Performance: added various stats

forms.py

@@ -30,7 +30,7 @@ class TradeFilterForm(forms.Form):
     def __init__(self, *args, show_unbalanced_checkbox=False, **kwargs):
         super().__init__(*args, **kwargs)
 
-        now = datetime.date.today()
+        now = datetime.date.today() + datetime.timedelta(days=1)
         
         all_accounts, all_strategies = get_all_accounts_and_strategies()
         self.fields['accounts'] = forms.MultipleChoiceField(choices=zip(sorted(list(all_accounts)), sorted(list(all_accounts))), required=False)
@@ -42,3 +42,24 @@ class TradeFilterForm(forms.Form):
                 self.fields['unbalanced_only'] = forms.BooleanField(required=False)
         except KeyError:
             pass
+
+# Can't subclass it from TradeFilterForm, field 'timestamp' will not show. Go figure.
+class PerformanceFilterForm(forms.Form):
+    def __init__(self, *args, show_unbalanced_checkbox=False, **kwargs):
+        super().__init__(*args, **kwargs)
+
+        now = datetime.date.today() + datetime.timedelta(days=1)
+        
+        all_accounts, all_strategies = get_all_accounts_and_strategies()
+        self.fields['accounts'] = forms.MultipleChoiceField(choices=zip(sorted(list(all_accounts)), sorted(list(all_accounts))), required=False)
+        self.fields['strategies'] = forms.MultipleChoiceField(choices=zip(sorted(list(all_strategies)), sorted(list(all_strategies))), required=False)
+        self.fields['startdate'] = forms.DateField(initial=(now - datetime.timedelta(weeks=4)))
+        self.fields['enddate'] = forms.DateField(initial=now)
+        try:
+            if show_unbalanced_checkbox:
+                self.fields['unbalanced_only'] = forms.BooleanField(required=False)
+        except KeyError:
+            pass
+
+        self.fields['timeframe'] = forms.ChoiceField(choices=[('daily', 'Daily'), ('weekly', 'Weekly'), ('monthly', 'Monthly')])
+    

templates/dashboard/performance.html

@@ -5,11 +5,27 @@
 {% load humanize %}
 
 {% block content %}
+
+<div class="panel panel-default">
+	<div class="panel-header">
+		<a href="#trades_filter_form" role="button" data-toggle="collapse">Apply filter...</a>
+	</div>
+    <div class="panel-body panel-collapse collapse" id="trades_filter_form">
+		<form action="{% url 'performance' %}" method="GET">
+		{% csrf_token %}
+		{% bootstrap_form trades_filter_form %}
+		{% bootstrap_button button_type='submit' content='Submit' %}
+		</form>
+	</div>
+</div>
+
+<!--
 <ul class="nav nav-pills">
     <li role="presentation"{% if timeframe|length == 0 or timeframe == 'daily' %} class="active"{% endif %}><a href="{% url 'performance' %}?timeframe=daily">Daily</a></li>
     <li role="presentation"{% if timeframe == 'weekly' %} class="active"{% endif %}><a href="{% url 'performance' %}?timeframe=weekly">Weekly</a></li>
     <li role="presentation"{% if timeframe == 'monthly' %} class="active"{% endif %}><a href="{% url 'performance' %}?timeframe=monthly">Monthly</a></li>
 </ul>
+-->
 <script src="http://code.highcharts.com/highcharts.js"></script>
 <div id="profits-container" style="width:100%; height:400px;">
 </div>
@@ -37,6 +53,34 @@
   </tr>
 </table>
 
+<table class="table">
+  <tr>
+    <td>Parameter</td>
+    <td>Trade</td>
+    <td>Period</td>
+  </tr>
+  <tr>
+	<td>Mean</td>
+	<td> {{ results.stats.mean }} </td>
+	<td> {{ results.stats_period.mean }} </td>
+  </tr>
+  <tr>
+	<td>Std. dev.</td>
+	<td> {{ results.stats.stddev }} </td>
+	<td> {{ results.stats_period.stddev }} </td>
+  </tr>
+  <tr>
+	<td>Skew</td>
+	<td> {{ results.stats.skew }} </td>
+	<td> {{ results.stats_period.skew }} </td>
+  </tr>
+  <tr>
+	<td>Kurtosis</td>
+	<td> {{ results.stats.kurtosis }} </td>
+	<td> {{ results.stats_period.kurtosis }} </td>
+  </tr>
+</table>
+
 <script>
 $(function () {
 	$('#profits-container').highcharts({

views.py

@@ -11,12 +11,15 @@ from django.contrib.auth import authenticate, login, logout
 from django.core.paginator import Paginator, EmptyPage, PageNotAnInteger
 
 from .models import RobotInstance, Trade, ClosedTrade
-from .forms import NewTradeForm, TradeFilterForm, LoginForm
+from .forms import NewTradeForm, TradeFilterForm, PerformanceFilterForm, LoginForm
 import redis
 import json
 import datetime
 import calendar
 
