mementum · baobach · Mar 31, 2024 · Apr 22, 2024
diff --git a/backtrader/__init__.py b/backtrader/__init__.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzer.py b/backtrader/analyzer.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/__init__.py b/backtrader/analyzers/__init__.py
@@ -2,7 +2,8 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
+# Added by @baobach
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by
@@ -28,6 +29,7 @@
 from .drawdown import *
 from .timereturn import *
 from .sharpe import *
+from .sortino import *
 from .tradeanalyzer import *
 from .sqn import *
 from .leverage import *

diff --git a/backtrader/analyzers/annualreturn.py b/backtrader/analyzers/annualreturn.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/calmar.py b/backtrader/analyzers/calmar.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/drawdown.py b/backtrader/analyzers/drawdown.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/leverage.py b/backtrader/analyzers/leverage.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/logreturnsrolling.py b/backtrader/analyzers/logreturnsrolling.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/periodstats.py b/backtrader/analyzers/periodstats.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/positions.py b/backtrader/analyzers/positions.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/pyfolio.py b/backtrader/analyzers/pyfolio.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/returns.py b/backtrader/analyzers/returns.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/sharpe.py b/backtrader/analyzers/sharpe.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/sortino.py b/backtrader/analyzers/sortino.py
@@ -0,0 +1,191 @@
+#!/usr/bin/env python
+# -*- coding: utf-8; py-indent-offset:4 -*-
+###############################################################################
+#
+# Added by: @baobach (2024)
+#
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program.  If not, see <http://www.gnu.org/licenses/>.
+#
+###############################################################################
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import math
+
+from backtrader.utils.py3 import itervalues
+
+from backtrader import Analyzer, TimeFrame
+from backtrader.mathsupport import average, standarddev
+from backtrader.analyzers import TimeReturn, AnnualReturn
+
+class SortinoRatio(Analyzer):
+    '''This analyzer calculates the Sortino Ratio of a strategy using a risk free
+    asset which is simply an interest rate
+
+    See also:
+
+      - https://en.wikipedia.org/wiki/Sortino_ratio
+
+    Params:
+
+      - ``timeframe``: (default: ``TimeFrame.Years``)
+
+      - ``compression`` (default: ``1``)
+
+        Only used for sub-day timeframes to for example work on an hourly
+        timeframe by specifying "TimeFrame.Minutes" and 60 as compression
+
+      - ``riskfreerate`` (default: 0.01 -> 1%)
+
+        Expressed in annual terms (see ``convertrate`` below)
+
+      - ``convertrate`` (default: ``True``)
+
+        Convert the ``riskfreerate`` from annual to monthly, weekly or daily
+        rate. Sub-day conversions are not supported
+
+      - ``factor`` (default: ``None``)
+
+        If ``None``, the conversion factor for the riskfree rate from *annual*
+        to the chosen timeframe will be chosen from a predefined table
+
+          Days: 252, Weeks: 52, Months: 12, Years: 1
+
+        Else the specified value will be used
+
+      - ``annualize`` (default: ``False``)
+
+        If ``convertrate`` is ``True``, the *SortinoRatio* will be delivered in
+        the ``timeframe`` of choice.
+
+        In most occasions the SortinoRatio is delivered in annualized form.
+        Convert the ``riskfreerate`` from annual to monthly, weekly or daily
+        rate. Sub-day conversions are not supported
+
+      - ``stddev_sample`` (default: ``False``)
+
+        If this is set to ``True`` the *standard deviation* will be calculated
+        decreasing the denominator in the mean by ``1``. This is used when
+        calculating the *standard deviation* if it's considered that not all
+        samples are used for the calculation. This is known as the *Bessels'
+        correction*
+
+      - ``daysfactor`` (default: ``None``)
+
+        Old naming for ``factor``. If set to anything else than ``None`` and
+        the ``timeframe`` is ``TimeFrame.Days`` it will be assumed this is old
+        code and the value will be used
+
+      - ``legacyannual`` (default: ``False``)
+
+        Use the ``AnnualReturn`` return analyzer, which as the name implies
+        only works on years
+
+      - ``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 key "sortinoratio" holding the ratio
+
+    '''
+
+    params = (
+        ('timeframe', TimeFrame.Years),
+        ('compression', 1),
+        ('riskfreerate', 0.01),
+        ('factor', None),
+        ('convertrate', True),
+        ('annualize', False),
+        ('stddev_sample', False),
+        ('daysfactor', None),
+        ('legacyannual', False),
+        ('fund', None),
+    )
+
+    RATEFACTORS = {
+        TimeFrame.Days: 252,
+        TimeFrame.Weeks: 52,
+        TimeFrame.Months: 12,
+        TimeFrame.Years: 1,
+    }
+
+    def __init__(self):
+        self.timereturn = TimeReturn(
+            timeframe=self.p.timeframe,
+            compression=self.p.compression,
+            fund=self.p.fund)
+
+    def stop(self):
+        super(SortinoRatio, self).stop()
+
+        # Get the returns from the subanalyzer
+        returns = list(itervalues(self.timereturn.get_analysis()))
+
+        rate = self.p.riskfreerate  
+
+        factor = None
+
+        if self.p.factor is not None:
+            factor = self.p.factor  # user specified factor
+        elif self.p.timeframe in self.RATEFACTORS:
+            # Get the conversion factor from the default table
+            factor = self.RATEFACTORS[self.p.timeframe]
+
+        if factor is not None:
+            # A factor was found
+
+            if self.p.convertrate:
+                # Standard: downgrade annual returns to timeframe factor
+                rate = pow(1.0 + rate, 1.0 / factor) - 1.0
+            else:
+                # Else upgrade returns to yearly returns
+                returns = [pow(1.0 + x, factor) - 1.0 for x in returns]
+
+        lrets = len(returns) - self.p.stddev_sample
+        # Check if the ratio can be calculated
+        if lrets:
+            # Get the excess returns 
+            ret_free = [r - rate for r in returns]
+            ret_free_avg = average(ret_free)
+
+            # Calculate downside deviation
+            downside_returns = [x for x in ret_free if x < 0]
+            retdev = standarddev(downside_returns, avgx=ret_free_avg,
+                                 bessel=self.p.stddev_sample)
+
+            try:
+                ratio = ret_free_avg / retdev
+
+                if factor is not None and \
+                   self.p.convertrate and self.p.annualize:
+
+                    ratio = math.sqrt(factor) * ratio
+            except (ValueError, TypeError, ZeroDivisionError):
+                ratio = None
+        else:
+            # no returns or stddev_sample was active and 1 return
+            ratio = None
+
+        self.ratio = ratio
+
+        self.rets['sortinoratio'] = self.ratio
diff --git a/backtrader/analyzers/sqn.py b/backtrader/analyzers/sqn.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/timereturn.py b/backtrader/analyzers/timereturn.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/tradeanalyzer.py b/backtrader/analyzers/tradeanalyzer.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/transactions.py b/backtrader/analyzers/transactions.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/analyzers/vwr.py b/backtrader/analyzers/vwr.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/broker.py b/backtrader/broker.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/brokers/__init__.py b/backtrader/brokers/__init__.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/brokers/bbroker.py b/backtrader/brokers/bbroker.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by

diff --git a/backtrader/brokers/ibbroker.py b/backtrader/brokers/ibbroker.py
@@ -2,7 +2,7 @@
 # -*- coding: utf-8; py-indent-offset:4 -*-
 ###############################################################################
 #
-# Copyright (C) 2015-2023 Daniel Rodriguez
+# Copyright (C) 2015-2024 Daniel Rodriguez
 #
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU General Public License as published by