upd

core/events/portfolio.py

@@ -1,6 +1,6 @@
 from dataclasses import dataclass, field
 
-from core.models.portfolio import Performance
+from core.models.entity.portfolio import Performance
 from core.models.strategy import Strategy
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe

core/models/entity/_base.py

@@ -1,6 +1,7 @@
 import json
 from dataclasses import dataclass, fields
 from enum import Enum
+from functools import cached_property
 from typing import Any, Dict, List
 
 
@@ -12,7 +13,8 @@ def to_dict(self) -> Dict[str, Any]:
         property_dict = {
             k: getattr(self, k)
             for k in dir(self)
-            if isinstance(getattr(self.__class__, k, None), property)
+            if isinstance(getattr(self.__class__, k, None), (property, cached_property))
+            and hasattr(self, k)
         }
 
         result = {**field_dict, **property_dict}

core/models/portfolio.py → core/models/entity/portfolio.py

@@ -1,15 +1,17 @@
-from dataclasses import dataclass, field, replace
+from dataclasses import field, replace
 from datetime import datetime
 from functools import cached_property
 
 import numpy as np
 from scipy.stats import kurtosis, norm, skew
 
+from ._base import Entity
+
 TOTAL_TRADES_THRESHOLD = 3
 GAMMA = 0.57721566
 
 
-@dataclass(frozen=True)
+@Entity
 class Performance:
     _account_size: float
     _risk_per_trade: float
@@ -533,79 +535,3 @@ def _penalty(pnl) -> float:
         corr = [((num - x) / num) * coef**x for x in range(1, num)]
 
         return np.sqrt(1 + 2 * np.sum(corr))
-
-    def to_dict(self):
-        return {
-            "account_size": self._account_size,
-            "total_trades": self.total_trades,
-            "total_pnl": self.total_pnl,
-            "total_fee": self.total_fee,
-            "average_pnl": self.average_pnl,
-            "average_profit": self.average_profit,
-            "average_loss": self.average_loss,
-            "profit": self.profit,
-            "loss": self.loss,
-            "total_profit": self.total_profit,
-            "total_loss": self.total_loss,
-            "equity": self.equity,
-            "runup": self.runup,
-            "max_runup": self.max_runup,
-            "drawdown": self.drawdown,
-            "max_drawdown": self.max_drawdown,
-            "sharpe_ratio": self.sharpe_ratio,
-            "smart_sharpe_ratio": self.smart_sharpe_ratio,
-            "deflated_sharpe_ratio": self.deflated_sharpe_ratio,
-            "sortino_ratio": self.sortino_ratio,
-            "smart_sortino_ratio": self.smart_sortino_ratio,
-            "calmar_ratio": self.calmar_ratio,
-            "payoff_ratio": self.payoff_ratio,
-            "cagr": self.cagr,
-            "kelly": self.kelly,
-            "expected_return": self.expected_return,
-            "time_weighted_return": self.time_weighted_return,
-            "geometric_holding_period_return": self.geometric_holding_period_return,
-            "annualized_volatility": self.ann_volatility,
-            "annualized_sharpe_ratio": self.ann_sharpe_ratio,
-            "recovery_factor": self.recovery_factor,
-            "profit_factor": self.profit_factor,
-            "risk_of_ruin": self.risk_of_ruin,
-            "skew": self.skew,
-            "kurtosis": self.kurtosis,
-            "var": self.var,
-            "cvar": self.cvar,
-            "ulcer_index": self.ulcer_index,
-            "upi": self.upi,
-            "lake_ratio": self.lake_ratio,
-            "burke_ratio": self.burke_ratio,
-            "rachev_ratio": self.rachev_ratio,
-            "sterling_ratio": self.sterling_ratio,
-            "tail_ratio": self.tail_ratio,
-            "omega_ratio": self.omega_ratio,
-            "martin_ratio": self.martin_ratio,
-            "kappa_three_ratio": self.kappa_three_ratio,
-            "max_consecutive_wins": self.max_consecutive_wins,
-            "max_consecutive_losses": self.max_consecutive_losses,
-            "hit_ratio": self.hit_ratio,
-            "cpc_ratio": self.cpc_ratio,
-            "common_sense_ratio": self.common_sense_ratio,
-        }
-
-    def __str__(self):
-        return (
-            f"total_trades={self.total_trades}, hit_ratio={self.hit_ratio}, profit_factor={self.profit_factor}, profit={self.profit}, loss={self.loss}, "
-            f"total_profit={self.total_profit}, total_loss={self.total_loss}, total_pnl={self.total_pnl}, average_pnl={self.average_pnl}, average_profit={self.average_profit}, average_loss={self.average_loss}, "
-            f"total_fee={self.total_fee}, max_consecutive_wins={self.max_consecutive_wins}, max_consecutive_losses={self.max_consecutive_losses}, "
-            f"equity={self.equity}, max_runup={self.max_runup}, max_drawdown={self.max_drawdown}, "
-            f"sharpe_ratio={self.sharpe_ratio}, smart_sharpe_ratio={self.smart_sharpe_ratio}, deflated_sharpe_ratio={self.deflated_sharpe_ratio}, sortino_ratio={self.sortino_ratio}, smart_sortino_ratio={self.smart_sortino_ratio}, calmar_ratio={self.calmar_ratio}, "
-            f"expected_return={self.expected_return}, cagr={self.cagr}, time_weighted_return={self.time_weighted_return}, geometric_holding_period_return={self.geometric_holding_period_return}, "
-            f"annualized_volatility={self.ann_volatility}, annualized_sharpe_ratio={self.ann_sharpe_ratio}, "
-            f"recovery_factor={self.recovery_factor}, risk_of_ruin={self.risk_of_ruin}, "
-            f"skew={self.skew}, kurtosis={self.kurtosis}, var={self.var}, cvar={self.cvar}, "
-            f"ulcer_index={self.ulcer_index}, upi={self.upi}, "
-            f"kelly={self.kelly}, lake_ratio={self.lake_ratio}, burke_ratio={self.burke_ratio}, rachev_ratio={self.rachev_ratio}, kappa_three_ratio={self.kappa_three_ratio}, "
-            f"payoff_ratio={self.payoff_ratio}, sterling_ratio={self.sterling_ratio}, tail_ratio={self.tail_ratio}, omega_ratio={self.omega_ratio}, "
-            f"cpc_ratio={self.cpc_ratio}, common_sense_ratio={self.common_sense_ratio}"
-        )
-
-    def __repr__(self):
-        return f"Performance({self})"

portfolio/_portfolio.py

@@ -2,7 +2,7 @@
 from contextlib import asynccontextmanager
 from typing import Dict, Tuple
 
-from core.models.portfolio import Performance
+from core.models.entity.portfolio import Performance
 from core.models.position import Position
 from core.models.strategy import Strategy
 from core.models.symbol import Symbol