BUG: Fix sign in Kelly Criterion (fixup d47185f)

#640 (comment)

Author: kernc

backtesting/_stats.py

@@ -128,7 +128,8 @@ def _round_timedelta(value, _period=_data_period(index)):
     s.loc['Max. Drawdown Duration'] = _round_timedelta(dd_dur.max())
     s.loc['Avg. Drawdown Duration'] = _round_timedelta(dd_dur.mean())
     s.loc['# Trades'] = n_trades = len(trades_df)
-    s.loc['Win Rate [%]'] = np.nan if not n_trades else (pl > 0).sum() / n_trades * 100  # noqa: E501
+    win_rate = np.nan if not n_trades else (pl > 0).mean()
+    s.loc['Win Rate [%]'] = win_rate * 100
     s.loc['Best Trade [%]'] = returns.max() * 100
     s.loc['Worst Trade [%]'] = returns.min() * 100
     mean_return = geometric_mean(returns)
@@ -138,8 +139,7 @@ def _round_timedelta(value, _period=_data_period(index)):
     s.loc['Profit Factor'] = returns[returns > 0].sum() / (abs(returns[returns < 0].sum()) or np.nan)  # noqa: E501
     s.loc['Expectancy [%]'] = returns.mean() * 100
     s.loc['SQN'] = np.sqrt(n_trades) * pl.mean() / (pl.std() or np.nan)
-    win_prob = (pl > 0).sum() / n_trades
-    s.loc['Kelly Criterion'] = win_prob - (1 - win_prob) / (pl[pl > 0].mean() / pl[pl < 0].mean())  # noqa: E501
+    s.loc['Kelly Criterion'] = win_rate - (1 - win_rate) / (pl[pl > 0].mean() / -pl[pl < 0].mean())
 
     s.loc['_strategy'] = strategy_instance
     s.loc['_equity_curve'] = equity_df

backtesting/test/_test.py

@@ -276,7 +276,7 @@ def test_compute_stats(self):
                 'Return [%]': 414.2298999999996,
                 'Volatility (Ann.) [%]': 36.49390889140787,
                 'SQN': 1.0766187356697705,
-                'Kelly Criterion': 0.7875234266909678,
+                'Kelly Criterion': 0.1518705127029717,
                 'Sharpe Ratio': 0.5803778344714113,
                 'Sortino Ratio': 1.0847880675854096,
                 'Start': pd.Timestamp('2004-08-19 00:00:00'),