Merge pull request #12560 from stash86/main-stash

add more metrics on profit stat

freqtrade/data/metrics.py

@@ -334,7 +334,10 @@ def calculate_expectancy(trades: pd.DataFrame) -> tuple[float, float]:
 
 
 def calculate_sortino(
-    trades: pd.DataFrame, min_date: datetime, max_date: datetime, starting_balance: float
+    trades: pd.DataFrame,
+    min_date: datetime | None,
+    max_date: datetime | None,
+    starting_balance: float,
 ) -> float:
     """
     Calculate sortino
@@ -362,7 +365,10 @@ def calculate_sortino(
 
 
 def calculate_sharpe(
-    trades: pd.DataFrame, min_date: datetime, max_date: datetime, starting_balance: float
+    trades: pd.DataFrame,
+    min_date: datetime | None,
+    max_date: datetime | None,
+    starting_balance: float,
 ) -> float:
     """
     Calculate sharpe
@@ -389,7 +395,10 @@ def calculate_sharpe(
 
 
 def calculate_calmar(
-    trades: pd.DataFrame, min_date: datetime, max_date: datetime, starting_balance: float
+    trades: pd.DataFrame,
+    min_date: datetime | None,
+    max_date: datetime | None,
+    starting_balance: float,
 ) -> float:
     """
     Calculate calmar

freqtrade/rpc/api_server/api_schemas.py

@@ -157,6 +157,11 @@ class Profit(BaseModel):
     winrate: float
     expectancy: float
     expectancy_ratio: float
+    sharpe: float
+    sortino: float
+    sqn: float
+    calmar: float
+    cagr: float
     max_drawdown: float
     max_drawdown_abs: float
     max_drawdown_start: str

freqtrade/rpc/rpc.py

@@ -19,7 +19,16 @@ from freqtrade import __version__
 from freqtrade.configuration.timerange import TimeRange
 from freqtrade.constants import CANCEL_REASON, DEFAULT_DATAFRAME_COLUMNS, Config
 from freqtrade.data.history import load_data
-from freqtrade.data.metrics import DrawDownResult, calculate_expectancy, calculate_max_drawdown
+from freqtrade.data.metrics import (
+    DrawDownResult,
+    calculate_cagr,
+    calculate_calmar,
+    calculate_expectancy,
+    calculate_max_drawdown,
+    calculate_sharpe,
+    calculate_sortino,
+    calculate_sqn,
+)
 from freqtrade.enums import (
     CandleType,
     ExitCheckTuple,
@@ -689,6 +698,34 @@ class RPC:
         last_date = trades[-1].open_date_utc if trades else None
         num = float(len(durations) or 1)
         bot_start = KeyValueStore.get_datetime_value("bot_start_time")
+
+        sharpe = calculate_sharpe(
+            trades=trades_df,
+            min_date=first_date,
+            max_date=last_date,
+            starting_balance=starting_balance,
+        )
+        sortino = calculate_sortino(
+            trades=trades_df,
+            min_date=first_date,
+            max_date=last_date,
+            starting_balance=starting_balance,
+        )
+        sqn = calculate_sqn(trades=trades_df, starting_balance=starting_balance)
+        calmar = calculate_calmar(
+            trades=trades_df,
+            min_date=first_date,
+            max_date=last_date,
+            starting_balance=starting_balance,
+        )
+        current_balance = self._freqtrade.wallets.get_total_stake_amount()
+        days_passed = max(1, (last_date - first_date).days) if first_date and last_date else 1
+        cagr = calculate_cagr(
+            starting_balance=starting_balance,
+            final_balance=current_balance,
+            days_passed=days_passed,
+        )
+
         return {
             "profit_closed_coin": profit_closed_coin_sum,
             "profit_closed_percent_mean": round(profit_closed_ratio_mean * 100, 2),
@@ -725,6 +762,11 @@ class RPC:
             "winrate": winrate,
             "expectancy": expectancy,
             "expectancy_ratio": expectancy_ratio,
+            "sharpe": sharpe,
+            "sortino": sortino,
+            "sqn": sqn,
+            "calmar": calmar,
+            "cagr": cagr,
             "max_drawdown": drawdown.relative_account_drawdown,
             "max_drawdown_abs": drawdown.drawdown_abs,
             "max_drawdown_start": format_date(drawdown.high_date),

tests/rpc/test_rpc_apiserver.py

@@ -1199,6 +1199,11 @@ def test_api_logs(botclient):
                 "winrate": 0.0,
                 "expectancy": -0.0033695635,
                 "expectancy_ratio": -1.0,
+                "cagr": -0.0024567404889381805,
+                "calmar": -1910.497317469542,
+                "sharpe": -58.138247358830355,
+                "sortino": -58.138247358830355,
+                "sqn": -1.5215,
                 "trading_volume": 75.945,
             },
         ),
@@ -1231,6 +1236,11 @@ def test_api_logs(botclient):
                 "winrate": 1.0,
                 "expectancy": 0.0003695635,
                 "expectancy_ratio": 100,
+                "cagr": 0.0002698167695580622,
+                "calmar": -100.0,
+                "sharpe": 65.81269184917424,
+                "sortino": -100.0,
+                "sqn": 1.7224,
                 "trading_volume": 75.945,
             },
         ),
@@ -1263,6 +1273,11 @@ def test_api_logs(botclient):
                 "winrate": 0.5,
                 "expectancy": -0.0027145635000000003,
                 "expectancy_ratio": -0.48612137582114445,
+                "cagr": -0.0019796559404918757,
+                "calmar": -1857.4671689202785,
+                "sharpe": -36.14602907243071,
+                "sortino": -100.0,
+                "sqn": -0.946,
                 "trading_volume": 75.945,
             },
         ),
@@ -1326,6 +1341,11 @@ def test_api_profit(botclient, mocker, ticker, fee, markets, is_short, expected)
         "winrate": expected["winrate"],
         "expectancy": expected["expectancy"],
         "expectancy_ratio": expected["expectancy_ratio"],
+        "sharpe": expected["sharpe"],
+        "sortino": expected["sortino"],
+        "sqn": expected["sqn"],
+        "calmar": expected["calmar"],
+        "cagr": expected["cagr"],
         "max_drawdown": ANY,
         "max_drawdown_abs": ANY,
         "max_drawdown_start": ANY,