TradeStatistics
TradeStatistics(trades: List[Trade])
TradeStatistics()
Bases: Object
The TradeStatistics class represents a set of statistics calculated from a list of closed trades
Initializes a new instance of the TradeStatistics class
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
trades
|
Optional[List[Trade]]
|
The list of closed trades |
None
|
start_date_time: Optional[datetime]
The entry date/time of the first trade
end_date_time: Optional[datetime]
The exit date/time of the last trade
total_number_of_trades: int
The total number of trades
number_of_winning_trades: int
The total number of winning trades
number_of_losing_trades: int
The total number of losing trades
total_profit_loss: float
The total profit/loss for all trades (as symbol currency)
total_profit: float
The total profit for all winning trades (as symbol currency)
total_loss: float
The total loss for all losing trades (as symbol currency)
largest_profit: float
The largest profit in a single trade (as symbol currency)
largest_loss: float
The largest loss in a single trade (as symbol currency)
average_profit_loss: float
The average profit/loss (a.k.a. Expectancy or Average Trade) for all trades (as symbol currency)
average_profit: float
The average profit for all winning trades (as symbol currency)
average_loss: float
The average loss for all winning trades (as symbol currency)
average_trade_duration: timedelta
The average duration for all trades
average_winning_trade_duration: timedelta
The average duration for all winning trades
average_losing_trade_duration: timedelta
The average duration for all losing trades
median_trade_duration: timedelta
The median duration for all trades
median_winning_trade_duration: timedelta
The median duration for all winning trades
median_losing_trade_duration: timedelta
The median duration for all losing trades
max_consecutive_winning_trades: int
The maximum number of consecutive winning trades
max_consecutive_losing_trades: int
The maximum number of consecutive losing trades
profit_loss_ratio: float
The ratio of the average profit per trade to the average loss per trade
win_loss_ratio: float
The ratio of the number of winning trades to the number of losing trades
win_rate: float
The ratio of the number of winning trades to the total number of trades
loss_rate: float
The ratio of the number of losing trades to the total number of trades
average_mae: float
The average Maximum Adverse Excursion for all trades
average_mfe: float
The average Maximum Favorable Excursion for all trades
largest_mae: float
The largest Maximum Adverse Excursion in a single trade (as symbol currency)
largest_mfe: float
The largest Maximum Favorable Excursion in a single trade (as symbol currency)
maximum_closed_trade_drawdown: float
The maximum closed-trade drawdown for all trades (as symbol currency)
maximum_intra_trade_drawdown: float
The maximum intra-trade drawdown for all trades (as symbol currency)
profit_loss_standard_deviation: float
The standard deviation of the profits/losses for all trades (as symbol currency)
profit_loss_downside_deviation: float
The downside deviation of the profits/losses for all trades (as symbol currency)
profit_factor: float
The ratio of the total profit to the total loss
sharpe_ratio: float
The ratio of the average profit/loss to the standard deviation
sortino_ratio: float
The ratio of the average profit/loss to the downside deviation
profit_to_max_drawdown_ratio: float
The ratio of the total profit/loss to the maximum closed trade drawdown
maximum_end_trade_drawdown: float
The maximum amount of profit given back by a single trade before exit (as symbol currency)
average_end_trade_drawdown: float
The average amount of profit given back by all trades before exit (as symbol currency)
maximum_drawdown_duration: timedelta
The maximum amount of time to recover from a drawdown (longest time between new equity highs or peaks)
total_fees: float
The sum of fees for all trades