ExPostFacto.Result (ex_post_facto v0.2.1)

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The result contains the output of applying a strategy to a set of data.

Summary

Functions

add_data_point(result, index, datum, action)
compile(result, options \\ [])
comprehensive_summary(result)

Returns a comprehensive summary of all statistics as a map.

new(options \\ [])

Creates a new result struct.

Functions

add_data_point(result, index, datum, action)

@spec add_data_point(
  result :: %ExPostFacto.Result{
    alpha: term(),
    annual_volatility: term(),
    average_draw_down_duration: term(),
    average_draw_down_percentage: term(),
    average_losing_trade: term(),
    average_trade_by_percentage: term(),
    average_trade_duration: term(),
    average_winning_trade: term(),
    best_trade_by_percentage: term(),
    beta: term(),
    cagr_pct: term(),
    calmar_ratio: term(),
    data_points: term(),
    duration: term(),
    end_date: term(),
    expectancy: term(),
    expectancy_pct: term(),
    gross_loss: term(),
    gross_profit: term(),
    information_ratio: term(),
    is_position_open: term(),
    kelly_criterion: term(),
    kelly_interpretation: term(),
    largest_losing_trade: term(),
    largest_winning_trade: term(),
    market_correlation: term(),
    max_draw_down: term(),
    max_draw_down_duration: term(),
    max_draw_down_percentage: term(),
    max_trade_duration: term(),
    profit_factor: term(),
    sharpe_ratio: term(),
    sortino_ratio: term(),
    sqn: term(),
    sqn_interpretation: term(),
    start_date: term(),
    starting_balance: term(),
    total_profit_and_loss: term(),
    total_return_pct: term(),
    tracking_error: term(),
    trade_pairs: term(),
    trades_count: term(),
    win_count: term(),
    win_rate: term(),
    worst_trade_by_percentage: term()
  },
  index :: integer(),
  datum :: map(),
  action :: ExPostFacto.action()
) :: %ExPostFacto.Result{
  alpha: term(),
  annual_volatility: term(),
  average_draw_down_duration: term(),
  average_draw_down_percentage: term(),
  average_losing_trade: term(),
  average_trade_by_percentage: term(),
  average_trade_duration: term(),
  average_winning_trade: term(),
  best_trade_by_percentage: term(),
  beta: term(),
  cagr_pct: term(),
  calmar_ratio: term(),
  data_points: term(),
  duration: term(),
  end_date: term(),
  expectancy: term(),
  expectancy_pct: term(),
  gross_loss: term(),
  gross_profit: term(),
  information_ratio: term(),
  is_position_open: term(),
  kelly_criterion: term(),
  kelly_interpretation: term(),
  largest_losing_trade: term(),
  largest_winning_trade: term(),
  market_correlation: term(),
  max_draw_down: term(),
  max_draw_down_duration: term(),
  max_draw_down_percentage: term(),
  max_trade_duration: term(),
  profit_factor: term(),
  sharpe_ratio: term(),
  sortino_ratio: term(),
  sqn: term(),
  sqn_interpretation: term(),
  start_date: term(),
  starting_balance: term(),
  total_profit_and_loss: term(),
  total_return_pct: term(),
  tracking_error: term(),
  trade_pairs: term(),
  trades_count: term(),
  win_count: term(),
  win_rate: term(),
  worst_trade_by_percentage: term()
}

compile(result, options \\ [])

