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Merge pull request #11593 from mrpabloyeah/fix-drawdown-calculation-2

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Fix drawdown calculation when maximum drawdown happens on the first trade
This commit is contained in:
Matthias
2025-04-03 06:31:53 +02:00
committed by GitHub
parent 60695fe205 087fb31f26
commit ac3a5900b4
2 changed files with 7 additions and 8 deletions
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10
freqtrade/data/metrics.py
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@@ -201,13 +201,11 @@ def calculate_max_drawdown(
if relative
else 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]
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]
high_val = max_drawdown_df.loc[
max_drawdown_df.iloc[:idxmin]["high_value"].idxmax(), "cumulative"
]
high_val = max_drawdown_df.loc[high_idx, "cumulative"]
low_val = max_drawdown_df.loc[idxmin, "cumulative"]
max_drawdown_rel = max_drawdown_df.loc[idxmin, "drawdown_relative"]

5
tests/data/test_btanalysis.py
View File

@@ -562,8 +562,9 @@ def test_calculate_max_drawdown2():
assert pytest.approx(drawdown.relative_account_drawdown) == 0.32129575
df = DataFrame(zip(values[:5], dates[:5], strict=False), columns=["profit", "open_date"])
with pytest.raises(ValueError, match="No losing trade, therefore no drawdown."):
calculate_max_drawdown(df, date_col="open_date", value_col="profit")
# No losing trade ...
drawdown = calculate_max_drawdown(df, date_col="open_date", value_col="profit")
assert drawdown.drawdown_abs == 0.0
df1 = DataFrame(zip(values[:5], dates[:5], strict=False), columns=["profit", "open_date"])
df1.loc[:, "profit"] = df1["profit"] * -1