Backtrader中文筆記之Analyzers Reference

AnnualReturn

年利潤

class backtrader.analyzers.AnnualReturn()

This analyzer calculates the AnnualReturns by looking at the beginning and end of the year

這個分析器通過觀察一年的開始和結束來計算年收益

Params:

• (None)

Member Attributes:

有兩個屬性

　　源碼:

　　

        if cur_year not in self.ret:
            # finish calculating pending data
            annualret = (value_end / value_start) - 1.0
            self.rets.append(annualret)
            self.ret[cur_year] = annualret

• rets: list of calculated annual returns

• rets: 用列表的形式返回年度收益清單

• ret: dictionary (key: year) of annual returns

• ret:用字典(key: year)的形式返回年度收益清單

get_analysis:

• Returns a dictionary of annual returns (key: year)
• 用字典(key: year)的形式返回年度收益清單

Calmar

class backtrader.analyzers.Calmar()

This analyzer calculates the CalmarRatio timeframe which can be different from the one used in the underlying data Params:

• timeframe (default: None) If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• None

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- ``get_analysis``()

Returns a OrderedDict with a key for the time period and the corresponding rolling Calmar ratio

- ``calmar`` the latest calculated calmar ratio()

Calmar比率(Calmar Ratio) 描述的是收益和最大回撤之間的關系。計算方式為年化收益率與歷史最大回撤之間的比率。Calmar比率數值越大，基金的業績表現越好。反之，基金的業績表現越差。

 

DrawDown

class backtrader.analyzers.DrawDown()

This analyzer calculates trading system drawdowns stats such as drawdown values in %s and in dollars, max drawdown in %s and in dollars, drawdown length and drawdown max length

 

Params:

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- ``get_analysis``()

Returns a dictionary (with . notation support and subdctionaries) with drawdown stats as values, the following keys/attributes are available:

• drawdown - drawdown value in 0.xx %

• moneydown - drawdown value in monetary units

• len - drawdown length

• max.drawdown - max drawdown value in 0.xx %

• max.moneydown - max drawdown value in monetary units

• max.len - max drawdown length

TimeDrawDown

class backtrader.analyzers.TimeDrawDown()

This analyzer calculates trading system drawdowns on the chosen timeframe which can be different from the one used in the underlying data Params:

• timeframe (default: None) If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• None

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- ``get_analysis``()

Returns a dictionary (with . notation support and subdctionaries) with drawdown stats as values, the following keys/attributes are available:

• drawdown - drawdown value in 0.xx %

• maxdrawdown - drawdown value in monetary units

• maxdrawdownperiod - drawdown length

- Those are available during runs as attributes()

• dd

• maxdd

• maxddlen

GrossLeverage

總杠桿

class backtrader.analyzers.GrossLeverage()

This analyzer calculates the Gross Leverage of the current strategy on a timeframe basis

Params:

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

每個bar都有數據

PositionsValue

持倉的價值

class backtrader.analyzers.PositionsValue()

This analyzer reports the value of the positions of the current set of datas

Params:

• timeframe (default: None) If None then the timeframe of the 1^st data of the system will be used

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• headers (default: False)

  Add an initial key to the dictionary holding the results with the names of the datas (‘Datetime’ as key

• cash (default: False)

  Include the actual cash as an extra position (for the header ‘cash’ will be used as name)

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

逐條寫入，每個bar的數據都有輸出

 

PyFolio

class backtrader.analyzers.PyFolio()

This analyzer uses 4 children analyzers to collect data and transforms it in to a data set compatible with pyfolio

Children Analyzer

• TimeReturn

  Used to calculate the returns of the global portfolio value

• PositionsValue

  Used to calculate the value of the positions per data. It sets the headers and cash parameters to True

• Transactions

  Used to record each transaction on a data (size, price, value). Sets the headers parameter to True

• GrossLeverage

  Keeps track of the gross leverage (how much the strategy is invested)

Params:

These are passed transparently to the children

* timeframe (default: `bt.TimeFrame.Days`)

  If `None` then the timeframe of the 1st data of the system will be
  used

* compression (default: 1\`)

  If `None` then the compression of the 1st data of the system will be
  used

Both timeframe and compression are set following the default behavior of pyfolio which is working with daily data and upsample it to obtaine values like yearly returns.

