investing-algorithm-framework 7.16.18__py3-none-any.whl → 7.16.20__py3-none-any.whl

investing_algorithm_framework/domain/backtesting/backtest_metrics.py

@@ -104,8 +104,12 @@ class BacktestMetrics:
             still open at the end of the backtest.
         win_rate (float): The win rate of the trades, expressed
             as a percentage.
+        current_win_rate (float): The current win rate of the trades,
+            including open trades.
         win_loss_ratio (float): The ratio of winning trades
             to losing trades.
+        current_win_loss_ratio (float): The current ratio of winning
+            trades to losing trades, including open trades.
         percentage_winning_months (float): The percentage of months
             with positive returns.
         percentage_winning_years (float): The percentage of years with
@@ -193,7 +197,9 @@ class BacktestMetrics:
     number_of_trades_opened: int = 0
     number_of_trades_open_at_end: int = 0
     win_rate: float = 0.0
+    current_win_rate: float = 0.0
     win_loss_ratio: float = 0.0
+    current_win_loss_ratio: float = 0.0
     percentage_winning_months: float = 0.0
     percentage_winning_years: float = 0.0
     average_monthly_return: float = 0.0
@@ -289,7 +295,9 @@ class BacktestMetrics:
             "number_of_trades_closed": self.number_of_trades_closed,
             "number_of_trades_opened": self.number_of_trades_opened,
             "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
             "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
             "percentage_winning_months": self.percentage_winning_months,
             "percentage_winning_years": self.percentage_winning_years,
             "average_monthly_return": self.average_monthly_return,

investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py

@@ -48,7 +48,9 @@ class BacktestSummaryMetrics:
         max_drawdown_duration (int): Duration of the maximum drawdown.
         trades_per_year (float): Average trades executed per year.
         win_rate (float): Percentage of winning trades.
+        current_win_rate (float): Win rate over recent trades.
         win_loss_ratio (float): Ratio of average win to average loss.
+        current_win_loss_ratio (float): Win/loss ratio over recent trades.
         number_of_trades (int): Total number of trades executed.
         cumulative_exposure (float): Total exposure over the backtest period.
         exposure_ratio (float): Ratio of exposure to available capital.
@@ -81,7 +83,9 @@ class BacktestSummaryMetrics:
     max_drawdown_duration: int = None
     trades_per_year: float = None
     win_rate: float = None
+    current_win_rate: float = None
     win_loss_ratio: float = None
+    current_win_loss_ratio: float = None
     number_of_trades: int = None
     number_of_trades_closed: int = None
     cumulative_exposure: float = None
@@ -123,7 +127,9 @@ class BacktestSummaryMetrics:
             "max_drawdown_duration": self.max_drawdown_duration,
             "trades_per_year": self.trades_per_year,
             "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
             "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
             "number_of_trades": self.number_of_trades,
             "number_of_trades_closed": self.number_of_trades_closed,
             "cumulative_exposure": self.cumulative_exposure,

investing_algorithm_framework/domain/backtesting/combine_backtests.py

@@ -184,10 +184,18 @@ def generate_backtest_summary_metrics(
         [b.win_rate for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_rate = safe_weighted_mean(
+        [b.current_win_rate for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     win_loss_ratio = safe_weighted_mean(
         [b.win_loss_ratio for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_loss_ratio = safe_weighted_mean(
+        [b.current_win_loss_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     number_of_trades = sum(
         b.number_of_trades for b in backtest_metrics
         if b.number_of_trades is not None
@@ -251,7 +259,9 @@ def generate_backtest_summary_metrics(
         max_drawdown_duration=max_drawdown_duration,
         trades_per_year=trades_per_year,
         win_rate=win_rate,
+        current_win_rate=current_win_rate,
         win_loss_ratio=win_loss_ratio,
+        current_win_loss_ratio=current_win_loss_ratio,
         number_of_trades=number_of_trades,
         number_of_trades_closed=number_of_trades_closed,
         cumulative_exposure=cumulative_exposure,

{investing_algorithm_framework-7.16.18.dist-info → investing_algorithm_framework-7.16.20.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.16.18
+Version: 7.16.20
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.16.18.dist-info → investing_algorithm_framework-7.16.20.dist-info}/RECORD

@@ -87,11 +87,11 @@ investing_algorithm_framework/domain/backtesting/__init__.py,sha256=q-NejGHzE233
 investing_algorithm_framework/domain/backtesting/backtest.py,sha256=mS7JdPTXhw5AQrQ-krXWtpNsBbVVYkxc1lBSoPhCqoQ,15617
 investing_algorithm_framework/domain/backtesting/backtest_date_range.py,sha256=e_V7HMdtln4uu87jwwa_Yr7ZesgrpFqsEqtr0e0DTto,3186
 investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py,sha256=D__3I_TSxDVnGtlddmWt4wHcqut8MGyYMf1IfQZXYJ0,7547
-investing_algorithm_framework/domain/backtesting/backtest_metrics.py,sha256=Azg1VsoeQPbvaDJPp7efNsyRdWjnJ24DripizjnOG2s,19690
+investing_algorithm_framework/domain/backtesting/backtest_metrics.py,sha256=gfiuNhT15UpY5l02onknf7D5wHJfeUKodlnG9FV5I1E,20120
 investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py,sha256=8JXdu3EgFh2f2Yc41OYwIBwlYtjFiumyAJUrN5kL078,6703
 investing_algorithm_framework/domain/backtesting/backtest_run.py,sha256=ffQgilEkyixGrGvKeCZF670OPoY3ljixlgsXPajHpZY,14310
-investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py,sha256=OUZPh9uYPxorb45vlkrt5Sc2unx2hSzGmzqDrEu3w-I,6795
-investing_algorithm_framework/domain/backtesting/combine_backtests.py,sha256=WLegkqPGiVGdw_XBTRLPZkRouXOij-ftnX_QcbRj8ZY,9555
+investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py,sha256=Dt3gFz-MNmxtOhYxVPN8lI_7rXtE9PK10lULDFuCHlU,7131
+investing_algorithm_framework/domain/backtesting/combine_backtests.py,sha256=O2tv59Ak9Jy25w47Iz2b2pdtr2uDmkb8OUeoEMihq2o,9993
 investing_algorithm_framework/domain/config.py,sha256=_VkaJvrdqIKAT3_l-Y8XTEKNEaw5uVIwQ7vxomuCpUw,3003
 investing_algorithm_framework/domain/constants.py,sha256=-ZU0z1DSgJaUQvkp_ELZslqD0D-scASz7uhdXRbR8Tc,2610
 investing_algorithm_framework/domain/data_provider.py,sha256=PJPbG6qWbHoGqJskVX8oCB-1FKdf67AZ21eDjcmSNGc,10739
@@ -252,8 +252,8 @@ investing_algorithm_framework/services/trade_order_evaluator/default_trade_order
 investing_algorithm_framework/services/trade_order_evaluator/trade_order_evaluator.py,sha256=pNnmgaKMR9RY6Kxq7xS0nURKoaQDe2ehrP5GfElkkcI,1328
 investing_algorithm_framework/services/trade_service/__init__.py,sha256=AcwPyJjDRdiREnl_MWMkDSc-V-ZjXtvpHD6eQT9mc1o,68
 investing_algorithm_framework/services/trade_service/trade_service.py,sha256=OtzIS5EebByGcqDvV2AFeBjXSarvrgubMXDaVKg6Rbw,41193
-investing_algorithm_framework-7.16.18.dist-info/LICENSE,sha256=wbVEDvoZiMPHufRY3sLEffvAr7GH5hOIngHF8y4HFQg,11343
-investing_algorithm_framework-7.16.18.dist-info/METADATA,sha256=S6e185_nML_JbCxlRiHeMAmVG6anxABPrqMTE47jrP8,19636
-investing_algorithm_framework-7.16.18.dist-info/WHEEL,sha256=FMvqSimYX_P7y0a7UY-_Mc83r5zkBZsCYPm7Lr0Bsq4,88
-investing_algorithm_framework-7.16.18.dist-info/entry_points.txt,sha256=jrPF0YksDs27vYzEvj3tXLe3OGWU24EJA05z5xHqmq8,91
-investing_algorithm_framework-7.16.18.dist-info/RECORD,,
+investing_algorithm_framework-7.16.20.dist-info/LICENSE,sha256=wbVEDvoZiMPHufRY3sLEffvAr7GH5hOIngHF8y4HFQg,11343
+investing_algorithm_framework-7.16.20.dist-info/METADATA,sha256=rliJwEZyg3ys51tNtm4YGRyC9mFHIABzG90ZNDJx0J8,19636
+investing_algorithm_framework-7.16.20.dist-info/WHEEL,sha256=FMvqSimYX_P7y0a7UY-_Mc83r5zkBZsCYPm7Lr0Bsq4,88
+investing_algorithm_framework-7.16.20.dist-info/entry_points.txt,sha256=jrPF0YksDs27vYzEvj3tXLe3OGWU24EJA05z5xHqmq8,91
+investing_algorithm_framework-7.16.20.dist-info/RECORD,,