2/13/25, 10:47 PM GJ Algo Research - Colab

import pandas as pd

# Data
data = {
"DATE": ["1/4/21", "1/6/21", "1/7/21", "1/8/21", "1/12/21", "1/15/21", "1/18/21", "1/19/21", "1/21/21", "1/22/21",
"1/25/21", "1/26/21", "1/29/21", "2/1/21", "2/2/21", "2/4/21", "2/9/21", "2/15/21", "2/16/21", "2/22/21",
"2/26/21", "3/1/21", "3/2/21", "3/4/21", "3/5/21", "3/8/21", "3/12/21", "3/16/21", "3/17/21", "3/18/21",
"3/19/21", "3/23/21", "3/24/21", "3/25/21", "3/26/21", "3/29/21", "3/31/21", "4/1/21", "4/7/21", "4/8/21",
"4/9/21", "4/12/21", "4/13/21", "4/14/21", "4/15/21", "4/16/21", "4/19/21", "4/20/21", "4/21/21", "4/22/21",
"4/23/21", "4/26/21", "4/27/21", "4/29/21", "4/30/21", "5/3/21", "5/7/21", "5/10/21", "5/13/21", "5/17/21",
"5/19/21", "5/26/21", "6/2/21", "6/4/21", "6/7/21", "6/10/21", "6/18/21", "6/21/21", "6/22/21", "6/23/21",
"6/28/21", "6/29/21", "6/30/21", "7/6/21", "7/7/21", "7/8/21", "7/9/21", "7/12/21", "7/13/21", "7/14/21",
"7/15/21", "7/16/21", "7/20/21", "7/22/21", "7/26/21", "7/27/21", "7/28/21", "7/29/21", "8/4/21", "8/16/21",
"8/19/21", "8/20/21", "8/23/21", "8/24/21", "8/26/21", "8/27/21", "8/31/21", "9/2/21", "9/7/21", "9/9/21",
"9/10/21", "9/17/21", "9/20/21", "9/21/21", "9/23/21", "9/24/21", "9/27/21", "9/28/21", "10/1/21", "10/4/21",
"10/5/21", "10/6/21", "10/7/21", "10/8/21", "10/11/21", "10/12/21", "10/13/21", "10/14/21", "10/15/21",
"10/19/21", "10/21/21", "10/22/21", "10/25/21", "10/26/21", "10/27/21", "10/28/21", "11/1/21", "11/2/21",
"11/4/21", "11/5/21", "11/9/21", "11/10/21", "11/11/21", "11/15/21", "11/16/21", "11/18/21", "11/22/21",
"11/23/21", "11/24/21", "11/26/21", "12/2/21", "12/3/21", "12/8/21", "12/9/21", "12/13/21", "12/14/21",
"12/16/21", "12/17/21", "12/20/21", "12/21/21", "12/22/21", "12/23/21"],
"RETURN": [-1, 0, -1, 0, 1, 1, 1, 0, -1, 0, 1, -1, 1.1, 1.35, 1.4, 0, 1, 1, -1, 1.3, 1, 0, 2, 1, -1, 0, 1, 0, 1.2, 2,
0, -1, -1, -1, 1, -1, 1, 1.9, 1.8, 1, 2, 0, -1, 0, 1.1, 1.1, 1.8, 2, 1.2, -1, -1, 0, 1, 0, 1, 1, 1.5, 1,
-1, 0, 1.1, 0.6, 0, 1, -1, 1, -1, -1, 1.5, 0, 1.6, -1, 1.1, -1, -1, 1, 1, -1, -1, -1, 2.6, 0, 1.8, -1, 1.75,
0, 0, 1, 1.5, 1, 1, 1.25, 1, -1, 1.1, -1, 1, 0, 1, 1, 1, 1, 1, -1, 1, 1, -1, -1, 2, -1, -1, -1, 1.2, 0, 1,
1.2, 1, 1, 1, -1, -1, 0, 1.4, -1, 1, 0, 1.75, 1, 1, 0, 2, 1.2, 0, 1.1, 1, 0, 1.5, -1, -1, 1, 0, 1.4, -1, -1,
1.3, -1, -1, -1, 2, 1, -1, -1]
}

# Convert to DataFrame
df = pd.DataFrame(data)
df['RETURN'] = df['RETURN'] * 2 # Convert to percentage gains/losses

# Parameters
phase1_target = 7
phase2_target = 5
max_drawdown = 10

# Simulation
pass_count = 0
fail_count = 0

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit

# Check for failure (drawdown >= 10%)

if drawdown >= max_drawdown:
fail_count += 1
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
break

# Results
print(f"Pass: {pass_count}, Fail: {fail_count}")

Pass: 131, Fail: 0

import pandas as pd

# Data
data = {
"DATE": ["1/4/22", "1/5/22", "1/6/22", "1/10/22", "1/11/22", "1/12/22", "1/14/22", "1/17/22", "1/18/22", "1/20/22",
"1/21/22", "1/24/22", "1/25/22", "1/26/22", "1/27/22", "1/28/22", "1/31/22", "2/1/22", "2/4/22", "2/10/22",
"2/11/22", "2/14/22", "2/15/22", "2/17/22", "2/18/22", "2/21/22", "2/24/22", "2/25/22", "2/28/22", "3/1/22",
"3/2/22", "3/4/22", "3/7/22", "3/8/22", "3/10/22", "3/11/22", "3/15/22", "3/17/22", "3/18/22", "3/22/22",

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"3/24/22", "3/25/22", "3/28/22", "3/31/22"],
"RETURN": [1, 1.5, 1, -1, 0, 0, 1.2, 0.7, -1, -1, 0, -1, 1.7, -1, 1.2, 0.9, 1.25, 0, -1, 1, 1.25, 1, -1, 2, 2, 1, -1,
1.75, 0, -1, 1.6, -1, 1.9, 0, 1.4, 1, -1, 0, 0, 1, 0, 2, -1, -1]
}

# Convert to DataFrame
df = pd.DataFrame(data)
df['RETURN'] = df['RETURN'] * 2 # Convert to percentage gains/losses

# Parameters
phase1_target = 7
phase2_target = 5
max_drawdown = 10

# Simulation
pass_count = 0
fail_count = 0

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit

# Check for failure (drawdown >= 10%)

if drawdown >= max_drawdown:
fail_count += 1
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
break

