`trading.optimizer.analysis.context`

trading.optimizer.analysis.context

Bases: NamedTuple

The analysis data necessary to compute the metrics for a backtest.

Attributes:

Name	Type	Description
`equity_curve`	`tuple[EquityPoint, ...]`	The equity (value of units + cash) in USD for every portfolio event.
`returns`	`tuple[ReturnPoint, ...]`	The total returns (in percent) for every equity point.
`drawdowns`	`tuple[DrawdownPoint, ...]`	The peak (USD) & drawdown (in percent) for every equity point.
`trades`	`tuple[TradePoint, ...]`	The trades made during the execution of the backtester.

Bases: NamedTuple

A single drawdown point in time.

Attributes:

Name	Type	Description
`timestamp`	`time_unix_ms`	The time for the drawdown point (unix ms).
`peak`	`time_unix_ms`	The highest equity up to and including this point.
`drawdown_percent`	`percent`	The current percentage decline of the equity from its peak value to its lowest point.

Bases: NamedTuple

A single equity point in an equity curve.

Attributes:

Name	Type	Description
`timestamp`	`time_unix_ms`	The time for the equity point (unix ms).
`equity`	`USD`	The price for the equity point at its timestamp.

Bases: NamedTuple

A single return point in time.

Attributes:

Name	Type	Description
`timestamp`	`time_unix_ms`	The time for the return point (unix ms).
`return_percent`	`percent`	The percent increase / decrease from the previous point.

Bases: NamedTuple

A single completed trade (long-only).

Attributes:

Name	Type	Description
`entry_time`	`time_unix_ms`	When the position was opened (unix ms).
`exit_time`	`time_unix_ms`	When the position was closed (unix ms).
`entry_price`	`USD`	Price at entry.
`exit_price`	`USD`	Price at exit.
`quantity`	`units`	Units held.