Analysis

The analysis subpackage groups components relating to trading performance statistics and analysis.

class PortfolioAnalyzer

Bases: object

Provides a portfolio performance analyzer for tracking and generating performance metrics and statistics.

register_statistic ( statistic : PortfolioStatistic ) → None

Register the given statistic with the analyzer.

Parameters :

statistic ( PortfolioStatistic ) – The statistic to register.

deregister_statistic ( statistic : PortfolioStatistic ) → None

Deregister a statistic from the analyzer.

deregister_statistics ( ) → None

Deregister all statistics from the analyzer.

reset ( ) → None

Reset the analyzer.

All stateful fields are reset to their initial value.

property currencies : list [ nautilus_trader.model.currency.Currency ]

Return the analyzed currencies.

Returns :

list[Currency]

statistic ( name : str ) → Optional [ PortfolioStatistic ]

Return the statistic with the given name (if found).

Returns :

PortfolioStatistic or None

returns ( ) → Series

Return raw the returns data.

Returns :

pd.Series

calculate_statistics ( account : Account , positions : list [ nautilus_trader.model.position.Position ] ) → None

Calculate performance metrics from the given data.

Parameters :

  • account ( Account ) – The account for the calculations.

  • positions ( list [ Position ] ) – The positions for the calculations.

add_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → None

Add positions data to the analyzer.

Parameters :

positions ( list [ Position ] ) – The positions for analysis.

add_trade ( position_id : PositionId , realized_pnl : Money ) → None

Add trade data to the analyzer.

Parameters :

  • position_id ( PositionId ) – The position ID for the trade.

  • realized_pnl ( Money ) – The realized PnL for the trade.

add_return ( timestamp : datetime , value : float ) → None

Add return data to the analyzer.

Parameters :

  • timestamp ( datetime ) – The timestamp for the returns entry.

  • value ( double ) – The return value to add.

realized_pnls ( currency : Currency = None ) → Optional [ Series ]

Return the realized PnL for the portfolio.

For multi-currency portfolios, specify the currency for the result.

Parameters :

currency ( Currency , optional ) – The currency for the result.

Returns :

pd.Series or None

Raises :

ValueError – If currency is None when analyzing multi-currency portfolios.

total_pnl ( currency : Optional [ Currency ] = None , unrealized_pnl : Optional [ Money ] = None ) → float

Return the total PnL for the portfolio.

For multi-currency portfolios, specify the currency for the result.

Parameters :

  • currency ( Currency , optional ) – The currency for the result.

  • unrealized_pnl ( Money , optional ) – The unrealized PnL for the given currency.

Returns :

float

Raises :

  • ValueError – If currency is None when analyzing multi-currency portfolios.

  • ValueError – If currency is not contained in the tracked account balances.

  • ValueError – If unrealized_pnl is not None and currency is not equal to the given currency.

total_pnl_percentage ( currency : Currency = None , unrealized_pnl : Optional [ Money ] = None ) → float

Return the percentage change of the total PnL for the portfolio.

For multi-currency accounts, specify the currency for the result.

Parameters :

  • currency ( Currency , optional ) – The currency for the result.

  • unrealized_pnl ( Money , optional ) – The unrealized PnL for the given currency.

Returns :

float

Raises :

  • ValueError – If currency is None when analyzing multi-currency portfolios.

  • ValueError – If currency is not contained in the tracked account balances.

  • ValueError – If unrealized_pnl is not None and currency is not equal to the given currency.

get_performance_stats_pnls ( currency : Currency = None , unrealized_pnl : Optional [ Money ] = None ) → dict [ str , float ]

Return the ‘PnL’ (profit and loss) performance statistics, optionally includes the unrealized PnL.

Money objects are converted to floats.

Parameters :

  • currency ( Currency ) – The currency for the performance.

  • unrealized_pnl ( Money , optional ) – The unrealized PnL for the performance.

Returns :

dict[str, Any]

get_performance_stats_returns ( ) → dict [ str , Any ]

Return the return performance statistics values.

Returns :

dict[str, Any]

get_performance_stats_general ( ) → dict [ str , Any ]

Return the general performance statistics.

Returns :

dict[str, Any]

get_stats_pnls_formatted ( currency : Currency = None , unrealized_pnl : Optional [ Money ] = None ) → list [ str ]

Return the performance statistics from the last backtest run formatted for printing in the backtest run footer.

Parameters :

  • currency ( Currency ) – The currency for the performance.

  • unrealized_pnl ( Money , optional ) – The unrealized PnL for the performance.

