567 lines
23 KiB
Python
567 lines
23 KiB
Python
"""
|
|
Helpers when analyzing backtest data
|
|
"""
|
|
import logging
|
|
from copy import copy
|
|
from datetime import datetime, timezone
|
|
from pathlib import Path
|
|
from typing import Any, Dict, List, Optional, Tuple, Union
|
|
|
|
import numpy as np
|
|
import pandas as pd
|
|
|
|
from freqtrade.constants import LAST_BT_RESULT_FN
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.misc import get_backtest_metadata_filename, json_load
|
|
from freqtrade.persistence import LocalTrade, Trade, init_db
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
# Newest format
|
|
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
|
|
'open_rate', 'close_rate',
|
|
'fee_open', 'fee_close', 'trade_duration',
|
|
'profit_ratio', 'profit_abs', 'exit_reason',
|
|
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
|
|
'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'enter_tag',
|
|
'is_short'
|
|
]
|
|
|
|
|
|
def get_latest_optimize_filename(directory: Union[Path, str], variant: str) -> str:
|
|
"""
|
|
Get latest backtest export based on '.last_result.json'.
|
|
:param directory: Directory to search for last result
|
|
:param variant: 'backtest' or 'hyperopt' - the method to return
|
|
:return: string containing the filename of the latest backtest result
|
|
:raises: ValueError in the following cases:
|
|
* Directory does not exist
|
|
* `directory/.last_result.json` does not exist
|
|
* `directory/.last_result.json` has the wrong content
|
|
"""
|
|
if isinstance(directory, str):
|
|
directory = Path(directory)
|
|
if not directory.is_dir():
|
|
raise ValueError(f"Directory '{directory}' does not exist.")
|
|
filename = directory / LAST_BT_RESULT_FN
|
|
|
|
if not filename.is_file():
|
|
raise ValueError(
|
|
f"Directory '{directory}' does not seem to contain backtest statistics yet.")
|
|
|
|
with filename.open() as file:
|
|
data = json_load(file)
|
|
|
|
if f'latest_{variant}' not in data:
|
|
raise ValueError(f"Invalid '{LAST_BT_RESULT_FN}' format.")
|
|
|
|
return data[f'latest_{variant}']
|
|
|
|
|
|
def get_latest_backtest_filename(directory: Union[Path, str]) -> str:
|
|
"""
|
|
Get latest backtest export based on '.last_result.json'.
|
|
:param directory: Directory to search for last result
|
|
:return: string containing the filename of the latest backtest result
|
|
:raises: ValueError in the following cases:
|
|
* Directory does not exist
|
|
* `directory/.last_result.json` does not exist
|
|
* `directory/.last_result.json` has the wrong content
|
|
"""
|
|
return get_latest_optimize_filename(directory, 'backtest')
|
|
|
|
|
|
def get_latest_hyperopt_filename(directory: Union[Path, str]) -> str:
|
|
"""
|
|
Get latest hyperopt export based on '.last_result.json'.
|
|
:param directory: Directory to search for last result
|
|
:return: string containing the filename of the latest hyperopt result
|
|
:raises: ValueError in the following cases:
|
|
* Directory does not exist
|
|
* `directory/.last_result.json` does not exist
|
|
* `directory/.last_result.json` has the wrong content
|
|
"""
|
|
try:
|
|
return get_latest_optimize_filename(directory, 'hyperopt')
|
|
except ValueError:
|
|
# Return default (legacy) pickle filename
|
|
return 'hyperopt_results.pickle'
|
|
|
|
|
|
def get_latest_hyperopt_file(directory: Union[Path, str], predef_filename: str = None) -> Path:
|
|
"""
|
|
Get latest hyperopt export based on '.last_result.json'.
