GitHubandClaude Opus 4.8 94fabccef8 feat(backtest): add PerformanceAnalyzer with 19 metrics ...

- Implement PerformanceAnalyzer class with compute() method
- Calculate 19 performance metrics: total_return, annual_return, max_drawdown,
  max_dd_duration, sharpe, sortino, calmar, trade statistics, and volatility
- Handle edge cases: empty data, no negative returns (sortino=999), no drawdown (calmar=999)
- Add 20 comprehensive unit tests covering all metrics
- Type annotations use NDArray pattern for mypy strict compliance
- All tests pass, mypy and ruff checks clean

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-06-09 18:05:33 +08:00

..

__init__.py

feat: 初始实现 xmtdx —— 从零实现通达信 TCP A 股行情客户端

2026-04-11 19:55:19 +08:00

test_a_share_extensions.py

feat: merge datetime fields in DataFrame output, hide MinuteBar internal fields

2026-05-22 04:19:07 +08:00

test_async_transport.py

feat: v1.1.0 - MAC protocol, CLI tool, extended markets, unified client

2026-05-22 22:44:45 +08:00

test_backtest_orders.py

feat(backtest): add OrderSimulator with 5 execution modes and reject policy

2026-06-09 17:52:31 +08:00

test_backtest_performance.py

feat(backtest): add PerformanceAnalyzer with 19 metrics

2026-06-09 18:05:33 +08:00

test_backtest_portfolio.py

feat(backtest): add PortfolioTracker with equity curve and drawdown

2026-06-09 17:55:24 +08:00

test_backtest_strategy.py

feat(backtest): add Strategy base class with DataProxy and crossover

2026-06-09 16:53:57 +08:00

test_backtest_types.py

feat(backtest): add core data types (Signal/Trade/Position/BacktestResult)

2026-06-09 16:43:44 +08:00

test_block_info.py

feat: merge datetime fields in DataFrame output, hide MinuteBar internal fields

2026-05-22 04:19:07 +08:00

test_chanlun_phase2.py

feat: add chanlun (ChanLun) technical analysis module, bump to v1.7.0

2026-06-07 23:29:52 +08:00

test_chanlun_phase3.py

feat: add chanlun (ChanLun) technical analysis module, bump to v1.7.0

2026-06-07 23:29:52 +08:00

test_chanlun.py

fix: chanlun bi algorithm stuck in fractal trap during sustained trends

2026-06-08 03:08:12 +08:00

test_codec_datetime.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_codec_frame.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_codec_price.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_codec_volume.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_commands_offline.py

docs: add backtest engine design spec

2026-06-09 16:05:17 +08:00

test_decode_errors.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_financial_data.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_heartbeat.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_indicator.py

feat: add technical indicator calculation (30 indicators via MyTT), bump to 1.4.0

2026-05-28 16:05:40 +08:00

test_protocol_fixes.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_sync_transport.py

feat!: rename project from xmtdx to easy-tdx

2026-05-21 23:21:21 +08:00

test_write_daily.py

feat: add offline data write-back and sync commands, bump to v1.6.0

2026-06-07 21:13:49 +08:00

test_write_ex_daily.py

feat: add offline data write-back and sync commands, bump to v1.6.0

2026-06-07 21:13:49 +08:00

test_write_min_bar.py

feat: add offline data write-back and sync commands, bump to v1.6.0

2026-06-07 21:13:49 +08:00