RjR:dZddlmZddlZddlZdZddZdd dZ y) zCalendar accounting for existing close-to-close signals; no execution changes. Fees retain the historical additive-return convention. Open positions are marked to market, never forcibly liquidated. Date-only end bounds include the whole day. ) annotationsNg{Gzt?cf|jjdd|jjdj dz}|t |j jddjt|jj djtzzz S)zHReturn intervals ending at each row, computed before selecting a window.r fill_valueN) fill_methodF) positionshiftclose pct_changefillnaCOMMISSION_RATE execute_entryastypefloat execute_exit)signalsreturnss D/Users/jameslopez/projects/TradingBot25/strategies/mlp_accounting.py net_returnsrs$$Q1$5 8P8P]a8P8b8i8ijk8llG _##A%#8??F    % %e , 3 3E : ; c* |jr tdt|}|jj dd}t j d|j}d|vrBt j|jd}|jjj}|jjs |jdd dkjr td t!|dkDr|j#nd }|j%|}|||t j|dk\z}|t j|d} t'|t(r.t!|d k(r ||| t j*d zkz}n9||| kz}n0|| tdt j d |j}|j,|} | jr td|j,|j/t0} t3j4| j7s tdt2j8dt3j:d| zf} t1t3j<| t2j>jA| z dz } t1|j,|jCdz }| ddkDr7t1t3jDt3jF| d|z nd}t!| |z }t!| dkDr t1t3jH| dnd}t1t3jJt3jLt3jN| ddz}t1| ddz dz| dz| dkr|tQ| z nd |dztS| jTjCtS| jVjCt1t3jX|j,||j,|dz|t[|j,|jdt[| jjd|dkDr2t1| jM|z t3jJ|znd |dkDr4t1| jM|z t3jJ|zd Sd d S)a6Measure full-history signals within optional inclusive calendar bounds. Timestamped rows represent return intervals ending at that timestamp. The first row uses the median bar duration. Untimestamped legacy inputs retain a daily-bar fallback. Sharpe/Sortino use observed annual bar frequency. zCannot measure empty signalsrrrT)indextime)utcNz8Signal timestamps must be finite and strictly increasingg@ )daysz Window bounds require timestampsz&No bars in requested accounting window)dtypezNon-finite strategy returnsg?g~~Ag)ddofgd)weightsg& .>) pnl_pctdd_pctcalmarcagr_pctentriesexits exposure_pctyearscarry_in open_at_endsharpesortino).empty ValueErrorrr r pdSeriesr to_datetimerdiffdt total_secondsisnaanyiloclenmedianr isinstancestr Timedeltalocto_numpyrnpisfiniteallr_cumprodminmaximum accumulatesumexpm1logstdsqrtmeanminimumabsintrraveragebool)rstartendrheldmasktimes intervalstypicalboundframevaluesequityddr+cagr frequencyrMdownsides rwindow_metricsrds}}788'"G    ! !! ! 2D 99T /D w||6JJLOO113 ::<   ).."4"9!>!>!@WX X(+E Q)""$F$$W-   ER^^Et<< ?E:@*q.5"&&,u45 6cDF e#I+.v;?%vA& 'CRWWRWWRZZ%:a%?@ABH&*q.C/0BH$&F$R.$*u**..01C@R@R@V@V@Xrms$ #5r