|
|
:param directory: Directory to search for last result
|
|
:return: string containing the filename of the latest hyperopt result
|
|
:raises: ValueError in the following cases:
|
|
* Directory does not exist
|
|
* `directory/.last_result.json` does not exist
|
|
* `directory/.last_result.json` has the wrong content
|
|
"""
|
|
if isinstance(directory, str):
|
|
directory = Path(directory)
|
|
if predef_filename:
|
|
if Path(predef_filename).is_absolute():
|
|
raise OperationalException(
|
|
"--hyperopt-filename expects only the filename, not an absolute path.")
|
|
return directory / predef_filename
|
|
return directory / get_latest_hyperopt_filename(directory)
|
|
|
|
|
|
def load_backtest_metadata(filename: Union[Path, str]) -> Dict[str, Any]:
|
|
"""
|
|
Read metadata dictionary from backtest results file without reading and deserializing entire
|
|
file.
|
|
:param filename: path to backtest results file.
|
|
:return: metadata dict or None if metadata is not present.
|
|
"""
|
|
filename = get_backtest_metadata_filename(filename)
|
|
try:
|
|
with filename.open() as fp:
|
|
return json_load(fp)
|
|
except FileNotFoundError:
|
|
return {}
|
|
except Exception as e:
|
|
raise OperationalException('Unexpected error while loading backtest metadata.') from e
|
|
|
|
|
|
def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
|
|
"""
|
|
Load backtest statistics file.
|
|
:param filename: pathlib.Path object, or string pointing to the file.
|
|
:return: a dictionary containing the resulting file.
|
|
"""
|
|
if isinstance(filename, str):
|
|
filename = Path(filename)
|
|
if filename.is_dir():
|
|
filename = filename / get_latest_backtest_filename(filename)
|
|
if not filename.is_file():
|
|
raise ValueError(f"File {filename} does not exist.")
|
|
logger.info(f"Loading backtest result from {filename}")
|
|
with filename.open() as file:
|
|
data = json_load(file)
|
|
|
|
# Legacy list format does not contain metadata.
|
|
if isinstance(data, dict):
|
|
data['metadata'] = load_backtest_metadata(filename)
|
|
|
|
return data
|
|
|
|
|
|
def load_and_merge_backtest_result(strategy_name: str, filename: Path, results: Dict[str, Any]):
|
|
"""
|
|
Load one strategy from multi-strategy result
|
|
and merge it with results
|
|
:param strategy_name: Name of the strategy contained in the result
|
|
:param filename: Backtest-result-filename to load
|
|
:param results: dict to merge the result to.
|
|
"""
|
|
bt_data = load_backtest_stats(filename)
|
|
for k in ('metadata', 'strategy'):
|
|
results[k][strategy_name] = bt_data[k][strategy_name]
|
|
comparison = bt_data['strategy_comparison']
|
|
for i in range(len(comparison)):
|
|
if comparison[i]['key'] == strategy_name:
|
|
results['strategy_comparison'].append(comparison[i])
|
|
break
|
|
|
|
|
|
def _get_backtest_files(dirname: Path) -> List[Path]:
|
|
return list(reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))))
|
|
|
|
|
|
def get_backtest_resultlist(dirname: Path):
|
|
"""
|
|
Get list of backtest results read from metadata files
|
|
"""
|
|
results = []
|
|
for filename in _get_backtest_files(dirname):
|
|
metadata = load_backtest_metadata(filename)
|
|
if not metadata:
|
|
continue
|
|
for s, v in metadata.items():
|
|
results.append({
|
|
'filename': filename.name,
|
|
'strategy': s,
|
|
'run_id': v['run_id'],
|
|
'backtest_start_time': v['backtest_start_time'],
|
|
|
|
})
|
|
return results
|
|
|
|
|
|
def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
|
|
min_backtest_date: datetime = None) -> Dict[str, Any]:
|
|
"""
|
|
Find existing backtest stats that match specified run IDs and load them.
|
|
:param dirname: pathlib.Path object, or string pointing to the file.
|
|
:param run_ids: {strategy_name: id_string} dictionary.
|
|
:param min_backtest_date: do not load a backtest older than specified date.
|
|
:return: results dict.