# Results
print(f"Pass: {pass_count}, Fail: {fail_count}")

Pass: 29, Fail: 0

import pandas as pd

# Data
data = {
"DATE": ["1/4/22", "1/5/22", "1/6/22", "1/10/22", "1/11/22", "1/12/22", "1/14/22", "1/17/22", "1/18/22", "1/20/22",
"1/21/22", "1/24/22", "1/25/22", "1/26/22", "1/27/22", "1/28/22", "1/31/22", "2/1/22", "2/4/22", "2/10/22",
"2/11/22", "2/14/22", "2/15/22", "2/17/22", "2/18/22", "2/21/22", "2/24/22", "2/25/22", "2/28/22", "3/1/22",
"3/2/22", "3/4/22", "3/7/22", "3/8/22", "3/10/22", "3/11/22", "3/15/22", "3/17/22", "3/18/22", "3/22/22",
"3/24/22", "3/25/22", "3/28/22", "3/31/22"],
"RETURN": [1, 1.5, 1, -1, 0, 0, 1.2, 0.7, -1, -1, 0, -1, 1.7, -1, 1.2, 0.9, 1.25, 0, -1, 1, 1.25, 1, -1, 2, 2, 1, -1,
1.75, 0, -1, 1.6, -1, 1.9, 0, 1.4, 1, -1, 0, 0, 1, 0, 2, -1, -1]
}

# Convert to DataFrame
df = pd.DataFrame(data)
df['RETURN'] = df['RETURN'] * 2 # Convert to percentage gains/losses

# Parameters
phase1_target = 7
phase2_target = 5
max_drawdown = 10

# Simulation
pass_count = 0
fail_count = 0

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0

for i in range(start_idx, len(df)):

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trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit

# Check for failure (drawdown >= 10%)

if drawdown >= max_drawdown:
fail_count += 1
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
break

# Results
print(f"Pass: {pass_count}, Fail: {fail_count}")

Pass: 29, Fail: 0

import pandas as pd

# Sample data for a forex session (replace with actual data)

data = {
"Session": ["Session 1", "Session 2", "Session 3", "Session 4", "Session 5"],
"Open": [1.1000, 1.1050, 1.1020, 1.1030, 1.1010],
"High": [1.1050, 1.1070, 1.1035, 1.1040, 1.1025],
"Low": [1.0990, 1.1040, 1.1010, 1.1020, 1.1005],
"Close": [1.1045, 1.1060, 1.1025, 1.1035, 1.1015]
}

# Convert to DataFrame
df = pd.DataFrame(data)

# Define thresholds
bullish_threshold = 0.0020 # Close > Open + 0.0020
bearish_threshold = 0.0020 # Close < Open - 0.0020
range_threshold = 0.0030 # High - Low < 0.0030 for consolidatory

# Function to classify session

def classify_session(row):
price_range = row["High"] - row["Low"]
price_change = row["Close"] - row["Open"]

if price_change > bullish_threshold:

return "Bullish"
elif price_change < -bearish_threshold:
return "Bearish"
elif price_range < range_threshold:
return "Consolidatory"
else:
return "Unclassified"

# Apply classification
df["Classification"] = df.apply(classify_session, axis=1)

# Display results
print(df)

Session Open High Low Close Classification

0 Session 1 1.100 1.1050 1.0990 1.1045 Bullish
1 Session 2 1.105 1.1070 1.1040 1.1060 Consolidatory
2 Session 3 1.102 1.1035 1.1010 1.1025 Consolidatory
3 Session 4 1.103 1.1040 1.1020 1.1035 Consolidatory
4 Session 5 1.101 1.1025 1.1005 1.1015 Consolidatory

import pandas as pd
import matplotlib.pyplot as plt

# Sample data for a forex session

data = {
"Session": ["Session 1", "Session 2", "Session 3", "Session 4", "Session 5"],
"Open": [1.1000, 1.1050, 1.1020, 1.1030, 1.1010],
"High": [1.1050, 1.1070, 1.1035, 1.1040, 1.1025],
"Low": [1.0990, 1.1040, 1.1010, 1.1020, 1.1005],
"Close": [1.1045, 1.1060, 1.1025, 1.1035, 1.1015]
}

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# Convert to DataFrame
df = pd.DataFrame(data)

# Add a session index for plotting

df["Session_Index"] = range(1, len(df) + 1)

# Plotting
plt.figure(figsize=(10, 6))

# Plot Open, High, Low, Close prices

plt.plot(df["Session_Index"], df["Open"], label="Open", marker="o")
plt.plot(df["Session_Index"], df["High"], label="High", marker="^")
plt.plot(df["Session_Index"], df["Low"], label="Low", marker="v")
plt.plot(df["Session_Index"], df["Close"], label="Close", marker="s")

# Add labels and title

plt.title("Forex Market Sessions - Price Action")
plt.xlabel("Session")
plt.ylabel("Price")
plt.xticks(df["Session_Index"], df["Session"]) # Set session names as x-axis labels
plt.legend()
plt.grid()

# Show plot
plt.show()

import pandas as pd
import matplotlib.pyplot as plt

# Sample data for a forex session

data = {
"Session": ["Session 1", "Session 2", "Session 3", "Session 4", "Session 5"],
"Open": [1.1000, 1.1050, 1.1020, 1.1030, 1.1010],
"High": [1.1050, 1.1070, 1.1035, 1.1040, 1.1025],
"Low": [1.0990, 1.1040, 1.1010, 1.1020, 1.1005],
"Close": [1.1045, 1.1060, 1.1025, 1.1035, 1.1015]
}

# Convert to DataFrame
df = pd.DataFrame(data)

# Add a session index for plotting

df["Session_Index"] = range(1, len(df) + 1)

# Create a 2x2 grid of subplots

fig, axes = plt.subplots(2, 2, figsize=(12, 8))
fig.suptitle("Forex Market Sessions - Price Metrics", fontsize=16)

# Plot Open prices

axes[0, 0].plot(df["Session_Index"], df["Open"], label="Open", marker="o", color="blue")
axes[0, 0].set_title("Open Prices")
axes[0, 0].set_xlabel("Session")

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axes[0, 0].set_ylabel("Price")
axes[0, 0].set_xticks(df["Session_Index"])
axes[0, 0].set_xticklabels(df["Session"])
axes[0, 0].grid()
axes[0, 0].legend()

# Plot High prices

axes[0, 1].plot(df["Session_Index"], df["High"], label="High", marker="^", color="green")
axes[0, 1].set_title("High Prices")
axes[0, 1].set_xlabel("Session")
axes[0, 1].set_ylabel("Price")
axes[0, 1].set_xticks(df["Session_Index"])
axes[0, 1].set_xticklabels(df["Session"])
axes[0, 1].grid()
axes[0, 1].legend()

