back-trader-python 1.4.0__py3-none-any.whl

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Files changed (465) hide show
  1. back_trader_python-1.4.0.dist-info/METADATA +1491 -0
  2. back_trader_python-1.4.0.dist-info/RECORD +465 -0
  3. back_trader_python-1.4.0.dist-info/WHEEL +5 -0
  4. back_trader_python-1.4.0.dist-info/licenses/LICENSE +674 -0
  5. back_trader_python-1.4.0.dist-info/top_level.txt +1 -0
  6. backtrader/__init__.py +148 -0
  7. backtrader/_cerebro/__init__.py +5 -0
  8. backtrader/_cerebro/channel.py +382 -0
  9. backtrader/_cerebro/execution.py +377 -0
  10. backtrader/_cerebro/lifecycle.py +143 -0
  11. backtrader/_cerebro/notifications.py +150 -0
  12. backtrader/_cerebro/presentation.py +230 -0
  13. backtrader/_cerebro/registry.py +593 -0
  14. backtrader/_cerebro/runnext.py +551 -0
  15. backtrader/_cerebro/runonce.py +142 -0
  16. backtrader/analyzer.py +594 -0
  17. backtrader/analyzers/__init__.py +50 -0
  18. backtrader/analyzers/annualreturn.py +226 -0
  19. backtrader/analyzers/calmar.py +165 -0
  20. backtrader/analyzers/drawdown.py +287 -0
  21. backtrader/analyzers/leverage.py +112 -0
  22. backtrader/analyzers/logreturnsrolling.py +190 -0
  23. backtrader/analyzers/periodstats.py +153 -0
  24. backtrader/analyzers/positions.py +119 -0
  25. backtrader/analyzers/pyfolio.py +470 -0
  26. backtrader/analyzers/returns.py +192 -0
  27. backtrader/analyzers/sharpe.py +307 -0
  28. backtrader/analyzers/sharpe_ratio_stats.py +534 -0
  29. backtrader/analyzers/sqn.py +112 -0
  30. backtrader/analyzers/timereturn.py +192 -0
  31. backtrader/analyzers/total_value.py +75 -0
  32. backtrader/analyzers/tradeanalyzer.py +278 -0
  33. backtrader/analyzers/transactions.py +141 -0
  34. backtrader/analyzers/vwr.py +245 -0
  35. backtrader/bokeh/__init__.py +155 -0
  36. backtrader/bokeh/analyzers/__init__.py +13 -0
  37. backtrader/bokeh/analyzers/plot.py +192 -0
  38. backtrader/bokeh/analyzers/recorder.py +181 -0
  39. backtrader/bokeh/app.py +1094 -0
  40. backtrader/bokeh/live/__init__.py +11 -0
  41. backtrader/bokeh/live/client.py +352 -0
  42. backtrader/bokeh/live/datahandler.py +346 -0
  43. backtrader/bokeh/plot_adapter.py +200 -0
  44. backtrader/bokeh/schemes/__init__.py +14 -0
  45. backtrader/bokeh/schemes/blackly.py +76 -0
  46. backtrader/bokeh/schemes/scheme.py +150 -0
  47. backtrader/bokeh/schemes/tradimo.py +82 -0
  48. backtrader/bokeh/tab.py +125 -0
  49. backtrader/bokeh/tabs/__init__.py +30 -0
  50. backtrader/bokeh/tabs/analyzer.py +120 -0
  51. backtrader/bokeh/tabs/config.py +154 -0
  52. backtrader/bokeh/tabs/live.py +109 -0
  53. backtrader/bokeh/tabs/log.py +185 -0
  54. backtrader/bokeh/tabs/metadata.py +182 -0
  55. backtrader/bokeh/tabs/performance.py +359 -0
  56. backtrader/bokeh/tabs/source.py +70 -0
  57. backtrader/bokeh/utils/__init__.py +8 -0
  58. backtrader/bokeh/utils/helpers.py +167 -0
  59. backtrader/bokeh/webapp.py +164 -0
  60. backtrader/broker.py +478 -0
  61. backtrader/brokers/__init__.py +36 -0
  62. backtrader/brokers/bbroker.py +2576 -0
  63. backtrader/brokers/btapibroker.py +8227 -0
  64. backtrader/brokers/hft/__init__.py +89 -0
  65. backtrader/brokers/hft/binance_bbo.py +625 -0
  66. backtrader/brokers/hft/binance_bbo_compare.py +1398 -0
  67. backtrader/brokers/hft/examples.py +1228 -0
  68. backtrader/brokers/hft/exchange.py +380 -0
  69. backtrader/brokers/hft/latency.py +309 -0
  70. backtrader/brokers/hft/matching_core.py +572 -0
  71. backtrader/brokers/hft/queue.py +238 -0
  72. backtrader/brokers/hft/recorder.py +88 -0
  73. backtrader/brokers/hft/state.py +138 -0
  74. backtrader/brokers/impact_models.py +118 -0
  75. backtrader/brokers/mixbroker.py +895 -0
  76. backtrader/brokers/tickbroker.py +1991 -0
  77. backtrader/btrun/__init__.py +12 -0
  78. backtrader/btrun/btrun.py +1218 -0
  79. backtrader/cerebro.py +828 -0
  80. backtrader/channel.py +682 -0
  81. backtrader/channels/__init__.py +23 -0
  82. backtrader/channels/bridge.py +186 -0
  83. backtrader/channels/funding.py +248 -0
  84. backtrader/channels/live_queue.py +216 -0
  85. backtrader/channels/live_validator.py +294 -0
  86. backtrader/channels/orderbook.py +257 -0
  87. backtrader/channels/tick.py +202 -0
  88. backtrader/comminfo.py +665 -0
  89. backtrader/commissions/__init__.py +106 -0
  90. backtrader/commissions/ctpoption.py +993 -0
  91. backtrader/configs/account_config_example.yaml +8 -0
  92. backtrader/dataseries.py +379 -0
  93. backtrader/errors.py +106 -0
  94. backtrader/events.py +980 -0
  95. backtrader/feed.py +1523 -0
  96. backtrader/feeds/__init__.py +75 -0
  97. backtrader/feeds/barrier.py +2006 -0
  98. backtrader/feeds/blaze.py +118 -0
  99. backtrader/feeds/btapifeed.py +1538 -0
  100. backtrader/feeds/btcsv.py +203 -0
  101. backtrader/feeds/chainer.py +114 -0
  102. backtrader/feeds/cryptohftdata.py +164 -0
  103. backtrader/feeds/csvgeneric.py +1205 -0
  104. backtrader/feeds/ctpcohort.py +1051 -0
  105. backtrader/feeds/influxfeed.py +158 -0
  106. backtrader/feeds/livefeed.py +71 -0
  107. backtrader/feeds/mixed_channel.py +108 -0
  108. backtrader/feeds/mt4csv.py +42 -0
  109. backtrader/feeds/pandafeed.py +381 -0
  110. backtrader/feeds/quandl.py +256 -0
  111. backtrader/feeds/rollover.py +229 -0
  112. backtrader/feeds/sierrachart.py +30 -0
  113. backtrader/feeds/vchart.py +162 -0
  114. backtrader/feeds/vchartcsv.py +84 -0
  115. backtrader/feeds/vchartfile.py +153 -0
  116. backtrader/feeds/yahoo.py +399 -0
  117. backtrader/fillers.py +148 -0
  118. backtrader/filters/__init__.py +34 -0
  119. backtrader/filters/bsplitter.py +127 -0
  120. backtrader/filters/calendardays.py +121 -0
  121. backtrader/filters/datafiller.py +192 -0
  122. backtrader/filters/datafilter.py +74 -0
  123. backtrader/filters/daysteps.py +96 -0
  124. backtrader/filters/heikinashi.py +63 -0
  125. backtrader/filters/renko.py +164 -0
  126. backtrader/filters/session.py +289 -0
  127. backtrader/flt.py +80 -0