@spec compile(
  result :: %ExPostFacto.Result{
    alpha: term(),
    annual_volatility: term(),
    average_draw_down_duration: term(),
    average_draw_down_percentage: term(),
    average_losing_trade: term(),
    average_trade_by_percentage: term(),
    average_trade_duration: term(),
    average_winning_trade: term(),
    best_trade_by_percentage: term(),
    beta: term(),
    cagr_pct: term(),
    calmar_ratio: term(),
    data_points: term(),
    duration: term(),
    end_date: term(),
    expectancy: term(),
    expectancy_pct: term(),
    gross_loss: term(),
    gross_profit: term(),
    information_ratio: term(),
    is_position_open: term(),
    kelly_criterion: term(),
    kelly_interpretation: term(),
    largest_losing_trade: term(),
    largest_winning_trade: term(),
    market_correlation: term(),
    max_draw_down: term(),
    max_draw_down_duration: term(),
    max_draw_down_percentage: term(),
    max_trade_duration: term(),
    profit_factor: term(),
    sharpe_ratio: term(),
    sortino_ratio: term(),
    sqn: term(),
    sqn_interpretation: term(),
    start_date: term(),
    starting_balance: term(),
    total_profit_and_loss: term(),
    total_return_pct: term(),
    tracking_error: term(),
    trade_pairs: term(),
    trades_count: term(),
    win_count: term(),
    win_rate: term(),
    worst_trade_by_percentage: term()
  },
  options :: keyword()
) :: %ExPostFacto.Result{
  alpha: term(),
  annual_volatility: term(),
  average_draw_down_duration: term(),
  average_draw_down_percentage: term(),
  average_losing_trade: term(),
  average_trade_by_percentage: term(),
  average_trade_duration: term(),
  average_winning_trade: term(),
  best_trade_by_percentage: term(),
  beta: term(),
  cagr_pct: term(),
  calmar_ratio: term(),
  data_points: term(),
  duration: term(),
  end_date: term(),
  expectancy: term(),
  expectancy_pct: term(),
  gross_loss: term(),
  gross_profit: term(),
  information_ratio: term(),
  is_position_open: term(),
  kelly_criterion: term(),
  kelly_interpretation: term(),
  largest_losing_trade: term(),
  largest_winning_trade: term(),
  market_correlation: term(),
  max_draw_down: term(),
  max_draw_down_duration: term(),
  max_draw_down_percentage: term(),
  max_trade_duration: term(),
  profit_factor: term(),
  sharpe_ratio: term(),
  sortino_ratio: term(),
  sqn: term(),
  sqn_interpretation: term(),
  start_date: term(),
  starting_balance: term(),
  total_profit_and_loss: term(),
  total_return_pct: term(),
  tracking_error: term(),
  trade_pairs: term(),
  trades_count: term(),
  win_count: term(),
  win_rate: term(),
  worst_trade_by_percentage: term()
}

comprehensive_summary(result)

@spec comprehensive_summary(
  result :: %ExPostFacto.Result{
    alpha: term(),
    annual_volatility: term(),
    average_draw_down_duration: term(),
    average_draw_down_percentage: term(),
    average_losing_trade: term(),
    average_trade_by_percentage: term(),
    average_trade_duration: term(),
    average_winning_trade: term(),
    best_trade_by_percentage: term(),
    beta: term(),
    cagr_pct: term(),
    calmar_ratio: term(),
    data_points: term(),
    duration: term(),
    end_date: term(),
    expectancy: term(),
    expectancy_pct: term(),
    gross_loss: term(),
    gross_profit: term(),
    information_ratio: term(),
    is_position_open: term(),
    kelly_criterion: term(),
    kelly_interpretation: term(),
    largest_losing_trade: term(),
    largest_winning_trade: term(),
    market_correlation: term(),
    max_draw_down: term(),
    max_draw_down_duration: term(),
    max_draw_down_percentage: term(),
    max_trade_duration: term(),
    profit_factor: term(),
    sharpe_ratio: term(),
    sortino_ratio: term(),
    sqn: term(),
    sqn_interpretation: term(),
    start_date: term(),
    starting_balance: term(),
    total_profit_and_loss: term(),
    total_return_pct: term(),
    tracking_error: term(),
    trade_pairs: term(),
    trades_count: term(),
    win_count: term(),
    win_rate: term(),
    worst_trade_by_percentage: term()
  }
) :: map()

Returns a comprehensive summary of all statistics as a map.

This provides a clean view of all calculated metrics without the internal data structures like data_points and trade_pairs.

new(options \\ [])

@spec new(starting_balance: float(), start_date: String.t(), end_date: String.t()) ::
  %ExPostFacto.Result{
    alpha: term(),
    annual_volatility: term(),
    average_draw_down_duration: term(),
    average_draw_down_percentage: term(),
    average_losing_trade: term(),
    average_trade_by_percentage: term(),
    average_trade_duration: term(),
    average_winning_trade: term(),
    best_trade_by_percentage: term(),
    beta: term(),
    cagr_pct: term(),
    calmar_ratio: term(),
    data_points: term(),
    duration: term(),
    end_date: term(),
    expectancy: term(),
    expectancy_pct: term(),
    gross_loss: term(),
    gross_profit: term(),
    information_ratio: term(),
    is_position_open: term(),
    kelly_criterion: term(),
    kelly_interpretation: term(),
    largest_losing_trade: term(),
    largest_winning_trade: term(),
    market_correlation: term(),
    max_draw_down: term(),
    max_draw_down_duration: term(),
    max_draw_down_percentage: term(),
    max_trade_duration: term(),
    profit_factor: term(),
    sharpe_ratio: term(),
    sortino_ratio: term(),
    sqn: term(),
    sqn_interpretation: term(),
    start_date: term(),
    starting_balance: term(),
    total_profit_and_loss: term(),
    total_return_pct: term(),
    tracking_error: term(),
    trade_pairs: term(),
    trades_count: term(),
    win_count: term(),
    win_rate: term(),
    worst_trade_by_percentage: term()
  }

Creates a new result struct.