diff --git a/backtests/results/historical/kalman_pairs_BTC_20260805-073151.json b/backtests/results/historical/kalman_pairs_BTC_20260805-073151.json index b354c48..b633b97 100644 --- a/backtests/results/historical/kalman_pairs_BTC_20260805-073151.json +++ b/backtests/results/historical/kalman_pairs_BTC_20260805-073151.json @@ -1,3405 +1 @@ -{ - "strategy": "Kalman Pairs", - "strategy_key": "kalman_pairs", - "coin": "BTC", - "allocation": 100.0, - "start_time": "0", - "end_time": "720", - "start_equity": 100.0, - "end_equity": 9964.0508, - "pnl": -35.9492, - "pnl_pct": -0.36, - "pnl_gross": -4.7691, - "pnl_gross_pct": -0.36, - "fees_total": 31.1801, - "fee_tier": 0, - "staking_tier": "none", - "fee_model": "taker", - "sharpe": -0.5932, - "sortino": -0.3115, - "max_dd": 0.0063, - "max_dd_pct": 0.63, - "win_rate": 0.0, - "total_trades": 35, - "equity_curve": [ - { - "t": 0, - "v": 10000.0 - }, - { - "t": 1, - "v": 10000.0 - }, - { - "t": 2, - "v": 10000.0 - }, - { - "t": 3, - "v": 10000.0 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"gross_pnl": 0.2853, "net_pnl": 0.2727, "fee": 0.02523, "duration_bars": 1}, {"entry_time": 709, "exit_time": 710, "signal": 1, "entry_x": 1875.6, "exit_x": 1871.3, "entry_y": 11.804, "exit_y": 11.764, "beta": 0.00629378320305559, "gross_pnl": -0.1687, "net_pnl": -0.1812, "fee": 0.025115, "duration_bars": 1}], "num_periods": 721, "data_source": "Hyperliquid Mainnet (BTC/ETH pair)", "generated_at": "2026-08-05T07:31:53.544986"} \ No newline at end of file diff --git a/common/metrics.py b/common/metrics.py index 7adcee1..c99cf8f 100644 --- a/common/metrics.py +++ b/common/metrics.py @@ -40,5 +40,7 @@ def max_drawdown(equity: list[float]) -> float: def win_rate(trades: list[dict]) -> float: if not trades: return 0.0 - tp = sum(1 for t in trades if (t.get("pnl_net") or t.get("pnl_gross") or t.get("pnl", 0)) > 0) + tp = sum(1 for t in trades if ( + (t.get("pnl_net") or t.get("net_pnl") or t.get("pnl_gross") or t.get("gross_pnl") or t.get("pnl", 0)) > 0 + )) return tp / len(trades)