From f410b1b14d71ea170a03b6e95576f70a8f7f6385 Mon Sep 17 00:00:00 2001
From: Stefano Ariestasia <stefano.ariestasia@gmail.com>
Date: Mon, 28 Nov 2022 08:56:49 +0900
Subject: [PATCH] Update metrics.py

---
 freqtrade/data/metrics.py | 129 +++++++++++++++++++++++++++++++++++++-
 1 file changed, 127 insertions(+), 2 deletions(-)

diff --git a/freqtrade/data/metrics.py b/freqtrade/data/metrics.py
index c11a2df88..4d442ac6a 100644
--- a/freqtrade/data/metrics.py
+++ b/freqtrade/data/metrics.py
@@ -1,9 +1,9 @@
 import logging
 from typing import Dict, Tuple
-
+from datetime import datetime
 import numpy as np
 import pandas as pd
-
+import math
 
 logger = logging.getLogger(__name__)
 
@@ -190,3 +190,128 @@ def calculate_cagr(days_passed: int, starting_balance: float, final_balance: flo
     :return: CAGR
     """
     return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1
+
+
+def calculate_expectancy(trades: pd.DataFrame) -> float:
+    """
+    Calculate expectancy
+    :param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
+    :return: expectancy
+    """
+    if len(trades) == 0:
+        return 0
+
+    expectancy = 1
+
+    profit_sum = trades.loc[trades['profit_abs'] > 0, 'profit_abs'].sum()
+    loss_sum = abs(trades.loc[trades['profit_abs'] < 0, 'profit_abs'].sum())
+    nb_win_trades = len(trades.loc[trades['profit_abs'] > 0])
+    nb_loss_trades = len(trades.loc[trades['profit_abs'] < 0])
+
+    if (nb_win_trades > 0) and (nb_loss_trades > 0):
+        average_win = profit_sum / nb_win_trades
+        average_loss = loss_sum / nb_loss_trades
+        risk_reward_ratio = average_win / average_loss
+        winrate = nb_win_trades / len(trades)
+        expectancy = ((1 + risk_reward_ratio) * winrate) - 1
+    elif nb_win_trades == 0:
+        expectancy = 0
+
+    return expectancy
+
+def calculate_sortino(trades: pd.DataFrame,
+                      min_date: datetime, max_date: datetime) -> float:
+    """
+    Calculate sortino
+    :param trades: DataFrame containing trades (requires columns profit_ratio)
+    :return: sortino
+    """
+    if (len(trades) == 0) or (min_date == None) or (max_date == None) or (min_date == max_date):
+        return 0
+
+    total_profit = trades["profit_ratio"]
+    days_period = (max_date - min_date).days
+
+    if days_period == 0:
+        return 0
+
+    # adding slippage of 0.1% per trade
+    # total_profit = total_profit - 0.0005
+    expected_returns_mean = total_profit.sum() / days_period
+
+    trades['downside_returns'] = 0
+    trades.loc[total_profit < 0, 'downside_returns'] = trades['profit_ratio']
+    down_stdev = np.std(trades['downside_returns'])
+
+    if down_stdev != 0:
+        sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
+    else:
+        # Define high (negative) sortino ratio to be clear that this is NOT optimal.
+        sortino_ratio = -100
+
+    # print(expected_returns_mean, down_stdev, sortino_ratio)
+    return sortino_ratio
+
+def calculate_sharpe(trades: pd.DataFrame,
+                      min_date: datetime, max_date: datetime) -> float:
+    """
+    Calculate sharpe
+    :param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
+    :return: sharpe
+    """
+    if (len(trades) == 0) or (min_date == None) or (max_date == None) or (min_date == max_date):
+        return 0
+
+    total_profit = trades["profit_ratio"]
+    days_period = (max_date - min_date).days
+
+    if days_period == 0:
+        return 0
+
+    # adding slippage of 0.1% per trade
+    # total_profit = total_profit - 0.0005
+    expected_returns_mean = total_profit.sum() / days_period
+    up_stdev = np.std(total_profit)
+
+    if up_stdev != 0:
+        sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
+    else:
+        # Define high (negative) sharpe ratio to be clear that this is NOT optimal.
+        sharp_ratio = -100
+
+    # print(expected_returns_mean, up_stdev, sharp_ratio)
+    return sharp_ratio
+
+def calculate_calmar(trades: pd.DataFrame,
+                      min_date: datetime, max_date: datetime) -> float:
+    """
+    Calculate calmar
+    :param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
+    :return: calmar
+    """
+    if (len(trades) == 0) or (min_date == None) or (max_date == None) or (min_date == max_date):
+        return 0
+
+    total_profit = trades["profit_ratio"]
+    days_period = (max_date - min_date).days
+
+    # adding slippage of 0.1% per trade
+    # total_profit = total_profit - 0.0005
+    expected_returns_mean = total_profit.sum() / days_period * 100
+
+    # calculate max drawdown
+    try:
+        _, _, _, _, _, max_drawdown = calculate_max_drawdown(
+            trades, value_col="profit_abs"
+        )
+    except ValueError:
+        max_drawdown = 0
+
+    if max_drawdown != 0:
+        calmar_ratio = expected_returns_mean / max_drawdown * math.sqrt(365)
+    else:
+        # Define high (negative) calmar ratio to be clear that this is NOT optimal.
+        calmar_ratio = -100
+
+    # print(expected_returns_mean, max_drawdown, calmar_ratio)
+    return calmar_ratio