0.2.8 (#26)

Author: xnerhu

.github/workflows/cd.yaml

@@ -1,18 +1,18 @@
 name: CD
 
-# on:
-#   workflow_dispatch:
-#     inputs:
-#       target:
-#         description: "Triplet to build (linux-x64-gnu / win32-x64-msvc)"
-#         required: false
-#         type: string
-
 on:
-  pull_request:
-  push:
-    branches:
-      - master
+  workflow_dispatch:
+    inputs:
+      target:
+        description: "Triplet to build (linux-x64-gnu / win32-x64-msvc)"
+        required: false
+        type: string
+
+# on:
+#   pull_request:
+#   push:
+#     branches:
+#       - master
 
 # workflow_run:
 #   workflows: ["CI"]

BUILD.bazed

@@ -149,8 +149,9 @@ setup(
         "requests",
         "tqdm",
         "plotly",
-        "grpcio==1.70.0",
-        "protobuf==5.29.1",
+        "grpcio==1.74.0",
+        "protobuf==6.31.1",
+        "lightweight-charts==2.1",
     ],
     # platforms=["win_amd64"],
 )

Cargo.lock

@@ -29,6 +29,8 @@
 
 - CLI + upcoming UI
 
+[![indicator plot](/static/indicator_banner.png)](/examples/python/main.py)
+
 ## Quick Links
 
 - [Home](https://qpace.dev)

README.md

@@ -84,7 +84,7 @@ export class Profile {
   public async ping(): Promise<void> {
     const client = await this.getClient();
     try {
-      await client.me();
+      await client.user.me();
     } catch (e) {
       if (axios.isAxiosError(e) && e.response?.status == 403) {
         throw new CliError(

cli/profile.ts

@@ -20,7 +20,7 @@ export const getCommands = (): Command[] => {
           profile.data.apiKey = apiKey;
           const client = await profile.getClient(false);
           try {
-            const user = await client.me();
+            const user = await client.user.me();
             verbose &&
               console.log(
                 `${QPACE_BG_PREFIX}Logged in as ${chalk.yellowBright(

cli/user.ts

@@ -1,6 +1,6 @@
 [package]
 name = "qpace_core"
-version = "0.2.6"
+version = "0.2.8"
 edition = "2021"
 
 [lib]

core/Cargo.toml

@@ -1,10 +1,12 @@
+use chrono::{DateTime, Utc};
+
 use crate::{
     ctx::{Ctx, CtxSkip},
     legacy::Float64Utils,
     metrics::{
-        avg_losing_trade, avg_trade, avg_win_loss_ratio, avg_winning_trade, gross_loss_pct,
-        gross_profit_pct, net_profit_pct, profit_factor, sharpe_ratio_from_returns,
-        sortino_ratio_from_returns, win_rate,
+        annualization_factor, avg_losing_trade, avg_trade, avg_win_loss_ratio, avg_winning_trade,
+        expectancy, gross_loss_pct, gross_profit_pct, net_profit_pct, profit_factor,
+        sharpe_ratio_from_returns, sortino_ratio_from_returns, win_rate,
     },
     orderbook::{
         order_size_for_equity_pct, round_contracts, round_to_min_tick, validate_contracts,
@@ -13,6 +15,7 @@ use crate::{
     signal::{Signal, SignalKind},
     stats::returns,
     sym::Sym,
+    timeframe::Timeframe,
     trade::{Trade, TradeError, TradeEvent},
     utils::with_suffix,
 };
@@ -37,6 +40,8 @@ pub struct BacktestConfig {
     initial_capital: f64,
     process_orders_on_close: bool,
     debug: bool,
+    risk_free_rate: f64,
+    annualization_factor: f64,
 }
 
 impl Default for BacktestConfig {
@@ -45,6 +50,8 @@ impl Default for BacktestConfig {
             initial_capital: 1000.0,
             process_orders_on_close: false,
             debug: false,
+            risk_free_rate: f64::NAN,
+            annualization_factor: f64::NAN,
         }
     }
 }
@@ -55,6 +62,8 @@ impl BacktestConfig {
             initial_capital,
             process_orders_on_close,
             debug: false,
+            risk_free_rate: f64::NAN,
+            annualization_factor: f64::NAN,
         };
     }
 
