Yuxuan Yan
47 lines
1.8 KiB
Python
47 lines
1.8 KiB
Python
"""Performance analysis and reporting for backtest results."""
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from typing import Any
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def print_results(results: list, initial_cash: float = 1_000_000.0) -> dict[str, Any]:
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"""Print and return key performance metrics from a backtrader run result."""
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if not results:
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print("No results to report.")
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return {}
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result = results[0]
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report = {}
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# Sharpe ratio
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sharpe = result.analyzers.sharpe.get_analysis()
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report["sharpe"] = sharpe.get("sharperatio", "N/A")
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# Drawdown
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dd = result.analyzers.drawdown.get_analysis()
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report["max_drawdown"] = dd.get("max", {}).get("drawdown", "N/A")
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report["max_drawdown_len"] = dd.get("max", {}).get("len", "N/A")
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# Returns
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rets = result.analyzers.returns.get_analysis()
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report["total_return"] = rets.get("rtot", "N/A")
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report["avg_return"] = rets.get("ravg", "N/A")
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# Trades
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trades = result.analyzers.trades.get_analysis()
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report["total_trades"] = trades.get("total", {}).get("total", 0)
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report["won_trades"] = trades.get("won", {}).get("total", 0)
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report["lost_trades"] = trades.get("lost", {}).get("total", 0)
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# Print
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print("=" * 50)
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print("BACKTEST RESULTS")
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print("=" * 50)
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print(f"Sharpe Ratio: {report['sharpe']}")
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print(f"Total Return: {report['total_return']:.4%}" if isinstance(report['total_return'], float) else f"Total Return: {report['total_return']}")
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print(f"Max Drawdown: {report['max_drawdown']:.2%}" if isinstance(report['max_drawdown'], float) else f"Max Drawdown: {report['max_drawdown']}")
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print(f"Max DD Length: {report['max_drawdown_len']}")
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print(f"Total Trades: {report['total_trades']}")
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print(f"Won/Lost: {report['won_trades']}/{report['lost_trades']}")
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print("=" * 50)
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return report
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