backtrader.reports.performance module¶

Performance metrics calculator.

Extracts and calculates all performance metrics from strategies and analyzers.

class backtrader.reports.performance.PerformanceCalculator[source]¶

Bases: object

Unified performance metrics calculator.

Extracts and calculates all performance metrics from strategies and analyzers, including: - PnL metrics: total return, annual return, cumulative return - Risk metrics: max drawdown, Sharpe ratio, SQN, Calmar ratio - Trade statistics: win rate, profit/loss ratio, average profit/loss

strategy¶: Strategy instance

Usage example:: calc = PerformanceCalculator(strategy) metrics = calc.get_all_metrics() print(f”Sharpe ratio: {metrics[‘sharpe_ratio’]}”) print(f”SQN rating: {metrics[‘sqn_human’]}”)

__init__(strategy)[source]¶

Initialize the performance calculator.

Parameters:: strategy – backtrader strategy instance (result from run())

get_all_metrics()[source]¶

Return dictionary of all performance metrics.

Returns:: Dictionary containing all performance metrics
Return type:: dict

get_pnl_metrics()[source]¶

Get profit and loss related metrics.

Returns:: PnL metrics dictionary
Return type:: dict

get_risk_metrics()[source]¶

Get risk-related metrics.

Returns:: Risk metrics dictionary
Return type:: dict

get_trade_metrics()[source]¶

Get trade statistics metrics.

Returns:: Trade statistics dictionary
Return type:: dict

get_kpi_metrics()[source]¶

Get key performance indicators.

Returns:: KPI metrics dictionary
Return type:: dict

get_equity_curve()[source]¶

Get equity curve data.

Returns:: (dates, values) Lists of dates and equity values
Return type:: tuple

get_buynhold_curve()[source]¶

Get buy-and-hold comparison curve.

Returns:: (dates, values) Lists of dates and buy-and-hold values
Return type:: tuple

static sqn_to_rating(sqn_score)[source]¶

Convert SQN score to human-readable rating.

Reference: http://www.vantharp.com/tharp-concepts/sqn.asp

Parameters:: sqn_score – SQN score
Returns:: Human-readable rating
Return type:: str

get_strategy_info()[source]¶

Get strategy information.

Returns:: Strategy information dictionary
Return type:: dict

get_data_info()[source]¶

Get data information.

Returns:: Data information dictionary
Return type:: dict