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Update hyperopt-tools to use account drawdown

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This commit is contained in:
Matthias
2022-01-04 17:31:59 +01:00
parent 09fae25c94
commit 4d9b4ddc28
4 changed files with 41 additions and 33 deletions
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5
tests/data/test_btanalysis.py
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@@ -282,7 +282,8 @@ def test_create_cum_profit1(testdatadir):
def test_calculate_max_drawdown(testdatadir):
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
drawdown_abs, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(bt_data, value_col="profit_abs")
drawdown_abs, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
bt_data, value_col="profit_abs")
assert isinstance(drawdown, float)
assert pytest.approx(drawdown) == 0.59495234
assert isinstance(hdate, Timestamp)
@@ -290,7 +291,7 @@ def test_calculate_max_drawdown(testdatadir):
assert isinstance(hval, float)
assert isinstance(lval, float)
assert hdate == Timestamp('2018-01-25 01:30:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 094:45:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 04:45:00', tz='UTC')
underwater = calculate_underwater(bt_data)
assert isinstance(underwater, DataFrame)