# Plot Low prices

axes[1, 0].plot(df["Session_Index"], df["Low"], label="Low", marker="v", color="red")
axes[1, 0].set_title("Low Prices")
axes[1, 0].set_xlabel("Session")
axes[1, 0].set_ylabel("Price")
axes[1, 0].set_xticks(df["Session_Index"])
axes[1, 0].set_xticklabels(df["Session"])
axes[1, 0].grid()
axes[1, 0].legend()

# Plot Close prices

axes[1, 1].plot(df["Session_Index"], df["Close"], label="Close", marker="s", color="purple")
axes[1, 1].set_title("Close Prices")
axes[1, 1].set_xlabel("Session")
axes[1, 1].set_ylabel("Price")
axes[1, 1].set_xticks(df["Session_Index"])
axes[1, 1].set_xticklabels(df["Session"])
axes[1, 1].grid()
axes[1, 1].legend()

# Adjust layout
plt.tight_layout(rect=[0, 0, 1, 0.96]) # Adjust title spacing

# Show plot
plt.show()

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pip install matplotlib mplfinance pandas

Requirement already satisfied: matplotlib in /usr/local/lib/python3.11/dist-packages (3.10.0)

Collecting mplfinance
Downloading mplfinance-0.12.10b0-py3-none-any.whl.metadata (19 kB)
Requirement already satisfied: pandas in /usr/local/lib/python3.11/dist-packages (2.2.2)
Requirement already satisfied: contourpy>=1.0.1 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (1.3.1)
Requirement already satisfied: cycler>=0.10 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (0.12.1)
Requirement already satisfied: fonttools>=4.22.0 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (4.55.7)
Requirement already satisfied: kiwisolver>=1.3.1 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (1.4.8)
Requirement already satisfied: numpy>=1.23 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (1.26.4)
Requirement already satisfied: packaging>=20.0 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (24.2)
Requirement already satisfied: pillow>=8 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (11.1.0)
Requirement already satisfied: pyparsing>=2.3.1 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (3.2.1)
Requirement already satisfied: python-dateutil>=2.7 in /usr/local/lib/python3.11/dist-packages (from matplotlib) (2.8.2)
Requirement already satisfied: pytz>=2020.1 in /usr/local/lib/python3.11/dist-packages (from pandas) (2024.2)
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Requirement already satisfied: six>=1.5 in /usr/local/lib/python3.11/dist-packages (from python-dateutil>=2.7->matplotli
Downloading mplfinance-0.12.10b0-py3-none-any.whl (75 kB)
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ 75.0/75.0 kB 2.4 MB/s eta 0:00:00
Installing collected packages: mplfinance
Successfully installed mplfinance-0.12.10b0

import pandas as pd
import mplfinance as mpf

# Data
data = [
["1/2/23", "7:00:00 AM", 158.124, 158.165, 158.101, 158.138],
["1/2/23", "7:15:00 AM", 158.111, 158.186, 158.092, 158.124],
["1/2/23", "7:30:00 AM", 158.137, 158.198, 158.111, 158.189],
["1/2/23", "7:45:00 AM", 158.176, 158.183, 158.061, 158.124],
["1/2/23", "8:00:00 AM", 158.114, 158.123, 157.987, 158.057],
["1/2/23", "8:15:00 AM", 158.037, 158.041, 158.019, 158.027],
["1/2/23", "8:30:00 AM", 158.045, 158.081, 158.009, 158.07],
["1/2/23", "8:45:00 AM", 158.07, 158.193, 158.064, 158.193],
["1/2/23", "9:00:00 AM", 158.193, 158.193, 157.937, 158.159],
["1/2/23", "9:15:00 AM", 158.006, 158.182, 157.955, 157.966],
["1/2/23", "9:30:00 AM", 157.966, 158.145, 157.966, 158.1],
["1/2/23", "9:45:00 AM", 158.093, 158.128, 157.972, 157.994],

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["1/2/23", "10:00:00 AM", 158.025, 158.129, 158.006, 158.085],
["1/2/23", "10:15:00 AM", 158.095, 158.114, 157.949, 158.02],
["1/2/23", "10:30:00 AM", 158.019, 158.083, 157.968, 158.036],
["1/2/23", "10:45:00 AM", 158.02, 158.153, 157.712, 157.726],
["1/2/23", "11:00:00 AM", 157.789, 157.864, 157.705, 157.773],
["1/2/23", "11:15:00 AM", 157.773, 157.882, 157.769, 157.816],
["1/2/23", "11:30:00 AM", 157.807, 157.863, 157.666, 157.712],
["1/2/23", "11:45:00 AM", 157.712, 157.743, 157.635, 157.646],
["1/2/23", "12:00:00 PM", 157.667, 157.725, 157.555, 157.578],
["1/2/23", "12:15:00 PM", 157.577, 157.681, 157.563, 157.637],
["1/2/23", "12:30:00 PM", 157.637, 157.66, 157.597, 157.618],
["1/2/23", "12:45:00 PM", 157.618, 157.643, 157.609, 157.625],
["1/2/23", "1:00:00 PM", 157.62, 157.742, 157.62, 157.685],
["1/2/23", "1:15:00 PM", 157.684, 157.73, 157.629, 157.644],
["1/2/23", "1:30:00 PM", 157.653, 157.696, 157.625, 157.654],
["1/2/23", "1:45:00 PM", 157.654, 157.675, 157.593, 157.602],
["1/2/23", "2:00:00 PM", 157.602, 157.614, 157.52, 157.542],
["1/2/23", "2:15:00 PM", 157.537, 157.642, 157.53, 157.62],
["1/2/23", "2:30:00 PM", 157.618, 157.642, 157.554, 157.566],
["1/2/23", "2:45:00 PM", 157.566, 157.619, 157.547, 157.562],
["1/2/23", "3:00:00 PM", 157.563, 157.588, 157.466, 157.494],
["1/2/23", "3:15:00 PM", 157.494, 157.519, 157.429, 157.468],
["1/2/23", "3:30:00 PM", 157.465, 157.514, 157.43, 157.433],
["1/2/23", "3:45:00 PM", 157.433, 157.496, 157.425, 157.458],
["1/2/23", "4:00:00 PM", 157.443, 157.507, 157.439, 157.492],
["1/2/23", "4:15:00 PM", 157.493, 157.544, 157.458, 157.512],
["1/2/23", "4:30:00 PM", 157.502, 157.528, 157.487, 157.518],
["1/2/23", "4:45:00 PM", 157.518, 157.654, 157.499, 157.561],
["1/2/23", "5:00:00 PM", 157.55, 157.641, 157.546, 157.569],
["1/2/23", "5:15:00 PM", 157.569, 157.675, 157.56, 157.62],
["1/2/23", "5:30:00 PM", 157.609, 157.648, 157.584, 157.603],
["1/2/23", "5:45:00 PM", 157.603, 157.667, 157.574, 157.586],
["1/2/23", "6:00:00 PM", 157.549, 157.612, 157.387, 157.584],
["1/2/23", "6:15:00 PM", 157.566, 157.586, 157.498, 157.524],
["1/2/23", "6:30:00 PM", 157.519, 157.575, 157.491, 157.543],
["1/2/23", "6:45:00 PM", 157.543, 157.551, 157.491, 157.528],
["1/2/23", "7:00:00 PM", 157.526, 157.537, 157.482, 157.495],
["1/2/23", "7:15:00 PM", 157.498, 157.535, 157.481, 157.53],
["1/2/23", "7:30:00 PM", 157.526, 157.591, 157.498, 157.576],
["1/2/23", "7:45:00 PM", 157.566, 157.593, 157.543, 157.567],
["1/2/23", "8:00:00 PM", 157.564, 157.575, 157.506, 157.567],
["1/2/23", "8:15:00 PM", 157.554, 157.585, 157.55, 157.574],
["1/2/23", "8:30:00 PM", 157.571, 157.59, 157.551, 157.571],
["1/2/23", "8:45:00 PM", 157.561, 157.571, 157.495, 157.571],
["1/2/23", "9:00:00 PM", 157.564, 157.564, 157.498, 157.559],
["1/2/23", "9:15:00 PM", 157.556, 157.566, 157.498, 157.561],
["1/2/23", "9:30:00 PM", 157.538, 157.569, 157.489, 157.534],
["1/2/23", "9:45:00 PM", 157.534, 157.567, 157.453, 157.494],
["1/2/23", "10:00:00 PM", 157.506, 157.521, 157.432, 157.511],
["1/2/23", "10:15:00 PM", 157.512, 157.547, 157.503, 157.511],
["1/2/23", "10:30:00 PM", 157.511, 157.541, 157.508, 157.533],
["1/2/23", "10:45:00 PM", 157.512, 157.536, 157.448, 157.497],
["1/2/23", "11:00:00 PM", 157.497, 157.524, 157.48, 157.521],
["1/2/23", "11:15:00 PM", 157.522, 157.524, 157.432, 157.432],
["1/2/23", "11:30:00 PM", 157.439, 157.48, 157.427, 157.48],
["1/2/23", "11:45:00 PM", 157.425, 157.486, 157.324, 157.41]
]

