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This commit is contained in:
Dobromir Popov
2025-05-13 17:19:52 +03:00
parent 7dda00b64a
commit c0872248ab
60 changed files with 42085 additions and 6885 deletions
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NN/utils/__pycache__/__init__.cpython-312.pyc
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NN/utils/__pycache__/data_interface.cpython-312.pyc
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NN/utils/data_interface.py
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@ -373,7 +373,7 @@ class DataInterface:
return df_copy
def calculate_pnl(self, predictions, actual_prices, position_size=1.0):
def calculate_pnl(self, predictions, actual_prices, position_size=1.0, fee_rate=0.0002):
"""
Robust PnL calculator that handles:
- Action predictions (0=SELL, 1=HOLD, 2=BUY)
@ -384,6 +384,7 @@ class DataInterface:
predictions: Array of predicted actions or probabilities
actual_prices: Array of actual prices (can be 1D or 2D OHLC format)
position_size: Position size multiplier
fee_rate: Trading fee rate (default: 0.0002 for 0.02% per trade)
Returns:
tuple: (total_pnl, win_rate, trades)
@ -443,13 +444,33 @@ class DataInterface:
price_change = (next_price - current_price) / current_price
if action == 2: # BUY
trade_pnl = price_change * position_size
# Calculate raw PnL
raw_pnl = price_change * position_size
# Calculate fees (entry and exit)
entry_fee = position_size * fee_rate
exit_fee = position_size * (1 + price_change) * fee_rate
total_fees = entry_fee + exit_fee
# Net PnL after fees
trade_pnl = raw_pnl - total_fees
trade_type = 'BUY'
is_win = price_change > 0
is_win = trade_pnl > 0
elif action == 0: # SELL
trade_pnl = -price_change * position_size
# Calculate raw PnL
raw_pnl = -price_change * position_size
# Calculate fees (entry and exit)
entry_fee = position_size * fee_rate
exit_fee = position_size * (1 - price_change) * fee_rate
total_fees = entry_fee + exit_fee
# Net PnL after fees
trade_pnl = raw_pnl - total_fees
trade_type = 'SELL'
is_win = price_change < 0
is_win = trade_pnl > 0
else:
continue # Invalid action
@ -462,6 +483,8 @@ class DataInterface:
'entry': current_price,
'exit': next_price,
'pnl': trade_pnl,
'raw_pnl': price_change * position_size if trade_type == 'BUY' else -price_change * position_size,
'fees': total_fees,
'win': is_win,
'duration': 1 # In number of candles
})