Statistics — Strategy Performance Metrics Calculation

The get_strategy_stats function calculates key performance statistics for a trading strategy based on a list of executed trades and historical market data.

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Function Signature

get_strategy_stats(
    trades: list[Trade],
    df: pd.DataFrame,
    initial_capital: float,
    order_size: OrderSize
) -> dict

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Parameters

• trades (list[Trade]):
  List of executed Trade objects, each representing a simulated trade.

• df (pd.DataFrame):
  Market data used to calculate additional metrics like Buy-and-Hold returns.

• initial_capital (float):
  The amount of starting capital at the beginning of the backtest.

• order_size (OrderSize):
  The method for determining position sizing across trades. Supported OrderSizes are linked here

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Returned Statistics

The function returns a dictionary with the following metrics:

Metric	Description	Units
Net Profit	Total profit or loss from all trades	Dollars ($)
Gross Profit	Total profits from winning trades only	Dollars ($)
Gross Loss	Total losses from losing trades only	Dollars ($)
Profit factor	Ratio of Gross Profit to Gross Loss	Unitless
Sharpe Ratio	Risk-adjusted return based on trade P&L	Unitless
Max Drawdown	Maximum observed loss from a peak to a trough	Dollars ($)
Buy and Hold Return	Profit/loss if simply holding from start to end	Dollars ($)
Buy and Hold Return Percentage	Buy-and-hold return as a percent	Percentage (%)
Commissions Paid	Total commissions across all trades	Dollars ($)
Total Trades	Total number of trades executed	Count
Number of Winning Trades	Number of profitable trades	Count
Number of Losing Trades	Number of losing trades	Count
Average Trade	Average P&L per trade	Dollars ($)
Largest Winning Trade	Largest single winning trade	Dollars ($)
Largest Losing Trade	Largest single losing trade	Dollars ($)
P&L	Total profit and loss	Dollars ($)
P&L Percentage	Total profit and loss relative to initial capital	Percentage (%)

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Notes

• Sharpe Ratio is computed based on trade-level returns, not daily returns.
• Commissions are subtracted from each trade's result when calculating final stats.
• If fewer than two trades exist, or trade P&L has zero standard deviation, Sharpe Ratio will be shown as -.
• Profit Factor is shown as - if there were no losses (gross loss = 0).

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