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Add max_drawdown function

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Matthias 2020-03-03 07:13:11 +01:00
parent 82bdd01843
commit 3479f7d986
1 changed files with 21 additions and 1 deletions
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22
freqtrade/data/btanalysis.py
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@ -3,7 +3,7 @@ Helpers when analyzing backtest data
"""
import logging
from pathlib import Path
from typing import Dict, Union
from typing import Dict, Union, Tuple
import numpy as np
import pandas as pd
@ -188,3 +188,23 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
# FFill to get continuous
df[col_name] = df[col_name].ffill()
return df
def calculate_max_drawdown(trades: pd.DataFrame) -> Tuple[float, pd.Timestamp, pd.Timestamp]:
"""
Calculate max drawdown and the corresponding close dates
:param trades: DataFrame containing trades (requires columns close_time and profitperc)
:return: Tuple (float, highdate, lowdate) with absolute max drawdown, high and low time
:raise: ValueError if trade-dataframe was found empty.
"""
if len(trades) == 0:
raise ValueError("Trade dataframe empty")
profit_results = trades.sort_values('close_time')
max_drawdown_df = pd.DataFrame()
max_drawdown_df['cumulative'] = profit_results['profitperc'].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(), 'close_time']
low_date = profit_results.loc[max_drawdown_df['drawdown'].idxmin(), 'close_time']
return abs(min(max_drawdown_df['drawdown'])), high_date, low_date