ratio roundtrips

hadirsa · Dec 4, 2018 · 9c86127 · 9c86127
1 parent e8a3bf6
commit 9c86127
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Showing 2 changed files with 13 additions and 9 deletions.
diff --git a/plugins/performanceAnalyzer/logger.js b/plugins/performanceAnalyzer/logger.js
@@ -108,11 +108,12 @@ if(mode === 'backtest') {
       `(PROFIT REPORT) simulated yearly profit:\t ${report.yearlyProfit}`,
       `${this.currency} (${report.relativeYearlyProfit}%)`
     );
-  
+
     log.info(`(PROFIT REPORT) sharpe ratio:\t\t\t ${report.sharpe}`);
     log.info(`(PROFIT REPORT) expected downside:\t\t ${report.downside}`);
+    log.info(`(PROFIT REPORT) ratio roundtrips:\t\t ${report.ratioRoundTrips}%`);
   }
-  
+
   Logger.prototype.handleRoundtrip = function(rt) {
     this.roundtrips.push(rt);
   }

diff --git a/plugins/performanceAnalyzer/performanceAnalyzer.js b/plugins/performanceAnalyzer/performanceAnalyzer.js
@@ -32,7 +32,7 @@ const PerformanceAnalyzer = function() {
   this.trades = 0;
 
   this.exposure = 0;
-  
+
   this.roundTrips = [];
   this.losses = [];
   this.roundTrip = {
@@ -176,7 +176,7 @@ PerformanceAnalyzer.prototype.handleCompletedRoundtrip = function() {
   // track losses separately for downside report
   if (roundtrip.exitBalance < roundtrip.entryBalance)
     this.losses.push(roundtrip);
-  
+
 }
 
 PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
@@ -194,16 +194,18 @@ PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
   );
   const relativeProfit = this.balance / this.start.balance * 100 - 100;
   const relativeYearlyProfit = relativeProfit / timespan.asYears();
-  
+
   const percentExposure = this.exposure / (Date.parse(this.dates.end) - Date.parse(this.dates.start));
 
-  const sharpe = (relativeYearlyProfit - perfConfig.riskFreeReturn) 
-    / statslite.stdev(this.roundTrips.map(r => r.profit)) 
+  const sharpe = (relativeYearlyProfit - perfConfig.riskFreeReturn)
+    / statslite.stdev(this.roundTrips.map(r => r.profit))
     / Math.sqrt(this.trades / (this.trades - 2));
-  
+
   const downside = statslite.percentile(this.losses.map(r => r.profit), 0.25)
     * Math.sqrt(this.trades / (this.trades - 2));
 
+  const ratioRoundTrips = this.roundTrips.length > 0 ? (this.roundTrips.filter(roundTrip => roundTrip.pnl > 0 ).length / this.roundTrips.length * 100).toFixed(4) : 100;
+
   const report = {
     startTime: this.dates.start.utc().format('YYYY-MM-DD HH:mm:ss'),
     endTime: this.dates.end.utc().format('YYYY-MM-DD HH:mm:ss'),
@@ -223,7 +225,8 @@ PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
     startBalance: this.start.balance,
     exposure: percentExposure,
     sharpe,
-    downside
+    downside,
+    ratioRoundTrips
   }
 
   report.alpha = report.profit - report.market;