  128. backtrader/functions.py +960 -0
  129. backtrader/indicator.py +449 -0
  130. backtrader/indicators/__init__.py +148 -0
  131. backtrader/indicators/accdecoscillator.py +110 -0
  132. backtrader/indicators/aroon.py +300 -0
  133. backtrader/indicators/atr.py +315 -0
  134. backtrader/indicators/awesomeoscillator.py +122 -0
  135. backtrader/indicators/basicops.py +834 -0
  136. backtrader/indicators/bollinger.py +223 -0
  137. backtrader/indicators/cci.py +89 -0
  138. backtrader/indicators/channels_ext.py +83 -0
  139. backtrader/indicators/contrib/__init__.py +228 -0
  140. backtrader/indicators/contrib/absolutely_no_lag_lwma.py +28 -0
  141. backtrader/indicators/contrib/absolutely_no_lag_lwma_color.py +44 -0
  142. backtrader/indicators/contrib/accumulation_distribution_line.py +92 -0
  143. backtrader/indicators/contrib/adx_cross_hull_style_indicator.py +249 -0
  144. backtrader/indicators/contrib/adxdmi.py +34 -0
  145. backtrader/indicators/contrib/ai_acceleration_deceleration_oscillator.py +34 -0
  146. backtrader/indicators/contrib/altr_trend_signal_v22.py +85 -0
  147. backtrader/indicators/contrib/anchored_momentum_line.py +115 -0
  148. backtrader/indicators/contrib/any_range_cld_tail_indicator.py +82 -0
  149. backtrader/indicators/contrib/aroon_horn_sign_indicator.py +96 -0
  150. backtrader/indicators/contrib/aroon_oscillator_sign_alert.py +50 -0
  151. backtrader/indicators/contrib/arrows_curves_indicator.py +112 -0
  152. backtrader/indicators/contrib/as_ctrend_indicator.py +143 -0
  153. backtrader/indicators/contrib/asimmetric_stoch_nr_indicator.py +187 -0
  154. backtrader/indicators/contrib/atr_normalize_histogram.py +118 -0
  155. backtrader/indicators/contrib/average_change_candle.py +165 -0
  156. backtrader/indicators/contrib/bb_squeeze_indicator.py +60 -0
  157. backtrader/indicators/contrib/bezier_st_dev_indicator.py +135 -0
  158. backtrader/indicators/contrib/binary_wave_indicator.py +233 -0
  159. backtrader/indicators/contrib/blau_c_momentum_indicator.py +123 -0
  160. backtrader/indicators/contrib/blau_cmi_indicator.py +141 -0
  161. backtrader/indicators/contrib/blau_csi.py +76 -0
  162. backtrader/indicators/contrib/blau_ergodic.py +53 -0
  163. backtrader/indicators/contrib/blau_t_stoch_i.py +72 -0
  164. backtrader/indicators/contrib/blau_ts_stochastic.py +85 -0
  165. backtrader/indicators/contrib/blau_tvi.py +55 -0
  166. backtrader/indicators/contrib/brain_trend2_indicator.py +128 -0
  167. backtrader/indicators/contrib/brain_trend_signal_proxy.py +47 -0
  168. backtrader/indicators/contrib/brake_parb_indicator.py +85 -0
  169. backtrader/indicators/contrib/breakout_bars_trend_v2.py +121 -0
  170. backtrader/indicators/contrib/bsi_indicator.py +87 -0
  171. backtrader/indicators/contrib/bulls_bears_eyes.py +67 -0
  172. backtrader/indicators/contrib/bulls_power.py +56 -0
  173. backtrader/indicators/contrib/bw_wise_man1_signal.py +102 -0
  174. backtrader/indicators/contrib/bykov_trend_indicator.py +85 -0
  175. backtrader/indicators/contrib/candle_stop_color.py +46 -0
  176. backtrader/indicators/contrib/candles_x_smoothed_indicator.py +69 -0
  177. backtrader/indicators/contrib/candlesticks_bw.py +45 -0
  178. backtrader/indicators/contrib/caudate_x_period_candle_color.py +56 -0
  179. backtrader/indicators/contrib/cci_histogram_indicator.py +53 -0
  180. backtrader/indicators/contrib/cci_woodies_indicator.py +80 -0
  181. backtrader/indicators/contrib/center_of_gravity_candle_indicator.py +83 -0
  182. backtrader/indicators/contrib/center_of_gravity_indicator.py +70 -0
  183. backtrader/indicators/contrib/cg_oscillator.py +40 -0
  184. backtrader/indicators/contrib/close_line_cci.py +38 -0
  185. backtrader/indicators/contrib/close_price_fractals.py +47 -0
  186. backtrader/indicators/contrib/color3rd_gen_xma_indicator.py +122 -0
  187. backtrader/indicators/contrib/color_bb_candles_indicator.py +108 -0
  188. backtrader/indicators/contrib/color_coppock_indicator.py +157 -0
  189. backtrader/indicators/contrib/color_hma.py +71 -0
  190. backtrader/indicators/contrib/color_j_variation_indicator.py +53 -0
  191. backtrader/indicators/contrib/color_metro_de_marker_indicator.py +78 -0
  192. backtrader/indicators/contrib/color_metro_stochastic_indicator.py +93 -0
  193. backtrader/indicators/contrib/color_metro_wpr_indicator.py +85 -0
  194. backtrader/indicators/contrib/color_schaff_de_marker_trend_cycle.py +92 -0
  195. backtrader/indicators/contrib/color_schaff_trend_cycle_indicator.py +203 -0
  196. backtrader/indicators/contrib/color_step_xccx_indicator.py +193 -0
  197. backtrader/indicators/contrib/color_x2_ma.py +49 -0
  198. backtrader/indicators/contrib/color_x_derivative.py +63 -0
  199. backtrader/indicators/contrib/color_zerolag_de_marker.py +84 -0
  200. backtrader/indicators/contrib/corrected_average_indicator.py +127 -0
  201. backtrader/indicators/contrib/darvas_boxes_system.py +73 -0
  202. backtrader/indicators/contrib/dema_range_channel_color.py +42 -0
  203. backtrader/indicators/contrib/derivative_indicator.py +95 -0
  204. backtrader/indicators/contrib/digital_ft01_indicator.py +112 -0
  205. backtrader/indicators/contrib/digital_macd.py +200 -0
  206. backtrader/indicators/contrib/donchian_channels_system.py +45 -0
  207. backtrader/indicators/contrib/dots_indicator.py +93 -0
  208. backtrader/indicators/contrib/ef_distance_indicator.py +82 -0
  209. backtrader/indicators/contrib/ema_rsi_va.py +80 -0
  210. backtrader/indicators/contrib/envelopes_jp_alonso.py +32 -0
  211. backtrader/indicators/contrib/f2a_ao_indicator.py +120 -0
  212. backtrader/indicators/contrib/fatl_filter.py +179 -0
  213. backtrader/indicators/contrib/fibo_candles_indicator.py +78 -0
  214. backtrader/indicators/contrib/fine_tuning_ma.py +100 -0
  215. backtrader/indicators/contrib/fisher_org_v1.py +102 -0
  216. backtrader/indicators/contrib/fisher_org_v1_sign.py +118 -0
  217. backtrader/indicators/contrib/force_index_ema.py +96 -0