# Create DataFrame
df = pd.DataFrame(data, columns=["Date", "Time", "Open", "High", "Low", "Close"])

# Combine Date and Time into a single DateTime column

df["DateTime"] = pd.to_datetime(df["Date"] + " " + df["Time"])

# Set DateTime as the index

df.set_index("DateTime", inplace=True)

# Drop the original Date and Time columns

df.drop(columns=["Date", "Time"], inplace=True)

# Plot candlestick chart

mpf.plot(df, type='candle', style='charles', title="1/2/23 Price Data", ylabel="Price")

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<ipython-input-14-93776fc425f8>:80: UserWarning: Could not infer format, so each element will be parsed individually, fa
df["DateTime"] = pd.to_datetime(df["Date"] + " " + df["Time"])

Double-click (or enter) to edit

# Convert to DataFrame
df = pd.DataFrame(data)
df['RETURN'] = df['RETURN'] * 2 # Convert to percentage gains/losses

# Parameters
phase1_target = 7
phase2_target = 5
max_drawdown = 10

# Simulation
pass_count = 0
fail_count = 0

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit

# Check for failure (drawdown >= 10%)

if drawdown >= max_drawdown:
fail_count += 1
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
break

# Results
print(f"Pass: {pass_count}, Fail: {fail_count}")

Pass: 596, Fail: 68

import pandas as pd
import numpy as np

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import matplotlib.pyplot as plt
from ta.volatility import BollingerBands, KeltnerChannel
from ta.trend import ADXIndicator
from ta.momentum import RSIIndicator

# Data
raw_data = """Timestamp,Open,High,Low,Close
1/3/23 03:00:00,157.437,157.448,156.871,156.893
1/3/23 03:15:00,156.897,156.949,156.374,156.461
1/3/23 03:30:00,156.459,156.896,156.384,156.713
1/3/23 03:45:00,156.712,156.848,156.571,156.836
1/3/23 04:00:00,156.84,157.096,156.829,156.895
1/3/23 04:15:00,156.895,156.951,156.774,156.86
1/3/23 04:30:00,156.863,157.018,156.71,156.807
1/3/23 04:45:00,156.802,156.955,156.72,156.921
1/3/23 05:00:00,156.921,156.999,156.83,156.83
1/3/23 05:15:00,156.829,156.841,156.652,156.712
1/3/23 05:30:00,156.712,156.768,156.639,156.723
1/3/23 05:45:00,156.723,156.746,156.666,156.688
1/3/23 06:00:00,156.681,156.705,156.457,156.482
1/3/23 06:15:00,156.483,156.612,156.477,156.578
1/3/23 06:30:00,156.585,156.616,156.489,156.532
1/3/23 06:45:00,156.531,156.587,156.439,156.449
1/3/23 07:00:00,156.452,156.527,156.423,156.479
1/3/23 07:15:00,156.482,156.703,156.478,156.575
1/3/23 07:30:00,156.574,156.708,156.569,156.661
1/3/23 07:45:00,156.661,156.82,156.639,156.674
1/3/23 08:00:00,156.671,156.717,156.504,156.51
1/3/23 08:15:00,156.509,156.649,156.44,156.628
1/3/23 08:30:00,156.628,156.777,156.61,156.65
1/3/23 08:45:00,156.65,156.818,156.608,156.621
1/3/23 09:00:00,156.619,156.724,156.546,156.691"""

# Read Data
from io import StringIO
df = pd.read_csv(StringIO(raw_data), parse_dates=['Timestamp'])
df.set_index('Timestamp', inplace=True)

# Plot Price Action

plt.figure(figsize=(12, 6))
plt.plot(df.index, df['Close'], label='Close Price', color='blue')
plt.xticks(rotation=45)
plt.title('Forex Price Chart')
plt.legend()
plt.gca().spines[['top', 'right']].set_visible(False)
plt.gca().spines[['bottom', 'left']].set_color('black')
plt.grid(False)
plt.show()

# --- Consolidation vs Trending Methods ---

# 1. ATR Calculation
df['H-L'] = df['High'] - df['Low']
df['H-C'] = abs(df['High'] - df['Close'].shift(1))
df['L-C'] = abs(df['Low'] - df['Close'].shift(1))
df['TR'] = df[['H-L', 'H-C', 'L-C']].max(axis=1)
df['ATR'] = df['TR'].rolling(window=14).mean()
consolidating_atr = df['ATR'].iloc[-1] < df['ATR'].mean()

