investing-algorithm-framework 1.5__py3-none-any.whl → 7.25.6__py3-none-any.whl

investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py

@@ -0,0 +1,241 @@
+from enum import Enum
+
+
+class BacktestEvaluationFocus(Enum):
+    """
+    Enumeration for backtest evaluation focus areas.
+
+    The available metrics are:
+        - backtest_start_date
+        - backtest_end_date
+        - equity_curve
+        - final_value
+        - total_growth
+        - total_growth_percentage
+        - total_net_gain
+        - total_net_gain_percentage
+        - total_loss
+        - total_loss_percentage
+        - cumulative_return
+        - cumulative_return_series
+        - cagr
+        - sharpe_ratio
+        - rolling_sharpe_ratio
+        - sortino_ratio
+        - calmar_ratio
+        - profit_factor
+        - annual_volatility
+        - monthly_returns
+        - yearly_returns
+        - drawdown_series
+        - max_drawdown
+        - max_drawdown_absolute
+        - max_daily_drawdown
+        - max_drawdown_duration
+        - trades_per_year
+        - trade_per_day
+        - exposure_ratio
+        - cumulative_exposure
+        - best_trade
+        - worst_trade
+        - number_of_positive_trades
+        - percentage_positive_trades
+        - number_of_negative_trades
+        - percentage_negative_trades
+        - average_trade_duration
+        - average_trade_size
+        - average_trade_loss
+        - average_trade_loss_percentage
+        - average_trade_gain
+        - average_trade_gain_percentage
+        - average_trade_return
+        - average_trade_return_percentage
+        - median_trade_return
+        - number_of_trades
+        - number_of_trades_closed
+        - number_of_trades_opened
+        - number_of_trades_open_at_end
+        - win_rate
+        - current_win_rate
+        - win_loss_ratio
+        - current_win_loss_ratio
+        - percentage_winning_months
+        - percentage_winning_years
+        - average_monthly_return
+        - average_monthly_return_losing_months
+        - average_monthly_return_winning_months
+        - best_month
+        - best_year
+        - worst_month
+        - worst_year
+        - total_number_of_days
+        - current_average_trade_gain
+        - current_average_trade_return
+        - current_average_trade_duration
+        - current_average_trade_loss
+    """
+    BALANCED = "balanced"
+    PROFIT = "profit"
+    FREQUENCY = "frequency"
+    RISK_ADJUSTED = "risk_adjusted"
+
+    @staticmethod
+    def from_string(value: str):
+
+        if isinstance(value, str):
+
+            for entry in BacktestEvaluationFocus:
+
+                if value.upper() == entry.value:
+                    return entry
+
+            raise ValueError(
+                f"Could not convert {value} to BacktestEvaluationFocus"
+            )
+        return None
+
+    @staticmethod
+    def from_value(value):
+
+        if isinstance(value, str):
+            return BacktestEvaluationFocus.from_string(value)
+
+        if isinstance(value, BacktestEvaluationFocus):
+
+            for entry in BacktestEvaluationFocus:
+
+                if value == entry:
+                    return entry
+
+        raise ValueError(
+            f"Could not convert {value} to BacktestEvaluationFocus"
+        )
+
+    def equals(self, other):
+
+        if isinstance(other, Enum):
+            return self.value == other.value
+        else:
+            return BacktestEvaluationFocus.from_string(other) == self
+
+    def get_weights(self):
+        """
+        Get evaluation weights for different focus areas.
+        Returns a dictionary with metric weights where:
+        - Positive weights favor higher values
+        - Negative weights favor lower values (penalties)
+        - Zero weights ignore the metric
+        """
+
+        if self == BacktestEvaluationFocus.BALANCED:
+            return {
+                # Core profitability metrics (moderate weight)
+                "total_net_gain_percentage": 2.0,
+                "cagr": 1.5,
+                "average_trade_return_percentage": 1.0,
+
+                # Risk-adjusted returns (important for balance)
+                "sharpe_ratio": 2.0,
+                "sortino_ratio": 1.5,
+                "calmar_ratio": 1.0,
+                "profit_factor": 1.5,
+
+                # Risk management (penalties for bad metrics)
+                "max_drawdown": -1.5,
+                "max_drawdown_duration": -0.5,
+                "annual_volatility": -0.8,
+
+                # Trading consistency
+                "win_rate": 1.5,
+                "win_loss_ratio": 1.0,
+                "number_of_trades": 0.8,  # Some activity needed
+
+                # Efficiency metrics
+                "exposure_ratio": 0.5,
+                "trades_per_year": 0.3,
+            }
+
+        elif self == BacktestEvaluationFocus.PROFIT:
+            return {
+                # Maximize absolute and relative profits
+                "total_net_gain_percentage": 3.0,
+                "cagr": 2.5,
+                "total_net_gain": 2.0,
+                "average_trade_return_percentage": 1.5,
+                "average_trade_gain_percentage": 1.0,
+
+                # Profit consistency
+                "win_rate": 2.0,
+                "profit_factor": 2.0,
+                "percentage_positive_trades": 1.0,
+
+                # Risk secondary (but still important)
+                "sharpe_ratio": 1.0,
+                "max_drawdown": -1.0,
+
+                # Activity level (need some trades)
+                "number_of_trades": 0.5,
+
+                # Monthly/yearly consistency
+                "percentage_winning_months": 0.8,
+                "average_monthly_return": 1.0,
+            }
+
+        elif self == BacktestEvaluationFocus.FREQUENCY:
+            return {
+                # High trading activity with good results
+                "number_of_trades": 3.0,
+                "trades_per_year": 2.5,
+                "exposure_ratio": 2.0,
+
+                # Profitability per trade (scaled for frequency)
+                "average_trade_return_percentage": 2.0,
+                "win_rate": 2.5,
+                "total_net_gain_percentage": 1.5,
+
+                # Consistency across many trades
+                "win_loss_ratio": 1.5,
+                "percentage_positive_trades": 1.0,
+
+                # Risk management for frequent trading
+                "max_drawdown": -1.5,
+                "sharpe_ratio": 1.0,
+                "profit_factor": 1.2,
+
+                # Duration efficiency
+                "average_trade_duration": -0.3,  # Prefer shorter trades
+            }
+
+        elif self == BacktestEvaluationFocus.RISK_ADJUSTED:
+            return {
+                # Risk-adjusted performance metrics (highest priority)
+                "sharpe_ratio": 3.0,
+                "sortino_ratio": 2.5,
+                "calmar_ratio": 2.0,
+
+                # Risk management (strong penalties)
+                "max_drawdown": -3.0,
+                "max_drawdown_duration": -1.5,
+                "annual_volatility": -2.0,
+
+                # Consistent performance
+                "win_rate": 2.0,
+                "win_loss_ratio": 1.5,
+                "percentage_winning_months": 1.5,
+
+                # Stable returns
+                "average_trade_return_percentage": 1.5,
+                "total_net_gain_percentage": 1.0,
+                "profit_factor": 1.8,
+
+                # Reasonable activity
+                "number_of_trades": 0.5,
+
+                # Downside protection
+                "average_trade_loss_percentage": -1.0,
+                "percentage_negative_trades": -1.0,
+            }
+
+        # Fallback to balanced if unknown focus
+        return self.get_weights() \
+            if self != BacktestEvaluationFocus.BALANCED else {}