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Fix max_drawdown bug finding low before high!

This commit is contained in:
Matthias 2020-04-05 14:29:40 +02:00
parent a99c53f1ec
commit e204170eb6
1 changed files with 3 additions and 3 deletions
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6
freqtrade/data/btanalysis.py
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@ -219,7 +219,7 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_time'
max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax()
max_drawdown_df['drawdown'] = max_drawdown_df['cumulative'] - max_drawdown_df['high_value']
high_date = profit_results.loc[max_drawdown_df['high_value'].idxmax(), date_col]
low_date = profit_results.loc[max_drawdown_df['drawdown'].idxmin(), date_col]
idxmin = max_drawdown_df['drawdown'].idxmin()
high_date = profit_results.loc[max_drawdown_df.iloc[:idxmin]['high_value'].idxmax(), date_col]
low_date = profit_results.loc[idxmin, date_col]
return abs(min(max_drawdown_df['drawdown'])), high_date, low_date