return is positive when win rate is zero #1289
Description
Expected behavior
full result and the trades
SimpleBuy Strategy Results:
Start 2025-06-18 18:00:00
End 2025-07-19 23:30:00
Duration 31 days 05:30:00
Exposure Time [%] 4.13333
Equity Final [$] 1114645.0222
Equity Peak [$] 1159097.8222
Commissions [$] 18328.3056
Return [%] 11.4645
Buy & Hold Return [%] 13.06891
Return (Ann.) [%] 244.86699
Volatility (Ann.) [%] 89.20145
CAGR [%] 255.5679
Sharpe Ratio 2.7451
Sortino Ratio 20.98282
Calmar Ratio 46.71044
Alpha [%] 2.10678
Beta 0.71603
Max. Drawdown [%] -5.24223
Avg. Drawdown [%] -0.89793
Max. Drawdown Duration 6 days 05:30:00
Avg. Drawdown Duration 0 days 22:27:00
Trades 5
Win Rate [%] 0.0
Best Trade [%] -0.17521
Worst Trade [%] -0.93134
Avg. Trade [%] -0.42639
Max. Trade Duration 1 days 0
Avg. Trade Duration 0 days 05:42:00
Profit Factor 0.0
Expectancy [%] -0.42597
SQN -2.93405
Kelly Criterion NaN
_strategy SimpleBuy
_equity_curve ...
_trades Size EntryBa...
dtype: object
Size EntryBar ExitBar EntryPrice ExitPrice ... ReturnPct EntryTime ExitTime Duration Tag
0 9 38 39 104735.2 104528.1 ... -0.001977 2025-06-19 13:00:00 2025-06-19 13:30:00 0 days 00:30:00 None
1 9 95 147 103216.6 102255.3 ... -0.009313 2025-06-20 17:30:00 2025-06-21 19:30:00 1 days 02:00:00 None
2 9 185 187 99584.2 99024.9 ... -0.005616 2025-06-22 14:30:00 2025-06-22 15:30:00 0 days 01:00:00 None
3 9 225 226 101421.5 101153.8 ... -0.002639 2025-06-23 10:30:00 2025-06-23 11:00:00 0 days 00:30:00 None
4 9 227 228 101248.5 101071.1 ... -0.001752 2025-06-23 11:30:00 2025-06-23 12:00:00 0 days 00:30:00 None
Code sample
Actual behavior
all 5 trades are stopped losses, but the Return [%] 11.4645 is positive
Additional info, steps to reproduce, full crash traceback, screenshots
No response
Software versions
- backtesting 0.6.4
- pandas 2.3.1
- numpy 1.26.3
- bokeh 3.7.3
- OS: macos 15.5