quantlab.runs.run_metrics.BenchmarkRecord#

class quantlab.runs.run_metrics.BenchmarkRecord(returns, symbol=None, axis_symbol=None, value=None, source=None)[source]#

Bases: object

The benchmark an account is measured against, on the account’s bars.

Attributes:

returnsxarray.DataArray: The benchmark’s per-bar returns on the account’s timestamp axis.
symbolstr or None: Its readable name (a ticker), as metrics.json shows it.
axis_symbolstr or None: Its label on the price dataset’s symbol axis.
valuexarray.DataArray or None: Its value on the same bars when the engine simulated it (bought at the account’s capital, fees included); the report draws it, and without it draws init_cash * cumprod(1 + returns). Not read by run_metrics.
sourcestr or None: Where it was read from, shown after its name on the report’s Setup lines. Not read by run_metrics.

Examples

>>> bars = pd.bdate_range("2024-01-01", periods=2)
>>> spy = BenchmarkRecord(
...     returns=xr.DataArray([0.0, 0.01], dims="timestamp", coords={"timestamp": bars}),
...     symbol="SPY", axis_symbol="84398",
... )
>>> spy.symbol
'SPY'