adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Max relative drawdown

Browse Source
This commit is contained in:
Nicolas Papp
2022-04-10 12:53:47 -03:00
parent d054916439
commit 47a6ef4f00
5 changed files with 73 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

23
freqtrade/data/btanalysis.py
View File

@@ -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'])),