Module backtrader.analyzers.sqn

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import math

from backtrader import Analyzer
from backtrader.mathsupport import average, standarddev
from backtrader.utils import AutoOrderedDict


class SQN(Analyzer):
    '''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

    Methods:

      - get_analysis

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

    '''
    alias = ('SystemQualityNumber',)

    def create_analysis(self):
        '''Replace default implementation to instantiate an AutoOrdereDict
        rather than an OrderedDict'''
        self.rets = AutoOrderedDict()

    def start(self):
        super(SQN, self).start()
        self.pnl = list()
        self.count = 0

    def notify_trade(self, trade):
        if trade.status == trade.Closed:
            self.pnl.append(trade.pnlcomm)
            self.count += 1

    def stop(self):
        if self.count > 1:
            pnl_av = average(self.pnl)
            pnl_stddev = standarddev(self.pnl)
            try:
                sqn = math.sqrt(len(self.pnl)) * pnl_av / pnl_stddev
            except ZeroDivisionError:
                sqn = None
        else:
            sqn = 0

        self.rets.sqn = sqn
        self.rets.trades = self.count