#!/usr/bin/env python # -*- coding: utf-8; py-indent-offset:4 -*- ############################################################################### # # Copyright (C) 2015-2023 Daniel Rodriguez # # This program is free software: you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by # the Free Software Foundation, either version 3 of the License, or # (at your option) any later version. # # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU General Public License for more details. # # You should have received a copy of the GNU General Public License # along with this program. If not, see . # ############################################################################### from __future__ import (absolute_import, division, print_function, unicode_literals) import backtrader as bt from backtrader.utils import AutoOrderedDict __all__ = ['DrawDown', 'TimeDrawDown'] class DrawDown(bt.Analyzer): '''This analyzer calculates trading system drawdowns stats such as drawdown values in %s and in dollars, max drawdown in %s and in dollars, drawdown length and drawdown max length Params: - ``fund`` (default: ``None``) If ``None`` the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See ``set_fundmode`` in the broker documentation Set it to ``True`` or ``False`` for a specific behavior Methods: - ``get_analysis`` Returns a dictionary (with . notation support and subdctionaries) with drawdown stats as values, the following keys/attributes are available: - ``drawdown`` - drawdown value in 0.xx % - ``moneydown`` - drawdown value in monetary units - ``len`` - drawdown length - ``max.drawdown`` - max drawdown value in 0.xx % - ``max.moneydown`` - max drawdown value in monetary units - ``max.len`` - max drawdown length ''' params = ( ('fund', None), ) def start(self): super(DrawDown, self).start() if self.p.fund is None: self._fundmode = self.strategy.broker.fundmode else: self._fundmode = self.p.fund def create_analysis(self): self.rets = AutoOrderedDict() # dict with . notation self.rets.len = 0 self.rets.drawdown = 0.0 self.rets.moneydown = 0.0 self.rets.max.len = 0.0 self.rets.max.drawdown = 0.0 self.rets.max.moneydown = 0.0 self._maxvalue = float('-inf') # any value will outdo it def stop(self): self.rets._close() # . notation cannot create more keys def notify_fund(self, cash, value, fundvalue, shares): if not self._fundmode: self._value = value # record current value self._maxvalue = max(self._maxvalue, value) # update peak value else: self._value = fundvalue # record current value self._maxvalue = max(self._maxvalue, fundvalue) # update peak def next(self): r = self.rets # calculate current drawdown values r.moneydown = moneydown = self._maxvalue - self._value r.drawdown = drawdown = 100.0 * moneydown / self._maxvalue # maxximum drawdown values r.max.moneydown = max(r.max.moneydown, moneydown) r.max.drawdown = maxdrawdown = max(r.max.drawdown, drawdown) r.len = r.len + 1 if drawdown else 0 r.max.len = max(r.max.len, r.len) class TimeDrawDown(bt.TimeFrameAnalyzerBase): '''This analyzer calculates trading system drawdowns on the chosen timeframe which can be different from the one used in the underlying data Params: - ``timeframe`` (default: ``None``) If ``None`` the ``timeframe`` of the 1st data in the system will be used Pass ``TimeFrame.NoTimeFrame`` to consider the entire dataset with no time constraints - ``compression`` (default: ``None``) Only used for sub-day timeframes to for example work on an hourly timeframe by specifying "TimeFrame.Minutes" and 60 as compression If ``None`` then the compression of the 1st data of the system will be used - *None* - ``fund`` (default: ``None``) If ``None`` the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See ``set_fundmode`` in the broker documentation Set it to ``True`` or ``False`` for a specific behavior Methods: - ``get_analysis`` Returns a dictionary (with . notation support and subdctionaries) with drawdown stats as values, the following keys/attributes are available: - ``drawdown`` - drawdown value in 0.xx % - ``maxdrawdown`` - drawdown value in monetary units - ``maxdrawdownperiod`` - drawdown length - Those are available during runs as attributes - ``dd`` - ``maxdd`` - ``maxddlen`` ''' params = ( ('fund', None), ) def start(self): super(TimeDrawDown, self).start() if self.p.fund is None: self._fundmode = self.strategy.broker.fundmode else: self._fundmode = self.p.fund self.dd = 0.0 self.maxdd = 0.0 self.maxddlen = 0 self.peak = float('-inf') self.ddlen = 0 def on_dt_over(self): if not self._fundmode: value = self.strategy.broker.getvalue() else: value = self.strategy.broker.fundvalue # update the maximum seen peak if value > self.peak: self.peak = value self.ddlen = 0 # start of streak # calculate the current drawdown self.dd = dd = 100.0 * (self.peak - value) / self.peak self.ddlen += bool(dd) # if peak == value -> dd = 0 # update the maxdrawdown if needed self.maxdd = max(self.maxdd, dd) self.maxddlen = max(self.maxddlen, self.ddlen) def stop(self): self.rets['maxdrawdown'] = self.maxdd self.rets['maxdrawdownperiod'] = self.maxddlen