Adds unrealized_pnl to EvalMetrics.

edtechre · Mar 12, 2023 · 3a72c11 · 3a72c11
1 parent 153340c
commit 3a72c11
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diff --git a/src/pybroker/eval.py b/src/pybroker/eval.py
@@ -614,6 +614,7 @@ class EvalMetrics:
         end_market_value: Ending market value of the
             :class:`pybroker.portfolio.Portfolio`.
         total_pnl: Total realized profit and loss (PnL).
+        unrealized_pnl: Total unrealized profit and loss (PnL).
         total_return_pct: Total realized return measured in percentage.
         total_profit: Total realized profit.
         total_loss: Total realized loss.
@@ -657,6 +658,7 @@ class EvalMetrics:
     initial_market_value: float = field(default=0)
     end_market_value: float = field(default=0)
     total_pnl: float = field(default=0)
+    unrealized_pnl: float = field(default=0)
     total_return_pct: float = field(default=0)
     total_profit: float = field(default=0)
     total_loss: float = field(default=0)
@@ -851,6 +853,7 @@ def _calc_eval_metrics(
         total_profit = 0.0
         total_loss = 0.0
         total_pnl = 0.0
+        unrealized_pnl = 0.0
         max_wins = 0
         max_losses = 0
         if len(pnls):
@@ -876,6 +879,7 @@ def _calc_eval_metrics(
         total_return_pct = (
             (total_pnl + market_values[0]) / market_values[0] - 1
         ) * 100
+        unrealized_pnl = market_values[-1] - market_values[0] - total_pnl
         return EvalMetrics(
             trade_count=len(pnls),
             initial_market_value=market_values[0],
@@ -904,6 +908,7 @@ def _calc_eval_metrics(
             total_profit=total_profit,
             total_loss=total_loss,
             total_pnl=total_pnl,
+            unrealized_pnl=unrealized_pnl,
             total_return_pct=total_return_pct,
             total_fees=total_fees,
             sharpe=sharpe,

diff --git a/tests/test_eval.py b/tests/test_eval.py
@@ -455,6 +455,12 @@ def test_evaluate(
         assert metrics.initial_market_value == 500000
         assert metrics.end_market_value == 693111.87
         assert metrics.total_pnl == 165740.2
+        assert (
+            metrics.unrealized_pnl
+            == metrics.end_market_value
+            - metrics.initial_market_value
+            - metrics.total_pnl
+        )
         assert metrics.total_return_pct == 33.14804
         assert metrics.total_profit == 403511.07999999996
         assert metrics.total_loss == -237770.88