# 2. Bollinger Band Width

bb = BollingerBands(df['Close'], window=20)
df['BB_Width'] = (bb.bollinger_hband() - bb.bollinger_lband()) / df['Close']
consolidating_bb = df['BB_Width'].iloc[-1] < df['BB_Width'].mean()

# 3. ADX Trend Strength

adx = ADXIndicator(df['High'], df['Low'], df['Close'], window=14)
df['ADX'] = adx.adx()
consolidating_adx = df['ADX'].iloc[-1] < 20

# 4. RSI Between 45-55

rsi = RSIIndicator(df['Close'], window=14)
df['RSI'] = rsi.rsi()
consolidating_rsi = df['RSI'].between(45, 55).iloc[-1]

# 5. Standard Deviation
df['Std_Dev'] = df['Close'].rolling(window=20).std()
consolidating_std = df['Std_Dev'].iloc[-1] < df['Std_Dev'].mean()

# 6. Price Range Percentage

df['Range'] = (df['High'] - df['Low']) / df['Close']
consolidating_range = df['Range'].iloc[-1] < 0.002

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# 7. EMA Convergence
df['EMA_Fast'] = df['Close'].ewm(span=9, adjust=False).mean()
df['EMA_Slow'] = df['Close'].ewm(span=21, adjust=False).mean()
consolidating_ema = abs(df['EMA_Fast'].iloc[-1] - df['EMA_Slow'].iloc[-1]) < 0.001 * df['Close'].iloc[-1]

# 8. Keltner Channel Width

kc = KeltnerChannel(df['High'], df['Low'], df['Close'], window=20)
df['KC_Width'] = (kc.keltner_channel_hband() - kc.keltner_channel_lband()) / df['Close']
consolidating_kc = df['KC_Width'].iloc[-1] < df['KC_Width'].mean()

# 9. Heikin-Ashi Small Bodies

df['HA_Close'] = (df['Open'] + df['High'] + df['Low'] + df['Close']) / 4
df['HA_Open'] = (df['HA_Close'].shift(1) + df['HA_Open'].shift(1)) / 2
df['HA_Body'] = abs(df['HA_Close'] - df['HA_Open'])
consolidating_ha = df['HA_Body'].rolling(window=5).mean().iloc[-1] < df['HA_Body'].mean()

# 10. Fractal Range

df['Fractal_High'] = df['High'].rolling(window=5).max()
df['Fractal_Low'] = df['Low'].rolling(window=5).min()
consolidating_fractal = (df['Close'].iloc[-1] < df['Fractal_High'].iloc[-1]) and (df['Close'].iloc[-1] > df['Fractal_Low'].i

# Decision
is_consolidating = all([consolidating_atr, consolidating_bb, consolidating_adx, consolidating_rsi, consolidating_std, consol
print("Market is Consolidating" if is_consolidating else "Market is Trending")

import pandas as pd

# Define the file path

file_path = "/content/GJmechanicalReturns.xlsx" # Ensure the path is correct

# Read the Excel file

df = pd.read_excel(file_path)

# Convert 'RETURN' column values to percentage gains/losses

df['RETURN'] = df['RETURN'] * 2

# Parameters
phase1_target = 2
phase2_target = 0
max_drawdown = 10

# Simulation
pass_count = 0
fail_count = 0
pass_days = []
fail_days = []

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0
days_taken = 0

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit
days_taken += 1 # Count the number of days taken

# Check for failure (drawdown >= max_drawdown)

if drawdown >= max_drawdown:
fail_count += 1
fail_days.append(days_taken)
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
pass_days.append(days_taken)
break

# Calculate average days to pass or fail

avg_pass_days = sum(pass_days) / len(pass_days) if pass_days else 0
avg_fail_days = sum(fail_days) / len(fail_days) if fail_days else 0

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# Calculate overall pass and fail percentages

total_attempts = pass_count + fail_count
pass_percentage = (pass_count / total_attempts) * 100 if total_attempts > 0 else 0
fail_percentage = 100 - pass_percentage # Since it's a binary outcome

# Display results
print(f"Pass: {pass_count}, Fail: {fail_count}")
print(f"Pass Rate: {pass_percentage:.2f}%")
print(f"Fail Rate: {fail_percentage:.2f}%")
print(f"Average days to pass: {avg_pass_days:.2f}")
print(f"Average days to fail: {avg_fail_days:.2f}")

Pass: 658, Fail: 14

Pass Rate: 97.92%
Fail Rate: 2.08%
Average days to pass: 5.39
Average days to fail: 7.29

Double-click (or enter) to edit

import pandas as pd
import matplotlib.pyplot as plt

# Define the file path

file_path = "/content/GJmechanicalReturns.xlsx"

# Read the Excel file

df = pd.read_excel(file_path)

# Convert 'DATE' to datetime format for proper plotting

df['DATE'] = pd.to_datetime(df['DATE'])
df['RETURN'] = df['RETURN'] * 2 # Convert returns to percentage gains/losses

# Parameters
phase1_target = 6
phase2_target = 6
max_drawdown = 9

# Track results
pass_count = 0
fail_count = 0
days_to_pass = []
days_to_fail = []

# Loop through each possible start point

for start_idx in range(len(df)):
phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0
start_date = df.iloc[start_idx]['DATE']

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit

# Check for failure (drawdown >= 9%)

if drawdown >= max_drawdown:
fail_count += 1
days_to_fail.append((df.iloc[i]['DATE'] - start_date).days)
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
days_to_pass.append((df.iloc[i]['DATE'] - start_date).days)
break

# Calculate pass percentage

total_attempts = pass_count + fail_count
pass_percentage = (pass_count / total_attempts) * 100 if total_attempts > 0 else 0
fail_percentage = 100 - pass_percentage

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# Select one passing account to plot

cumulative_profit = 0
phase = 1
max_cumulative_profit = 0
dates = []
profits = []

for i in range(len(df)):
trade_return = df.iloc[i]['RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)

# Store data for plotting

dates.append(df.iloc[i]['DATE'])
profits.append(cumulative_profit)

# Phase transitions
if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
phase1_date = df.iloc[i]['DATE']
cumulative_profit = 0 # Reset for Phase 2
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
phase2_date = df.iloc[i]['DATE']
break # Stop when we pass

# Plot the journey of one passing account

plt.figure(figsize=(10, 5))
plt.plot(dates, profits, marker='o', linestyle='-', label='Cumulative Profit')

