ramseshk
4457cdffc5
- Mainnet API fallback when testnet unavailable (prices, orderbook, instruments) - Bypassed broken SDK instrument loading, uses raw mainnet meta API - Dynamic BTC/ETH perp ID lookup (handles "-USD-PERP" suffix changes) - Strategy-level equity tracking for per-strategy detail charts - Win rate fixed: checks pnl_net/pnl_gross not just pnl field - CSS contrast improved: --tx #6b6b7b→#9e9eae, borders/highlights brightened - Equity curve recalculated on fee tier change (chart adjusts visually) - Added Open Positions & Orders panel placeholder
45 lines
1.2 KiB
Python
45 lines
1.2 KiB
Python
"""
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Performance metrics.
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Sharpe ratio, Sortino ratio, max drawdown, win rate.
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Standard toolbox for evaluating a trading strategy.
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"""
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import numpy as np
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def sharpe(returns: list[float], rf: float = 0.0, periods: int = 365) -> float:
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if len(returns) < 2:
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return 0.0
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excess = np.mean(returns) - rf
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std = np.std(returns, ddof=1)
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return (excess / std) * np.sqrt(periods) if std > 0 else 0.0
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def sortino(returns: list[float], rf: float = 0.0, periods: int = 365) -> float:
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if len(returns) < 2:
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return 0.0
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excess = np.mean(returns) - rf
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downside = [r for r in returns if r < 0]
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d_std = np.std(downside, ddof=1) if downside else 0.0
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return (excess / d_std) * np.sqrt(periods) if d_std > 0 else 0.0
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def max_drawdown(equity: list[float]) -> float:
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if not equity:
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return 0.0
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peak = equity[0]
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worst = 0.0
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for v in equity:
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if v > peak:
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peak = v
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dd = (peak - v) / peak if peak > 0 else 0.0
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worst = max(worst, dd)
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return worst
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def win_rate(trades: list[dict]) -> float:
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if not trades:
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return 0.0
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tp = sum(1 for t in trades if (t.get("pnl_net") or t.get("pnl_gross") or t.get("pnl", 0)) > 0)
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return tp / len(trades)
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