (color)
    textPrimary (color)
    textMuted (color)
    textSize (string)
    showComplementaryRow (bool)
    showStressTestTable (bool)
    showDrawdownRecoveryCards (bool)
    showTradeCards (bool)

ThresholdConfig
  ThresholdConfig - Configuration for metric thresholds and corresponding colors
  Fields:
    sharpeExc (series float)
    sharpeGood (series float)
    sharpeOk (series float)
    sharpeBear (series color)
    sharpeNeutral (series color)
    sharpeOrange (series color)
    sharpeBull (series color)
    ddSevere (series float)
    ddMod (series float)
    ddMild (series float)
    ddSevereColor (series color)
    ddModColor (series color)
    ddOrange (series color)
    ddGoodColor (series color)
    rorHigh (series float)
    rorMod (series float)
    rorLow (series float)
    rorHighColor (series color)
    rorModColor (series color)
    rorOrange (series color)
    rorLowColor (series color)
    r2Poor (series float)
    r2Mod (series float)
    r2Good (series float)
    r2PoorColor (series color)
    r2ModColor (series color)
    r2Orange (series color)
    r2GoodColor (series color)
    kurtHigh (series float)
    kurtMod (series float)
    kurtOk (series float)
    kurtHighColor (series color)
    kurtModColor (series color)
    kurtOrange (series color)
    kurtGoodColor (series color)
    skewVNeg (series float)
    skewModNeg (series float)
    skewPos (series float)
    skewVPos (series float)
    skewVNegColor (series color)
    skewModNegColor (series color)
    skewNeutral (series color)
    skewPosColor (series color)
    payoffPoor (series float)
    payoffBE (series float)
    payoffGood (series float)
    payoffPoorColor (series color)
    payoffBEColor (series color)
    payoffOrange (series color)
    payoffGoodColor (series color)
    pfPoor (series float)
    pfBE (series float)
    pfGood (series float)
    pfPoorColor (series color)
    pfBEColor (series color)
    pfOrange (series color)
    pfGoodColor (series color)
    ulcerHigh (series float)
    ulcerLow (series float)
    ulcerHighColor (series color)
    ulcerModColor (series color)
    ulcerOrange (series color)
    ulcerLowColor (series color)
    wrLow (series float)
    wrOk (series float)
    wrHigh (series float)
    wrLowColor (series color)
    wrOkColor (series color)
    wrOrange (series color)
    wrHighColor (series color)
    cagrPoor (series float)
    cagrOk (series float)
    cagrGood (series float)
    cagrPoorColor (series color)
    cagrOkColor (series color)
    cagrOrange (series color)
    cagrGoodColor (series color)
    pInsig (series float)
    pMod (series float)
    pSig (series float)
    pInsigColor (series color)
    pModColor (series color)
    pOrange (series color)
    pSigColor (series color)
    calmarPoor (series float)
    calmarBE (series float)
    calmarGood (series float)
    calmarPoorColor (series color)
    calmarBEColor (series color)
    calmarOrange (series color)
    calmarGoodColor (series color)
    betaHigh (series float)
    betaLow (series float)
    betaHighColor (series color)
    betaLowColor (series color)
    betaGoodColor (series color)

Stats
  Stats - Comprehensive backtest statistics container
  Fields:
    totalTrades (series int)
    winTrades (series int)
    lossTrades (series int)
    evenTrades (series int)
    winRate (series float)
    lossRate (series float)
    avgWinPct (series float)
    avgLossPct (series float)
    avgTradePct (series float)
    profitFactor (series float)
    payoffRatio (series float)
    expectancy (series float)
    grossProfit (series float)
    grossLoss (series float)
    netProfit (series float)
    netProfitPct (series float)
    compEffect (series float)
    sharpe (series float)
    sortino (series float)
    calmar (series float)
    martin (series float)
    maxDrawdown (series float)
    maxDrawdownPct (series float)
    currentDrawdown (series float)
    currentDrawdownPct (series float)
    avgDrawdownPct (series float)
    maxEquity (series float)
    minEquity (series float)
    cagr (series float)
    monthlyReturn (series float)
    maxConsecWins (series int)
    maxConsecLosses (series int)
    avgTradeDuration (series float)
    avgWinDuration (series float)
    avgLossDuration (series float)
    timeInMarketPct (series float)
    tradesPerMonth (series float)
    tradesPerYear (series float)
    skewness (series float)
    kurtosis (series float)
    var95 (series float)
    cvar95 (series float)
    ulcerIndex (series float)
    riskOfRuin (series float)
    pValue (series float)
    zScore (series float)
    alpha (series float)
    beta (series float)
    buyHoldReturn (series float)
    equityRSquared (series float)
    firstTradeTime (series int)
    lastTradeTime (series int)
    tradingPeriodDays (series float)

RollingWindowSummary
  RollingWindowSummary - Summary of metrics for a single rolling analysis window
  Fields:
    windowIndex (series int)
    startTrade (series int)
    endTrade (series int)
    effectiveCount (series int)
    minValue (series float)
    maxValue (series float)
    metricValue (series float)

RollingStats
  RollingStats - Statistical distribution of rolling window metrics
  Fields:
    windowSize (series int): Number of trades in rolling window
    expectancyMin (series float): Minimum rolling expectancy
    expectancyMax (series float): Maximum rolling expectancy
    sharpeMin (series float): Minimum rolling Sharpe
    sharpeMax (series float): Maximum rolling Sharpe
    sortinoMin (series float): Minimum rolling Sortino
    sortinoMax (series float): Maximum rolling Sortino
    expectancyWindows (array<RollingWindowSummary>): Per-window summaries for expectancy
    sharpeWindows (array<RollingWindowSummary>): Per-window summaries for Sharpe
    sortinoWindows (array<RollingWindowSummary>): Per-window summaries for Sortino
    expectancyMean (series float): Mean expectancy across rolling windows
    expectancyStdDev (series float): Standard deviation of expectancy
    expectancyPct90 (series float): 90th percentile expectancy
    expectancyPct50 (series float): 50th percentile expectancy (median)
    expectancyPct10 (series float): 10th percentile expectancy
    sharpeMean (series float): Mean Sharpe across rolling windows
    sharpeStdDev (series float): Standard deviation of Sharpe
    sharpePct90 (series float): 90th percentile Sharpe
    sharpePct50 (series float): 50th percentile Sharpe
    sharpePct10 (series float): 10th percentile Sharpe
    sortinoMean (series float): Mean Sortino across rolling windows
    sortinoStdDev (series float): Standard deviation of Sortino
    sortinoPct90 (series float): 90th percentile Sortino
    sortinoPct50 (series float): 50th percentile Sortino
    sortinoPct10 (series float): 10th percentile Sortino