test

freqtrade/data/btanalysis.py

@@ -390,6 +390,35 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
     low_val = max_drawdown_df.loc[idxmin, 'cumulative']
     return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val
 
+def calculate_mdd(data: pd.DataFrame, trades: pd.DataFrame, *, date_col: str = 'close_date',
+                           value_col: str = 'profit_ratio'
+                 )  -> float:
+    """
+    Calculate MDD (Max DrawDown) :
+        Give the max drawdown given each trades and the history candles data.
+    Args:
+        trades (pd.DataFrame): [description]
+        date_col (str, optional): [description]. Defaults to 'close_date'.
+        value_col (str, optional): [description]. Defaults to 'profit_ratio'.
+
+    Returns:
+        float: [description]
+    """
+    if len(trades) == 0:
+        raise ValueError("Trade dataframe empty")
+    
+    mdd_df = pd.DataFrame()
+    
+    for pair, df in data.items():
+        print(pair)
+        print(df)
+        open_close_date = trades.loc[trades['pair']==pair]
+        # print(open_close_date)
+        # mdd_df = df[[df["date"].isin(open_close_date), open_close_date]]
+        # print(mdd_df)
+    return mdd_df
+
+    
 
 def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]:
     """

freqtrade/optimize/optimize_reports.py

@@ -9,7 +9,7 @@ from tabulate import tabulate
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
 from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
-                                       calculate_max_drawdown)
+                                       calculate_max_drawdown, calculate_mdd)
 from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
 
 
@@ -462,6 +462,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
     }
 
     try:
+        mdd = calculate_mdd(btdata, results)
         max_drawdown, _, _, _, _ = calculate_max_drawdown(
             results, value_col='profit_ratio')
         drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(