  218. backtrader/indicators/contrib/force_index_ema_2.py +27 -0
  219. backtrader/indicators/contrib/forecast_oscilator.py +145 -0
  220. backtrader/indicators/contrib/fractal_amambk.py +81 -0
  221. backtrader/indicators/contrib/frama_series.py +84 -0
  222. backtrader/indicators/contrib/frasm_av2_indicator.py +104 -0
  223. backtrader/indicators/contrib/go_indicator.py +93 -0
  224. backtrader/indicators/contrib/hlr_indicator.py +95 -0
  225. backtrader/indicators/contrib/hma.py +50 -0
  226. backtrader/indicators/contrib/i4_drfv2.py +34 -0
  227. backtrader/indicators/contrib/i4_drfv3.py +38 -0
  228. backtrader/indicators/contrib/i_anch_mom_indicator.py +72 -0
  229. backtrader/indicators/contrib/i_de_marker_sign_indicator.py +64 -0
  230. backtrader/indicators/contrib/i_gap_indicator.py +45 -0
  231. backtrader/indicators/contrib/i_stoch_komposter_indicator.py +77 -0
  232. backtrader/indicators/contrib/i_trend_indicator.py +125 -0
  233. backtrader/indicators/contrib/iamma_indicator.py +39 -0
  234. backtrader/indicators/contrib/indexed_moving_average.py +33 -0
  235. backtrader/indicators/contrib/instantaneous_trend_filter_indicator.py +51 -0
  236. backtrader/indicators/contrib/inverse_reaction_indicator.py +41 -0
  237. backtrader/indicators/contrib/irsi_sign_indicator.py +95 -0
  238. backtrader/indicators/contrib/iwpr_sign_indicator.py +59 -0
  239. backtrader/indicators/contrib/j_brain_trend1_sig_indicator.py +233 -0
  240. backtrader/indicators/contrib/j_tpo_proxy.py +32 -0
  241. backtrader/indicators/contrib/jma_slope_indicator.py +73 -0
  242. backtrader/indicators/contrib/kalman_filter_indicator.py +119 -0
  243. backtrader/indicators/contrib/kalman_filter_line.py +127 -0
  244. backtrader/indicators/contrib/kama_indicator.py +150 -0
  245. backtrader/indicators/contrib/karacatica_indicator.py +99 -0
  246. backtrader/indicators/contrib/kdj_indicator.py +59 -0
  247. backtrader/indicators/contrib/kwan_ccc_indicator.py +195 -0
  248. backtrader/indicators/contrib/kwan_nrp_indicator.py +113 -0
  249. backtrader/indicators/contrib/kwan_rdp_indicator.py +192 -0
  250. backtrader/indicators/contrib/laguerre_adx_indicator.py +85 -0
  251. backtrader/indicators/contrib/laguerre_filter_indicator.py +66 -0
  252. backtrader/indicators/contrib/laguerre_plus_di_proxy.py +57 -0
  253. backtrader/indicators/contrib/laguerre_roc_indicator.py +81 -0
  254. backtrader/indicators/contrib/le_man_signal_indicator.py +63 -0
  255. backtrader/indicators/contrib/linear_reg_slope_v2_indicator.py +136 -0
  256. backtrader/indicators/contrib/loco_indicator.py +88 -0
  257. backtrader/indicators/contrib/lrma_indicator.py +185 -0
  258. backtrader/indicators/contrib/lsma_angle_indicator.py +106 -0
  259. backtrader/indicators/contrib/ma_rounding_channel_indicator.py +149 -0
  260. backtrader/indicators/contrib/macd2_indicator.py +61 -0
  261. backtrader/indicators/contrib/macd_candle_indicator.py +80 -0
  262. backtrader/indicators/contrib/malr_indicator.py +77 -0
  263. backtrader/indicators/contrib/momentum_candle_sign_indicator.py +51 -0
  264. backtrader/indicators/contrib/moving_average_fn_indicator.py +139 -0
  265. backtrader/indicators/contrib/mt5_stochastic_close_close.py +57 -0
  266. backtrader/indicators/contrib/muv_nor_diff_cloud_indicator.py +107 -0
  267. backtrader/indicators/contrib/non_lag_dot_indicator.py +124 -0
  268. backtrader/indicators/contrib/nrtr_extr_indicator.py +95 -0
  269. backtrader/indicators/contrib/nrtr_indicator.py +95 -0
  270. backtrader/indicators/contrib/p_channel_system.py +40 -0
  271. backtrader/indicators/contrib/percent_envelope.py +37 -0
  272. backtrader/indicators/contrib/percentage_crossover_channel.py +47 -0
  273. backtrader/indicators/contrib/pivot_zig_zag_proxy.py +47 -0
  274. backtrader/indicators/contrib/price_channel_stop_indicator.py +104 -0
  275. backtrader/indicators/contrib/price_extreme_channel.py +35 -0
  276. backtrader/indicators/contrib/qqe_cloud_indicator.py +129 -0
  277. backtrader/indicators/contrib/ravi_indicator.py +40 -0
  278. backtrader/indicators/contrib/raw_close_close_stochastic.py +74 -0
  279. backtrader/indicators/contrib/rd_trend_trigger_indicator.py +51 -0
  280. backtrader/indicators/contrib/renko_level.py +85 -0
  281. backtrader/indicators/contrib/renko_line_break.py +91 -0
  282. backtrader/indicators/contrib/rftl_indicator.py +41 -0
  283. backtrader/indicators/contrib/rkd_indicator.py +53 -0
  284. backtrader/indicators/contrib/roc2_vg_indicator.py +68 -0
  285. backtrader/indicators/contrib/rsi_histogram_indicator.py +43 -0
  286. backtrader/indicators/contrib/rsi_slowdown.py +57 -0
  287. backtrader/indicators/contrib/rsioma_v2.py +41 -0
  288. backtrader/indicators/contrib/rvi_histogram_indicator.py +107 -0
  289. backtrader/indicators/contrib/safe_adx.py +89 -0
  290. backtrader/indicators/contrib/shared_strategy_indicators.py +1651 -0
  291. backtrader/indicators/contrib/sidus_indicator.py +105 -0
  292. backtrader/indicators/contrib/silver_trend_indicator.py +79 -0
  293. backtrader/indicators/contrib/sliding_range_color.py +56 -0
  294. backtrader/indicators/contrib/slow_stoch.py +42 -0
  295. backtrader/indicators/contrib/smoothed_adx_indicator.py +86 -0
  296. backtrader/indicators/contrib/smoothed_rsi.py +31 -0
  297. backtrader/indicators/contrib/spearman_rank_correlation_histogram.py +60 -0
  298. backtrader/indicators/contrib/stalin_indicator.py +152 -0
  299. backtrader/indicators/contrib/starter_laguerre_filter.py +62 -0
  300. backtrader/indicators/contrib/step_manrtr_indicator.py +137 -0
  301. backtrader/indicators/contrib/stochastic_histogram_indicator.py +143 -0
  302. backtrader/indicators/contrib/t3_alarm_indicator.py +125 -0
  303. backtrader/indicators/contrib/t3_average.py +76 -0
  304. backtrader/indicators/contrib/t3_indicator.py +40 -0
  305. backtrader/indicators/contrib/the20s_v020_signal.py +93 -0
  306. backtrader/indicators/contrib/three_candles_indicator.py +70 -0
