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perf

package

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Versions in this module

v0

v0.0.26

Jun 19, 2022

Changes in this version

+ const DailyToAnnualFactor

+ func HistVolAnn(daily []float64) float64

+ func PlotHist(series []float64, writer io.Writer, nBins int, title string, format string) (int64, error)

+ func PlotHistStdNormDist(series []float64, writer io.Writer, nBins int, title string, format string) (int64, error)

type PortfolioReport

+ DailyReturns []float64

+ HistVolAnn float64

v0.0.25

Jun 15, 2022

Changes in this version

+ func WriteRoundTurnsToCSV(filename string, roundturns []broker.RoundTurn) error

type TradeReport

+ RoundTurnCount float64

+ RoundTurns []broker.RoundTurn

v0.0.20

Jun 10, 2022

Changes in this version

+ func WriteEquitySeriesToCSV(filename string, series broker.EquitySeries) error

+ func WritePerformanceReportToCSV(filename string, report *PerformanceReport) error

+ func WriteTradesToCSV(filename string, trades []broker.Trade) error

type PerformanceReport

+ Asset market.Asset

+ PortfolioReport *PortfolioReport

+ TradeReport *TradeReport

type PortfolioReport

+ EquityCurve broker.EquitySeries

type TradeReport

+ Trades []broker.Trade

v0.0.19

Jun 6, 2022

v0.0.18

Jun 4, 2022

v0.0.17

May 29, 2022

v0.0.16

May 29, 2022

v0.0.15

May 27, 2022

v0.0.1

May 26, 2022

Changes in this version

+ const SharpeDailyToAnnualFactor

+ const SharpeDefaultAnnualRiskFreeRate

+ const SharpeDefaultDailyRiskFreeRate

+ func CAGR(initial, final float64, days int) float64

+ func CalmarRatio(cagr, mdd float64) float64

+ func DiffPctReturns(curve broker.EquitySeries) []float64

+ func KellyCriterion(profitFactor, winP float64) float64

+ func OptimalF(trades []float64) float64

+ func PRR(profit, loss, winningN, losingN float64) float64

+ func PrintSummary(r PerformanceReport)

+ func ReduceEOD(curve broker.EquitySeries) broker.EquitySeries

+ func SE(xs []float64) float64

+ func SharpeRatio(daily []float64, riskFreeRate float64) float64

+ func StatN(xs []float64) float64

+ type Drawdown struct

+ Amount decimal.Decimal

+ EndAt time.Time

+ High decimal.Decimal

+ HighAt time.Time

+ IsOpen bool

+ Low decimal.Decimal

+ LowAt time.Time

+ Pct float64

+ Recovery time.Duration

+ StartAt time.Time

+ func Drawdowns(curve broker.EquitySeries) []Drawdown

+ func MaxDrawdown(dds []Drawdown) (max Drawdown)

+ type PerformanceReport struct

+ ID string

+ Portfolio *PortfolioReport

+ Properties map[string]any

+ Trade *TradeReport

+ func NewPerformanceReport(trades []broker.Trade, equity broker.EquitySeries) PerformanceReport

+ type PortfolioReport struct

+ CAGR float64

+ Calmar float64

+ EndEquity float64

+ EquityReturn float64

+ MDDRecovery time.Duration

+ MaxDrawdown float64

+ Period time.Duration

+ PeriodEnd time.Time

+ PeriodStart time.Time

+ Sharpe float64

+ StartEquity float64

+ func NewPortfolioReport(curve broker.EquitySeries) *PortfolioReport

+ type TradeReport struct

+ AvgHoldSec float64

+ AvgLoss float64

+ AvgNetProfit float64

+ AvgProfit float64

+ GrossLoss float64

+ GrossProfit float64

+ Kelly float64

+ MaxLoss float64

+ MaxLossStreak int

+ MaxProfit float64

+ OptimalF float64

+ PRR float64

+ PercentProfitable float64

+ ProfitFactor float64

+ StatN float64

+ TotalNetProfit float64

+ TotalTimeInMarketSec float64

+ TradeCount float64

+ func NewTradeReport(trades []broker.Trade) *TradeReport