# Mark Phase 1 and Phase 2 completion points

plt.axvline(phase1_date, color='orange', linestyle='--', label='Phase 1 Complete')
plt.axvline(phase2_date, color='green', linestyle='--', label='Phase 2 Complete')

# Formatting
plt.xlabel("Date")
plt.ylabel("Cumulative Profit")
plt.title("Passing Account Performance")
plt.legend()
plt.grid(True)
plt.xticks(rotation=45)

# Show plot
plt.show()

# Print pass rate and average days taken

print(f"Pass Rate: {pass_percentage:.2f}%")
print(f"Fail Rate: {fail_percentage:.2f}%")
if days_to_pass:
print(f"Average Days to Pass: {sum(days_to_pass)/len(days_to_pass):.1f} days")
if days_to_fail:
print(f"Average Days to Fail: {sum(days_to_fail)/len(days_to_fail):.1f} days")

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Pass Rate: 86.14%

Fail Rate: 13.86%
Average Days to Pass: 34.5 days
Average Days to Fail: 33.2 days

import pandas as pd

# Define the file path

file_path = "/content/GJmechanicalReturns.xlsx"

# Read the Excel file

df = pd.read_excel(file_path)

# Parameters
phase1_target = 7
phase2_target = 5
max_drawdown = 10

# Risk percentages to test (1% to 5% per trade)

risk_levels = [1, 1.25, 1.5, 1.75, 2, 2.25, 2.5, 2.75, 3, 3.25, 3.5, 3.75, 4]

# Store results
best_risk = None
best_pass_rate = 0
best_avg_days = float('inf')

# Dictionary to store all risk performance

risk_results = {}

for risk in risk_levels:

pass_count = 0
fail_count = 0
pass_days = []
fail_days = []

# Adjust returns by risk percentage

df['Adjusted_RETURN'] = df['RETURN'] * risk

for start_idx in range(len(df)):

phase = 1
cumulative_profit = 0
max_cumulative_profit = 0
drawdown = 0
days_taken = 0

for i in range(start_idx, len(df)):

trade_return = df.iloc[i]['Adjusted_RETURN']
cumulative_profit += trade_return
max_cumulative_profit = max(max_cumulative_profit, cumulative_profit)
drawdown = max_cumulative_profit - cumulative_profit
days_taken += 1

# Check for failure (drawdown >= max_drawdown)

if drawdown >= max_drawdown:

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fail_count += 1
fail_days.append(days_taken)
break

# Check for phase completion

if phase == 1 and cumulative_profit >= phase1_target:
phase = 2
cumulative_profit = 0
max_cumulative_profit = 0
elif phase == 2 and cumulative_profit >= phase2_target:
pass_count += 1
pass_days.append(days_taken)
break

# Compute performance metrics

total_attempts = pass_count + fail_count
pass_rate = (pass_count / total_attempts) * 100 if total_attempts > 0 else 0
avg_pass_days = sum(pass_days) / len(pass_days) if pass_days else float('inf')

# Store results
risk_results[risk] = {"Pass Rate": pass_rate, "Avg Days": avg_pass_days}

# Find the best risk level (highest pass rate & fastest completion)
if pass_rate > best_pass_rate or (pass_rate == best_pass_rate and avg_pass_days < best_avg_days):
best_pass_rate = pass_rate
best_avg_days = avg_pass_days
best_risk = risk

# Print all results

print("Risk Level Performance:")
for risk, metrics in risk_results.items():
print(f"Risk: {risk}% - Pass Rate: {metrics['Pass Rate']:.2f}% - Avg Days: {metrics['Avg Days']:.2f}")

# Best risk level

print("\nOptimal Risk Setting:")
print(f"Best Risk %: {best_risk}%")
print(f"Best Pass Rate: {best_pass_rate:.2f}%")
print(f"Best Average Days to Pass: {best_avg_days:.2f}")

Risk Level Performance:

Risk: 1% - Pass Rate: 100.00% - Avg Days: 36.79
Risk: 1.25% - Pass Rate: 96.77% - Avg Days: 29.96
Risk: 1.5% - Pass Rate: 96.78% - Avg Days: 25.53
Risk: 1.75% - Pass Rate: 93.18% - Avg Days: 20.82
Risk: 2% - Pass Rate: 89.76% - Avg Days: 18.11
Risk: 2.25% - Pass Rate: 86.60% - Avg Days: 15.63
Risk: 2.5% - Pass Rate: 82.86% - Avg Days: 13.47
Risk: 2.75% - Pass Rate: 80.96% - Avg Days: 12.54
Risk: 3% - Pass Rate: 81.56% - Avg Days: 11.50
Risk: 3.25% - Pass Rate: 82.91% - Avg Days: 11.07
Risk: 3.5% - Pass Rate: 66.42% - Avg Days: 7.98
Risk: 3.75% - Pass Rate: 66.62% - Avg Days: 7.84
Risk: 4% - Pass Rate: 65.87% - Avg Days: 7.44

Optimal Risk Setting:

Best Risk %: 1%
Best Pass Rate: 100.00%
Best Average Days to Pass: 36.79

# Initialize variables to track the longest losing streak

max_streak_length = 0
current_streak_length = 0

# Iterate through the RETURN column

for value in df['RETURN']:
if value < 0: # Check if the value is negative (losing day)
current_streak_length += 1
if current_streak_length > max_streak_length:
max_streak_length = current_streak_length
else: # Reset the streak if the value is not negative
current_streak_length = 0

# Output the result

print(f"The longest losing streak is: {max_streak_length} days")

The longest losing streak is: 5 days

# Initialize variables to track the longest losing streak

max_streak_length = 0

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current_streak_length = 0
max_streak_start = None
max_streak_end = None
current_streak_start = None

# Iterate through the RETURN column

for index, row in df.iterrows():
if row['RETURN'] <= 0: # Check if the value is negative or zero (losing day)
if current_streak_length == 0: # Start of a new streak
current_streak_start = row['DATE']
current_streak_length += 1
if current_streak_length > max_streak_length:
max_streak_length = current_streak_length
max_streak_start = current_streak_start
max_streak_end = row['DATE']
else: # Reset the streak if the value is positive
current_streak_length = 0

# Calculate the total count of losing days (RETURN <= 0)

total_losing_days = df[df['RETURN'] <= 0].shape[0]

# Extract the months during the longest losing streak

if max_streak_start and max_streak_end:
losing_months = pd.date_range(start=max_streak_start, end=max_streak_end, freq='M').strftime('%Y-%m').unique()
else:
losing_months = []

