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Merge pull request #3137 from freqtrade/fix_maxdrawdown

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[minor] Fix maxdrawdown
This commit is contained in:
hroff-1902
2020-04-14 16:03:25 +03:00
committed by GitHub
parent 4d80f52db4 ddf37ef059
commit f2b1802666
3 changed files with 33 additions and 6 deletions
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10
freqtrade/data/btanalysis.py
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@@ -220,13 +220,15 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_time'
"""
if len(trades) == 0:
raise ValueError("Trade dataframe empty.")
profit_results = trades.sort_values(date_col)
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']
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()
if idxmin == 0:
raise ValueError("No losing trade, therefore no drawdown.")
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