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Merge pull request #11590 from mrpabloyeah/fix-drawdown-calculation

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Fix drawdown calculation when there are no winning trades
This commit is contained in:
Matthias
2025-04-02 07:04:48 +02:00
committed by GitHub
parent bb596d6f8d a3f23fd4fb
commit be2d97b559
2 changed files with 2 additions and 2 deletions
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2
freqtrade/data/metrics.py
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@@ -118,7 +118,7 @@ def _calc_drawdown_series(
) -> pd.DataFrame: ) -> pd.DataFrame:
max_drawdown_df = pd.DataFrame() max_drawdown_df = pd.DataFrame()
max_drawdown_df["cumulative"] = profit_results[value_col].cumsum() max_drawdown_df["cumulative"] = profit_results[value_col].cumsum()
max_drawdown_df["high_value"] = max_drawdown_df["cumulative"].cummax() max_drawdown_df["high_value"] = np.maximum(0, max_drawdown_df["cumulative"].cummax())
max_drawdown_df["drawdown"] = max_drawdown_df["cumulative"] - max_drawdown_df["high_value"] max_drawdown_df["drawdown"] = max_drawdown_df["cumulative"] - max_drawdown_df["high_value"]
max_drawdown_df["date"] = profit_results.loc[:, date_col] max_drawdown_df["date"] = profit_results.loc[:, date_col]
if starting_balance: if starting_balance:

2
tests/data/test_btanalysis.py
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@@ -569,7 +569,7 @@ def test_calculate_max_drawdown2():
df1.loc[:, "profit"] = df1["profit"] * -1 df1.loc[:, "profit"] = df1["profit"] * -1
# No winning trade ... # No winning trade ...
drawdown = calculate_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 assert drawdown.drawdown_abs == 0.055545
@pytest.mark.parametrize( @pytest.mark.parametrize(