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Guitheg 2021-12-13 11:03:32 +01:00
parent d08b0918ad
commit 44843910c6
3 changed files with 32 additions and 31 deletions
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11
freqtrade/data/btanalysis.py
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@ -390,6 +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
# TODO : is supposed to work only with long positions # TODO : is supposed to work only with long positions
def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float: def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float:
""" """
@ -399,7 +400,6 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
Args: Args:
:param data: (dict) dictionnary of candle dataframe per pair used to calculate the mdd. :param data: (dict) dictionnary of candle dataframe per pair used to calculate the mdd.
:param trades: (pd.DataFrame) trades used to find the intervals dates. :param trades: (pd.DataFrame) trades used to find the intervals dates.
Returns: Returns:
:return: (float) Give the maximum drawdown among each trades. :return: (float) Give the maximum drawdown among each trades.
:raise: (ValueError) if trade-dataframe was found empty. :raise: (ValueError) if trade-dataframe was found empty.
@ -407,9 +407,7 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
""" """
if len(trades) == 0: if len(trades) == 0:
raise ValueError("Trade dataframe empty") raise ValueError("Trade dataframe empty")
trades_mdd_pair_list = [] trades_mdd_pair_list = []
for pair, df in data.items(): for pair, df in data.items():
if isinstance(df, pd.DataFrame): if isinstance(df, pd.DataFrame):
# Gather the opening and closing trade dates into one Dates DataFrame # Gather the opening and closing trade dates into one Dates DataFrame
@ -453,9 +451,9 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
# Compute the drawdown at each time of each trades # Compute the drawdown at each time of each trades
data_join = data_join.rename(columns={'open_mark': 'drawdown'}) data_join = data_join.rename(columns={'open_mark': 'drawdown'})
data_join.loc[data_join['is_in_trade'] == 1, 'drawdown'] = \ data_join.loc[data_join['is_in_trade'] == 1, 'drawdown'] = ((
(data_join['close_cummax'] - data_join['close']) \ data_join['close_cummax'] - data_join['close'])
/ data_join['close_cummax'] / data_join['close_cummax'])
mdd_pair = data_join['drawdown'].max() mdd_pair = data_join['drawdown'].max()
trades_mdd_pair_list.append(mdd_pair) trades_mdd_pair_list.append(mdd_pair)
@ -466,6 +464,7 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
trades_mdd_pair_list = np.array(trades_mdd_pair_list) trades_mdd_pair_list = np.array(trades_mdd_pair_list)
return trades_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]:
""" """
Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane

4
tests/data/test_btanalysis.py
View File

@ -10,7 +10,8 @@ from freqtrade.configuration import TimeRange
from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD, from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD,
analyze_trade_parallelism, calculate_csum, analyze_trade_parallelism, calculate_csum,
calculate_market_change, calculate_max_drawdown, calculate_trades_mdd, calculate_market_change, calculate_max_drawdown,
calculate_trades_mdd,
combine_dataframes_with_mean, create_cum_profit, combine_dataframes_with_mean, create_cum_profit,
extract_trades_of_period, get_latest_backtest_filename, extract_trades_of_period, get_latest_backtest_filename,
get_latest_hyperopt_file, load_backtest_data, load_trades, get_latest_hyperopt_file, load_backtest_data, load_trades,
@ -333,6 +334,7 @@ def test_calculate_max_drawdown2():
with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'): with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'):
calculate_max_drawdown(df, date_col='open_date', value_col='profit') calculate_max_drawdown(df, date_col='open_date', value_col='profit')
def test_calculate_trades_mdd(testdatadir): def test_calculate_trades_mdd(testdatadir):
backtest_file = testdatadir / "backtest-result_test.json" backtest_file = testdatadir / "backtest-result_test.json"
trades = load_backtest_data(backtest_file) trades = load_backtest_data(backtest_file)