  307. backtrader/indicators/contrib/three_line_break_indicator.py +64 -0
  308. backtrader/indicators/contrib/time_line.py +57 -0
  309. backtrader/indicators/contrib/trading_channel_index_proxy.py +48 -0
  310. backtrader/indicators/contrib/trend_arrows_indicator.py +109 -0
  311. backtrader/indicators/contrib/trend_continuation_indicator.py +127 -0
  312. backtrader/indicators/contrib/trend_intensity_index_proxy.py +51 -0
  313. backtrader/indicators/contrib/trend_manager_indicator.py +39 -0
  314. backtrader/indicators/contrib/tri_x_candle_indicator.py +51 -0
  315. backtrader/indicators/contrib/trigger_line.py +66 -0
  316. backtrader/indicators/contrib/triple_ema_rate.py +34 -0
  317. backtrader/indicators/contrib/trvi_indicator.py +194 -0
  318. backtrader/indicators/contrib/two_pb_ideal_xosma_indicator.py +127 -0
  319. backtrader/indicators/contrib/ultra_absolutely_no_lag_lwma_color.py +92 -0
  320. backtrader/indicators/contrib/ultra_wpr_indicator.py +173 -0
  321. backtrader/indicators/contrib/up_down_candle_strength.py +68 -0
  322. backtrader/indicators/contrib/vinin_i_trend_indicator.py +139 -0
  323. backtrader/indicators/contrib/volume_weighted_ma_indicator.py +78 -0
  324. backtrader/indicators/contrib/volume_weighted_ma_st_dev_indicator.py +111 -0
  325. backtrader/indicators/contrib/vwap_close_indicator.py +65 -0
  326. backtrader/indicators/contrib/vwma_candle.py +57 -0
  327. backtrader/indicators/contrib/vwma_digit_system.py +70 -0
  328. backtrader/indicators/contrib/wami.py +43 -0
  329. backtrader/indicators/contrib/wprsi_signal_indicator.py +105 -0
  330. backtrader/indicators/contrib/x_de_marker_histogram_vol_direct_indicator.py +145 -0
  331. backtrader/indicators/contrib/x_fisher_indicator.py +64 -0
  332. backtrader/indicators/contrib/xcci_histogram_vol_direct_indicator.py +56 -0
  333. backtrader/indicators/contrib/xcci_histogram_vol_indicator.py +85 -0
  334. backtrader/indicators/contrib/xma_ichimoku.py +163 -0
  335. backtrader/indicators/contrib/xma_ishimoku_channel_indicator.py +65 -0
  336. backtrader/indicators/contrib/xma_ishimoku_line.py +68 -0
  337. backtrader/indicators/contrib/xma_range_bands_indicator.py +107 -0
  338. backtrader/indicators/contrib/xmacd_indicator.py +70 -0
  339. backtrader/indicators/contrib/xrsi_de_marker_histogram.py +67 -0
  340. backtrader/indicators/contrib/xrsi_histogram_vol_direct_indicator.py +52 -0
  341. backtrader/indicators/contrib/xrsi_histogram_vol_indicator.py +81 -0
  342. backtrader/indicators/contrib/xrvi_indicator.py +130 -0
  343. backtrader/indicators/contrib/zero_lag_macd.py +36 -0
  344. backtrader/indicators/contrib/zig_zag_recent_pivot_signal.py +90 -0
  345. backtrader/indicators/contrib/zpf_indicator.py +115 -0
  346. backtrader/indicators/crossover.py +337 -0
  347. backtrader/indicators/dema.py +175 -0
  348. backtrader/indicators/demarker.py +270 -0
  349. backtrader/indicators/deviation.py +284 -0
  350. backtrader/indicators/directionalmove.py +1071 -0
  351. backtrader/indicators/dma.py +112 -0
  352. backtrader/indicators/dpo.py +96 -0
  353. backtrader/indicators/dv2.py +56 -0
  354. backtrader/indicators/ema.py +145 -0
  355. backtrader/indicators/envelope.py +475 -0
  356. backtrader/indicators/hadelta.py +198 -0
  357. backtrader/indicators/heikinashi.py +153 -0
  358. backtrader/indicators/hma.py +153 -0
  359. backtrader/indicators/hurst.py +151 -0
  360. backtrader/indicators/ichimoku.py +267 -0
  361. backtrader/indicators/kama.py +181 -0
  362. backtrader/indicators/kst.py +159 -0
  363. backtrader/indicators/lrsi.py +125 -0
  364. backtrader/indicators/mabase.py +147 -0
  365. backtrader/indicators/macd.py +322 -0
  366. backtrader/indicators/momentum.py +267 -0
  367. backtrader/indicators/moneyflow.py +237 -0
  368. backtrader/indicators/mt5atr.py +124 -0
  369. backtrader/indicators/myind.py +179 -0
  370. backtrader/indicators/obv.py +94 -0
  371. backtrader/indicators/ols.py +265 -0
  372. backtrader/indicators/oscillator.py +161 -0
  373. backtrader/indicators/percentchange.py +83 -0
  374. backtrader/indicators/percentrank.py +46 -0
  375. backtrader/indicators/pivotpoint.py +469 -0
  376. backtrader/indicators/prettygoodoscillator.py +113 -0
  377. backtrader/indicators/priceops_ext.py +123 -0
  378. backtrader/indicators/priceoscillator.py +262 -0
  379. backtrader/indicators/psar.py +212 -0
  380. backtrader/indicators/rmi.py +69 -0
  381. backtrader/indicators/rsi.py +440 -0
  382. backtrader/indicators/sma.py +141 -0
  383. backtrader/indicators/smma.py +116 -0
  384. backtrader/indicators/spread.py +54 -0
  385. backtrader/indicators/stochastic.py +263 -0
  386. backtrader/indicators/supertrend.py +436 -0
  387. backtrader/indicators/trend_ext.py +105 -0
  388. backtrader/indicators/trix.py +202 -0
  389. backtrader/indicators/tsi.py +155 -0
  390. backtrader/indicators/ultimateoscillator.py +158 -0
  391. backtrader/indicators/vortex.py +62 -0
  392. backtrader/indicators/williams.py +194 -0
  393. backtrader/indicators/wma.py +103 -0
  394. backtrader/indicators/zlema.py +135 -0
  395. backtrader/indicators/zlind.py +104 -0
  396. backtrader/linebuffer.py +3155 -0
  397. backtrader/lineiterator.py +2911 -0
  398. backtrader/lineroot.py +1106 -0
  399. backtrader/lineseries.py +2559 -0
  400. backtrader/live_trading/__init__.py +31 -0
  401. backtrader/live_trading/interface.py +404 -0
  402. backtrader/mathsupport.py +94 -0
  403. backtrader/metabase.py +1804 -0
  404. backtrader/mixins/__init__.py +21 -0
  405. backtrader/mixins/singleton.py +118 -0
  406. backtrader/observer.py +106 -0
  407. backtrader/observers/__init__.py +45 -0
  408. backtrader/observers/benchmark.py +126 -0
  409. backtrader/observers/broker.py +184 -0
  410. backtrader/observers/buysell.py +144 -0
  411. backtrader/observers/drawdown.py +161 -0
  412. backtrader/observers/logreturns.py +113 -0
  413. backtrader/observers/timereturn.py +86 -0
  414. backtrader/observers/trade_logger.py +2972 -0
