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Add underwaterplot calculation to btanalysis

This commit is contained in:
Matthias 2022-01-01 14:39:58 +01:00
parent a2d97eecfe
commit 78ba2d3fc7
2 changed files with 42 additions and 8 deletions
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35
freqtrade/data/btanalysis.py
View File

@ -361,6 +361,36 @@ 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:
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]
return max_drawdown_df
def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
value_col: str = 'profit_ratio'
):
"""
Calculate max drawdown and the corresponding close dates
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
:param date_col: Column in DataFrame to use for dates (defaults to 'close_date')
:param value_col: Column in DataFrame to use for values (defaults to 'profit_ratio')
:return: Tuple (float, highdate, lowdate, highvalue, lowvalue) with absolute max drawdown,
high and low time and high and low value.
:raise: ValueError if trade-dataframe was found empty.
"""
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)
return max_drawdown_df
def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date',
value_col: str = 'profit_ratio'
) -> Tuple[float, pd.Timestamp, pd.Timestamp, float, float]:
@ -376,10 +406,7 @@ 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 = 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 = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col)
idxmin = max_drawdown_df['drawdown'].idxmin()
if idxmin == 0:

15
tests/data/test_btanalysis.py
View File

@ -11,10 +11,10 @@ from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD,
analyze_trade_parallelism, calculate_csum,
calculate_market_change, calculate_max_drawdown,
combine_dataframes_with_mean, create_cum_profit,
extract_trades_of_period, get_latest_backtest_filename,
get_latest_hyperopt_file, load_backtest_data, load_trades,
load_trades_from_db)
calculate_underwater, combine_dataframes_with_mean,
create_cum_profit, extract_trades_of_period,
get_latest_backtest_filename, get_latest_hyperopt_file,
load_backtest_data, load_trades, load_trades_from_db)
from freqtrade.data.history import load_data, load_pair_history
from tests.conftest import create_mock_trades
from tests.conftest_trades import MOCK_TRADE_COUNT
@ -291,9 +291,16 @@ def test_calculate_max_drawdown(testdatadir):
assert isinstance(lval, float)
assert hdate == Timestamp('2018-01-24 14:25:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 04:45:00', tz='UTC')
underwater = calculate_underwater(bt_data)
assert isinstance(underwater, DataFrame)
with pytest.raises(ValueError, match='Trade dataframe empty.'):
drawdown, hdate, lowdate, hval, lval = calculate_max_drawdown(DataFrame())
with pytest.raises(ValueError, match='Trade dataframe empty.'):
calculate_underwater(DataFrame())
def test_calculate_csum(testdatadir):
filename = testdatadir / "backtest-result_test.json"