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

get_pf_items()

Returns a tuple of 4 elements which can be used for further processing with

`pyfolio`

returns, positions, transactions, gross_leverage

Because the objects are meant to be used as direct input to pyfolio this method makes a local import of pandas to convert the internal backtrader results to pandas DataFrames which is the expected input by, for example, pyfolio.create_full_tear_sheet

The method will break if pandas is not installed

輸出數據給專業的第三方金融模塊用

模塊：pyfolio

 

LogReturnsRolling

class backtrader.analyzers.LogReturnsRolling()

This analyzer calculates rolling returns for a given timeframe and compression

Params:

• timeframe (default: None) If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• data (default: None)

  Reference asset to track instead of the portfolio value.

  NOTE: this data must have been added to a cerebro instance with addata, resampledata or replaydata

• firstopen (default: True)

  When tracking the returns of a data the following is done when crossing a timeframe boundary, for example Years:

  • Last close of previous year is used as the reference price to see the return in the current year

  The problem is the 1^st calculation, because the data has** no previous** closing price. As such and when this parameter is True the opening price will be used for the 1^st calculation.

  This requires the data feed to have an open price (for close the standard [0] notation will be used without reference to a field price)

  Else the initial close will be used.

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

 

PeriodStats

周期統計

class backtrader.analyzers.PeriodStats()

Calculates basic statistics for given timeframe

Params:

• timeframe (default: Years) If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: 1)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

get_analysis returns a dictionary containing the keys:

• average

• stddev

• positive

• negative

• nochange

• best

• worst

If the parameter zeroispos is set to True, periods with no change will be counted as positive

Returns

class backtrader.analyzers.Returns()

Total, Average, Compound and Annualized Returns calculated using a logarithmic approach

See:

• https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/

Params:

• timeframe (default: None)

  If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• tann (default: None)

  Number of periods to use for the annualization (normalization) of the

  namely:

  • days: 252

  • weeks: 52

  • months: 12

  • years: 1

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

The returned dict the following keys:

• rtot: Total compound return

• ravg: Average return for the entire period (timeframe specific)

• rnorm: Annualized/Normalized return

• rnorm100: Annualized/Normalized return expressed in 100%

SharpeRatio

class backtrader.analyzers.SharpeRatio()

This analyzer calculates the SharpeRatio of a strategy using a risk free asset which is simply an interest rate

Params:

• timeframe: (default: TimeFrame.Years)

• compression (default: 1)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

• riskfreerate (default: 0.01 -> 1%)

  Expressed in annual terms (see convertrate below)

• convertrate (default: True)

  Convert the riskfreerate from annual to monthly, weekly or daily rate. Sub-day conversions are not supported

• factor (default: None)

  If None, the conversion factor for the riskfree rate from annual to the chosen timeframe will be chosen from a predefined table

  Days: 252, Weeks: 52, Months: 12, Years: 1

  Else the specified value will be used

• annualize (default: False)

  If convertrate is True, the SharpeRatio will be delivered in the timeframe of choice.

  In most occasions the SharpeRatio is delivered in annualized form. Convert the riskfreerate from annual to monthly, weekly or daily rate. Sub-day conversions are not supported

• stddev_sample (default: False)

  If this is set to True the standard deviation will be calculated decreasing the denominator in the mean by 1. This is used when calculating the standard deviation if it’s considered that not all samples are used for the calculation. This is known as the Bessels’ correction

• daysfactor (default: None)

  Old naming for factor. If set to anything else than None and the timeframe is TimeFrame.Days it will be assumed this is old code and the value will be used

• legacyannual (default: False)

  Use the AnnualReturn return analyzer, which as the name implies only works on years

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with key “sharperatio” holding the ratio

SharpeRatio_A

class backtrader.analyzers.SharpeRatio_A()

Extension of the SharpeRatio which returns the Sharpe Ratio directly in annualized form

The following param has been changed from SharpeRatio

• annualize (default: True)

SQN

class backtrader.analyzers.SQN()

SQN or SystemQualityNumber. Defined by Van K. Tharp to categorize trading systems.