  415. backtrader/observers/tradelogger.py +6 -0
  416. backtrader/observers/trades.py +258 -0
  417. backtrader/order.py +1114 -0
  418. backtrader/parameters.py +2345 -0
  419. backtrader/plot/__init__.py +54 -0
  420. backtrader/plot/finance.py +1022 -0
  421. backtrader/plot/formatters.py +200 -0
  422. backtrader/plot/locator.py +353 -0
  423. backtrader/plot/multicursor.py +495 -0
  424. backtrader/plot/plot.py +2500 -0
  425. backtrader/plot/plot_plotly.py +1351 -0
  426. backtrader/plot/scheme.py +253 -0
  427. backtrader/plot/utils.py +104 -0
  428. backtrader/position.py +290 -0
  429. backtrader/position_modes.py +132 -0
  430. backtrader/profiles.py +254 -0
  431. backtrader/reports/__init__.py +39 -0
  432. backtrader/reports/charts.py +371 -0
  433. backtrader/reports/performance.py +620 -0
  434. backtrader/reports/reporter.py +660 -0
  435. backtrader/resamplerfilter.py +1001 -0
  436. backtrader/signal.py +118 -0
  437. backtrader/signals/__init__.py +17 -0
  438. backtrader/sizer.py +114 -0
  439. backtrader/sizers/__init__.py +26 -0
  440. backtrader/sizers/fixedsize.py +161 -0
  441. backtrader/sizers/percents_sizer.py +119 -0
  442. backtrader/store.py +221 -0
  443. backtrader/stores/__init__.py +33 -0
  444. backtrader/stores/btapistore.py +15506 -0
  445. backtrader/stores/livestore.py +137 -0
  446. backtrader/stores/vchartfile.py +96 -0
  447. backtrader/strategy.py +3655 -0
  448. backtrader/talib.py +280 -0
  449. backtrader/test_helpers.py +96 -0
  450. backtrader/timer.py +358 -0
  451. backtrader/trade.py +442 -0
  452. backtrader/tradingcal.py +361 -0
  453. backtrader/utils/__init__.py +68 -0
  454. backtrader/utils/autodict.py +251 -0
  455. backtrader/utils/date.py +71 -0
  456. backtrader/utils/dateintern.py +509 -0
  457. backtrader/utils/flushfile.py +94 -0
  458. backtrader/utils/fractal.py +101 -0
  459. backtrader/utils/get_metrics.py +101 -0
  460. backtrader/utils/load_data.py +209 -0
  461. backtrader/utils/log_message.py +998 -0
  462. backtrader/utils/ordereddefaultdict.py +75 -0
  463. backtrader/utils/py3.py +296 -0
  464. backtrader/version.py +21 -0
  465. backtrader/writer.py +372 -0
backtrader/reports/reporter.py ADDED
@@ -0,0 +1,660 @@
1
+ #!/usr/bin/env python
2
+ """
3
+ Main report generator.
4
+
5
+ Generates backtest reports in HTML, PDF, and JSON formats.
6
+ """
7
+
8
+ import json
9
+ import math
10
+ import os
11
+ from datetime import datetime
12
+
13
+ from .charts import ReportChart
14
+ from .performance import PerformanceCalculator
15
+
16
+ # Try to import Jinja2
17
+ try:
18
+ from jinja2 import BaseLoader, Environment, FileSystemLoader
19
+
20
+ JINJA2_AVAILABLE = True
21
+ except ImportError:
22
+ JINJA2_AVAILABLE = False
23
+
24
+ # Try to import weasyprint (PDF generation)
25
+ try:
26
+ from weasyprint import HTML as WeasyHTML
27
+
28
+ WEASYPRINT_AVAILABLE = True
29
+ except ImportError:
30
+ WEASYPRINT_AVAILABLE = False
31
+
32
+
33
+ # Default HTML template
34
+ DEFAULT_TEMPLATE = """<!DOCTYPE html>
35
+ <html>
36
+ <head>
37
+ <meta charset="UTF-8">
38
+ <title>Backtrader Report - {{ strategy_name }}</title>
39
+ <style>
40
+ @page {
41
+ size: A4;
42
+ margin: 12mm 15mm;
43
+ }
44
+ * { box-sizing: border-box; margin: 0; padding: 0; }
45
+ body {
46
+ font-family: 'Helvetica Neue', Helvetica, Arial, 'PingFang SC', 'Microsoft YaHei', sans-serif;
47
+ font-size: 10pt;
48
+ line-height: 1.4;
49
+ color: #2c3e50;
50
+ background: white;
51
+ }
52
+
53
+ /* Header - Compact */
54
+ .header {
55
+ background: #1a365d;
56
+ color: white;
57
+ padding: 15px 20px;
58
+ margin-bottom: 12px;
59
+ border-bottom: 3px solid #3182ce;
60
+ }
61
+ .header h1 {
62
+ font-size: 18pt;
63
+ font-weight: 600;
64
+ margin-bottom: 3px;
65
+ }
66
+ .header .subtitle {
67
+ font-size: 11pt;
68
+ font-weight: 400;
69
+ margin-bottom: 10px;
70
+ opacity: 0.9;
71
+ }
72
+ .header-info {
73
+ font-size: 9pt;
74
+ line-height: 1.6;
75
+ }
76
+ .header-info span {
77
+ margin-right: 20px;
78
+ }
79
+ .header-info b { color: #90cdf4; }
80
+
81
+ /* Sections - Minimal spacing */
82
+ .section {
83
+ margin-bottom: 8px;
84
+ }
85
+ .section h2 {
86
+ padding: 6px 12px;
87
+ margin-bottom: 8px;
88
+ background: #edf2f7;
89
+ border-left: 3px solid #3182ce;
90
+ font-size: 12pt;
91
+ font-weight: 600;
92
+ color: #1a365d;
93
+ }
94
+
95
+ /* Notes */
96
+ .notes {
97
+ background: #fffbeb;
98
+ border: 1px solid #f6e05e;
99
+ padding: 8px 12px;
100
+ margin: 0 12px 10px 12px;
101
+ font-size: 9pt;
102
+ color: #744210;
103
+ }
104
+
105
+ /* Charts - New Page */
106
+ .section.charts-page {
107
+ page-break-before: always;
108
+ }
109
+ .charts {
110
+ padding: 0 12px;
111
+ }
112
+ .charts img {
113
+ width: 100%;
114
+ height: auto;
115
+ margin-bottom: 12px;
116
+ border: 1px solid #e2e8f0;
117
+ }
118
+
119
+ /* Params - New Page */
120
+ .section.params-page {
121
+ page-break-before: always;
122
+ }
123
+
124
+ /* Metrics Table - Compact */
125
+ .metrics-container {
126
+ padding: 0 12px;
127
+ }
128
+ .metrics-table {
129
+ width: 100%;
130
+ border-collapse: collapse;
131
+ margin-bottom: 10px;
132
+ font-size: 9pt;
133
+ }
134
+ .metrics-table td {
135
+ padding: 5px 8px;
136
+ border-bottom: 1px solid #e2e8f0;
137
+ }
138
+ .metrics-table .group-header td {
139
+ background: #3182ce;
140
+ color: white;
141
+ font-weight: 600;
142
+ font-size: 9pt;
143
+ text-transform: uppercase;
144
+ letter-spacing: 0.5px;
145
+ padding: 6px 8px;
146
+ }
147
+ .metrics-table .label {
148
+ color: #4a5568;
149
+ width: 22%;
150
+ }
151
+ .metrics-table .value {
152
+ font-weight: 600;
153
+ color: #2d3748;
154
+ text-align: right;
155
+ width: 28%;
156
+ }
157
+ .metrics-table .value.positive { color: #276749; }
158
+ .metrics-table .value.negative { color: #c53030; }
159
+
160
+ /* Parameters - Compact */
161
+ .params-table {
162
+ width: 60%;
163
+ border-collapse: collapse;
164
+ font-size: 9pt;
165
+ margin: 0 12px;
166
+ }
167
+ .params-table td {