# Output the results

print(f"The longest losing streak is: {max_streak_length} days")
print(f"Time period of the longest losing streak: {max_streak_start} to {max_streak_end}")
print(f"Total count of losing days (RETURN <= 0): {total_losing_days}")
print(f"Month(s) during the longest losing streak: {', '.join(losing_months)}")

The longest losing streak is: 11 days

Time period of the longest losing streak: 2024-05-08 00:00:00 to 2024-06-03 00:00:00
Total count of losing days (RETURN <= 0): 344
Month(s) during the longest losing streak: 2024-05
<ipython-input-28-078626074d7a>:26: FutureWarning: 'M' is deprecated and will be removed in a future version, please use
losing_months = pd.date_range(start=max_streak_start, end=max_streak_end, freq='M').strftime('%Y-%m').unique()

Double-click (or enter) to edit

import pandas as pd

# Load the data from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Your file path
df = pd.read_excel(file_path)

# Ensure the DATE column is in datetime format

df['DATE'] = pd.to_datetime(df['DATE'])

# Extract year and month from the DATE column

df['YearMonth'] = df['DATE'].dt.to_period('M')

# Group by YearMonth and calculate the monthly return

monthly_returns = df.groupby('YearMonth')['RETURN'].sum()

# Reset index to make YearMonth a column

monthly_returns = monthly_returns.reset_index()

# Rename columns for clarity

monthly_returns.columns = ['YearMonth', 'MonthlyReturn']

# Output the monthly returns

print(monthly_returns)

YearMonth MonthlyReturn
0 2021-01 1.10
1 2021-02 6.05
2 2021-03 4.20
3 2021-04 12.90
4 2021-05 4.20
5 2021-06 2.20
6 2021-07 3.15
7 2021-08 5.85
8 2021-09 4.00
9 2021-10 4.80
10 2021-11 9.55
11 2021-12 -1.30
12 2022-01 5.45
13 2022-02 7.00
14 2022-03 3.90
15 2022-04 5.00

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16 2022-05 5.00
17 2022-06 3.40
18 2022-07 -1.50
19 2022-08 4.55
20 2022-09 5.00
21 2022-10 11.70
22 2022-11 11.50
23 2022-12 -1.20
24 2023-01 1.20
25 2023-02 3.00
26 2023-03 3.10
27 2023-04 7.50
28 2023-05 13.70
29 2023-06 2.30
30 2023-07 4.55
31 2023-08 -2.30
32 2023-09 5.25
33 2023-10 7.50
34 2023-11 1.20
35 2023-12 4.50
36 2024-01 8.35
37 2024-02 -0.50
38 2024-03 10.50
39 2024-04 0.30
40 2024-05 -3.00
41 2024-06 5.60
42 2024-07 1.00
43 2024-08 9.30
44 2024-09 8.70
45 2024-10 6.00
46 2024-11 8.30
47 2024-12 1.30
48 2025-01 5.70

Start coding or generate with AI.

import pandas as pd

# Load the data from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Your file path
df = pd.read_excel(file_path)

# Ensure the DATE column is in datetime format

df['DATE'] = pd.to_datetime(df['DATE'])

# Extract year and month from the DATE column

df['YearMonth'] = df['DATE'].dt.to_period('M')

# Group by YearMonth and calculate the monthly return

monthly_returns = df.groupby('YearMonth')['RETURN'].sum()

# Reset index to make YearMonth a column

monthly_returns = monthly_returns.reset_index()

# Rename columns for clarity

monthly_returns.columns = ['YearMonth', 'MonthlyReturn']

# Display the table in a clean format

print(monthly_returns.to_markdown(index=False))

| YearMonth | MonthlyReturn |
|:------------|----------------:|
| 2021-01 | 1.1 |
| 2021-02 | 6.05 |
| 2021-03 | 4.2 |
| 2021-04 | 12.9 |
| 2021-05 | 4.2 |
| 2021-06 | 2.2 |
| 2021-07 | 3.15 |
| 2021-08 | 5.85 |
| 2021-09 | 4 |
| 2021-10 | 4.8 |
| 2021-11 | 9.55 |
| 2021-12 | -1.3 |
| 2022-01 | 5.45 |
| 2022-02 | 7 |
| 2022-03 | 3.9 |
| 2022-04 | 5 |
| 2022-05 | 5 |
| 2022-06 | 3.4 |
| 2022-07 | -1.5 |
| 2022-08 | 4.55 |
| 2022-09 | 5 |
| 2022-10 | 11.7 |
| 2022-11 | 11.5 |
| 2022-12 | -1.2 |

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| 2023-01 | 1.2 |
| 2023-02 | 3 |
| 2023-03 | 3.1 |
| 2023-04 | 7.5 |
| 2023-05 | 13.7 |
| 2023-06 | 2.3 |
| 2023-07 | 4.55 |
| 2023-08 | -2.3 |
| 2023-09 | 5.25 |
| 2023-10 | 7.5 |
| 2023-11 | 1.2 |
| 2023-12 | 4.5 |
| 2024-01 | 8.35 |
| 2024-02 | -0.5 |
| 2024-03 | 10.5 |
| 2024-04 | 0.3 |
| 2024-05 | -3 |
| 2024-06 | 5.6 |
| 2024-07 | 1 |
| 2024-08 | 9.3 |
| 2024-09 | 8.7 |
| 2024-10 | 6 |
| 2024-11 | 8.3 |
| 2024-12 | 1.3 |
| 2025-01 | 5.7 |

import pandas as pd

# Load the dataset from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Replace with your file path
df = pd.read_excel(file_path)

# Ensure the column name is correct (replace 'RETURN' with the actual column name if different)
column_name = 'RETURN' # Change this if your column has a different name

# Filter values greater than 0

positive_values = df[df[column_name] > 0][column_name]

# Calculate the average of positive values

average_positive = positive_values.mean()

# Output the result

print(f"The average of numbers greater than 0 is: {average_positive:.2f}")
print("Which means an average winning trade is around 1.45R")

The average of numbers greater than 0 is: 1.45

Which means an average winning trade is around 1.45R

import pandas as pd

# Load the dataset from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Replace with your file path
df = pd.read_excel(file_path)

# Ensure the column name is correct (replace 'RETURN' with the actual column name if different)
column_name = 'RETURN' # Change this if your column has a different name

# Define the ranges

bins = [0, 0.5, 1, 1.25, 1.5, 1.75, 2, float('inf')] # float('inf') represents "2 and above"
labels = ['0-0.5', '0.5-1', '1-1.25', '1.25-1.5', '1.5-1.75', '1.75-2', '2+']

