ENH: Add stat 'CAGR [%]' (compound annual growth rate)

Author: kernc

README.md

@@ -62,6 +62,7 @@ Return [%]                             589.35
 Buy & Hold Return [%]                  703.46
 Return (Ann.) [%]                       25.42
 Volatility (Ann.) [%]                   38.43
+CAGR [%]                                16.80
 Sharpe Ratio                             0.66
 Sortino Ratio                            1.30
 Calmar Ratio                             0.77

backtesting/_stats.py

@@ -99,7 +99,8 @@ def _round_timedelta(value, _period=_data_period(index)):
     gmean_day_return: float = 0
     day_returns = np.array(np.nan)
     annual_trading_days = np.nan
-    if isinstance(index, pd.DatetimeIndex):
+    is_datetime_index = isinstance(index, pd.DatetimeIndex)
+    if is_datetime_index:
         day_returns = equity_df['Equity'].resample('D').last().dropna().pct_change()
         gmean_day_return = geometric_mean(day_returns)
         annual_trading_days = float(
@@ -115,6 +116,9 @@ def _round_timedelta(value, _period=_data_period(index)):
     s.loc['Volatility (Ann.) [%]'] = np.sqrt((day_returns.var(ddof=int(bool(day_returns.shape))) + (1 + gmean_day_return)**2)**annual_trading_days - (1 + gmean_day_return)**(2*annual_trading_days)) * 100  # noqa: E501
     # s.loc['Return (Ann.) [%]'] = gmean_day_return * annual_trading_days * 100
     # s.loc['Risk (Ann.) [%]'] = day_returns.std(ddof=1) * np.sqrt(annual_trading_days) * 100
+    if is_datetime_index:
+        time_in_years = (s.loc['Duration'].days + s.loc['Duration'].seconds / 86400) / annual_trading_days
+        s.loc['CAGR [%]'] = ((s.loc['Equity Final [$]'] / equity[0])**(1/time_in_years) - 1) * 100 if time_in_years else np.nan  # noqa: E501
 
     # Our Sharpe mismatches `empyrical.sharpe_ratio()` because they use arithmetic mean return
     # and simple standard deviation

backtesting/backtesting.py

@@ -1145,31 +1145,32 @@ def run(self, **kwargs) -> pd.Series:
             Start                     2004-08-19 00:00:00
             End                       2013-03-01 00:00:00
             Duration                   3116 days 00:00:00
-            Exposure Time [%]                     93.9944
-            Equity Final [$]                      51959.9
-            Equity Peak [$]                       75787.4
-            Return [%]                            419.599
-            Buy & Hold Return [%]                 703.458
-            Return (Ann.) [%]                      21.328
-            Volatility (Ann.) [%]                 36.5383
-            Sharpe Ratio                         0.583718
-            Sortino Ratio                         1.09239
-            Calmar Ratio                         0.444518
-            Max. Drawdown [%]                    -47.9801
+            Exposure Time [%]                    96.74115
+            Equity Final [$]                     51422.99
+            Equity Peak [$]                      75787.44
+            Return [%]                           414.2299
+            Buy & Hold Return [%]               703.45824
+            Return (Ann.) [%]                    21.18026
+            Volatility (Ann.) [%]                36.49391
+            CAGR [%]                             14.15984
+            Sharpe Ratio                          0.58038
+            Sortino Ratio                         1.08479
+            Calmar Ratio                          0.44144
+            Max. Drawdown [%]                   -47.98013
             Avg. Drawdown [%]                    -5.92585
             Max. Drawdown Duration      584 days 00:00:00
             Avg. Drawdown Duration       41 days 00:00:00
-            # Trades                                   65
-            Win Rate [%]                          46.1538
-            Best Trade [%]                         53.596
-            Worst Trade [%]                      -18.3989
-            Avg. Trade [%]                        2.35371
+            # Trades                                   66
+            Win Rate [%]                          46.9697
+            Best Trade [%]                       53.59595
+            Worst Trade [%]                     -18.39887
+            Avg. Trade [%]                        2.53172
             Max. Trade Duration         183 days 00:00:00
             Avg. Trade Duration          46 days 00:00:00
-            Profit Factor                         2.08802
-            Expectancy [%]                        8.79171
-            SQN                                  0.916893
-            Kelly Criterion                        0.6134
+            Profit Factor                         2.16795
+            Expectancy [%]                        3.27481
+            SQN                                   1.07662
+            Kelly Criterion                       0.15187
             _strategy                            SmaCross
             _equity_curve                           Eq...
             _trades                       Size  EntryB...

backtesting/test/_test.py

@@ -275,6 +275,7 @@ def test_compute_stats(self):
                 'Return (Ann.) [%]': 21.180255813792282,
                 'Return [%]': 414.2298999999996,
                 'Volatility (Ann.) [%]': 36.49390889140787,
+                'CAGR [%]': 14.159843619607383,
                 'SQN': 1.0766187356697705,
                 'Kelly Criterion': 0.1518705127029717,
                 'Sharpe Ratio': 0.5803778344714113,