R/pull_trade_stats.R

In rengelke/tradr:

#' Extract Trading Statistics from a Backtest Parameter Screen
#'
#' @param screen_results list containing backtest parameter screen results
#'
#' @import xts
#' @importFrom magrittr %>% %<>%
#'
#' @return
#' @export
#'
#' @examples pull_trade_stats(strategy_screen_results)
pull_trade_stats <- function(screen_results) {

    ret_list <- sapply(unlist(screen_results, recursive = FALSE), `[`, "returns")
    w_list <- sapply(unlist(screen_results, recursive = FALSE), `[`, "weights")

    parms <- ret_list %>% names() %>%
        stringr::str_split("\\.", simplify = TRUE) %>% .[, 1:2] %>%
        apply(2, as.numeric)

    ret_list %>%
        purrr::map2(., w_list,
            ~ tradr::calc_trade_stats(.x, .y)
        ) %>%
        `names<-`(paste0(parms[, 1], "/", parms[, 2])) %>%
        dplyr::bind_rows(.id = "parameter")
}