Merge pull request #6715 from nicolaspapp/feat/relative-drawdown
Add relative drawdown
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Matthias
GitHub
@@ -287,45 +287,51 @@ A backtesting result will look like that:
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| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 0 0 100 |
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| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 0 0 100 |
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| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 0 0 100 |
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================ SUMMARY METRICS ===============
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| Metric | Value |
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|------------------------+---------------------|
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| Backtesting from | 2019-01-01 00:00:00 |
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| Backtesting to | 2019-05-01 00:00:00 |
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| Max open trades | 3 |
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| | |
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| Total/Daily Avg Trades | 429 / 3.575 |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Trades per day | 3.575 |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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| Best Pair | LSK/BTC 26.26% |
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| Worst Pair | ZEC/BTC -10.18% |
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| Best Trade | LSK/BTC 4.25% |
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| Worst Trade | ZEC/BTC -10.25% |
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| Best day | 0.00076 BTC |
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| Worst day | -0.00036 BTC |
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| Days win/draw/lose | 12 / 82 / 25 |
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Rejected Entry signals | 3089 |
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| Entry/Exit Timeouts | 0 / 0 |
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| | |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Drawdown (Account) | 13.33% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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===============================================
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================== SUMMARY METRICS ==================
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| Metric | Value |
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|-----------------------------+---------------------|
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| Backtesting from | 2019-01-01 00:00:00 |
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| Backtesting to | 2019-05-01 00:00:00 |
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| Max open trades | 3 |
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| | |
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| Total/Daily Avg Trades | 429 / 3.575 |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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| Long / Short | 352 / 77 |
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| Total profit Long % | 1250.58% |
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| Total profit Short % | -15.02% |
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| Absolute profit Long | 0.00838792 BTC |
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| Absolute profit Short | -0.00076 BTC |
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| | |
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| Best Pair | LSK/BTC 26.26% |
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| Worst Pair | ZEC/BTC -10.18% |
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| Best Trade | LSK/BTC 4.25% |
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| Worst Trade | ZEC/BTC -10.25% |
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| Best day | 0.00076 BTC |
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| Worst day | -0.00036 BTC |
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| Days win/draw/lose | 12 / 82 / 25 |
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Rejected Entry signals | 3089 |
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| Entry/Exit Timeouts | 0 / 0 |
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| | |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Max % of account underwater | 25.19% |
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| Absolute Drawdown (Account) | 13.33% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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=====================================================
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```
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### Backtesting report table
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@@ -377,50 +383,51 @@ The last element of the backtest report is the summary metrics table.
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It contains some useful key metrics about performance of your strategy on backtesting data.
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```
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================ SUMMARY METRICS ===============
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| Metric | Value |
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|------------------------+---------------------|
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| Backtesting from | 2019-01-01 00:00:00 |
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| Backtesting to | 2019-05-01 00:00:00 |
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| Max open trades | 3 |
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| | |
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| Total/Daily Avg Trades | 429 / 3.575 |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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| Long / Short | 352 / 77 |
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| Total profit Long % | 1250.58% |
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| Total profit Short % | -15.02% |
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| Absolute profit Long | 0.00838792 BTC |
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| Absolute profit Short | -0.00076 BTC |
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| | |
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| Best Pair | LSK/BTC 26.26% |
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| Worst Pair | ZEC/BTC -10.18% |
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| Best Trade | LSK/BTC 4.25% |
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| Worst Trade | ZEC/BTC -10.25% |
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| Best day | 0.00076 BTC |
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| Worst day | -0.00036 BTC |
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| Days win/draw/lose | 12 / 82 / 25 |
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Rejected Entry signals | 3089 |
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| Entry/Exit Timeouts | 0 / 0 |
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| | |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Drawdown (Account) | 13.33% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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================================================
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================== SUMMARY METRICS ==================
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| Metric | Value |
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|-----------------------------+---------------------|
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| Backtesting from | 2019-01-01 00:00:00 |
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| Backtesting to | 2019-05-01 00:00:00 |
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| Max open trades | 3 |
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| | |
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| Total/Daily Avg Trades | 429 / 3.575 |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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| Long / Short | 352 / 77 |
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| Total profit Long % | 1250.58% |
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| Total profit Short % | -15.02% |
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| Absolute profit Long | 0.00838792 BTC |
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| Absolute profit Short | -0.00076 BTC |
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| | |
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| Best Pair | LSK/BTC 26.26% |
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| Worst Pair | ZEC/BTC -10.18% |
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| Best Trade | LSK/BTC 4.25% |
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| Worst Trade | ZEC/BTC -10.25% |
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| Best day | 0.00076 BTC |
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| Worst day | -0.00036 BTC |
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| Days win/draw/lose | 12 / 82 / 25 |
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Rejected Entry signals | 3089 |
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| Entry/Exit Timeouts | 0 / 0 |
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| | |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Max % of account underwater | 25.19% |
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| Absolute Drawdown (Account) | 13.33% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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=====================================================
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```
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@@ -441,7 +448,9 @@ It contains some useful key metrics about performance of your strategy on backte
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- `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached.
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- `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used).
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- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
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- `Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as $(Absolute Drawdown) / (DrawdownHigh + startingBalance)$.
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- `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started.
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Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`.
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- `Absolute Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`.
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- `Drawdown`: Maximum, absolute drawdown experienced. Difference between Drawdown High and Subsequent Low point.
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- `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
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- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
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@@ -116,7 +116,9 @@ optional arguments:
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ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
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SharpeHyperOptLoss, SharpeHyperOptLossDaily,
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SortinoHyperOptLoss, SortinoHyperOptLossDaily,
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CalmarHyperOptLoss, MaxDrawDownHyperOptLoss, ProfitDrawDownHyperOptLoss
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CalmarHyperOptLoss, MaxDrawDownHyperOptLoss,
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MaxDrawDownRelativeHyperOptLoss,
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ProfitDrawDownHyperOptLoss
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--disable-param-export
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Disable automatic hyperopt parameter export.
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--ignore-missing-spaces, --ignore-unparameterized-spaces
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@@ -563,7 +565,8 @@ Currently, the following loss functions are builtin:
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* `SharpeHyperOptLossDaily` - optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation.
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* `SortinoHyperOptLoss` - optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation.
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* `SortinoHyperOptLossDaily` - optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation.
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* `MaxDrawDownHyperOptLoss` - Optimizes Maximum drawdown.
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* `MaxDrawDownHyperOptLoss` - Optimizes Maximum absolute drawdown.
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* `MaxDrawDownRelativeHyperOptLoss` - Optimizes both maximum absolute drawdown while also adjusting for maximum relative drawdown.
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* `CalmarHyperOptLoss` - Optimizes Calmar Ratio calculated on trade returns relative to max drawdown.
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* `ProfitDrawDownHyperOptLoss` - Optimizes by max Profit & min Drawdown objective. `DRAWDOWN_MULT` variable within the hyperoptloss file can be adjusted to be stricter or more flexible on drawdown purposes.
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