|
|
"""
|
|
# Copy so we can modify this dict without affecting parent scope.
|
|
run_ids = copy(run_ids)
|
|
dirname = Path(dirname)
|
|
results: Dict[str, Any] = {
|
|
'metadata': {},
|
|
'strategy': {},
|
|
'strategy_comparison': [],
|
|
}
|
|
|
|
# Weird glob expression here avoids including .meta.json files.
|
|
for filename in _get_backtest_files(dirname):
|
|
metadata = load_backtest_metadata(filename)
|
|
if not metadata:
|
|
# Files are sorted from newest to oldest. When file without metadata is encountered it
|
|
# is safe to assume older files will also not have any metadata.
|
|
break
|
|
|
|
for strategy_name, run_id in list(run_ids.items()):
|
|
strategy_metadata = metadata.get(strategy_name, None)
|
|
if not strategy_metadata:
|
|
# This strategy is not present in analyzed backtest.
|
|
continue
|
|
|
|
if min_backtest_date is not None:
|
|
backtest_date = strategy_metadata['backtest_start_time']
|
|
backtest_date = datetime.fromtimestamp(backtest_date, tz=timezone.utc)
|
|
if backtest_date < min_backtest_date:
|
|
# Do not use a cached result for this strategy as first result is too old.
|
|
del run_ids[strategy_name]
|
|
continue
|
|
|
|
if strategy_metadata['run_id'] == run_id:
|
|
del run_ids[strategy_name]
|
|
load_and_merge_backtest_result(strategy_name, filename, results)
|
|
|
|
if len(run_ids) == 0:
|
|
break
|
|
return results
|
|
|
|
|
|
def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
|
|
"""
|
|
Load backtest data file.
|
|
:param filename: pathlib.Path object, or string pointing to a file or directory
|
|
:param strategy: Strategy to load - mainly relevant for multi-strategy backtests
|
|
Can also serve as protection to load the correct result.
|
|
:return: a dataframe with the analysis results
|
|
:raise: ValueError if loading goes wrong.
|
|
"""
|
|
data = load_backtest_stats(filename)
|
|
if not isinstance(data, list):
|
|
# new, nested format
|
|
if 'strategy' not in data:
|
|
raise ValueError("Unknown dataformat.")
|
|
|
|
if not strategy:
|
|
if len(data['strategy']) == 1:
|
|
strategy = list(data['strategy'].keys())[0]
|
|
else:
|
|
raise ValueError("Detected backtest result with more than one strategy. "
|
|
"Please specify a strategy.")
|
|
|
|
if strategy not in data['strategy']:
|
|
raise ValueError(f"Strategy {strategy} not available in the backtest result.")
|
|
|
|
data = data['strategy'][strategy]['trades']
|
|
df = pd.DataFrame(data)
|
|
if not df.empty:
|
|
df['open_date'] = pd.to_datetime(df['open_date'],
|
|
utc=True,
|
|
infer_datetime_format=True
|
|
)
|
|
df['close_date'] = pd.to_datetime(df['close_date'],
|
|
utc=True,
|
|
infer_datetime_format=True
|
|
)
|
|
# Compatibility support for pre short Columns
|
|
if 'is_short' not in df.columns:
|
|
df['is_short'] = 0
|
|
if 'enter_tag' not in df.columns:
|
|
df['enter_tag'] = df['buy_tag']
|
|
df = df.drop(['buy_tag'], axis=1)
|
|
|
|
else:
|
|
# old format - only with lists.
|
|
raise OperationalException(
|
|
"Backtest-results with only trades data are no longer supported.")
|
|
if not df.empty:
|
|
df = df.sort_values("open_date").reset_index(drop=True)
|
|
return df
|
|
|
|
|
|
def analyze_trade_parallelism(results: pd.DataFrame, timeframe: str) -> pd.DataFrame:
|
|
"""
|
|
Find overlapping trades by expanding each trade once per period it was open
|
|
and then counting overlaps.
