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Remove flooring on ratios & add Kelly Criterion #640

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Merged
kernc merged 3 commits into from
Dec 5, 2022
Merged

Remove flooring on ratios & add Kelly Criterion #640

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27bfb3f
Remove flooring on ratios and adding Kelly Criterion
t2o2 May 8, 2022
a6a86d7
fix build
t2o2 May 8, 2022
3ad0c96
Merge branch 'master' into master
kernc Nov 28, 2022
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fix build
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@t2o2
t2o2 committed May 9, 2022
commit a6a86d7c42c3e682bcda81cc2e1729e6efcdff7f
1 change: 1 addition & 0 deletions README.md
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Expand Up @@ -79,6 +79,7 @@ Avg. Trade Duration 32 days 00:00:00
Profit Factor 2.13
Expectancy [%] 6.91
SQN 1.78
Kelly Criterion 0.6134
_strategy SmaCross(n1=10, n2=20)
_equity_curve Equ...
_trades Size EntryB...
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1 change: 1 addition & 0 deletions backtesting/backtesting.py
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Expand Up @@ -1127,6 +1127,7 @@ def run(self, **kwargs) -> pd.Series:
Profit Factor 2.08802
Expectancy [%] 8.79171
SQN 0.916893
Kelly Criterion 0.6134
_strategy SmaCross
_equity_curve Eq...
_trades Size EntryB...
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1 change: 1 addition & 0 deletions backtesting/test/_test.py
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Expand Up @@ -276,6 +276,7 @@ def test_compute_stats(self):
'Return [%]': 414.2298999999996,
'Volatility (Ann.) [%]': 36.49390889140787,
'SQN': 1.0766187356697705,
'Kelly Criterion': 0.7875234266909678,
'Sharpe Ratio': 0.5803778344714113,
'Sortino Ratio': 1.0847880675854096,
'Start': pd.Timestamp('2004-08-19 00:00:00'),
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