Add current win and current win/loss ratio

Author: MDUYN

investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py

@@ -48,7 +48,9 @@ class BacktestSummaryMetrics:
         max_drawdown_duration (int): Duration of the maximum drawdown.
         trades_per_year (float): Average trades executed per year.
         win_rate (float): Percentage of winning trades.
+        current_win_rate (float): Win rate over recent trades.
         win_loss_ratio (float): Ratio of average win to average loss.
+        current_win_loss_ratio (float): Win/loss ratio over recent trades.
         number_of_trades (int): Total number of trades executed.
         cumulative_exposure (float): Total exposure over the backtest period.
         exposure_ratio (float): Ratio of exposure to available capital.
@@ -81,7 +83,9 @@ class BacktestSummaryMetrics:
     max_drawdown_duration: int = None
     trades_per_year: float = None
     win_rate: float = None
+    current_win_rate: float = None
     win_loss_ratio: float = None
+    current_win_loss_ratio: float = None
     number_of_trades: int = None
     number_of_trades_closed: int = None
     cumulative_exposure: float = None
@@ -123,7 +127,9 @@ def to_dict(self) -> dict:
             "max_drawdown_duration": self.max_drawdown_duration,
             "trades_per_year": self.trades_per_year,
             "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
             "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
             "number_of_trades": self.number_of_trades,
             "number_of_trades_closed": self.number_of_trades_closed,
             "cumulative_exposure": self.cumulative_exposure,

investing_algorithm_framework/domain/backtesting/combine_backtests.py

@@ -184,10 +184,18 @@ def generate_backtest_summary_metrics(
         [b.win_rate for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_rate = safe_weighted_mean(
+        [b.current_win_rate for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     win_loss_ratio = safe_weighted_mean(
         [b.win_loss_ratio for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_loss_ratio = safe_weighted_mean(
+        [b.current_win_loss_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     number_of_trades = sum(
         b.number_of_trades for b in backtest_metrics
         if b.number_of_trades is not None
@@ -251,7 +259,9 @@ def generate_backtest_summary_metrics(
         max_drawdown_duration=max_drawdown_duration,
         trades_per_year=trades_per_year,
         win_rate=win_rate,
+        current_win_rate=current_win_rate,
         win_loss_ratio=win_loss_ratio,
+        current_win_loss_ratio=current_win_loss_ratio,
         number_of_trades=number_of_trades,
         number_of_trades_closed=number_of_trades_closed,
         cumulative_exposure=cumulative_exposure,