adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Use absolute drawdown calc

Browse Source
This commit is contained in:
Matthias
2021-02-14 19:30:17 +01:00
parent 74fc4bdab5
commit 0d2f877e77
5 changed files with 38 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

17
freqtrade/optimize/optimize_reports.py
View File

@@ -322,14 +322,20 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
result['strategy'][strategy] = strat_stats
try:
max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown(
max_drawdown, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio')
drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(
results, value_col='profit_abs')
strat_stats.update({
'max_drawdown': max_drawdown,
'max_drawdown_abs': drawdown_abs,
'drawdown_start': drawdown_start,
'drawdown_start_ts': drawdown_start.timestamp() * 1000,
'drawdown_end': drawdown_end,
'drawdown_end_ts': drawdown_end.timestamp() * 1000,
'max_drawdown_low': low_val,
'max_drawdown_high': high_val,
})
csum_min, csum_max = calculate_csum(results)
@@ -341,6 +347,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
except ValueError:
strat_stats.update({
'max_drawdown': 0.0,
'max_drawdown_abs': 0.0,
'max_drawdown_low': 0.0,
'max_drawdown_high': 0.0,
'drawdown_start': datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_start_ts': 0,
'drawdown_end': datetime(1970, 1, 1, tzinfo=timezone.utc),
@@ -471,6 +480,12 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
('Max Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])),
('Max Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])),
('Max Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
strat_results['stake_currency'])),
('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),
('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"),