Returns :

list[str]

get_stats_returns_formatted ( ) → list [ str ]

Return the performance statistics for returns from the last backtest run formatted for printing in the backtest run footer.

Returns :

list[str]

get_stats_general_formatted ( ) → list [ str ]

Return the performance statistics for returns from the last backtest run formatted for printing in the backtest run footer.

Returns :

list[str]

class ReportProvider

Bases: object

Provides various portfolio analysis reports.

static generate_orders_report ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → DataFrame

Generate an orders report.

Parameters :

orders ( list [ Order ] ) – The orders for the report.

Returns :

pd.DataFrame

static generate_order_fills_report ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → DataFrame

Generate an order fills report.

Parameters :

orders ( list [ Order ] ) – The orders for the report.

Returns :

pd.DataFrame

static generate_positions_report ( positions : list [ nautilus_trader.model.position.Position ] ) → DataFrame

Generate a positions report.

Parameters :

positions ( list [ Position ] ) – The positions for the report.

Returns :

pd.DataFrame

static generate_account_report ( account : Account ) → DataFrame

Generate an account report for the given optional time range.

Parameters :

account ( Account ) – The account for the report.

Returns :

pd.DataFrame

class PortfolioStatistic

Bases: object

The base class for all portfolio performance statistics.

Notes

The return value should be a JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

class Expectancy

Bases: PortfolioStatistic

Calculates the expectancy from a realized PnLs series.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class LongRatio ( precision : int = 2 )

Bases: PortfolioStatistic

Calculates the ratio of long (to short) positions.

Parameters :

precision ( int , default 2 ) – The decimal precision for the output.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class AvgLoser

Bases: PortfolioStatistic

Calculates the average loser from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class MaxLoser

Bases: PortfolioStatistic

Calculates the maximum loser from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class MinLoser

Bases: PortfolioStatistic

Calculates the minimum loser from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class ProfitFactor

Bases: PortfolioStatistic

Calculates the annualized profit factor or ratio (wins/loss).

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class ReturnsAverage

Bases: PortfolioStatistic

Calculates the average return.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class ReturnsAverageLoss

Bases: PortfolioStatistic

Calculates the average losing return.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class ReturnsAverageWin

Bases: PortfolioStatistic

Calculates the average winning return.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class ReturnsVolatility ( period : int = 252 )

Bases: PortfolioStatistic

Calculates the volatility of returns.

The returns will be downsampled into daily bins.

Parameters :

period ( int , default 252 ) – The trading period in days.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class RiskReturnRatio

Bases: PortfolioStatistic

Calculates the return on risk ratio.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class SharpeRatio ( period : int = 252 )

Bases: PortfolioStatistic

Calculates the Sharpe Ratio from returns.

The returns will be downsampled into daily bins.

Parameters :

period ( int , default 252 ) – The trading period in days.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class SortinoRatio ( period : int = 252 )

Bases: PortfolioStatistic

Calculates the annualized Sortino Ratio from returns.

The returns will be downsampled into daily bins.

Parameters :

period ( int , default 252 ) – The trading period in days.

property name : str

Return the name for the statistic.

Returns :

str

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

class WinRate

Bases: PortfolioStatistic

Calculates the win rate from a realized PnLs series.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class AvgWinner

Bases: PortfolioStatistic

Calculates the average winner from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class MaxWinner

Bases: PortfolioStatistic

Calculates the maximum winner from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str

class MinWinner

Bases: PortfolioStatistic

Calculates the minimum winner from a series of PnLs.

calculate_from_realized_pnls ( realized_pnls : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw realized PnLs.

Parameters :

realized_pnls ( pd.Series ) – The raw PnLs for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_orders ( orders : list [ nautilus_trader.model.orders.base.Order ] ) → Optional [ Any ]

Calculate the statistic value from the given orders.

Parameters :

orders ( list [ Order ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_positions ( positions : list [ nautilus_trader.model.position.Position ] ) → Optional [ Any ]

Calculate the statistic value from the given positions.

Parameters :

positions ( list [ Position ] ) – The positions to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

calculate_from_returns ( returns : Series ) → Optional [ Any ]

Calculate the statistic value from the given raw returns.

Parameters :

returns ( pd.Series ) – The returns to use for the calculation.

Returns :

Any or None – A JSON serializable primitive.

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the PortfolioStatistic class.

Returns :

str

References

https://www.python.org/dev/peps/pep-3155/

property name : str

Return the name for the statistic.

Returns :

str