分析指标新增胜率和盈亏比

ricequant · Aug 25, 2022 · b827969 · b827969
1 parent fc28c5c
commit b827969
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Showing 5 changed files with 62 additions and 34 deletions.
diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py b/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py
@@ -61,6 +61,7 @@ def __init__(self):
         self._total_benchmark_portfolios = []
         self._sub_accounts = defaultdict(list)
         self._positions = defaultdict(list)
+        self._daily_pnl = []
 
         self._benchmark_daily_returns = []
         self._portfolio_daily_returns = []
@@ -150,6 +151,7 @@ def _collect_daily(self, _):
             "date": date,
             "unit_net_value": (np.array(self._benchmark_daily_returns) + 1).prod()
         })
+        self._daily_pnl.append(portfolio.daily_pnl)
 
         for account_type, account in self._env.portfolio.accounts.items():
             self._sub_accounts[account_type].append(self._to_account_record(date, account))
@@ -328,6 +330,16 @@ def tear_down(self, code, exception=None):
             'excess_returns': risk.excess_return_rate,
             'excess_annual_returns': risk.excess_annual_return,
             'var': risk.var,
+            "win_rate": risk.win_rate,
+        })
+
+        # 盈亏比
+        daily_pnl = np.array(self._daily_pnl)
+        profit, loss = daily_pnl[daily_pnl > 0], daily_pnl[daily_pnl < 0]
+        profit, loss = profit.mean() if len(profit) else 0, loss.mean() if len(loss) else 0
+
+        summary.update({
+            "profit_loss_rate": np.abs(profit / loss) if loss else np.nan
         })
 
         summary.update({
@@ -412,6 +424,7 @@ def tear_down(self, code, exception=None):
             'weekly_information_ratio': weekly_risk.information_ratio,
             "weekly_tracking_error": weekly_risk.tracking_error,
             "weekly_max_drawdown": weekly_risk.max_drawdown,
+            "weekly_win_rate": weekly_risk.win_rate,
         })
 
         plots = self._plot_store.get_plots()

diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py b/rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py
@@ -52,7 +52,7 @@
 USER_PLOT_AREA_HEIGHT = 2
 
 # 指标的宽高
-INDICATOR_WIDTH = 0.15
+INDICATOR_WIDTH = 0.18
 INDICATOR_VALUE_HEIGHT = 0.15
 INDICATOR_LABEL_HEIGHT = 0.2
 
@@ -74,14 +74,19 @@
     IndicatorInfo("beta", _("Beta"), BLACK, "{0:.4}", 11),
     IndicatorInfo("sharpe", _("Sharpe"), BLACK, "{0:.4}", 11),
     IndicatorInfo("sortino", _("Sortino"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("information_ratio", _("InformationRatio"), BLACK, "{0:.4}", 11),
 ], [
     IndicatorInfo("benchmark_total_returns", _("BenchmarkReturns"), BLUE, "{0:.3%}", 11),
     IndicatorInfo("benchmark_annualized_returns", _("BenchmarkAnnual"), BLUE, "{0:.3%}", 11),
     IndicatorInfo("volatility", _("Volatility"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("max_drawdown", _("MaxDrawDown"), BLACK, "{0:.4}", 11),
     IndicatorInfo("tracking_error", _("TrackingError"), BLACK, "{0:.4}", 11),
     IndicatorInfo("downside_risk", _("DownsideRisk"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("information_ratio", _("InformationRatio"), BLACK, "{0:.4}", 11),
+], [
+    IndicatorInfo("max_drawdown", _("MaxDrawDown"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("weekly_max_drawdown", _("WeeklyMaxDrawdown"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("win_rate", _("WinRate"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("weekly_win_rate", _("WeeklyWinRate"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("profit_loss_rate", _("ProfitLossRate"), BLACK, "{0:.4}", 11),
     IndicatorInfo("max_dd_ddd", _("MaxDD/MaxDDD"), BLACK, "{}", 6),
 ]]
 
