# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
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from datetime import datetime
from qf_lib.common.utils.dateutils.to_days import to_days
from qf_lib.common.utils.miscellaneous.constants import DAYS_PER_YEAR_AVG
from qf_lib.containers.series.qf_series import QFSeries
[docs]def sqn(returns: QFSeries):
"""
Calculates the SQN = mean return of trade / std(returns of trades). The returns passed to the function may wither
be defined as percentage PnL of trades or as r_multiply = percentage PnL / risk.
"""
result = returns.mean() / returns.std()
return result
[docs]def sqn_for100trades(returns: QFSeries):
"""
Calculates the SQN = mean return of trade / std(returns of trades) * sqrt(100)
"""
return sqn(returns) * 10
[docs]def avg_nr_of_trades_per1y(trades_returns: QFSeries, start_date: datetime, end_date: datetime):
"""
Calculates average number of trades per year for a given data-frame of trades.
"""
period_length = end_date - start_date
period_length_in_years = to_days(period_length) / DAYS_PER_YEAR_AVG
avg_number_of_trades_1y = len(trades_returns) / period_length_in_years
return avg_number_of_trades_1y