Drawdown Length Calculation

[ab_trader]

Hi all! I've coded an observer for calculation of the current drawdown length and maximum length of drawdown over the backtest. Any critique is welcomed.

class DrawDownLength(bt.observers.DrawDown):

    lines = ('length', 'maxlength')
    plotinfo = dict(plotinfo=True, subplot=True)

    plotlines = dict(drawdown=dict(_plotskip='True',))
    plotlines = dict(maxlength=dict(_plotskip='True',))

    def __init__(self):

        super(DrawDownLength, self).__init__()
        self.length = 0

    def next(self):

        super(DrawDownLength, self).next()

        if self.lines.drawdown[0] != 0:
            self.length += 1
        else:
            self.length = 0

        self.lines.length[0] = self.length
        self.lines.maxlength[0] = max(self.length, self.lines.maxlength[-1])

@backtrader

If possible could you please include it as a standard bt package observer?

[tim3lord]

Nice! Was looking at trying to make something like this myself. Thanks for sharing

[RandyT]

Nice work @ab_trader

This was on my list of things to do.

Oh! I have not enough reputation points to reply. :smile:
Bad reputation more likely...

[jaikumarm]

this is awesome, thanks for adding this!

[backtrader]

Thx for sharing. Since your were asking for comments I would suggest implementing the code as an analyzer. The observer simply initializes the analyzer and feeds its lines with the values generated by the analyzer.

Some people may only want the analyzer and not the observer, because the final values may be sought for statistical purposes.

Check the TimeReturn observer, which relies on the TimeReturn analyzer.

[ab_trader]

@backtrader Thank you. I got your idea, but need to do more homework on observer - analyzer relationship.

[backtrader]

In any case let me suggest that you:

• Create a pull request in the backtrader repository for integration

It is not because the code cannot be copied and pasted: it is to ensure attribution

You may also want to add a couple of lines with a docstring

Note

The DrawDown observer is in need of a due update to be re-implemented like the TimeReturn. Reasons:

• Separate the logic in Observer and Analyzer
• Be able to observe/analyze a timeframe different than the timeframe which the data has (data is in Days, but you want to get the maximum drawdown length in full weeks for example)

As such you may want to wait and then add your changes to the re-implementation.

[ab_trader]

@backtrader

I've already coded new analyzer for drawdown calcs, and will use it from new Drawdown observer. Need to test it little bit before put here.

If you would be so kind and explain me how to create pull request, and what to do with it further, then I probably can do it. :) I am not a professional software developer. I believe that copy - paste in my case will be much faster. Anyway it will be new version of Drawdown analyzer & observer.

[RandyT]

@ab_trader to help with the burden placed on @backtrader, I'd be happy to help walk you through getting started with github and the pull request if that is of interest. Let me know in chat if I can help.

You'll need a github account and a fork of backtrader.

[ab_trader]

@RandyT i've created chat with you. Can you see it?

[ab_trader]

@backtrader
I've added pull request for drawdown analyzer.

About observer - can I separate lines from one observer to several plots? Or it works as one observer = one plot?

[backtrader]

Objects (observers, indicators, data feeds) are meant to be plotted on a single subplot. It can be influenced whether that's an own subplot or someone else's (that's why something like Stochastic defaults to a separate subplot and an SMA defaults to plot on the data on which is calculated)

Individual lines are not meant (and there is no support for it) to be plotted on its own at some to-be-chosen subplot. But depending on your needs all you may need is to change the way you plot things.

The BTFD blog post (sample is in the sources) doesn't plot the data or indicators: it simply plots an observer which constructs its values.

See here: https://www.backtrader.com/blog/posts/2016-12-26-btfd/btfd.html

[backtrader]

The pull-request was integrated. Length and money ideas were added, but it has been reworked using the style of the TradeAnalyzer, because the values to keep pointed in that direction.

The DrawDown observer has been updated to use it (the old version is still available under DrawDown_Old. A chart comparing both (running the updated sample)

[ab_trader]

@backtrader thank you!
I've actually created two separate observers: one fir new dd and one for length. But somehow my changes for them appeared in my fork but no pull requests were created. I'll try again to add drawdown length observer.

[backtrader]

Maybe you want to have a look at the current new DrawDown observer, which is extremely simplified and simply observes and from there derive the observer for the length.

The commit in the development branch would take you here: https://github.com/mementum/backtrader/blob/6ac3ea989288a461c0b3e49c9d773e5680256155/backtrader/observers/drawdown.py

[ab_trader]

@backtrader I've looked on it, and I am going to use it as a baseline for dd length observer.