|
|
:param results: Results Dataframe - can be loaded
|
|
:param timeframe: Timeframe used for backtest
|
|
:return: dataframe with open-counts per time-period in timeframe
|
|
"""
|
|
from freqtrade.exchange import timeframe_to_minutes
|
|
timeframe_min = timeframe_to_minutes(timeframe)
|
|
dates = [pd.Series(pd.date_range(row[1]['open_date'], row[1]['close_date'],
|
|
freq=f"{timeframe_min}min"))
|
|
for row in results[['open_date', 'close_date']].iterrows()]
|
|
deltas = [len(x) for x in dates]
|
|
dates = pd.Series(pd.concat(dates).values, name='date')
|
|
df2 = pd.DataFrame(np.repeat(results.values, deltas, axis=0), columns=results.columns)
|
|
|
|
df2 = pd.concat([dates, df2], axis=1)
|
|
df2 = df2.set_index('date')
|
|
df_final = df2.resample(f"{timeframe_min}min")[['pair']].count()
|
|
df_final = df_final.rename({'pair': 'open_trades'}, axis=1)
|
|
return df_final
|
|
|
|
|
|
def evaluate_result_multi(results: pd.DataFrame, timeframe: str,
|
|
max_open_trades: int) -> pd.DataFrame:
|
|
"""
|
|
Find overlapping trades by expanding each trade once per period it was open
|
|
and then counting overlaps
|
|
:param results: Results Dataframe - can be loaded
|
|
:param timeframe: Frequency used for the backtest
|
|
:param max_open_trades: parameter max_open_trades used during backtest run
|
|
:return: dataframe with open-counts per time-period in freq
|
|
"""
|
|
df_final = analyze_trade_parallelism(results, timeframe)
|
|
return df_final[df_final['open_trades'] > max_open_trades]
|
|
|
|
|
|
def trade_list_to_dataframe(trades: List[LocalTrade]) -> pd.DataFrame:
|
|
"""
|
|
Convert list of Trade objects to pandas Dataframe
|
|
:param trades: List of trade objects
|
|
:return: Dataframe with BT_DATA_COLUMNS
|
|
"""
|
|
df = pd.DataFrame.from_records([t.to_json() for t in trades], columns=BT_DATA_COLUMNS)
|
|
if len(df) > 0:
|
|
df.loc[:, 'close_date'] = pd.to_datetime(df['close_date'], utc=True)
|
|
df.loc[:, 'open_date'] = pd.to_datetime(df['open_date'], utc=True)
|
|
df.loc[:, 'close_rate'] = df['close_rate'].astype('float64')
|
|
return df
|
|
|
|
|
|
def load_trades_from_db(db_url: str, strategy: Optional[str] = None) -> pd.DataFrame:
|
|
"""
|
|
Load trades from a DB (using dburl)
|
|
:param db_url: Sqlite url (default format sqlite:///tradesv3.dry-run.sqlite)
|
|
:param strategy: Strategy to load - mainly relevant for multi-strategy backtests
|
|
Can also serve as protection to load the correct result.
