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Drawdown analysis appears to be incorrect
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Hi,
I am having an issue with the DrawDown Analyzer. I have added a DrawDown Analyzer to one of the examples on the backtrader website (more specifically, to the 'Visual Inspection: Plotting' example from https://www.backtrader.com/docu/quickstart/quickstart.html#our-first-strategy).
To add the Drawdown Analyzer, I have adjusted a code snippets from https://backtest-rookies.com/2017/06/11/using-analyzers-backtrader/.
I have also commented some of the log calls, to make the example more clear.
The resulting code is as follows:
from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime # For datetime objects import os.path # To manage paths import sys # To find out the script name (in argv[0]) # Import the backtrader platform import backtrader as bt # Create a Stratey class TestStrategy(bt.Strategy): params = ( ('maperiod', 15), ) def log(self, txt, dt=None): ''' Logging function fot this strategy''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataclose = self.datas[0].close # To keep track of pending orders and buy price/commission self.order = None self.buyprice = None self.buycomm = None # Add a MovingAverageSimple indicator self.sma = bt.indicators.SimpleMovingAverage( self.datas[0], period=self.params.maperiod) # Indicators for the plotting show bt.indicators.ExponentialMovingAverage(self.datas[0], period=25) bt.indicators.WeightedMovingAverage(self.datas[0], period=25, subplot=True) bt.indicators.StochasticSlow(self.datas[0]) bt.indicators.MACDHisto(self.datas[0]) rsi = bt.indicators.RSI(self.datas[0]) bt.indicators.SmoothedMovingAverage(rsi, period=10) bt.indicators.ATR(self.datas[0], plot=False) def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: # Buy/Sell order submitted/accepted to/by broker - Nothing to do return # Check if an order has been completed # Attention: broker could reject order if not enough cash if order.status in [order.Completed]: if order.isbuy(): #self.log( # 'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % # (order.executed.price, # order.executed.value, # order.executed.comm)) self.buyprice = order.executed.price self.buycomm = order.executed.comm # else: # Sell #self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' % # (order.executed.price, # order.executed.value, # order.executed.comm)) self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Write down: no pending order self.order = None def notify_trade(self, trade): if not trade.isclosed: return self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm)) def next(self): # Simply log the closing price of the series from the reference #self.log('Close, %.2f' % self.dataclose[0]) # Check if an order is pending ... if yes, we cannot send a 2nd one if self.order: return # Check if we are in the market if not self.position: # Not yet ... we MIGHT BUY if ... if self.dataclose[0] > self.sma[0]: # BUY, BUY, BUY!!! (with all possible default parameters) # self.log('BUY CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.buy() else: if self.dataclose[0] < self.sma[0]: # SELL, SELL, SELL!!! (with all possible default parameters) # self.log('SELL CREATE, %.2f' % self.dataclose[0]) # Keep track of the created order to avoid a 2nd order self.order = self.sell() def printTradeAnalysis(analyzer): ''' Function to print the Technical Analysis results in a nice format. ''' #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = (total_won / total_closed) * 100 #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] r1 = [total_open, total_closed, total_won, total_lost] r2 = [strike_rate, win_streak, lose_streak, pnl_net] #Check which set of headers is the longest. if len(h1) > len(h2): header_length = len(h1) else: header_length = len(h2) #Print the rows print_list = [h1,r1,h2,r2] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) def printDrawDownAnalysis(analyzer): ''' Function to print the Technical Analysis results in a nice format. ''' #Get the results we are interested