BacktestLibrary

14 godzin temu

Library "BacktestLibrary"
A library providing functions for equity calculation and performance metrics.

since(date, active)
  : Calculates the number of candles since a specified date.
  Parameters:
    date (simple float): (simple float): The starting date in timestamp format (e.g., input.time(timestamp()))
    active (simple bool): (simple bool): If true, counts the number of candles since the date; if false, returns 0.
  Returns: (int): The number of candles since the specified date.

buy_and_hold(r, startDate)
  : Calculates the Buy and Hold Equity from a specified date.
  Parameters:
    r (float): (series float): Daily returns of the asset (e.g., 0.02 for 2% move).
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
  Returns: (float): Buy and Hold Equity of the asset from the specified date.

equity(sig, threshold, r, startDate, signals)
  : Calculates the strategy's equity on a candle-by-candle basis.
  Parameters:
    sig (float): (series float): Signal values; positive for long, negative for short.
    threshold (simple float): (simple float): Signal threshold for entering trades.
    r (float): (series float): Daily returns of the asset (e.g., 0.02 for 2% move).
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
    signals (simple string): (simple string): Type of signals to backtest ("Long & Short", "Long Only", "Short Only").
  Returns: (float): Strategy equity on a candle-by-candle basis.

PerformanceMetrics(base, Lookback, startDate)
  : Calculates performance metrics of a strategy from a specified date.
  Parameters:
    base (float): (series float): Equity values of the strategy or Buy and Hold equity.
    Lookback (int): (series int): Number of periods since the start date; recommended to use the 'since' function.
    startDate (simple float): (simple float): Timestamp of the starting date for the equity calculation.
  Returns: (float[]): Array of performance metrics.

PerfMetricTable(buy_and_hold, strategy)
  : Plots a table comparing performance metrics of Buy and Hold and Strategy equity.
  Parameters:
    buy_and_hold (array<float>): (float[]): Metrics from the PerformanceMetrics() function for Buy and Hold.
    strategy (array<float>): (float[]): Metrics from the PerformanceMetrics() function for the strategy.
  Returns: : Table displaying the performance metrics comparison.