Add current trade metrics

Author: MDUYN

investing_algorithm_framework/services/metrics/__init__.py

@@ -35,7 +35,8 @@
     get_worst_trade, get_average_trade_gain, get_median_trade_return, \
     get_average_trade_loss, get_current_average_trade_loss, \
     get_current_average_trade_duration, get_current_average_trade_gain, \
-    get_current_average_trade_return
+    get_current_average_trade_return, get_number_of_open_trades, \
+    get_average_trade_duration
 
 __all__ = [
     "get_annual_volatility",
@@ -106,4 +107,6 @@
     "get_current_average_trade_duration",
     "get_current_average_trade_gain",
     "get_current_average_trade_return",
+    "get_number_of_open_trades",
+    "get_average_trade_duration",
 ]

investing_algorithm_framework/services/metrics/generate.py

@@ -23,7 +23,8 @@
 from .sharpe_ratio import get_sharpe_ratio, get_rolling_sharpe_ratio
 from .sortino_ratio import get_sortino_ratio
 from .volatility import get_annual_volatility
-from .win_rate import get_win_rate, get_win_loss_ratio
+from .win_rate import get_win_rate, get_win_loss_ratio, get_current_win_rate, \
+    get_current_win_loss_ratio
 from .trades import get_average_trade_duration, get_average_trade_size, \
     get_number_of_trades, get_positive_trades, get_number_of_closed_trades, \
     get_negative_trades, get_average_trade_return, get_number_of_open_trades, \
@@ -105,7 +106,9 @@ def create_backtest_metrics(
             "number_of_trades_opened",
             "number_of_trades_open_at_end",
             "win_rate",
+            "current_win_rate",
             "win_loss_ratio",
+            "current_win_loss_ratio",
             "percentage_winning_months",
             "percentage_winning_years",
             "average_monthly_return",
@@ -295,7 +298,9 @@ def safe_set(metric_name, func, *args, index=None):
     safe_set("best_trade", get_best_trade, backtest_run.trades)
     safe_set("worst_trade", get_worst_trade, backtest_run.trades)
     safe_set("win_rate", get_win_rate, backtest_run.trades)
+    safe_set("current_win_rate", get_current_win_rate, backtest_run.trades, backtest_run)
     safe_set("win_loss_ratio", get_win_loss_ratio, backtest_run.trades)
+    safe_set("current_win_loss_ratio", get_current_win_loss_ratio, backtest_run.trades, backtest_run)
     safe_set("percentage_winning_months", get_percentage_winning_months, backtest_run.portfolio_snapshots)
     safe_set("percentage_winning_years", get_percentage_winning_years, backtest_run.portfolio_snapshots)
     safe_set("average_monthly_return", get_average_monthly_return, backtest_run.portfolio_snapshots)