Merge pull request #6715 from nicolaspapp/feat/relative-drawdown

Add relative drawdown

tests/data/test_btanalysis.py

@@ -376,3 +376,38 @@ def test_calculate_max_drawdown2():
     df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_date'])
     with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'):
         calculate_max_drawdown(df, date_col='open_date', value_col='profit')
+
+
+@pytest.mark.parametrize('profits,relative,highd,lowd,result,result_rel', [
+    ([0.0, -500.0, 500.0, 10000.0, -1000.0], False, 3, 4, 1000.0, 0.090909),
+    ([0.0, -500.0, 500.0, 10000.0, -1000.0], True, 0, 1, 500.0, 0.5),
+
+])
+def test_calculate_max_drawdown_abs(profits, relative, highd, lowd, result, result_rel):
+    """
+    Test case from issue https://github.com/freqtrade/freqtrade/issues/6655
+    [1000, 500,  1000, 11000, 10000] # absolute results
+    [1000, 50%,  0%,   0%,       ~9%]   # Relative drawdowns
+    """
+    init_date = Arrow(2020, 1, 1)
+    dates = [init_date.shift(days=i) for i in range(len(profits))]
+    df = DataFrame(zip(profits, dates), columns=['profit_abs', 'open_date'])
+    # sort by profit and reset index
+    df = df.sort_values('profit_abs').reset_index(drop=True)
+    df1 = df.copy()
+    drawdown, hdate, ldate, hval, lval, drawdown_rel = calculate_max_drawdown(
+        df, date_col='open_date', starting_balance=1000, relative=relative)
+    # Ensure df has not been altered.
+    assert df.equals(df1)
+
+    assert isinstance(drawdown, float)
+    assert isinstance(drawdown_rel, float)
+    assert hdate == init_date.shift(days=highd)
+    assert ldate == init_date.shift(days=lowd)
+
+    # High must be before low
+    assert hdate < ldate
+    # High value must be higher than low value
+    assert hval > lval
+    assert drawdown == result
+    assert pytest.approx(drawdown_rel) == result_rel

tests/optimize/test_hyperoptloss.py

@@ -85,6 +85,7 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
     "SharpeHyperOptLoss",
     "SharpeHyperOptLossDaily",
     "MaxDrawDownHyperOptLoss",
+    "MaxDrawDownRelativeHyperOptLoss",
     "CalmarHyperOptLoss",
     "ProfitDrawDownHyperOptLoss",
 

tests/test_plotting.py

@@ -332,7 +332,13 @@ def test_generate_profit_graph(testdatadir):
 
     trades = trades[trades['pair'].isin(pairs)]
 
-    fig = generate_profit_graph(pairs, data, trades, timeframe="5m", stake_currency='BTC')
+    fig = generate_profit_graph(
+        pairs,
+        data,
+        trades,
+        timeframe="5m",
+        stake_currency='BTC',
+        starting_balance=0)
     assert isinstance(fig, go.Figure)
 
     assert fig.layout.title.text == "Freqtrade Profit plot"
@@ -341,7 +347,7 @@ def test_generate_profit_graph(testdatadir):
     assert fig.layout.yaxis3.title.text == "Profit BTC"
 
     figure = fig.layout.figure
-    assert len(figure.data) == 7
+    assert len(figure.data) == 8
 
     avgclose = find_trace_in_fig_data(figure.data, "Avg close price")
     assert isinstance(avgclose, go.Scatter)
@@ -356,6 +362,9 @@ def test_generate_profit_graph(testdatadir):
     underwater = find_trace_in_fig_data(figure.data, "Underwater Plot")
     assert isinstance(underwater, go.Scatter)
 
+    underwater_relative = find_trace_in_fig_data(figure.data, "Underwater Plot (%)")
+    assert isinstance(underwater_relative, go.Scatter)
+
     for pair in pairs:
         profit_pair = find_trace_in_fig_data(figure.data, f"Profit {pair}")
         assert isinstance(profit_pair, go.Scatter)
@@ -363,7 +372,7 @@ def test_generate_profit_graph(testdatadir):
     with pytest.raises(OperationalException, match=r"No trades found.*"):
         # Pair cannot be empty - so it's an empty dataframe.
         generate_profit_graph(pairs, data, trades.loc[trades['pair'].isnull()], timeframe="5m",
-                              stake_currency='BTC')
+                              stake_currency='BTC', starting_balance=0)
 
 
 def test_start_plot_dataframe(mocker):