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Remove compatibility layer for calculate_max_drawdown

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Matthias
2024-05-15 06:54:17 +02:00
parent c79b75ff9a
commit a6b07ec96f
8 changed files with 25 additions and 62 deletions
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15
tests/data/test_btanalysis.py
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@@ -20,7 +20,6 @@ from freqtrade.data.btanalysis import (
)
from freqtrade.data.history import load_data, load_pair_history
from freqtrade.data.metrics import (
calc_max_drawdown,
calculate_cagr,
calculate_calmar,
calculate_csum,
@@ -344,7 +343,7 @@ def test_create_cum_profit1(testdatadir):
def test_calculate_max_drawdown(testdatadir):
filename = testdatadir / "backtest_results/backtest-result.json"
bt_data = load_backtest_data(filename)
drawdown = calc_max_drawdown(bt_data, value_col="profit_abs")
drawdown = calculate_max_drawdown(bt_data, value_col="profit_abs")
assert isinstance(drawdown.relative_account_drawdown, float)
assert pytest.approx(drawdown.relative_account_drawdown) == 0.29753914
assert isinstance(drawdown.high_date, Timestamp)
@@ -358,7 +357,7 @@ def test_calculate_max_drawdown(testdatadir):
assert isinstance(underwater, DataFrame)
with pytest.raises(ValueError, match="Trade dataframe empty."):
calc_max_drawdown(DataFrame())
calculate_max_drawdown(DataFrame())
with pytest.raises(ValueError, match="Trade dataframe empty."):
calculate_underwater(DataFrame())
@@ -508,7 +507,7 @@ def test_calculate_max_drawdown2():
# sort by profit and reset index
df = df.sort_values("profit").reset_index(drop=True)
df1 = df.copy()
drawdown = calc_max_drawdown(df, date_col="open_date", value_col="profit")
drawdown = calculate_max_drawdown(df, date_col="open_date", value_col="profit")
# Ensure df has not been altered.
assert df.equals(df1)
@@ -522,12 +521,12 @@ def test_calculate_max_drawdown2():
df = DataFrame(zip(values[:5], dates[:5]), columns=["profit", "open_date"])
with pytest.raises(ValueError, match="No losing trade, therefore no drawdown."):
calc_max_drawdown(df, date_col="open_date", value_col="profit")
calculate_max_drawdown(df, date_col="open_date", value_col="profit")
df1 = DataFrame(zip(values[:5], dates[:5]), columns=["profit", "open_date"])
df1.loc[:, "profit"] = df1["profit"] * -1
# No winning trade ...
drawdown = calc_max_drawdown(df1, date_col="open_date", value_col="profit")
drawdown = calculate_max_drawdown(df1, date_col="open_date", value_col="profit")
assert drawdown.drawdown_abs == 0.043965
@@ -550,7 +549,9 @@ def test_calculate_max_drawdown_abs(profits, relative, highd, lowdays, result, r
# sort by profit and reset index
df = df.sort_values("profit_abs").reset_index(drop=True)
df1 = df.copy()
drawdown = calc_max_drawdown(df, date_col="open_date", starting_balance=1000, relative=relative)
drawdown = calculate_max_drawdown(
df, date_col="open_date", starting_balance=1000, relative=relative
)
# Ensure df has not been altered.
assert df.equals(df1)