• 1.6 - 1.9 Below average

• 2.0 - 2.4 Average

• 2.5 - 2.9 Good

• 3.0 - 5.0 Excellent

• 5.1 - 6.9 Superb

• 7.0 - Holy Grail?

The formula:

• SquareRoot(NumberTrades) * Average(TradesProfit) / StdDev(TradesProfit)

The sqn value should be deemed reliable when the number of trades >= 30

- get_analysis()

Returns a dictionary with keys “sqn” and “trades” (number of considered trades)

TimeReturn

class backtrader.analyzers.TimeReturn()

This analyzer calculates the Returns by looking at the beginning and end of the timeframe

這個分析器通過查看時間框架的開始和結束來計算回報

Params:

• timeframe (default: None) If None the timeframe of the 1^st data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• data (default: None)

  Reference asset to track instead of the portfolio value.

  NOTE: this data must have been added to a cerebro instance with addata, resampledata or replaydata

• firstopen (default: True)

  When tracking the returns of a data the following is done when crossing a timeframe boundary, for example Years:

  • Last close of previous year is used as the reference price to see the return in the current year

  The problem is the 1^st calculation, because the data has** no previous** closing price. As such and when this parameter is True the opening price will be used for the 1^st calculation.

  This requires the data feed to have an open price (for close the standard [0] notation will be used without reference to a field price)

  Else the initial close will be used.

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

TradeAnalyzer

交易分析

class backtrader.analyzers.TradeAnalyzer()

Provides statistics on closed trades (keeps also the count of open ones)

• Total Open/Closed Trades

• Streak Won/Lost Current/Longest

• ProfitAndLoss Total/Average

• Won/Lost Count/ Total PNL/ Average PNL / Max PNL

• Long/Short Count/ Total PNL / Average PNL / Max PNL

  • Won/Lost Count/ Total PNL/ Average PNL / Max PNL

• Length (bars in the market)

  • Total/Average/Max/Min

  • Won/Lost Total/Average/Max/Min

  • Long/Short Total/Average/Max/Min

  • Won/Lost Total/Average/Max/Min

NOTE: The analyzer uses an “auto”dict for the fields, which means that if no trades are executed, no statistics will be generated.

In that case there will be a single field/subfield in the dictionary returned by get_analysis, namely:

• dictname[‘total’][‘total’] which will have a value of 0 (the field is also reachable with dot notation dictname.total.total

Transactions

交易

class backtrader.analyzers.Transactions()

This analyzer reports the transactions occurred with each an every data in the system

這個分析器報告系統中每個數據發生的事務

It looks at the order execution bits to create a Position starting from 0 during each next cycle.

 

 

The result is used during next to record the transactions

Params:

• headers (default: True)

  Add an initial key to the dictionary holding the results with the names of the datas

  This analyzer was modeled to facilitate the integration with pyfolio and the header names are taken from the samples used for it:

• 'date', 'amount', 'price', 'sid', 'symbol', 'value'
  

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

VWR

class backtrader.analyzers.VWR()

Variability-Weighted Return: Better SharpeRatio with Log Returns

Alias:

• VariabilityWeightedReturn

See:

• https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/

Params:

• timeframe (default: None) If None then the complete return over the entire backtested period will be reported

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to for example work on an hourly timeframe by specifying “TimeFrame.Minutes” and 60 as compression

  If None then the compression of the 1^st data of the system will be used

• tann (default: None)

  Number of periods to use for the annualization (normalization) of the average returns. If None, then standard t values will be used, namely:

  • days: 252

  • weeks: 52

  • months: 12

  • years: 1

• tau (default: 2.0)

  factor for the calculation (see the literature)

• sdev_max (default: 0.20)

  max standard deviation (see the literature)

• fund (default: None)

  If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- get_analysis()

Returns a dictionary with returns as values and the datetime points for each return as keys

The returned dict contains the following keys:

• vwr: Variability-Weighted Return