Trade Metrics are wrong as they require trade data instead of just returns

[grzesir]

Several trade metrics are incorrectly computed using only returns data. Using only returns data to compute trade metrics does not make any sense!

For accurate trade analysis, the following metrics require actual trade data:

• Max Consecutive Wins
• Max Consecutive Losses
• Gain/Pain Ratio
• Gain/Pain
• Payoff Ratio
• Profit Factor
• Common Sense Ratio
• CPC Index
• Tail Ratio
• Outlier Win Ratio
• Outlier Loss Ratio

Additionally, any formulas dependent on the above metrics, such as:

• Kelly Criterion
• Risk of Ruin

should also utilize trade data for correct computation.

Proposed Solution

• Integrate trade data input alongside returns data.
• Use a trade data format compatible with Backtrader, a widely-used backtesting framework.
• Modify the affected metrics to utilize the provided trade data for accurate computation.
• Ensure compatibility and seamless use of Quantstats within the Backtrader environment.

Who Can Help

Anyone with experience in Backtrader or Lumibot is welcome to contribute to fixing this issue.

[grzesir]

these have now been removed