PINE LIBRARY
Deeptest
Library "Deeptest"
Comprehensive quantitative backtesting library with 50+ metrics:
Sharpe/Sortino ratios, R-Expectancy, SQN, drawdown analysis, Monte Carlo
simulation, Walk-Forward Analysis, VaR/CVaR, benchmark comparison, and
interactive table rendering for TradingView strategies.
version 15 (20.06.2026)
license MIT — opensource.org/licenses/MIT
IMPORTS:
fikira/Text/1 as FN — Font styling for table cells (Sans Bold / Sans-Serif Bold)
PUBLIC API:
runDeeptest(...) — Complete backtest analysis orchestrator (only export)
type Stats — 50+ metric container returned by runDeeptest
type ThresholdConfig — Metric threshold + color configuration
type RollingStats — Rolling window analysis results
══════════════════════════════════════════════════════════════════════════════════════
runDeeptest(tableBg, headerBg, borderColor, bullColor, bearColor, textSize, showComplementaryRow, showStressTestTable, showDrawdownRecoveryCards, showTradeCards, showRExpectancy, enableLogging)
runDeeptest — Complete backtest analysis orchestrator (PUBLIC API)
Calls calculateFromStrategy() for 50+ metrics, then renders:
├ Main backtest table (23 columns × 3 rows + complementary row + footer)
├ Stress test matrix (IS | Monte Carlo | OOS — if showStressTestTable)
├ Drawdown/recovery cards (if showDrawdownRecoveryCards)
└ Top/worst trade cards (if showTradeCards)
Execution model: heavy computation runs once on last confirmed bar, table
rendering on last bar. Benchmark returns accumulate per-bar from SPY daily.
Parameters:
tableBg (color): Table background color
headerBg (color): Header background color
borderColor (color): Border color
bullColor (color): Color for positive metric values
bearColor (color): Color for negative metric values
textSize (string): Cell font size
showComplementaryRow (bool): Toggle 2nd data row
showStressTestTable (bool): Toggle MC/WFA stress test table
showDrawdownRecoveryCards (bool): Toggle drawdown/recovery card tables
showTradeCards (bool): Toggle top/worst trade card tables
showRExpectancy (bool): R-multiple display mode for expectancy
enableLogging (bool): Output all metrics to Data Window via log.info()
Returns: Stats object with all computed metrics
═══════════════════════════════════════════════════════════════════════════
Stats
Stats — Comprehensive backtest statistics container (50+ fields)
Fields:
totalTrades (series int)
winTrades (series int)
lossTrades (series int)
evenTrades (series int)
winRate (series float)
lossRate (series float)
avgWinPct (series float)
avgLossPct (series float)
avgTradePct (series float)
profitFactor (series float)
payoffRatio (series float)
expectancy (series float)
rExpectancy (series float)
grossProfit (series float)
grossLoss (series float)
netProfit (series float)
netProfitPct (series float)
compEffect (series float)
sharpe (series float)
sortino (series float)
calmar (series float)
martin (series float)
maxDrawdownPct (series float)
currentDrawdownPct (series float)
maxEquity (series float)
minEquity (series float)
cagr (series float)
monthlyReturn (series float)
maxConsecWins (series int)
maxConsecLosses (series int)
avgTradeDuration (series float)
avgWinDuration (series float)
avgLossDuration (series float)
timeInMarketPct (series float)
tradesPerMonth (series float)
tradesPerYear (series float)
skewness (series float)
kurtosis (series float)
var95 (series float)
cvar95 (series float)
ulcerIndex (series float)
riskOfRuin (series float)
pValue (series float)
alpha (series float)
beta (series float)
buyHoldReturn (series float)
equityRSquared (series float)
firstTradeTime (series int)
lastTradeTime (series int)
tradingPeriodDays (series float)
sqn (series float)
Comprehensive quantitative backtesting library with 50+ metrics:
Sharpe/Sortino ratios, R-Expectancy, SQN, drawdown analysis, Monte Carlo
simulation, Walk-Forward Analysis, VaR/CVaR, benchmark comparison, and
interactive table rendering for TradingView strategies.
