ENH: Add entry/exit indicator values to stats['trades'] (#1116)

* Updated _trades dataframe with 1D Indicator variables for Entry and Exit bars * Shorter form, vectorized over index * Remove Strategy.get_indicators_dataframe() public helper method * Account for multi-dim indicators and/or no trades --------- Co-authored-by: kernc <[email protected]>
kernc · Jan 22, 2025 · 4b829b7 · 4b829b7
1 parent dfcab45
commit 4b829b7
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diff --git a/backtesting/_stats.py b/backtesting/_stats.py
@@ -73,6 +73,16 @@ def compute_stats(
         })
         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):
+            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]
+
         commissions = sum(t._commissions for t in trades)
     del trades
 

diff --git a/backtesting/test/_test.py b/backtesting/test/_test.py
@@ -333,10 +333,15 @@ def almost_equal(a, b):
 
         self.assertEqual(len(stats['_trades']), 66)
 
+        indicator_columns = [
+            f'{entry}_SMA(C,{n})'
+            for entry in ('Entry', 'Exit')
+            for n in (SmaCross.fast, SmaCross.slow)]
         self.assertSequenceEqual(
             sorted(stats['_trades'].columns),
             sorted(['Size', 'EntryBar', 'ExitBar', 'EntryPrice', 'ExitPrice', 'SL', 'TP',
-                    'PnL', 'ReturnPct', 'EntryTime', 'ExitTime', 'Duration', 'Tag']))
+                    'PnL', 'ReturnPct', 'EntryTime', 'ExitTime', 'Duration', 'Tag',
+                    *indicator_columns]))
 
     def test_compute_stats_bordercase(self):