Merge pull request #3018 from freqtrade/max_drawdown

Max drawdown in plot-profit

freqtrade/data/btanalysis.py

@@ -3,7 +3,7 @@ Helpers when analyzing backtest data
 """
 import logging
 from pathlib import Path
-from typing import Dict, Union
+from typing import Dict, Union, Tuple
 
 import numpy as np
 import pandas as pd
@@ -188,3 +188,28 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
     # FFill to get continuous
     df[col_name] = df[col_name].ffill()
     return df
+
+
+def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_time',
+                           value_col: str = 'profitperc'
+                           ) -> Tuple[float, pd.Timestamp, pd.Timestamp]:
+    """
+    Calculate max drawdown and the corresponding close dates
+    :param trades: DataFrame containing trades (requires columns close_time and profitperc)
+    :param date_col: Column in DataFrame to use for dates (defaults to 'close_time')
+    :param value_col: Column in DataFrame to use for values (defaults to 'profitperc')
+    :return: Tuple (float, highdate, lowdate) with absolute max drawdown, high and low time
+    :raise: ValueError if trade-dataframe was found empty.
+    """
+    if len(trades) == 0:
+        raise ValueError("Trade dataframe empty.")
+    profit_results = trades.sort_values(date_col)
+    max_drawdown_df = pd.DataFrame()
+    max_drawdown_df['cumulative'] = profit_results[value_col].cumsum()
+    max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax()
+    max_drawdown_df['drawdown'] = max_drawdown_df['cumulative'] - max_drawdown_df['high_value']
+
+    high_date = profit_results.loc[max_drawdown_df['high_value'].idxmax(), date_col]
+    low_date = profit_results.loc[max_drawdown_df['drawdown'].idxmin(), date_col]
+
+    return abs(min(max_drawdown_df['drawdown'])), high_date, low_date

freqtrade/plot/plotting.py

@@ -5,7 +5,8 @@ from typing import Any, Dict, List
 import pandas as pd
 
 from freqtrade.configuration import TimeRange
-from freqtrade.data.btanalysis import (combine_tickers_with_mean,
+from freqtrade.data.btanalysis import (calculate_max_drawdown,
+                                       combine_tickers_with_mean,
                                        create_cum_profit,
                                        extract_trades_of_period, load_trades)
 from freqtrade.data.converter import trim_dataframe
@@ -111,6 +112,36 @@ def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_sub
     return fig
 
 
+def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame) -> make_subplots:
+    """
+    Add scatter points indicating max drawdown
+    """
+    try:
+        max_drawdown, highdate, lowdate = calculate_max_drawdown(trades)
+
+        drawdown = go.Scatter(
+            x=[highdate, lowdate],
+            y=[
+                df_comb.loc[highdate, 'cum_profit'],
+                df_comb.loc[lowdate, 'cum_profit'],
+            ],
+            mode='markers',
+            name=f"Max drawdown {max_drawdown:.2f}%",
+            text=f"Max drawdown {max_drawdown:.2f}%",
+            marker=dict(
+                symbol='square-open',
+                size=9,
+                line=dict(width=2),
+                color='green'
+
+            )
+        )
+        fig.add_trace(drawdown, row, 1)
+    except ValueError:
+        logger.warning("No trades found - not plotting max drawdown.")
+    return fig
+
+
 def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
     """
     Add trades to "fig"
@@ -364,6 +395,7 @@ def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame],
 
     fig.add_trace(avgclose, 1, 1)
     fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
+    fig = add_max_drawdown(fig, 2, trades, df_comb)
 
     for pair in pairs:
         profit_col = f'cum_profit_{pair}'