version 15 (20.06.2026)
license MIT — opensource.org/licenses/MIT
IMPORTS:
fikira/Text/1 as FN — Font styling for table cells (Sans Bold / Sans-Serif Bold)
PUBLIC API:
runDeeptest(...) — Complete backtest analysis orchestrator (only export)
type Stats — 50+ metric container returned by runDeeptest
type ThresholdConfig — Metric threshold + color configuration
type RollingStats — Rolling window analysis results
══════════════════════════════════════════════════════════════════════════════════════
runDeeptest(tableBg, headerBg, borderColor, bullColor, bearColor, textSize, showComplementaryRow, showStressTestTable, showDrawdownRecoveryCards, showTradeCards, showRExpectancy, enableLogging)
runDeeptest — Complete backtest analysis orchestrator (PUBLIC API)
Calls calculateFromStrategy() for 50+ metrics, then renders:
├ Main backtest table (23 columns × 3 rows + complementary row + footer)
├ Stress test matrix (IS | Monte Carlo | OOS — if showStressTestTable)
├ Drawdown/recovery cards (if showDrawdownRecoveryCards)
└ Top/worst trade cards (if showTradeCards)
Execution model: heavy computation runs once on last confirmed bar, table
rendering on last bar. Benchmark returns accumulate per-bar from SPY daily.
Parameters:
tableBg (color): Table background color
headerBg (color): Header background color
borderColor (color): Border color
bullColor (color): Color for positive metric values
bearColor (color): Color for negative metric values
textSize (string): Cell font size
showComplementaryRow (bool): Toggle 2nd data row
showStressTestTable (bool): Toggle MC/WFA stress test table
showDrawdownRecoveryCards (bool): Toggle drawdown/recovery card tables
showTradeCards (bool): Toggle top/worst trade card tables
showRExpectancy (bool): R-multiple display mode for expectancy
enableLogging (bool): Output all metrics to Data Window via log.info()
Returns: Stats object with all computed metrics
═══════════════════════════════════════════════════════════════════════════
Stats
Stats — Comprehensive backtest statistics container (50+ fields)
Fields:
totalTrades (series int)
winTrades (series int)
lossTrades (series int)
evenTrades (series int)
winRate (series float)
lossRate (series float)
avgWinPct (series float)
avgLossPct (series float)
avgTradePct (series float)
profitFactor (series float)
payoffRatio (series float)
expectancy (series float)
rExpectancy (series float)
grossProfit (series float)
grossLoss (series float)
netProfit (series float)
netProfitPct (series float)
compEffect (series float)
sharpe (series float)
sortino (series float)
calmar (series float)
martin (series float)
maxDrawdownPct (series float)
currentDrawdownPct (series float)
maxEquity (series float)
minEquity (series float)
cagr (series float)
monthlyReturn (series float)
maxConsecWins (series int)
maxConsecLosses (series int)
avgTradeDuration (series float)
avgWinDuration (series float)
avgLossDuration (series float)
timeInMarketPct (series float)
tradesPerMonth (series float)
tradesPerYear (series float)
skewness (series float)
kurtosis (series float)
var95 (series float)
cvar95 (series float)
ulcerIndex (series float)
riskOfRuin (series float)
pValue (series float)
alpha (series float)
beta (series float)
buyHoldReturn (series float)
equityRSquared (series float)
firstTradeTime (series int)
lastTradeTime (series int)
tradingPeriodDays (series float)
sqn (series float)
Biblioteca do Pine
Em verdadeiro espírito TradingView, o autor publicou este código Pine como uma biblioteca de código aberto para que outros programadores Pine da nossa comunidade possam reutilizá-lo. Parabéns ao autor! Você pode usar esta biblioteca de forma privada ou em outras publicações de código aberto, mas a reutilização deste código em publicações é regida pelas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Biblioteca do Pine
Em verdadeiro espírito TradingView, o autor publicou este código Pine como uma biblioteca de código aberto para que outros programadores Pine da nossa comunidade possam reutilizá-lo. Parabéns ao autor! Você pode usar esta biblioteca de forma privada ou em outras publicações de código aberto, mas a reutilização deste código em publicações é regida pelas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.