@@ -92,7 +97,6 @@
     IndicatorInfo("weekly_sortino", _("WeeklySortino"), BLACK, "{0:.4}", 11),
     IndicatorInfo("weekly_information_ratio", _("WeeklyInfoRatio"), BLACK, "{0:.4}", 11),
     IndicatorInfo("weekly_tracking_error", _("WeeklyTrackingError"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("weekly_max_drawdown", _("WeeklyMaxDrawdown"), BLACK, "{0:.4}", 11),
 ]
 
 EXCESS_INDICATORS = [
@@ -101,7 +105,6 @@
     IndicatorInfo("excess_annual_returns", _("ExcessAnnual"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("excess_sharpe", _("ExcessSharpe"), BLACK, "{0:.4}", 11),
     IndicatorInfo("excess_volatility", _("ExcessVolatility"), BLACK, "{0:.4}", 11),
-    # IndicatorInfo("excess_annual_volatility", _("ExcessAnnualVolatility"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("excess_max_drawdown", _("ExcessMaxDD"), BLACK, "{0:.4}", 11),
+    # IndicatorInfo("excess_max_drawdown", _("ExcessMaxDD"), BLACK, "{0:.4}", 11),
     IndicatorInfo("excess_max_dd_ddd", _("ExcessMaxDD/ExcessMaxDDD"), BLACK, "{}", 6),
 ]
diff --git a/rqalpha/mod/rqalpha_mod_sys_analyser/report/templates/summary.xlsx b/rqalpha/mod/rqalpha_mod_sys_analyser/report/templates/summary.xlsx
diff --git a/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.mo b/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.mo
diff --git a/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po b/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po
@@ -447,7 +447,7 @@ msgid "BenchmarkWeekly"
 msgstr "基准周度收益"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:65
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:82
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:85
 msgid "MaxDrawDown"
 msgstr "最大回撤"
 
@@ -487,87 +487,99 @@ msgstr "夏普率"
 msgid "Sortino"
 msgstr "索提诺比率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:77
-msgid "InformationRatio"
-msgstr "信息比率"
-
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:79
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:78
 msgid "BenchmarkReturns"
 msgstr "基准收益率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:80
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:79
 msgid "BenchmarkAnnual"
 msgstr "基准年化收益率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:81
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:80
 msgid "Volatility"
 msgstr "波动率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:83
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:81
 msgid "TrackingError"
 msgstr "跟踪误差"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:84
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:82
 msgid "DownsideRisk"
 msgstr "下行风险"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:85
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:83
+msgid "InformationRatio"
+msgstr "信息比率"
+
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:86
+msgid "WeeklyMaxDrawdown"
+msgstr "周度最大回撤"
+
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:87
+msgid "WinRate"
+msgstr "胜率"
+
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:88
+msgid "WeeklyWinRate"
+msgstr "周度胜率"
+
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:89
+msgid "ProfitLossRate"
+msgstr "盈亏比"
+
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:90
 msgid "MaxDD/MaxDDD"
 msgstr "最大回撤/最长回撤持续期"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:89
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:91
 msgid "WeeklyAlpha"
 msgstr "周度阿尔法"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:90
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:92
 msgid "WeeklyBeta"
 msgstr "周度贝塔"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:91
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:93
 msgid "WeeklySharpe"
 msgstr "周度夏普率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:92
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:94
 msgid "WeeklySortino"
 msgstr "周度索提诺比率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:93
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:95
 msgid "WeeklyInfoRatio"
 msgstr "周度信息比率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:94
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:96
 msgid "WeeklyTrackingError"
 msgstr "周度跟踪误差"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:95
-msgid "WeeklyMaxDrawdown"
-msgstr "周度最大回撤"
-
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:99
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:103
 msgid "ExcessCumReturns"
 msgstr "超额累计收益"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:100
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:104
 msgid "ExcessReturns"
 msgstr "超额收益率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:101
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:105
 msgid "ExcessAnnual"
 msgstr "年化超额收益率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:102
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:106
 msgid "ExcessSharpe"
 msgstr "超额夏普率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:103
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:107
 msgid "ExcessVolatility"
 msgstr "超额收益波动率"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:105
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:108
 msgid "ExcessMaxDD"
 msgstr "超额收益最大回撤"
 
-#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:106
+#: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:109
 msgid "ExcessMaxDD/ExcessMaxDDD"
 msgstr "超额收益最大回撤/最长回撤持续期"