3. Drawdown analysis appears to be incorrect
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Drawdown analysis appears to be incorrect

  • A

    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,

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    0
  • A

    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.

    1
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