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finition mdd

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This commit is contained in:
Guitheg 2021-12-09 16:21:02 +01:00
parent beefbad160
commit 3e7ecf931b
2 changed files with 13 additions and 12 deletions
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12
freqtrade/data/btanalysis.py
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@ -390,7 +390,7 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
low_val = max_drawdown_df.loc[idxmin, 'cumulative'] low_val = max_drawdown_df.loc[idxmin, 'cumulative']
return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val
def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_date', def calculate_trades_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_date',
value_col: str = 'profit_ratio' value_col: str = 'profit_ratio'
) -> float: ) -> float:
""" """
@ -407,9 +407,7 @@ def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_da
if len(trades) == 0: if len(trades) == 0:
raise ValueError("Trade dataframe empty") raise ValueError("Trade dataframe empty")
mdd_df = pd.DataFrame() trades_mdd_pair_list = []
mdd_pair_list = []
for pair, df in data.items(): for pair, df in data.items():
@ -448,12 +446,12 @@ def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_da
/ data_join['close_cummax'] / data_join['close_cummax']
mdd_pair = data_join['drawdown'].max() mdd_pair = data_join['drawdown'].max()
mdd_pair_list.append(mdd_pair) trades_mdd_pair_list.append(mdd_pair)
mdd_pair_list = np.array(mdd_pair_list) trades_mdd_pair_list = np.array(trades_mdd_pair_list)
return mdd_pair_list.max() return trades_mdd_pair_list.max()
def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]: def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]:
""" """

13
freqtrade/optimize/optimize_reports.py
View File

@ -9,7 +9,7 @@ from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change, from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
calculate_max_drawdown, calculate_mdd) calculate_max_drawdown, calculate_trades_mdd)
from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
@ -462,12 +462,13 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
} }
try: try:
mdd = calculate_mdd(btdata, results) trades_mdd = calculate_trades_mdd(btdata, results)
max_drawdown, _, _, _, _ = calculate_max_drawdown( max_drawdown, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio') results, value_col='profit_ratio')
drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown( drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(
results, value_col='profit_abs') results, value_col='profit_abs')
strat_stats.update({ strat_stats.update({
'trades_mdd' : trades_mdd,
'max_drawdown': max_drawdown, 'max_drawdown': max_drawdown,
'max_drawdown_abs': drawdown_abs, 'max_drawdown_abs': drawdown_abs,
'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT), 'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
@ -487,6 +488,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
except ValueError: except ValueError:
strat_stats.update({ strat_stats.update({
'trades_mdd': 0.0,
'max_drawdown': 0.0, 'max_drawdown': 0.0,
'max_drawdown_abs': 0.0, 'max_drawdown_abs': 0.0,
'max_drawdown_low': 0.0, 'max_drawdown_low': 0.0,
@ -716,9 +718,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])), strat_results['stake_currency'])),
('Max balance', round_coin_value(strat_results['csum_max'], ('Max balance', round_coin_value(strat_results['csum_max'],
strat_results['stake_currency'])), strat_results['stake_currency'])),
('', ''), # Empty line to improve readability
('Drawdown', f"{strat_results['max_drawdown']:.2%}"), ('Max Drawdown (in trades)', f"{strat_results['trades_mdd']:.2%}"),
('Drawdown', round_coin_value(strat_results['max_drawdown_abs'], ('Max Drawdown Total', f"{strat_results['max_drawdown']:.2%}"),
('Max Drawdown Total', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])), strat_results['stake_currency'])),
('Drawdown high', round_coin_value(strat_results['max_drawdown_high'], ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])), strat_results['stake_currency'])),