|
|
:return: Dataframe containing Trades
|
|
"""
|
|
init_db(db_url, clean_open_orders=False)
|
|
|
|
filters = []
|
|
if strategy:
|
|
filters.append(Trade.strategy == strategy)
|
|
trades = trade_list_to_dataframe(Trade.get_trades(filters).all())
|
|
|
|
return trades
|
|
|
|
|
|
def load_trades(source: str, db_url: str, exportfilename: Path,
|
|
no_trades: bool = False, strategy: Optional[str] = None) -> pd.DataFrame:
|
|
"""
|
|
Based on configuration option 'trade_source':
|
|
* loads data from DB (using `db_url`)
|
|
* loads data from backtestfile (using `exportfilename`)
|
|
:param source: "DB" or "file" - specify source to load from
|
|
:param db_url: sqlalchemy formatted url to a database
|
|
:param exportfilename: Json file generated by backtesting
|
|
:param no_trades: Skip using trades, only return backtesting data columns
|
|
:return: DataFrame containing trades
|
|
"""
|
|
if no_trades:
|
|
df = pd.DataFrame(columns=BT_DATA_COLUMNS)
|
|
return df
|
|
|
|
if source == "DB":
|
|
return load_trades_from_db(db_url)
|
|
elif source == "file":
|
|
return load_backtest_data(exportfilename, strategy)
|
|
|
|
|
|
def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame,
|
|
date_index=False) -> pd.DataFrame:
|
|
"""
|
|
Compare trades and backtested pair DataFrames to get trades performed on backtested period
|
|
:return: the DataFrame of a trades of period
|
|
"""
|
|
if date_index:
|
|
trades_start = dataframe.index[0]
|
|
trades_stop = dataframe.index[-1]
|
|
else:
|
|
trades_start = dataframe.iloc[0]['date']
|
|
trades_stop = dataframe.iloc[-1]['date']
|
|
trades = trades.loc[(trades['open_date'] >= trades_start) &
|
|
(trades['close_date'] <= trades_stop)]
|
|
return trades
|
|
|
|
|
|
def calculate_market_change(data: Dict[str, pd.DataFrame], column: str = "close") -> float:
|
|
"""
|
|
Calculate market change based on "column".
|
|
Calculation is done by taking the first non-null and the last non-null element of each column
|
|
and calculating the pctchange as "(last - first) / first".
|
|
Then the results per pair are combined as mean.
|
|
|
|
:param data: Dict of Dataframes, dict key should be pair.
|
|
:param column: Column in the original dataframes to use
|
|
:return:
|
|
"""
|
|
tmp_means = []
|
|
for pair, df in data.items():
|
|
start = df[column].dropna().iloc[0]
|
|
end = df[column].dropna().iloc[-1]
|
|
tmp_means.append((end - start) / start)
|
|
|
|
return float(np.mean(tmp_means))
|
|
|
|
|
|
def combine_dataframes_with_mean(data: Dict[str, pd.DataFrame],
|
|
column: str = "close") -> pd.DataFrame:
|
|
"""
|
|
Combine multiple dataframes "column"
|
|
:param data: Dict of Dataframes, dict key should be pair.
|
|
:param column: Column in the original dataframes to use
|
|
:return: DataFrame with the column renamed to the dict key, and a column
|
|
named mean, containing the mean of all pairs.
|
|
:raise: ValueError if no data is provided.
|
|
"""
|
|
df_comb = pd.concat([data[pair].set_index('date').rename(
|
|
{column: pair}, axis=1)[pair] for pair in data], axis=1)
|
|
|
|
df_comb['mean'] = df_comb.mean(axis=1)
|
|
|
|
return df_comb
|
|
|
|
|
|
def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
|
|
timeframe: str) -> pd.DataFrame:
|
|
"""
|
|
Adds a column `col_name` with the cumulative profit for the given trades array.
|
|
:param df: DataFrame with date index
|
|
:param trades: DataFrame containing trades (requires columns close_date and profit_abs)
|
|
:param col_name: Column name that will be assigned the results
|
|
:param timeframe: Timeframe used during the operations
|
|
:return: Returns df with one additional column, col_name, containing the cumulative profit.
|
|
:raise: ValueError if trade-dataframe was found empty.
|
|
"""
|
|
if len(trades) == 0:
|
|
raise ValueError("Trade dataframe empty.")