168
+ padding: 4px 8px;
169
+ border: 1px solid #e2e8f0;
170
+ }
171
+ .params-table .param-name {
172
+ background: #f7fafc;
173
+ font-weight: 500;
174
+ width: 40%;
175
+ }
176
+
177
+ /* Footer - Minimal */
178
+ .footer {
179
+ text-align: center;
180
+ color: #718096;
181
+ font-size: 8pt;
182
+ padding: 10px;
183
+ border-top: 1px solid #e2e8f0;
184
+ margin-top: 15px;
185
+ }
186
+ .footer p { margin: 2px 0; }
187
+ </style>
188
+ </head>
189
+ <body>
190
+
191
+ <div class="header">
192
+ <h1>{{ strategy_name }}</h1>
193
+ <div class="subtitle">Backtest Performance Report</div>
194
+ <div class="header-info">
195
+ <span><b>Data:</b> {{ data_name }}</span>
196
+ <span><b>Period:</b> {{ start_date }} ~ {{ end_date }}</span>
197
+ <span><b>Bars:</b> {{ bars }}</span>
198
+ {% if user %}<span><b>Analyst:</b> {{ user }}</span>{% endif %}
199
+ <span><b>Generated:</b> {{ report_date }}</span>
200
+ </div>
201
+ </div>
202
+
203
+ {% if memo %}
204
+ <div class="section">
205
+ <h2>Notes</h2>
206
+ <div class="notes">{{ memo }}</div>
207
+ </div>
208
+ {% endif %}
209
+
210
+ <div class="section">
211
+ <h2>Performance Summary</h2>
212
+ <div class="metrics-container">
213
+ <table class="metrics-table">
214
+ <tr class="group-header"><td colspan="4">Profit & Loss</td></tr>
215
+ <tr>
216
+ <td class="label">Start Capital</td>
217
+ <td class="value">{{ "${:,.2f}".format(start_cash) if start_cash is not none else 'N/A' }}</td>
218
+ <td class="label">End Value</td>
219
+ <td class="value">{{ "${:,.2f}".format(end_value) if end_value is not none else 'N/A' }}</td>
220
+ </tr>
221
+ <tr>
222
+ <td class="label">Net Profit</td>
223
+ <td class="value {{ 'positive' if rpl is not none and rpl > 0 else 'negative' if rpl is not none and rpl < 0 else '' }}">{{ "${:,.2f}".format(rpl) if rpl is not none else 'N/A' }}</td>
224
+ <td class="label">Total Return</td>
225
+ <td class="value {{ 'positive' if total_return is not none and total_return > 0 else 'negative' if total_return is not none and total_return < 0 else '' }}">{{ "{:.2f}%".format(total_return) if total_return is not none else 'N/A' }}</td>
226
+ </tr>
227
+ <tr>
228
+ <td class="label">Annual Return</td>
229
+ <td class="value {{ 'positive' if annual_return is not none and annual_return > 0 else 'negative' if annual_return is not none and annual_return < 0 else '' }}">{{ "{:.2f}%".format(annual_return) if annual_return is not none else 'N/A' }}</td>
230
+ <td class="label">Profit Factor</td>
231
+ <td class="value">{{ "{:.2f}".format(profit_factor) if profit_factor is not none else 'N/A' }}</td>
232
+ </tr>
233
+
234
+ <tr class="group-header"><td colspan="4">Risk Metrics</td></tr>
235
+ <tr>
236
+ <td class="label">Max Drawdown ($)</td>
237
+ <td class="value negative">{{ "${:,.2f}".format(max_money_drawdown) if max_money_drawdown is not none else 'N/A' }}</td>
238
+ <td class="label">Max Drawdown (%)</td>
239
+ <td class="value negative">{{ "{:.2f}%".format(max_pct_drawdown) if max_pct_drawdown is not none else 'N/A' }}</td>
240
+ </tr>
241
+ <tr>
242
+ <td class="label">Sharpe Ratio</td>
243
+ <td class="value">{{ "{:.2f}".format(sharpe_ratio) if sharpe_ratio is not none else 'N/A' }}</td>
244
+ <td class="label">Calmar Ratio</td>
245
+ <td class="value">{{ "{:.2f}".format(calmar_ratio) if calmar_ratio is not none else 'N/A' }}</td>
246
+ </tr>
247
+ <tr>
248
+ <td class="label">SQN Score</td>
249
+ <td class="value">{{ "{:.2f}".format(sqn_score) if sqn_score is not none else 'N/A' }}</td>
250
+ <td class="label">SQN Rating</td>
251
+ <td class="value">{{ sqn_human if sqn_human is not none else 'N/A' }}</td>
252
+ </tr>
253
+
254
+ <tr class="group-header"><td colspan="4">Trade Statistics</td></tr>
255
+ <tr>
256
+ <td class="label">Total Trades</td>
257
+ <td class="value">{{ total_number_trades }}</td>
258
+ <td class="label">Closed Trades</td>
259
+ <td class="value">{{ trades_closed }}</td>
260
+ </tr>
261
+ <tr>
262
+ <td class="label">Win Rate</td>
263
+ <td class="value">{{ "{:.2f}%".format(pct_winning) if pct_winning is not none else 'N/A' }}</td>
264
+ <td class="label">Avg Win</td>
265
+ <td class="value positive">{{ "${:,.2f}".format(avg_money_winning) if avg_money_winning is not none else 'N/A' }}</td>
266
+ </tr>
267
+ <tr>
268
+ <td class="label">Avg Loss</td>
269
+ <td class="value negative">{{ "${:,.2f}".format(avg_money_losing) if avg_money_losing is not none else 'N/A' }}</td>
270
+ <td class="label">Best Trade</td>
271
+ <td class="value positive">{{ "${:,.2f}".format(best_winning_trade) if best_winning_trade is not none else 'N/A' }}</td>
272
+ </tr>
273
+ <tr>
274
+ <td class="label">Worst Trade</td>
275
+ <td class="value negative">{{ "${:,.2f}".format(worst_losing_trade) if worst_losing_trade is not none else 'N/A' }}</td>
276
+ <td class="label"></td>
277
+ <td class="value"></td>
278
+ </tr>
279
+ </table>
280
+ </div>
281
+ </div>
282
+
283
+ <div class="section charts-page">
284
+ <h2>Performance Charts</h2>
285
+ <div class="charts">
286
+ {% if equity_curve_img %}<img src="{{ equity_curve_img|safe }}" alt="Equity Curve">{% endif %}
287
+ {% if return_bars_img %}<img src="{{ return_bars_img|safe }}" alt="Return Bars">{% endif %}
288
+ {% if drawdown_img %}<img src="{{ drawdown_img|safe }}" alt="Drawdown">{% endif %}
289
+ </div>
290
+ </div>
291
+
292
+ {% if params %}
293
+ <div class="section params-page">
294
+ <h2>Strategy Parameters</h2>
295
+ <div class="metrics-container">
296
+ <table class="params-table">
297
+ {% for key, value in params.items() %}
298
+ <tr>
299
+ <td class="param-name">{{ key }}</td>
300
+ <td>{{ value }}</td>
301
+ </tr>
302
+ {% endfor %}
303
+ </table>
304
+ </div>
305
+ </div>
306
+ {% endif %}
307
+
308
+ <div class="footer">
309
+ <p>Generated by <strong>Backtrader Reports Module</strong></p>
310
+ <p>{{ report_date }}</p>
311
+ </div>
312
+
313
+ </body>
314
+ </html>
315
+ """
316
+
317
+
318
+ class ReportGenerator:
319
+ """Main report generator.
