ezyquant.report.SETBacktestReport#

class ezyquant.report.SETBacktestReport(initial_capital: float, pct_commission: float, pct_buy_slip: float, pct_sell_slip: float, cash_series: Series, position_df: DataFrame, trade_df: DataFrame)#

SETBacktestReport.

Parameters:

initial_capital (float) – initial capital.
pct_commission (float) – percent commission.
pct_buy_slip (float) – percent of buy price increase.
pct_sell_slip (float) – percent of sell price decrease.
cash_series (pd.Series) – series of cash.
position_df (pd.DataFrame) –
dataframe of position.
- timestamp
- symbol
- volume
- cost_price
trade_df (pd.DataFrame) –
dataframe of trade.
- matched_at
- symbol
- volume
- price
- pct_commission

`SETBacktestReport.to_basic`([with_dividend, ...])	Calculate performance metrics and generate visualizations for a given strategy.
`SETBacktestReport.to_excel`(path)	Export to Excel.
`SETBacktestReport.to_full`([with_dividend, ...])	Calculate performance metrics and generate visualizations for a given strategy.
`SETBacktestReport.to_html`([with_dividend, ...])	Generates an HTML tearsheet for strategy performance analysis.
`SETBacktestReport.to_snapshot`([...])	Generates a snapshot plot of portfolio performance.

`SETBacktestReport.all_trades`
`SETBacktestReport.avg_bar_held`
`SETBacktestReport.avg_lose_bar_held`
`SETBacktestReport.avg_loss`
`SETBacktestReport.avg_profit`
`SETBacktestReport.avg_profit_loss`
`SETBacktestReport.avg_win_bar_held`
`SETBacktestReport.cagr`	Calculates the communicative annualized growth return (CAGR%) of access returns.
`SETBacktestReport.cagr_divided_maxdd`	Calculates the calmar ratio (CAGR% / MaxDD%)
`SETBacktestReport.cagr_divided_std`
`SETBacktestReport.cumulative_return_df`	Cumulative Return DataFrame.
`SETBacktestReport.dividend_df`	Dividend DataFrame.
`SETBacktestReport.drawdown_percent_df`	Drawdown Percent DataFrame.
`SETBacktestReport.end_date`	End date.
`SETBacktestReport.ending_capital`
`SETBacktestReport.initial_capital`
`SETBacktestReport.loss_trades`
`SETBacktestReport.max_lose_consecutive`
`SETBacktestReport.max_win_consecutive`
`SETBacktestReport.maximum_drawdown`
`SETBacktestReport.monthly_return_df`	Monthly Return DataFrame.
`SETBacktestReport.net_profit`
`SETBacktestReport.pct_avg_loss`
`SETBacktestReport.pct_avg_profit`
`SETBacktestReport.pct_avg_profit_loss`
`SETBacktestReport.pct_buy_slip`	Percent buy slip.
`SETBacktestReport.pct_commission`	Percent commission.
`SETBacktestReport.pct_exposure`
`SETBacktestReport.pct_maximum_drawdown`	Calculates the maximum drawdown.
`SETBacktestReport.pct_net_profit`
`SETBacktestReport.pct_sell_slip`	Percent sell slip.
`SETBacktestReport.pct_win_per_trade`
`SETBacktestReport.position_df`	SETPosition DataFrame.
`SETBacktestReport.price_distribution_df`	Price Distribution DataFrame.
`SETBacktestReport.start_date`	Start date.
`SETBacktestReport.stat_df`	Stat DataFrame.
`SETBacktestReport.std`	Calculates the volatility of returns for a period.
`SETBacktestReport.summary_df`	Summary DataFrame.
`SETBacktestReport.summary_trade_df`	Summary Trade DataFrame.
`SETBacktestReport.total_commission`
`SETBacktestReport.total_loss`
`SETBacktestReport.total_profit`
`SETBacktestReport.trade_df`	Trade DataFrame.
`SETBacktestReport.win_trades`

ezyquant.report.SETBacktestReport

Contents

ezyquant.report.SETBacktestReport#