Merge pull request #3018 from freqtrade/max_drawdown

Max drawdown in plot-profit

tests/data/test_btanalysis.py

@@ -2,15 +2,17 @@ from unittest.mock import MagicMock
 
 import pytest
 from arrow import Arrow
-from pandas import DataFrame, DateOffset, to_datetime
+from pandas import DataFrame, DateOffset, to_datetime, Timestamp
 
 from freqtrade.configuration import TimeRange
 from freqtrade.data.btanalysis import (BT_DATA_COLUMNS,
+                                       analyze_trade_parallelism,
+                                       calculate_max_drawdown,
                                        combine_tickers_with_mean,
                                        create_cum_profit,
                                        extract_trades_of_period,
                                        load_backtest_data, load_trades,
-                                       load_trades_from_db, analyze_trade_parallelism)
+                                       load_trades_from_db)
 from freqtrade.data.history import load_data, load_pair_history
 from tests.test_persistence import create_mock_trades
 
@@ -163,3 +165,17 @@ def test_create_cum_profit1(testdatadir):
     assert "cum_profits" in cum_profits.columns
     assert cum_profits.iloc[0]['cum_profits'] == 0
     assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
+
+
+def test_calculate_max_drawdown(testdatadir):
+    filename = testdatadir / "backtest-result_test.json"
+    bt_data = load_backtest_data(filename)
+    drawdown, h, low = calculate_max_drawdown(bt_data)
+    assert isinstance(drawdown, float)
+    assert pytest.approx(drawdown) == 0.21142322
+    assert isinstance(h, Timestamp)
+    assert isinstance(low, Timestamp)
+    assert h == Timestamp('2018-01-24 14:25:00', tz='UTC')
+    assert low == Timestamp('2018-01-30 04:45:00', tz='UTC')
+    with pytest.raises(ValueError, match='Trade dataframe empty.'):
+        drawdown, h, low = calculate_max_drawdown(DataFrame())

tests/test_plotting.py

@@ -3,15 +3,16 @@ from copy import deepcopy
 from pathlib import Path
 from unittest.mock import MagicMock
 
+import pandas as pd
 import plotly.graph_objects as go
 import pytest
 from plotly.subplots import make_subplots
 
+from freqtrade.commands import start_plot_dataframe, start_plot_profit
 from freqtrade.configuration import TimeRange
 from freqtrade.data import history
 from freqtrade.data.btanalysis import create_cum_profit, load_backtest_data
 from freqtrade.exceptions import OperationalException
-from freqtrade.commands import start_plot_dataframe, start_plot_profit
 from freqtrade.plot.plotting import (add_indicators, add_profit,
                                      create_plotconfig,
                                      generate_candlestick_graph,
@@ -266,6 +267,7 @@ def test_generate_profit_graph(testdatadir):
     trades = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
     pairs = ["TRX/BTC", "ADA/BTC"]
+    trades = trades[trades['close_time'] < pd.Timestamp('2018-01-12', tz='UTC')]
 
     tickers = history.load_data(datadir=testdatadir,
                                 pairs=pairs,
@@ -283,13 +285,15 @@ def test_generate_profit_graph(testdatadir):
     assert fig.layout.yaxis3.title.text == "Profit"
 
     figure = fig.layout.figure
-    assert len(figure.data) == 4
+    assert len(figure.data) == 5
 
     avgclose = find_trace_in_fig_data(figure.data, "Avg close price")
     assert isinstance(avgclose, go.Scatter)
 
     profit = find_trace_in_fig_data(figure.data, "Profit")
     assert isinstance(profit, go.Scatter)
+    profit = find_trace_in_fig_data(figure.data, "Max drawdown 0.00%")
+    assert isinstance(profit, go.Scatter)
 
     for pair in pairs:
         profit_pair = find_trace_in_fig_data(figure.data, f"Profit {pair}")