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Merge pull request #12835 from ABSllk/feat/fix-max-drawdown-protection

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Change max drawdown protection calculation
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Matthias
2026-02-23 20:32:44 +01:00
committed by GitHub
parent bdf080155d b6993f0b24
commit 49e32b2600
11 changed files with 313 additions and 47 deletions
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15
docs/includes/protections.md
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@@ -69,7 +69,16 @@ def protections(self):
#### MaxDrawdown
`MaxDrawdown` uses all trades within `lookback_period` in minutes (or in candles when using `lookback_period_candles`) to determine the maximum drawdown. If the drawdown is below `max_allowed_drawdown`, trading will stop for `stop_duration` in minutes (or in candles when using `stop_duration_candles`) after the last trade - assuming that the bot needs some time to let markets recover.
The `MaxDrawdown` protection evaluates trades that closed within the current `lookback_period` (or `lookback_period_candles`). It supports 2 calculation modes:
- `calculation_mode: "ratios"` (default): Legacy approximation based on cumulative profit ratios.
- `calculation_mode: "equity"`: Standard peak-to-trough drawdown on the account equity curve, using starting balance and cumulative absolute profit.
With `calculation_mode: "ratios"`, drawdown is derived from cumulative trade profit ratios, not from the account equity curve. This is kept for backward compatibility and can differ from account-level drawdown when position sizing changes over time.
For new setups, `calculation_mode: "equity"` is recommended. Prefer `calculation_mode: "ratios"` only when you intentionally rely on legacy behavior, especially with fixed stake amount configurations where ratio-based behavior is easier to reason about.
If the observed drawdown exceeds `max_allowed_drawdown`, trading will stop for `stop_duration` after the last trade - assuming that the bot needs some time to let markets recover.
The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of `trade_limit` trades - within the last 48 candles. If desired, `lookback_period` and/or `stop_duration` can be used.
@@ -79,6 +88,7 @@ def protections(self):
return [
{
"method": "MaxDrawdown",
"calculation_mode": "equity",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 12,
@@ -163,7 +173,8 @@ class AwesomeStrategy(IStrategy)
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 4,
"max_allowed_drawdown": 0.2
"max_allowed_drawdown": 0.2,
"calculation_mode": "equity"
},
{
"method": "StoplossGuard",