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    How to calculate drawdown

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    • prnvat8197
      prnvat8197 last edited by

      I have a simple strategy and just wanted to calculate its drawdown. Tried understanding the documentation but was still confused as to how to apply it to my code.

      Code is below :

      #!/usr/bin/env python3
      # -*- coding: utf-8 -*-
      """
      Created on Wed Dec 22 22:35:06 2021
      
      
      """
      
      from __future__ import (absolute_import, division, print_function,
                              unicode_literals)
      import datetime  # For datetime objects
      import backtrader as bt
      import backtrader.indicators as btind
      import backtrader.feeds as btfeeds
      from getPriceData_series import getOHLC
      
      ohlc1 = getOHLC('TCS.NS','6mo', '1d')
      data1 = bt.feeds.PandasData(dataname=ohlc1)
      ohlc2 = getOHLC('BRITANNIA.NS','6mo', '1d')
      data2 = bt.feeds.PandasData(dataname=ohlc1)
      cash = 30000
      investment = 20000
      qty = int(investment/ohlc1['Close'][-1])
      
      class MyStrategy(bt.Strategy):
          
          params = (
              ('exitbars', 5),
              ('qty', qty),
              ('brokerage', 0.0003),
              ('cash', cash),
              ('maperiod', 20)
          )
          
          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
              self.sma = bt.indicators.SimpleMovingAverage(
                  self.datas[0], period=self.params.maperiod)
              # self.sma = self.datas[0].SMA
              # To keep track of pending orders and buy price/commission
              self.order = None
              self.buyprice = None
              self.buycomm = None
      
          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, Qty: %.2f, Cost: %.2f, Comm %.2f' %
                          (order.executed.price,
                           self.params.qty,
                           order.executed.value,
                           order.executed.comm))
                      self.buyprice = order.executed.price
                      self.buycomm = order.executed.comm
                  else:  # Sell
                      self.log('SELL EXECUTED, Price: %.2f, Qty: %.2f, Comm %.2f' %
                               (order.executed.price,
                                self.params.qty,                         
                                order.executed.comm))
                      self.sellprice = order.executed.price
                      self.sellcomm = 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('GROSS %.2f, P/L per stock %.2f, NET %.2f' %
                       (trade.pnl, trade.pnl/self.params.qty, 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 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(size = self.params.qty)
      
              else:
      
                  # Already in the market ... we might sell
                  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(size = self.params.qty)
      
      
      
      if __name__ == '__main__':
          
          
          cerebro = bt.Cerebro()
          cerebro.addstrategy(MyStrategy)
          
          cerebro.adddata(data1)
          cerebro.adddata(data2)
          cerebro.broker.setcash(MyStrategy.params.cash)
          cerebro.broker.setcommission(commission=MyStrategy.params.brokerage)
          # Add a FixedSize sizer according to the stake
          # cerebro.addsizer(bt.sizers.FixedSize, stake=TestStrategy.params.qty)
          
          print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
      
          cerebro.run()
      
          print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
          
      

      Can someone edit the code and help me understand it thanks!

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