@@ -87,6 +96,16 @@ impl BacktestConfig {
     pub fn set_debug(&mut self, debug: bool) {
         self.debug = debug;
     }
+
+    #[inline]
+    pub fn set_risk_free_rate(&mut self, risk_free_rate: f64) {
+        self.risk_free_rate = risk_free_rate;
+    }
+
+    #[inline]
+    pub fn set_annualization_factor(&mut self, annualization_factor: f64) {
+        self.annualization_factor = annualization_factor;
+    }
 }
 
 pub struct Backtest {
@@ -117,12 +136,19 @@ pub struct Backtest {
 
 impl Backtest {
     #[inline]
-    pub fn new(ctx: Rc<RefCell<Ctx>>, config: BacktestConfig) -> Self {
+    pub fn new(ctx: Rc<RefCell<Ctx>>, mut config: BacktestConfig) -> Self {
         let sym = ctx.borrow().sym().clone();
         assert!(
             !f64::is_nan(sym.min_qty()) && !f64::is_nan(sym.min_tick()),
             "Ctx Symbol is not suitable for backtesting, min_qty is NaN or min_tick is NaN"
         );
+        if config.risk_free_rate.is_nan() {
+            config.risk_free_rate = 0.0;
+        }
+        if config.annualization_factor.is_nan() {
+            config.annualization_factor =
+                annualization_factor(ctx.borrow().ohlcv().timeframe(), sym.kind().periods());
+        }
         let initial_capital = config.initial_capital;
         Self {
             ctx,
@@ -273,13 +299,20 @@ impl Backtest {
     }
 
     #[inline]
-    pub fn sharpe_ratio(&self, rfr: f64) -> f64 {
-        sharpe_ratio_from_returns(&self.returns_list(), rfr)
+    pub fn sharpe_ratio(&self) -> f64 {
+        sharpe_ratio_from_returns(&self.returns_list(), self.config.risk_free_rate)
+            * self.config.annualization_factor
     }
 
     #[inline]
-    pub fn sortino_ratio(&self, rfr: f64) -> f64 {
-        sortino_ratio_from_returns(&self.returns_list(), rfr)
+    pub fn sortino_ratio(&self) -> f64 {
+        sortino_ratio_from_returns(&self.returns_list(), self.config.risk_free_rate)
+            * self.config.annualization_factor
+    }
+
+    #[inline]
+    pub fn expectancy(&self) -> f64 {
+        expectancy(&self.pnl_list())
     }
 
     #[inline]
@@ -411,8 +444,18 @@ impl Backtest {
         return trade;
     }
 
+    // @TODO
+    // pub fn maybe_reset_equity_pct(&mut self) {
+    //     if self.position_size() == 0.0 {
+    //         self.prev_equity_pct = 0.0;
+    //     }
+    // }
+
     pub fn compute_equity_pct(&mut self, equity_pct: f64) -> Option<OrderConfig> {
         let ctx = self.ctx.borrow();
+        // if self.bar_index() == 21454 || self.bar_index() == 21293 {
+        //     println!("[{} -> compute_equity_pct]: equity(): {:?} | equity_pct: {:?} | prev_equity_pct: {:?} ", self.bar_index(), self.equity(), equity_pct, self.prev_equity_pct);
+        // }
         if self.equity() > 0.0 {
             if !equity_pct.compare(self.prev_equity_pct) {
                 // if true {
@@ -429,7 +472,7 @@ impl Backtest {
                 let order_size =
                     round_contracts(base_order_size, ctx.sym().min_qty(), ctx.sym().qty_scale());
 
-                // if self.config.debug {
+                // if self.bar_index() == 21454 || self.bar_index() == 21293 {
                 //     println!("[{} -> compute_equity_pct]: equity_pct: {:?} | prev_equity_pct: {:?} | base_order_size: {:?} | order_size: {:?} | min_qty: {:?} | price_scale: {:?}", self.bar_index(), equity_pct, self.prev_equity_pct, base_order_size, order_size, ctx.sym().min_qty(), ctx.sym().price_scale());
                 // }
 