+import numpy as np
+import scipy.stats as stats
+
 def login_view(request):
     if request.method == 'POST':
         form = LoginForm(request.POST)
@@ -328,22 +331,45 @@ def rebalance_closed_trades(request):
 @login_required
 def performance(request):
     aggregate_unbalanced_trades()
-    all_accounts = set()
-    for trade in ClosedTrade.objects.all():
-        if trade.account != 'demo':
-            all_accounts.add(trade.account)
 
-    closed_trades = ClosedTrade.objects.exclude(account='demo').order_by('exitTime')
-    trades = Trade.objects.exclude(account='demo').order_by('timestamp')
     trades = Trade.objects.exclude(account='demo').order_by('timestamp')
 
+    form = PerformanceFilterForm(request.GET)
+    if form.is_valid():
+        d = form.cleaned_data
+        closed_trades = ClosedTrade.objects.all()
+        trades = Trade.objects.order_by('timestamp')
+        if len(d['strategies']) > 0:
+            closed_trades = closed_trades.filter(strategyId__in=list(d['strategies']))
+            trades = trades.filter(strategyId__in=list(d['strategies']))
+        if len(d['accounts']) > 0:
+            closed_trades = closed_trades.filter(account__in=list(d['accounts']))
+            trades = trades.filter(account__in=list(d['accounts']))
+            all_accounts = set(d['accounts'])
+
+        if d['startdate'] is not None:
+            closed_trades = closed_trades.filter(exitTime__gte=d['startdate'])
+            trades = trades.filter(timestamp__gte=d['startdate'])
+        if d['enddate'] is not None:
+            closed_trades = closed_trades.filter(exitTime__lte=d['enddate'])
+            trades = trades.filter(timestamp__lte=d['enddate'])
+        timeframe = d['timeframe']
+
+    else:
+        now = datetime.date.today()
+        closed_trades = ClosedTrade.objects.all().filter(exitTime__gte=(now - datetime.timedelta(weeks=4)))
+        trades = Trade.objects.order_by('timestamp').filter(timestamp__gte=(now - datetime.timedelta(weeks=4)))
+        form = PerformanceFilterForm()
+        timeframe = 'daily'
+
+        all_accounts = set()
+        for trade in ClosedTrade.objects.all():
+            all_accounts.add(trade.account)
+
     dates = []
     columns = {}
     for account in all_accounts:
         columns[account] = []
-    timeframe = request.GET.get('timeframe')
-    if timeframe is None:
-        timeframe = 'daily'
     if timeframe == 'daily':
         prev_day = None
         for trade in closed_trades:
@@ -396,15 +422,36 @@ def performance(request):
                 results['total']['loss'] -= trade.profit
                 results[trade.account]['loss'] -= trade.profit
 
-    results['total']['pf'] = results['total']['profit'] / results['total']['loss']
+    if results['total']['loss'] > 0:
+        results['total']['pf'] = results['total']['profit'] / results['total']['loss']
+    else:
+        results['total']['pf'] = '+inf' 
     results['total']['commission'] = trades.aggregate(Sum('commission'))['commission__sum']
 
+    results['stats'] = {}
+    results['stats_period'] = {}
+
+    pnls = list(map(lambda x: float(x.profit), closed_trades))
+    results['stats']['mean'] = "{:.3f}".format(np.mean(pnls))
+    results['stats']['stddev'] = "{:.3f}".format(np.std(pnls))
+    results['stats']['skew'] = "{:.3f}".format(stats.skew(pnls))
+    results['stats']['kurtosis'] = "{:.3f}".format(stats.kurtosis(pnls))
+
+    all_columns = []
+    for v in columns.values():
+        all_columns += list(map(float, v))
+
+    results['stats_period']['mean'] = "{:.3f}".format(np.mean(all_columns))
+    results['stats_period']['stddev'] = "{:.3f}".format(np.std(all_columns))
+    results['stats_period']['skew'] = "{:.3f}".format(stats.skew(all_columns))
+    results['stats_period']['kurtosis'] = "{:.3f}".format(stats.kurtosis(all_columns))
+
     template = loader.get_template('dashboard/performance.html')
     context = {
         'user' : request.user,
         'dates' : dates,
         'columns' : columns,
         'results' : results,
-        'timeframe' : timeframe
+        'trades_filter_form' : form
     }
     return HttpResponse(template.render(context, request))