320
+
321
+ Generates backtest reports in HTML, PDF, and JSON formats.
322
+
323
+ Attributes:
324
+ strategy: Strategy instance
325
+ calculator: Performance calculator
326
+ charts: Chart generator
327
+
328
+ Usage example:
329
+ report = ReportGenerator(strategy)
330
+ report.generate_html('report.html')
331
+ report.generate_pdf('report.pdf')
332
+ report.generate_json('report.json')
333
+ """
334
+
335
+ def __init__(self, strategy, template="default"):
336
+ """Initialize the report generator.
337
+
338
+ Args:
339
+ strategy: backtrader strategy instance
340
+ template: Template name or template string
341
+ """
342
+ self.strategy = strategy
343
+ self.calculator = PerformanceCalculator(strategy)
344
+ self.charts = ReportChart()
345
+ self.template = template
346
+
347
+ def generate_html(self, output_path, user=None, memo=None, **kwargs):
348
+ """Generate HTML report.
349
+
350
+ Args:
351
+ output_path: Output file path
352
+ user: Username
353
+ memo: Notes
354
+ **kwargs: Additional template variables
355
+
356
+ Returns:
357
+ str: Output file path
358
+ """
359
+ if not JINJA2_AVAILABLE:
360
+ raise ImportError(
361
+ "jinja2 is required for HTML report generation. Install it with: pip install jinja2"
362
+ )
363
+
364
+ # Collect all data
365
+ context = self._build_context(user=user, memo=memo, **kwargs)
366
+
367
+ # Render template
368
+ html_content = self._render_template(context)
369
+
370
+ # Write to file
371
+ with open(output_path, "w", encoding="utf-8") as f:
372
+ f.write(html_content)
373
+
374
+ # Clean up charts
375
+ self.charts.close_all()
376
+
377
+ return output_path
378
+
379
+ def generate_pdf(self, output_path, user=None, memo=None, **kwargs):
380
+ """Generate PDF report.
381
+
382
+ Args:
383
+ output_path: Output file path
384
+ user: Username
385
+ memo: Notes
386
+ **kwargs: Additional template variables
387
+
388
+ Returns:
389
+ str: Output file path
390
+ """
391
+ if not WEASYPRINT_AVAILABLE:
392
+ raise ImportError(
393
+ "weasyprint is required for PDF report generation. Install it with: pip install weasyprint"
394
+ )
395
+
396
+ # Collect all data
397
+ context = self._build_context(user=user, memo=memo, **kwargs)
398
+
399
+ # Render template
400
+ html_content = self._render_template(context)
401
+
402
+ # Convert to PDF
403
+ WeasyHTML(string=html_content).write_pdf(output_path)
404
+
405
+ # Clean up charts
406
+ self.charts.close_all()
407
+
408
+ return output_path
409
+
410
+ def generate_json(self, output_path, indent=2, **kwargs):
411
+ """Generate JSON report.
412
+
413
+ Args:
414
+ output_path: Output file path
415
+ indent: JSON indentation
416
+ **kwargs: Additional data
417
+
418
+ Returns:
419
+ str: Output file path
420
+ """
421
+ # Get all metrics
422
+ metrics = self.calculator.get_all_metrics()
423
+ strategy_info = self.calculator.get_strategy_info()
424
+ data_info = self.calculator.get_data_info()
425
+
426
+ # Build JSON structure
427
+ report_data = {
428
+ "generated_at": datetime.now().isoformat(),
429
+ "strategy": strategy_info,
430
+ "data": {
431
+ "name": data_info.get("data_name"),
432
+ "start_date": (
433
+ str(data_info.get("start_date")) if data_info.get("start_date") else None
434
+ ),
435
+ "end_date": str(data_info.get("end_date")) if data_info.get("end_date") else None,
436
+ "bars": data_info.get("bars"),
437
+ },
438
+ "metrics": {
439
+ "pnl": {
440
+ "start_cash": metrics.get("start_cash"),
441
+ "end_value": metrics.get("end_value"),
442
+ "net_profit": metrics.get("rpl"),
443
+ "total_return": metrics.get("total_return"),
444
+ "annual_return": metrics.get("annual_return"),
445
+ "profit_factor": metrics.get("profit_factor"),
446
+ },
447
+ "risk": {
448
+ "max_drawdown_money": metrics.get("max_money_drawdown"),
449
+ "max_drawdown_pct": metrics.get("max_pct_drawdown"),
450
+ "sharpe_ratio": metrics.get("sharpe_ratio"),
451
+ "calmar_ratio": metrics.get("calmar_ratio"),
452
+ "sqn_score": metrics.get("sqn_score"),
453
+ "sqn_rating": metrics.get("sqn_human"),
454
+ },
455
+ "trades": {
456
+ "total": metrics.get("total_number_trades"),
457
+ "closed": metrics.get("trades_closed"),
458
+ "won": metrics.get("trades_won"),
459
+ "lost": metrics.get("trades_lost"),
460
+ "win_rate": metrics.get("pct_winning"),
461
+ "avg_win": metrics.get("avg_money_winning"),
462
+ "avg_loss": metrics.get("avg_money_losing"),
463
+ "best_trade": metrics.get("best_winning_trade"),
464
+ "worst_trade": metrics.get("worst_losing_trade"),
465
+ },
466
+ },
467
+ **kwargs,
468
+ }
469
+
470
+ # Handle non-serializable values
471
+ report_data = self._make_json_serializable(report_data)
472
+
473
+ # Write to file
474
+ with open(output_path, "w", encoding="utf-8") as f:
475
+ json.dump(report_data, f, indent=indent, ensure_ascii=False)
476
+
477
+ return output_path
478
+
479
+ def _build_context(self, user=None, memo=None, **kwargs):
480
+ """Build template context.
