Files
atm-backtesting/scripts/pl_calc.py

77 lines
2.3 KiB
Python

"""P/L overlays for M2D backtesting.
Two overlays computed from the same trade outcome:
- ``pl_marius``: real overlay used by the trader. 50% closed at TP0 (+0.2 R),
BE move on the remaining half, then close 50% of that at ~TP1 (+0.3 R total
contribution) or at SL/BE depending on outcome. TP1 is treated as the final
exit even when the chart subsequently reaches TP2.
- ``pl_theoretical``: reference 1/3-1/3-1/3 overlay that holds to TP2. Used
as an opportunity-cost benchmark vs. ``pl_marius``.
Returns are expressed in multiples of R (risk per trade). ``None`` from
``pl_marius`` denotes a still-pending trade.
"""
from __future__ import annotations
__all__ = [
"PL_MARIUS_TABLE",
"PL_THEORETICAL_TABLE",
"pl_marius",
"pl_theoretical",
]
PL_MARIUS_TABLE: dict[tuple[str, bool], float | None] = {
("SL", True): -1.0,
("SL", False): -1.0,
("TP0->SL", True): 0.20,
("TP0->SL", False): -0.30,
("TP0->TP1", True): 0.50,
("TP0->TP1", False): 0.50,
("TP0->TP2", True): 0.50,
("TP0->TP2", False): 0.50,
("TP0->pending", True): None,
("TP0->pending", False): None,
("pending", True): None,
("pending", False): None,
}
PL_THEORETICAL_TABLE: dict[str, float] = {
"SL_first": -1.0,
"TP0": 0.133,
"TP1": 0.333,
"TP2": 0.667,
}
_VALID_OUTCOME_PATHS: frozenset[str] = frozenset(
{"SL", "TP0->SL", "TP0->TP1", "TP0->TP2", "TP0->pending", "pending"}
)
def _normalize_outcome_path(outcome_path: str) -> str:
return outcome_path.replace("", "->").replace("", "->")
def pl_marius(outcome_path: str, be_moved: bool) -> float | None:
"""Return the P/L (in R) for the real Marius overlay.
Accepts both ASCII arrow ``"TP0->TP1"`` and unicode arrow ``"TP0→TP1"``.
Returns ``None`` for pending outcomes.
"""
normalized = _normalize_outcome_path(outcome_path)
if normalized not in _VALID_OUTCOME_PATHS:
raise ValueError(f"invalid outcome_path: {outcome_path!r}")
return PL_MARIUS_TABLE[(normalized, be_moved)]
def pl_theoretical(max_reached: str) -> float:
"""Return the P/L (in R) for the theoretical 1/3-1/3-1/3 hold-to-TP2 overlay."""
if max_reached not in PL_THEORETICAL_TABLE:
raise ValueError(f"invalid max_reached: {max_reached!r}")
return PL_THEORETICAL_TABLE[max_reached]