Max relative drawdown

2022-04-10 12:53:47 -03:00
parent d054916439
commit 47a6ef4f00
5 changed files with 73 additions and 14 deletions
--- a/freqtrade/constants.py
+++ b/freqtrade/constants.py
@@ -28,7 +28,8 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
                         'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
                         'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
                         'CalmarHyperOptLoss',
-                         'MaxDrawDownHyperOptLoss', 'ProfitDrawDownHyperOptLoss']
+                         'MaxDrawDownHyperOptLoss', 'MaxDrawDownRelativeHyperOptLoss',
+                         'ProfitDrawDownHyperOptLoss']
 AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
                       'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
                       'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',
--- a/freqtrade/data/btanalysis.py
+++ b/freqtrade/data/btanalysis.py
@@ -441,18 +441,22 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
    return df


-def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_col: str
-                          ) -> pd.DataFrame:
+def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_col: str,
+                          starting_balance : Optional[float] = 0.0) -> pd.DataFrame:
    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']
    max_drawdown_df['date'] = profit_results.loc[:, date_col]
+    if starting_balance:
+        cumulative_balance = starting_balance + max_drawdown_df['cumulative']
+        max_balance = starting_balance + max_drawdown_df['high_value']
+        max_drawdown_df['drawdown_relative'] = ((max_balance - cumulative_balance) / max_balance)
    return max_drawdown_df


 def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
-                         value_col: str = 'profit_ratio'
+                         value_col: str = 'profit_ratio', starting_balance : Optional[float] = 0.0
                         ):
    """
    Calculate max drawdown and the corresponding close dates
@@ -466,13 +470,14 @@ def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
    if len(trades) == 0:
        raise ValueError("Trade dataframe empty.")
    profit_results = trades.sort_values(date_col).reset_index(drop=True)
-    max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col)
+    max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance)

    return max_drawdown_df


 def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date',
-                           value_col: str = 'profit_abs', starting_balance: float = 0
+                           value_col: str = 'profit_abs', starting_balance: float = 0,
+                           relative: bool = False
                           ) -> Tuple[float, pd.Timestamp, pd.Timestamp, float, float, float]:
    """
    Calculate max drawdown and the corresponding close dates
@@ -488,9 +493,9 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
    if len(trades) == 0:
        raise ValueError("Trade dataframe empty.")
    profit_results = trades.sort_values(date_col).reset_index(drop=True)
-    max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col)
+    max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance)

-    idxmin = max_drawdown_df['drawdown'].idxmin()
+    idxmin = max_drawdown_df['drawdown_relative'].idxmax() if relative else max_drawdown_df['drawdown'].idxmin()
    if idxmin == 0:
        raise ValueError("No losing trade, therefore no drawdown.")
    high_date = profit_results.loc[max_drawdown_df.iloc[:idxmin]['high_value'].idxmax(), date_col]
@@ -499,8 +504,8 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
                                   ['high_value'].idxmax(), 'cumulative']
    low_val = max_drawdown_df.loc[idxmin, 'cumulative']
    max_drawdown_rel = 0.0
-    if high_val + starting_balance != 0:
-        max_drawdown_rel = (high_val - low_val) / (high_val + starting_balance)
+    if starting_balance != 0:
+        max_drawdown_rel = max_drawdown_df.loc[idxmin, 'drawdown_relative']

    return (
        abs(min(max_drawdown_df['drawdown'])),
--- a/freqtrade/optimize/hyperopt_loss_max_drawdown_relative.py
+++ b/freqtrade/optimize/hyperopt_loss_max_drawdown_relative.py
@@ -0,0 +1,45 @@
+"""
+MaxDrawDownRelativeHyperOptLoss
+
+This module defines the alternative HyperOptLoss class which can be used for
+Hyperoptimization.
+"""
+from datetime import datetime
+from typing import Dict
+
+from pandas import DataFrame
+
+from freqtrade.data.btanalysis import calculate_underwater, calculate_max_drawdown
+from freqtrade.optimize.hyperopt import IHyperOptLoss
+
+
+class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
+
+    """
+    Defines the loss function for hyperopt.
+
+    This implementation optimizes for max draw down and profit
+    Less max drawdown more profit -> Lower return value
+    """
+
+    @staticmethod
+    def hyperopt_loss_function(results: DataFrame, config: Dict,
+                               *args, **kwargs) -> float:
+
+        """
+        Objective function.
+
+        Uses profit ratio weighted max_drawdown when drawdown is available.
+        Otherwise directly optimizes profit ratio.
+        """
+        total_profit = results['profit_abs'].sum()
+        try:
+            drawdown_df = calculate_underwater(results, value_col='profit_abs', starting_balance=config['available_capital'])
+            max_drawdown = abs(min(drawdown_df['drawdown']))
+            relative_drawdown = max(drawdown_df['drawdown_relative'])
+            if max_drawdown == 0:
+                return -total_profit
+            return -total_profit / max_drawdown / relative_drawdown
+        except (Exception, ValueError):
+            return -total_profit
+        
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -474,9 +474,12 @@ def generate_strategy_stats(pairlist: List[str],
        (drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
         max_drawdown) = calculate_max_drawdown(
             results, value_col='profit_abs', starting_balance=start_balance)
+        (_, _, _, _, _, max_relative_drawdown) = calculate_max_drawdown(
+             results, value_col='profit_abs', starting_balance=start_balance, relative=True)
        strat_stats.update({
            'max_drawdown': max_drawdown_legacy,  # Deprecated - do not use
            'max_drawdown_account': max_drawdown,
+            'max_relative_drawdown': max_relative_drawdown,
            'max_drawdown_abs': drawdown_abs,
            'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
            'drawdown_start_ts': drawdown_start.timestamp() * 1000,
@@ -497,6 +500,7 @@ def generate_strategy_stats(pairlist: List[str],
        strat_stats.update({
            'max_drawdown': 0.0,
            'max_drawdown_account': 0.0,
+            'max_relative_drawdown': 0.0,
            'max_drawdown_abs': 0.0,
            'max_drawdown_low': 0.0,
            'max_drawdown_high': 0.0,
@@ -760,10 +764,11 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                             strat_results['stake_currency'])),

            # Compatibility to show old hyperopt results
-            ('Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
+            ('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}"),
+            ('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
            if 'max_drawdown_account' in strat_results else (
                'Drawdown', f"{strat_results['max_drawdown']:.2%}"),
-            ('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
+            ('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
                                          strat_results['stake_currency'])),
            ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
                                               strat_results['stake_currency'])),