feat: add SQN to backtest result

closes #11397

docs/backtesting.md

@@ -315,6 +315,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Sortino                     | 1.88                |
 | Sharpe                      | 2.97                |
 | Calmar                      | 6.29                |
+| SQN                         | 2.45                |
 | Profit factor               | 1.11                |
 | Expectancy (Ratio)          | -0.15 (-0.05)       |
 | Avg. stake amount           | 0.001      BTC      |
@@ -368,6 +369,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Sortino`: Annualized Sortino ratio.
 - `Sharpe`: Annualized Sharpe ratio.
 - `Calmar`: Annualized Calmar ratio.
+- `SQN`: System Quality Number (SQN) - by Van Tharp.
 - `Profit factor`: profit / loss.
 - `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
 - `Total trade volume`: Volume generated on the exchange to reach the above profit.

freqtrade/optimize/optimize_reports/bt_output.py

@@ -312,6 +312,7 @@ def text_table_add_metrics(strat_results: dict) -> None:
             ("Sortino", f"{strat_results['sortino']:.2f}" if "sortino" in strat_results else "N/A"),
             ("Sharpe", f"{strat_results['sharpe']:.2f}" if "sharpe" in strat_results else "N/A"),
             ("Calmar", f"{strat_results['calmar']:.2f}" if "calmar" in strat_results else "N/A"),
+            ("SQN", f"{strat_results['sqn']:.2f}" if "sqn" in strat_results else "N/A"),
             (
                 "Profit factor",
                 (

freqtrade/optimize/optimize_reports/optimize_reports.py

@@ -16,6 +16,7 @@ from freqtrade.data.metrics import (
     calculate_max_drawdown,
     calculate_sharpe,
     calculate_sortino,
+    calculate_sqn,
 )
 from freqtrade.ft_types import BacktestResultType
 from freqtrade.util import decimals_per_coin, fmt_coin, get_dry_run_wallet
@@ -468,6 +469,7 @@ def generate_strategy_stats(
         "sortino": calculate_sortino(results, min_date, max_date, start_balance),
         "sharpe": calculate_sharpe(results, min_date, max_date, start_balance),
         "calmar": calculate_calmar(results, min_date, max_date, start_balance),
+        "sqn": calculate_sqn(results, start_balance),
         "profit_factor": profit_factor,
         "backtest_start": min_date.strftime(DATETIME_PRINT_FORMAT),
         "backtest_start_ts": int(min_date.timestamp() * 1000),