'iTjddlmZmZmZmZddlZddlZddlmZddl m Z ddl m Z Gdd eZ e Zy) )absolute_importdivisionprint_functionunicode_literalsN)TimeFrameAnalyzerBase)Returns) standarddevceZdZdZdZej jdej jdej jdej jdiZ dZ fdZ fd Zd Zd ZxZS) VWRaJVariability-Weighted Return: Better SharpeRatio with Log Returns Alias: - VariabilityWeightedReturn See: - https://www.crystalbull.com/sharpe-ratio-better-with-log-returns/ Params: - ``timeframe`` (default: ``None``) If ``None`` then the complete return over the entire backtested period will be reported Pass ``TimeFrame.NoTimeFrame`` to consider the entire dataset with no time constraints - ``compression`` (default: ``None``) Only used for sub-day timeframes to for example work on an hourly timeframe by specifying "TimeFrame.Minutes" and 60 as compression If ``None`` then the compression of the 1st data of the system will be used - ``tann`` (default: ``None``) Number of periods to use for the annualization (normalization) of the average returns. If ``None``, then standard ``t`` values will be used, namely: - ``days: 252`` - ``weeks: 52`` - ``months: 12`` - ``years: 1`` - ``tau`` (default: ``2.0``) factor for the calculation (see the literature) - ``sdev_max`` (default: ``0.20``) max standard deviation (see the literature) - ``fund`` (default: ``None``) If ``None`` the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See ``set_fundmode`` in the broker documentation Set it to ``True`` or ``False`` for a specific behavior Methods: - get_analysis Returns a dictionary with returns as values and the datetime points for each return as keys The returned dict contains the following keys: - ``vwr``: Variability-Weighted Return ))tannN)taug?)sdev_maxg@)fundNgo@gJ@g(@?ct|jj|jj|jj|_y)N) timeframe compressionr)r prrr_returnsselfs V/var/www/app/trading-bot/venv/lib/python3.12/site-packages/backtrader/analyzers/vwr.py__init__z VWR.__init__rs2$&&*:*:,0FF,>,>%)VV[[2 ctt| |jj&|j j j|_n|jj|_|js+|j j jg|_ n&|j j jg|_ dg|_ y)N) superr startrrstrategybrokerfundmode _fundmodegetvalue_pis fundvalue_pns)r __class__s rrz VWR.startxs c4 66;; !]]11::DN!VV[[DN~~--6689DI--778DIF rctt| |jd4|jj |jj |j j}|d}|d}g}tt|j|jdD]<\}}|\}}||tj||zzz dz } |j| >t|d} |dt| |jj z |jj"z z} | |j$d<y) Nravgrnorm100rrT)besselvwr)rr stopr'r%popr get_analysis enumeratezipmathexpappendr powrrrrets) rrsr+r,dtsnpipnpipndtsdev_pr.r(s rr/zVWR.stops  c4 99R= IIMMO IIMMO]] ' ' )&zj> TYY !:A> GAtFBrDHHTAX../#5B JJrN   S.#FTVV__$r\s8*** ,%J JZ r