Merge pull request #11899 from mrpabloyeah/add-current-drawdown-in-telegram-profit-command

Add current drawdown in telegram profit command

freqtrade/data/metrics.py

@@ -174,12 +174,18 @@ def calculate_underwater(
 
 @dataclass()
 class DrawDownResult:
+    # Max drawdown fields
     drawdown_abs: float = 0.0
     high_date: pd.Timestamp = None
     low_date: pd.Timestamp = None
     high_value: float = 0.0
     low_value: float = 0.0
     relative_account_drawdown: float = 0.0
+    # Current drawdown fields
+    current_high_date: pd.Timestamp = None
+    current_high_value: float = 0.0
+    current_drawdown_abs: float = 0.0
+    current_relative_account_drawdown: float = 0.0
 
 
 def calculate_max_drawdown(
@@ -191,29 +197,31 @@ def calculate_max_drawdown(
     relative: bool = False,
 ) -> DrawDownResult:
     """
-    Calculate max drawdown and the corresponding close dates
-    :param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
+    Calculate max drawdown and current drawdown with corresponding dates
+    :param trades: DataFrame containing trades (requires columns close_date and profit_abs)
     :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.
+    :param relative: If True, use relative drawdown for max calculation instead of absolute
     :return: DrawDownResult object
              with absolute max drawdown, high and low time and high and low value,
-             and the relative account drawdown
+             relative account drawdown, and current drawdown information.
     :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, starting_balance=starting_balance
     )
 
+    # Calculate maximum drawdown
     idxmin = (
         max_drawdown_df["drawdown_relative"].idxmax()
         if relative
         else max_drawdown_df["drawdown"].idxmin()
     )
-
     high_idx = max_drawdown_df.iloc[: idxmin + 1]["high_value"].idxmax()
     high_date = profit_results.loc[high_idx, date_col]
     low_date = profit_results.loc[idxmin, date_col]
@@ -221,13 +229,27 @@ def calculate_max_drawdown(
     low_val = max_drawdown_df.loc[idxmin, "cumulative"]
     max_drawdown_rel = max_drawdown_df.loc[idxmin, "drawdown_relative"]
 
+    # Calculate current drawdown
+    current_high_idx = max_drawdown_df["high_value"].iloc[:-1].idxmax()
+    current_high_date = profit_results.loc[current_high_idx, date_col]
+    current_high_value = max_drawdown_df.iloc[-1]["high_value"]
+    current_cumulative = max_drawdown_df.iloc[-1]["cumulative"]
+    current_drawdown_abs = current_high_value - current_cumulative
+    current_drawdown_relative = max_drawdown_df.iloc[-1]["drawdown_relative"]
+
     return DrawDownResult(
+        # Max drawdown
         drawdown_abs=abs(max_drawdown_df.loc[idxmin, "drawdown"]),
         high_date=high_date,
         low_date=low_date,
         high_value=high_val,
         low_value=low_val,
         relative_account_drawdown=max_drawdown_rel,
+        # Current drawdown
+        current_high_date=current_high_date,
+        current_high_value=current_high_value,
+        current_drawdown_abs=current_drawdown_abs,
+        current_relative_account_drawdown=current_drawdown_relative,
     )
 
 

freqtrade/rpc/api_server/api_schemas.py

@@ -163,6 +163,11 @@ class Profit(BaseModel):
     max_drawdown_start_timestamp: int
     max_drawdown_end: str
     max_drawdown_end_timestamp: int
+    current_drawdown: float
+    current_drawdown_abs: float
+    current_drawdown_high: float
+    current_drawdown_start: str
+    current_drawdown_start_timestamp: int
     trading_volume: float | None = None
     bot_start_timestamp: int
     bot_start_date: str

freqtrade/rpc/rpc.py

@@ -681,6 +681,11 @@ class RPC:
             "max_drawdown_end_timestamp": dt_ts_def(drawdown.low_date),
             "drawdown_high": drawdown.high_value,
             "drawdown_low": drawdown.low_value,
+            "current_drawdown": drawdown.current_relative_account_drawdown,
+            "current_drawdown_abs": drawdown.current_drawdown_abs,
+            "current_drawdown_high": drawdown.current_high_value,
+            "current_drawdown_start": format_date(drawdown.current_high_date),
+            "current_drawdown_start_timestamp": dt_ts_def(drawdown.current_high_date),
             "trading_volume": trading_volume,
             "bot_start_timestamp": dt_ts_def(bot_start, 0),
             "bot_start_date": format_date(bot_start),

freqtrade/rpc/telegram.py

@@ -1085,6 +1085,10 @@ class Telegram(RPCHandler):
                     f"({fmt_coin(stats['drawdown_high'], stake_cur)})`\n"
                     f"    to `{stats['max_drawdown_end']} "
                     f"({fmt_coin(stats['drawdown_low'], stake_cur)})`\n"
+                    f"*Current Drawdown:* `{stats['current_drawdown']:.2%} "
+                    f"({fmt_coin(stats['current_drawdown_abs'], stake_cur)})`\n"
+                    f"    from `{stats['current_drawdown_start']} "
+                    f"({fmt_coin(stats['current_drawdown_high'], stake_cur)})`\n"
                 )
         await self._send_msg(
             markdown_msg,

tests/rpc/test_rpc_apiserver.py

@@ -1332,6 +1332,11 @@ def test_api_profit(botclient, mocker, ticker, fee, markets, is_short, expected)
         "max_drawdown_start_timestamp": ANY,
         "max_drawdown_end": ANY,
         "max_drawdown_end_timestamp": ANY,
+        "current_drawdown": ANY,
+        "current_drawdown_abs": ANY,
+        "current_drawdown_high": ANY,
+        "current_drawdown_start": ANY,
+        "current_drawdown_start_timestamp": ANY,
         "trading_volume": expected["trading_volume"],
         "bot_start_timestamp": 0,
         "bot_start_date": "",