@@ -656,10 +699,16 @@ impl Backtest {
 
     #[inline]
     pub fn signal(&mut self, signal: Signal) {
+        // if self.config.debug {
+        //     println!("[{} ->raw  signal]: {:?}", self.bar_index(), &signal);
+        // }
         let order: Option<OrderConfig> = match signal.kind() {
             SignalKind::EquityPct(pct) => self.compute_equity_pct(*pct),
             SignalKind::Size(size) => Some(OrderConfig::new(*size, None)),
-            SignalKind::CloseAll() => Some(OrderConfig::new(-self.position_size, None)),
+            SignalKind::CloseAll() => {
+                self.prev_equity_pct = 0.0;
+                Some(OrderConfig::new(-self.position_size, None))
+            }
             _ => None,
         };
         if self.config.debug {
@@ -801,7 +850,6 @@ for i = 0 to array.size(trades) - 1
 
     #[cfg(feature = "pretty_table")]
     pub fn print_table(&self) {
-        let rfr = 0.0;
         let sym = self.ctx.borrow().sym().clone();
         let f_price = with_suffix(&format!(" {}", sym._currency()));
         let f_percent = with_suffix("%");
@@ -830,12 +878,12 @@ for i = 0 to array.size(trades) - 1
 
         table.add_row(Row::from(vec![
             Cell::new("Sharpe Ratio"),
-            Cell::new(format!("{:0.3}", self.sharpe_ratio(rfr))),
+            Cell::new(format!("{:0.3}", self.sharpe_ratio())),
         ]));
 
         table.add_row(Row::from(vec![
             Cell::new("Sortino Ratio"),
-            Cell::new(format!("{:0.3}", self.sortino_ratio(rfr))),
+            Cell::new(format!("{:0.3}", self.sortino_ratio())),
         ]));
 
         table.add_row(Row::from(vec![
@@ -888,6 +936,11 @@ for i = 0 to array.size(trades) - 1
             Cell::new(f_raw(self.avg_win_loss_ratio())),
         ]));
 
+        table.add_row(Row::from(vec![
+            Cell::new("Expectancy"),
+            Cell::new(f_raw(self.expectancy())),
+        ]));
+
         // Print the table
         println!("{}", table);
     }

core/backtest.rs

@@ -31,12 +31,16 @@ impl NodeBacktest {
         ctx: &NodeCtx,
         initial_capital: Option<f64>,
         process_orders_on_close: Option<bool>,
+        risk_free_rate: Option<f64>,
+        annualization_factor: Option<f64>,
     ) -> Self {
         let initial_capital = initial_capital.unwrap_or(1000.0);
         let process_orders_on_close = process_orders_on_close.unwrap_or(false);
         let mut config = BacktestConfig::default();
         config.set_initial_capital(initial_capital);
         config.set_process_orders_on_close(process_orders_on_close);
+        config.set_risk_free_rate(risk_free_rate.unwrap_or(f64::NAN));
+        config.set_annualization_factor(annualization_factor.unwrap_or(f64::NAN));
         Self {
             inner: Rc::new(RefCell::new(Backtest::new(ctx.inner().clone(), config))),
             ctx: ctx.clone(),
@@ -177,14 +181,20 @@ impl NodeBacktest {
 
     #[napi(js_name = "sharpeRatio")]
     #[inline]
-    pub fn node_sharpe_ratio(&self, rfr: f64) -> f64 {
-        self.inner.borrow().sharpe_ratio(rfr)
+    pub fn node_sharpe_ratio(&self) -> f64 {
+        self.inner.borrow().sharpe_ratio()
     }
 
     #[napi(js_name = "sortinoRatio")]
     #[inline]
-    pub fn node_sortino_ratio(&self, rfr: f64) -> f64 {
-        self.inner.borrow().sortino_ratio(rfr)
+    pub fn node_sortino_ratio(&self) -> f64 {
+        self.inner.borrow().sortino_ratio()
+    }
+
+    #[napi(js_name = "expectancy")]
+    #[inline]
+    pub fn node_expectancy(&self) -> f64 {
+        self.inner.borrow().expectancy()
     }
 
     #[napi(js_name = winningTradesCount)]