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Drawdown analysis appears to be incorrect



  • 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: 980.10
    

    As 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



  • 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.