# Bin the data into the specified ranges

df['Range'] = pd.cut(df[column_name], bins=bins, labels=labels, right=False)

# Count the number of values in each range

range_counts = df['Range'].value_counts().sort_index()

# Output the result

print("Number of values in each range:")
print(range_counts)

Number of values in each range:

Range
0-0.5 93
0.5-1 3
1-1.25 160
1.25-1.5 32
1.5-1.75 29
1.75-2 23
2+ 85
Name: count, dtype: int64

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import pandas as pd

# Load the dataset from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Replace with your file path
df = pd.read_excel(file_path)

# Ensure the column name is correct (replace 'RETURN' with the actual column name if different)
column_name = 'RETURN' # Change this if your column has a different name

# Calculate win rate excluding ties (0)

wins_excluding_ties = df[df[column_name] > 0].shape[0]
losses_excluding_ties = df[df[column_name] < 0].shape[0]
total_excluding_ties = wins_excluding_ties + losses_excluding_ties

win_rate_excluding_ties = (wins_excluding_ties / total_excluding_ties) * 100 if total_excluding_ties > 0 else 0

# Calculate win rate including ties (0)

wins_including_ties = df[df[column_name] > 0].shape[0]
losses_including_ties = df[df[column_name] < 0].shape[0]
ties = df[df[column_name] == 0].shape[0]
total_including_ties = wins_including_ties + losses_including_ties + ties

win_rate_including_ties = (wins_including_ties / total_including_ties) * 100 if total_including_ties > 0 else 0

# Output the results

print(f"Win rate including breakevens: {win_rate_excluding_ties:.2f}%")

print(f"Win rate excluding breakevens: {win_rate_including_ties:.2f}%")

Win rate including breakevens: 56.95%

Win rate excluding breakevens: 49.11%

%matplotlib inline
import quantstats as qs
import pandas as pd

# Extend pandas functionality with metrics, etc.

qs.extend_pandas()

# Load your dataset from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Replace with your file path
df = pd.read_excel(file_path)

# Ensure the DATE column is in datetime format and set it as the index
df['DATE'] = pd.to_datetime(df['DATE'])
df.set_index('DATE', inplace=True)

# Calculate daily returns from the RETURN column

# Assuming the RETURN column contains daily returns in decimal form (e.g., 0.01 for 1%)
daily_returns = df['RETURN']/100

# Generate a snapshot plot of the performance

qs.plots.snapshot(daily_returns, title='Performance Snapshot GJ', show=True)

# Alternatively, using extend_pandas()

daily_returns.plot_snapshot(title='Performance Snapshot GJ', show=True)

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pip install quantstats

Collecting quantstats
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Installing collected packages: quantstats
Successfully installed quantstats-0.0.64

%matplotlib inline
import quantstats as qs
import pandas as pd

# Extend pandas functionality with metrics, etc.

qs.extend_pandas()

# Load your dataset from the Excel file

file_path = '/content/GJmechanicalReturns.xlsx' # Replace with your file path
df = pd.read_excel(file_path)

# Ensure the DATE column is in datetime format and set it as the index

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df['DATE'] = pd.to_datetime(df['DATE'])
df.set_index('DATE', inplace=True)

# Calculate daily returns from the RETURN column

# Assuming the RETURN column contains daily returns in decimal form (e.g., 0.01 for 1%)
daily_returns = df['RETURN']/100

# Show Sharpe ratio using quantstats

sharpe_ratio = qs.stats.sharpe(daily_returns)
print(f"Sharpe Ratio: {sharpe_ratio:.2f}")

# Alternatively, using extend_pandas()

sharpe_ratio_pandas = daily_returns.sharpe()
print(f"Sharpe Ratio (using extend_pandas): {sharpe_ratio_pandas:.2f}")

# Generate a full performance report

qs.reports.full(daily_returns)

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Sharpe Ratio: 4.51
Sharpe Ratio (using extend_pandas): 4.51
[Performance Metrics]

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Strategy
------------------------- ----------
Start Period 2021-01-04
End Period 2025-01-31
Risk-Free Rate 0.0%
Time in Market 87.0%

Cumulative Return 842.93%

CAGR ﹪ 46.23%

Sharpe 4.51
Prob. Sharpe Ratio 100.0%
Smart Sharpe 4.41
Sortino 8.85
Smart Sortino 8.65
Sortino/√2 6.26
Smart Sortino/√2 6.12
Omega 1.91

Max Drawdown -7.73%

Longest DD Days 55
Volatility (ann.) 18.97%
Calmar 5.98
Skew 0.21
Kurtosis -1.08

Expected Daily % 0.33%

Expected Monthly % 4.69%
Expected Yearly % 56.64%
Kelly Criterion 27.2%
Risk of Ruin 0.0%
Daily Value-at-Risk -1.63%
Expected Shortfall (cVaR) -1.63%

Max Consecutive Wins 8

Max Consecutive Losses 5
Gain/Pain Ratio 0.91
Gain/Pain (1M) 23.42

Payoff Ratio 1.45

Profit Factor 1.91
Common Sense Ratio 3.83
CPC Index 1.58
Tail Ratio 2.0
Outlier Win Ratio 2.3
Outlier Loss Ratio 1.0

MTD 5.76%
3M 16.11%
6M 46.87%
YTD 5.76%
1Y 70.15%
3Y (ann.) 44.6%
5Y (ann.) 46.23%
10Y (ann.) 46.23%
All-time (ann.) 46.23%

Best Day 4.8%

Worst Day -1.0%
Best Month 14.5%
Worst Month -3.02%
Best Year 78.83%
Worst Year 5.76%

Avg. Drawdown -1.98%

Avg. Drawdown Days 10
Recovery Factor 29.71
Ulcer Index 0.02
Serenity Index 49.4

Avg. Up Month 5.67%

Avg. Down Month -1.7%
Win Days % 56.95%
Win Month % 87.76%
Win Quarter % 100.0%
Win Year % 100.0%

[Worst 5 Drawdowns]

Start Valley End Days Max Drawdown 99% Max Drawdown

-- ---------- ---------- ---------- ------ -------------- ------------------
1 2024-05-08 2024-06-03 2024-07-01 55 -7.73 -6.80
2 2023 01 12 2023 02 01 2023 02 17 37 5 85 4 90
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2 2023-01-12 2023-02-01 2023-02-17 37 -5.85 -4.90
3 2022-12-08 2022-12-26 2023-01-05 29 -5.12 -4.90
4 2023-03-21 2023-03-30 2023-04-14 25 -4.91 -4.90
5 2022-07-15 2022-08-11 2022-08-25 42 -4.78 -3.98

[Strategy Visualization]
via Matplotlib
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