Add win/loss analysis

[gusgordon]

Might be useful to have a breakdown of win/loss percentage

[gusgordon]

Nvm, just saw discussion in fund room, seems like it is a suboptimal method of analysis

[twiecki]

It's still useful and we have the basic code in place from txn.py.

[justinlent]

FWIW, though slightly different, the Omega Ratio which I added a couple of days ago is (Total Profits) / (Total Losses) which is loosely related to this.

[justinlent]

@twiecki I just flagged this one as 'high priority' since I think it is related to a lot of our recent discussions about computing batting averages of strategies, as well as how to define a trading decisions, etc., which I think is something fairly high on our list. If you think this particular issue is different, feel free to re-prioritize

[twiecki]

Definitely. Still need to solve the non-0-crossing case but once we do my code should be pretty easy to add here.

[gusgordon]

This would take commission costs into account, right? e.g. if I buy at $1, sell at $2, but it cost me $2 for the transactions I would have a net loss of $1 and this would be a "loss". I'm pretty sure we take transaction costs into account for everything in pyfolio but just clarifying.

[twiecki]

#210