481
+
482
+ Args:
483
+ user: Username for report metadata
484
+ memo: Notes for report metadata
485
+ **kwargs: Additional template variables
486
+
487
+ Returns:
488
+ dict: Template variables dictionary
489
+ """
490
+ # Get metrics
491
+ metrics = self.calculator.get_all_metrics()
492
+ strategy_info = self.calculator.get_strategy_info()
493
+ data_info = self.calculator.get_data_info()
494
+
495
+ # Generate charts
496
+ dates, values = self.calculator.get_equity_curve()
497
+ benchmark_dates, benchmark_values = self.calculator.get_buynhold_curve()
498
+
499
+ equity_curve_img = ""
500
+ return_bars_img = ""
501
+ drawdown_img = ""
502
+
503
+ if dates and values:
504
+ # Equity curve
505
+ fig_equity = self.charts.plot_equity_curve(
506
+ dates, values, benchmark_dates, benchmark_values
507
+ )
508
+ if fig_equity:
509
+ equity_curve_img = self.charts.to_base64(fig_equity)
510
+
511
+ # Return bars chart
512
+ fig_returns = self.charts.plot_return_bars(dates, values)
513
+ if fig_returns:
514
+ return_bars_img = self.charts.to_base64(fig_returns)
515
+
516
+ # Drawdown chart
517
+ fig_drawdown = self.charts.plot_drawdown(dates, values)
518
+ if fig_drawdown:
519
+ drawdown_img = self.charts.to_base64(fig_drawdown)
520
+
521
+ # Build context
522
+ serializable_metrics = self._make_json_serializable(metrics)
523
+ serializable_kwargs = self._make_json_serializable(kwargs)
524
+ context = {
525
+ # Strategy information
526
+ "strategy_name": strategy_info.get("strategy_name", "Strategy"),
527
+ "params": self._make_json_serializable(strategy_info.get("params", {})),
528
+ # Data information
529
+ "data_name": data_info.get("data_name", "Data"),
530
+ "start_date": (
531
+ str(data_info.get("start_date", ""))[:10] if data_info.get("start_date") else "N/A"
532
+ ),
533
+ "end_date": (
534
+ str(data_info.get("end_date", ""))[:10] if data_info.get("end_date") else "N/A"
535
+ ),
536
+ "bars": data_info.get("bars", 0),
537
+ # User information
538
+ "user": user,
539
+ "memo": memo,
540
+ "report_date": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
541
+ # Charts
542
+ "equity_curve_img": equity_curve_img,
543
+ "return_bars_img": return_bars_img,
544
+ "drawdown_img": drawdown_img,
545
+ # Metrics
546
+ **serializable_metrics,
547
+ **serializable_kwargs,
548
+ }
549
+
550
+ return context
551
+
552
+ def _render_template(self, context):
553
+ """Render template.
554
+
555
+ Args:
556
+ context: Template variables dictionary
557
+
558
+ Returns:
559
+ str: Rendered HTML
560
+ """
561
+ if self.template == "default":
562
+ # Use default template
563
+ env = Environment(loader=BaseLoader(), autoescape=True)
564
+ template = env.from_string(DEFAULT_TEMPLATE)
565
+ else:
566
+ # Try to load as file path
567
+ if os.path.isfile(self.template):
568
+ template_dir = os.path.dirname(self.template)
569
+ template_name = os.path.basename(self.template)
570
+ env = Environment(loader=FileSystemLoader(template_dir), autoescape=True)
571
+ template = env.get_template(template_name)
572
+ else:
573
+ # Handle as template string
574
+ env = Environment(loader=BaseLoader(), autoescape=True)
575
+ template = env.from_string(self.template)
576
+
577
+ return template.render(**context)
578
+
579
+ def _make_json_serializable(self, obj):
580
+ """Make object JSON serializable.
581
+
582
+ Args:
583
+ obj: Object to process
584
+
585
+ Returns:
586
+ Serializable object
587
+ """
588
+ import math
589
+
590
+ if isinstance(obj, dict):
591
+ return {k: self._make_json_serializable(v) for k, v in obj.items()}
592
+ if isinstance(obj, (list, tuple)):
593
+ return [self._make_json_serializable(v) for v in obj]
594
+ if isinstance(obj, float):
595
+ if math.isnan(obj) or math.isinf(obj):
596
+ return None
597
+ return obj
598
+ if hasattr(obj, "isoformat") and callable(getattr(obj, "isoformat", None)):
599
+ return obj.isoformat()
600
+ if hasattr(obj, "__dict__"):
601
+ return str(obj)
602
+ return obj
603
+
604
+ def get_metrics(self):
605
+ """Get all performance metrics.
606
+
607
+ Returns:
608
+ dict: Performance metrics dictionary
609
+ """
610
+ return self.calculator.get_all_metrics()
611
+
612
+ @staticmethod
613
+ def _fmt_metric(value, fmt=",.2f", suffix=""):
614
+ """Format a metric value for console display.
615
+
616
+ Args:
617
+ value: Metric value (may be None)
618
+ fmt: Format string for numeric values
619
+ suffix: Suffix to append (e.g. '%')
620
+
621
+ Returns:
622
+ str: Formatted value or 'N/A'
623
+ """
624
+ if value is None:
625
+ return "N/A"
626
+ if isinstance(value, (int, float)) and not math.isfinite(value):
627
+ return "N/A"
628
+ try:
629
+ return f"{value:{fmt}}{suffix}"
630
+ except (ValueError, TypeError):
631
+ return str(value)
632
+
633
+ def print_summary(self):
634
+ """Print performance summary to console."""
635
+ metrics = self.calculator.get_all_metrics()
636
+ strategy_info = self.calculator.get_strategy_info()
637
+ fmt = self._fmt_metric
638
+
639
+ print("\n" + "=" * 60)
640
+ print(f"Strategy: {strategy_info.get('strategy_name', 'Strategy')}")
641
+ print("=" * 60)
642
+
643
+ print("\n*** PnL ***")
644
+ print(f"Start Capital : {fmt(metrics.get('start_cash'))}")
645
+ print(f"Net Profit : {fmt(metrics.get('rpl'))}")
646
+ print(f"Total Return : {fmt(metrics.get('total_return'), '.2f', '%')}")
647
+ print(f"Annual Return : {fmt(metrics.get('annual_return'), '.2f', '%')}")
648
+
649
+ print("\n*** Risk ***")
650
+ print(f"Max Drawdown ($) : {fmt(metrics.get('max_money_drawdown'))}")
651
+ print(f"Max Drawdown (%) : {fmt(metrics.get('max_pct_drawdown'), '.2f', '%')}")
652
+ print(f"Sharpe Ratio : {fmt(metrics.get('sharpe_ratio'), '.2f')}")
653
+
654
+ print("\n*** Trades ***")
655
+ print(f"Total Trades : {metrics.get('total_number_trades', 0)}")
656
+ print(f"Win Rate : {fmt(metrics.get('pct_winning'), '.2f', '%')}")
657
+ print(f"SQN Score : {fmt(metrics.get('sqn_score'), '.2f')}")
658
+ print(f"SQN Rating : {metrics.get('sqn_human', 'N/A')}")
659
+
660
+ print("\n" + "=" * 60)