in drawdown = round(analyzer.drawdown, 2) moneydown = round(analyzer.moneydown, 2) length = analyzer.len max_dd = round(analyzer.max.drawdown, 2) max_md = round(analyzer.max.moneydown, 2) max_len = analyzer.max.len #Designate the rows h1 = ['Drawdown', 'Moneydown', 'Length'] h2 = ['Max drawdown','Max moneydown', 'Max len'] r1 = [drawdown, moneydown,length] r2 = [max_dd, max_md, max_len] #Check which set of headers is the longest. if len(h1) > len(h2): header_length = len(h1) else: header_length = len(h2) #Print the rows print_list = [h1,r1,h2,r2] row_format ="{:<15}" * (header_length + 1) print("Drawdown Analysis Results:") for row in print_list: print(row_format.format('',*row)) if __name__ == '__main__': # Create a cerebro entity cerebro = bt.Cerebro() # Add a strategy cerebro.addstrategy(TestStrategy) # Datas are in a subfolder of the samples. Need to find where the script is # because it could have been called from anywhere modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, './datas/orcl-1995-2014.txt') # Create a Data Feed data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(2000, 1, 1), # Do not pass values before this date todate=datetime.datetime(2000, 12, 31), # Do not pass values after this date reverse=False) # Add the Data Feed to Cerebro cerebro.adddata(data) # Set our desired cash start cerebro.broker.setcash(1000.0) # Add a FixedSize sizer according to the stake cerebro.addsizer(bt.sizers.FixedSize, stake=10) # Set the commission cerebro.broker.setcommission(commission=0.0) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Add the analyzers we are interested in cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta") cerebro.addanalyzer(bt.analyzers.DrawDown, _name="dd") # Run over everything strategies = cerebro.run() firstStrat = strategies[0] # print the analyzers printTradeAnalysis(firstStrat.analyzers.ta.get_analysis()) printDrawDownAnalysis(firstStrat.analyzers.dd.get_analysis()) # Print out the final result print('Ending Portfolio Value: %.2f' % cerebro.broker.getvalue())This creates the following output:
Starting Portfolio Value: 1000.00 2000-03-31, OPERATION PROFIT, GROSS 100.00, NET 100.00 2000-04-12, OPERATION PROFIT, GROSS -28.70, NET -28.70 2000-04-20, OPERATION PROFIT, GROSS -24.00, NET -24.00 2000-05-05, OPERATION PROFIT, GROSS -22.50, NET -22.50 2000-05-09, OPERATION PROFIT, GROSS -8.20, NET -8.20 2000-05-19, OPERATION PROFIT, GROSS -28.10, NET -28.10 2000-06-23, OPERATION PROFIT, GROSS 37.90, NET 37.90 2000-06-28, OPERATION PROFIT, GROSS -1.60, NET -1.60 2000-06-30, OPERATION PROFIT, GROSS -8.40, NET -8.40 2000-07-05, OPERATION PROFIT, GROSS -21.50, NET -21.50 2000-07-24, OPERATION PROFIT, GROSS -1.60, NET -1.60 2000-07-28, OPERATION PROFIT, GROSS 1.50, NET 1.50 2000-08-02, OPERATION PROFIT, GROSS -10.90, NET -10.90 2000-09-11, OPERATION PROFIT, GROSS 38.70, NET 38.70 2000-10-02, OPERATION PROFIT, GROSS -8.00, NET -8.00 2000-10-31, OPERATION PROFIT, GROSS -35.00, NET -35.00 2000-11-21, OPERATION PROFIT, GROSS 5.00, NET 5.00 2000-12-15, OPERATION PROFIT, GROSS 30.60, NET 30.60 2000-12-21, OPERATION PROFIT, GROSS -21.90, NET -21.90 Trade Analysis Results: Total Open Total Closed Total Won Total Lost 1 19 6 13 Strike Rate Win Streak Losing Streak PnL Net 31.57894736842105 2 5 -6.7 Drawdown Analysis Results: Drawdown Moneydown Length 14.12 161.2 193 Max drawdown Max moneydown Max len 15.04 171.7 193 Ending Portfolio Value: 980.10As can be seen in the output, according to the DrawDown Analyzer, the maximum money down is 171.7 (and the money down is 161.2). However, on the basis of the operating profit, the maximum drawdown is 111.5.
Furthermore, the length and maximum length of the drawdown is reported to be 193 days.
Can anyone explain what I am doing wrong or what is going on?
Many thanks in advance,
Ad
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Drawdown analyzer works with the historical broker value curve. You calculate your results based in closed trades equity, no in-trade drawdowns are considered. The results should be different in most of the cases.