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PERF: faster indicator construction #1343

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PERF: faster indicator construction #1343

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37 changes: 18 additions & 19 deletions backtesting/_stats.py
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Original file line number Diff line number Diff line change
Expand Up @@ -57,32 +57,31 @@ def compute_stats(
trades_df: pd.DataFrame = trades
commissions = None # Not shown
else:
# Came straight from Backtest.run()
trades_df = pd.DataFrame({
'Size': [t.size for t in trades],
'EntryBar': [t.entry_bar for t in trades],
'ExitBar': [t.exit_bar for t in trades],
'EntryPrice': [t.entry_price for t in trades],
'ExitPrice': [t.exit_price for t in trades],
'SL': [t.sl for t in trades],
'TP': [t.tp for t in trades],
'PnL': [t.pl for t in trades],
'Commission': [t._commissions for t in trades],
'ReturnPct': [t.pl_pct for t in trades],
'EntryTime': [t.entry_time for t in trades],
'ExitTime': [t.exit_time for t in trades],
})
columns = [
'Size', 'EntryBar', 'ExitBar', 'EntryPrice', 'ExitPrice',
'SL', 'TP', 'PnL', 'Commission', 'ReturnPct',
'EntryTime', 'ExitTime', 'Tag'
]
trades_df = pd.DataFrame([(t.size,t.entry_bar,t.exit_bar,t.entry_price,t.exit_price,t.sl,
t.tp,t.pl,t._commissions,t.pl_pct,t.entry_time,t.exit_time,t.open_sl,t.open_tp,t.tag
) for t in trades], columns=columns)
trades_df['Duration'] = trades_df['ExitTime'] - trades_df['EntryTime']
trades_df['Tag'] = [t.tag for t in trades]

# Add indicator values
if len(trades_df) and strategy_instance:
entry_bars = trades_df['EntryBar'].values
exit_bars = trades_df['ExitBar'].values

for ind in strategy_instance._indicators:
ind = np.atleast_2d(ind)
for i, values in enumerate(ind): # multi-d indicators
suffix = f'_{i}' if len(ind) > 1 else ''
trades_df[f'Entry_{ind.name}{suffix}'] = values[trades_df['EntryBar'].values]
trades_df[f'Exit_{ind.name}{suffix}'] = values[trades_df['ExitBar'].values]
n_dims = len(ind)

for i, values in enumerate(ind):
suffix = f'_{i}' if n_dims > 1 else ''
# Vectorized indexing: values[array_of_indices]
trades_df[f'Entry_{ind.name}{suffix}'] = values[entry_bars]
trades_df[f'Exit_{ind.name}{suffix}'] = values[exit_bars]

commissions = sum(t._commissions for t in trades)
del trades
Expand Down