|
|
from freqtrade.exchange import timeframe_to_minutes
|
|
timeframe_minutes = timeframe_to_minutes(timeframe)
|
|
# Resample to timeframe to make sure trades match candles
|
|
_trades_sum = trades.resample(f'{timeframe_minutes}min', on='close_date'
|
|
)[['profit_abs']].sum()
|
|
df.loc[:, col_name] = _trades_sum['profit_abs'].cumsum()
|
|
# Set first value to 0
|
|
df.loc[df.iloc[0].name, col_name] = 0
|
|
# FFill to get continuous
|
|
df[col_name] = df[col_name].ffill()
|
|
return df
|
|
|
|
|
|
def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_col: str
|
|
) -> pd.DataFrame:
|
|
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']
|
|
max_drawdown_df['date'] = profit_results.loc[:, date_col]
|
|
return max_drawdown_df
|
|
|
|
|
|
def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
|
|
value_col: str = 'profit_ratio'
|
|
):
|
|
"""
|
|
Calculate max drawdown and the corresponding close dates
|
|
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
|
|
:param date_col: Column in DataFrame to use for dates (defaults to 'close_date')
|
|
:param value_col: Column in DataFrame to use for values (defaults to 'profit_ratio')
|
|
:return: Tuple (float, highdate, lowdate, highvalue, lowvalue) with absolute max drawdown,
|
|
high and low time and high and low value.
|
|
:raise: ValueError if trade-dataframe was found empty.
|
|
"""
|
|
if len(trades) == 0:
|
|
raise ValueError("Trade dataframe empty.")
|
|
profit_results = trades.sort_values(date_col).reset_index(drop=True)
|
|
max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col)
|
|
|
|
return max_drawdown_df
|
|
|
|
|
|
def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date',
|
|
value_col: str = 'profit_abs', starting_balance: float = 0
|
|
) -> Tuple[float, pd.Timestamp, pd.Timestamp, float, float, float]:
|
|
"""
|
|
Calculate max drawdown and the corresponding close dates
|
|
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
|
|
:param date_col: Column in DataFrame to use for dates (defaults to 'close_date')
|
|
:param value_col: Column in DataFrame to use for values (defaults to 'profit_abs')
|
|
:param starting_balance: Portfolio starting balance - properly calculate relative drawdown.
|
|
:return: Tuple (float, highdate, lowdate, highvalue, lowvalue, relative_drawdown)
|
|
with absolute max drawdown, high and low time and high and low value,
|
|
and the relative account drawdown
|
|
:raise: ValueError if trade-dataframe was found empty.
|
|
"""
|
|
if len(trades) == 0:
|
|
raise ValueError("Trade dataframe empty.")
|
|
profit_results = trades.sort_values(date_col).reset_index(drop=True)
|
|
max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_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]
|
|
high_val = max_drawdown_df.loc[max_drawdown_df.iloc[:idxmin]
|
|
['high_value'].idxmax(), 'cumulative']
|
|
low_val = max_drawdown_df.loc[idxmin, 'cumulative']
|
|
max_drawdown_rel = 0.0
|
|
if high_val + starting_balance != 0:
|
|
max_drawdown_rel = (high_val - low_val) / (high_val + starting_balance)
|
|
|
|
return (
|
|
abs(min(max_drawdown_df['drawdown'])),
|
|
high_date,
|
|
low_date,
|
|
high_val,
|
|
low_val,
|
|
max_drawdown_rel
|
|
)
|
|
|
|
|
|
def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]:
|
|
"""
|
|
Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane
|
|
:param trades: DataFrame containing trades (requires columns close_date and profit_percent)
|
|
:param starting_balance: Add starting balance to results, to show the wallets high / low points
|
|
:return: Tuple (float, float) with cumsum of profit_abs
|
|
:raise: ValueError if trade-dataframe was found empty.
|
|
"""
|
|
if len(trades) == 0:
|
|
raise ValueError("Trade dataframe empty.")
|
|
|
|
csum_df = pd.DataFrame()
|
|
csum_df['sum'] = trades['profit_abs'].cumsum()
|
|
csum_min = csum_df['sum'].min() + starting_balance
|
|
csum_max = csum_df['sum'].max() + starting_balance
|
|
|
|
return csum_min, csum_max
|
|
|
|
|
|
def calculate_cagr(days_passed: int, starting_balance: float, final_balance: float) -> float:
|
|
"""
|
|
Calculate CAGR
|
|
:param days_passed: Days passed between start and ending balance
|
|
:param starting_balance: Starting balance
|
|
:param final_balance: Final balance to calculate CAGR against
|
|
:return: CAGR
|
|
"""
|
|
return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1
|