Merge pull request #3137 from freqtrade/fix_maxdrawdown

[minor] Fix maxdrawdown

freqtrade/data/btanalysis.py

@@ -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

tests/data/test_btanalysis.py

@@ -191,3 +191,28 @@ def test_calculate_max_drawdown(testdatadir):
     assert low == Timestamp('2018-01-30 04:45:00', tz='UTC')
     with pytest.raises(ValueError, match='Trade dataframe empty.'):
         drawdown, h, low = calculate_max_drawdown(DataFrame())
+
+
+def test_calculate_max_drawdown2():
+    values = [0.011580, 0.010048, 0.011340, 0.012161, 0.010416, 0.010009, 0.020024,
+              -0.024662, -0.022350, 0.020496, -0.029859, -0.030511, 0.010041, 0.010872,
+              -0.025782, 0.010400, 0.012374, 0.012467, 0.114741, 0.010303, 0.010088,
+              -0.033961, 0.010680, 0.010886, -0.029274, 0.011178, 0.010693, 0.010711]
+
+    dates = [Arrow(2020, 1, 1).shift(days=i) for i in range(len(values))]
+    df = DataFrame(zip(values, dates), columns=['profit', 'open_time'])
+    # sort by profit and reset index
+    df = df.sort_values('profit').reset_index(drop=True)
+    df1 = df.copy()
+    drawdown, h, low = calculate_max_drawdown(df, date_col='open_time', value_col='profit')
+    # Ensure df has not been altered.
+    assert df.equals(df1)
+
+    assert isinstance(drawdown, float)
+    # High must be before low
+    assert h < low
+    assert drawdown == 0.091755
+
+    df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_time'])
+    with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'):
+        calculate_max_drawdown(df, date_col='open_time', value_col='profit')

tests/test_plotting.py

@@ -266,7 +266,7 @@ def test_generate_profit_graph(testdatadir):
     filename = testdatadir / "backtest-result_test.json"
     trades = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
-    pairs = ["TRX/BTC", "ADA/BTC"]
+    pairs = ["TRX/BTC", "XLM/BTC"]
     trades = trades[trades['close_time'] < pd.Timestamp('2018-01-12', tz='UTC')]
 
     data = history.load_data(datadir=testdatadir,
@@ -292,7 +292,7 @@ def test_generate_profit_graph(testdatadir):
 
     profit = find_trace_in_fig_data(figure.data, "Profit")
     assert isinstance(profit, go.Scatter)
-    profit = find_trace_in_fig_data(figure.data, "Max drawdown 0.00%")
+    profit = find_trace_in_fig_data(figure.data, "Max drawdown 10.45%")
     assert isinstance(profit, go.Scatter)
 
     for pair in pairs: