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feat: calculate complete drawdown metrics from wallet (incl. underwater)

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Matthias
2026-04-12 09:18:37 +02:00
parent 173c75c08c
commit 76c09299a9
1 changed files with 18 additions and 5 deletions
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freqtrade/optimize/optimize_reports/optimize_reports.py
+18 -5
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@@ -68,9 +68,16 @@ def generate_wallet_stats(wallet_df: DataFrame, stake_currency: str) -> dict[str
calmar = calculate_calmar_from_balance(wallet) calmar = calculate_calmar_from_balance(wallet)
try: try:
drawdown = calculate_max_drawdown_from_balance(wallet) drawdown = calculate_max_drawdown_from_balance(wallet)
# max_relative_drawdown = Underwater
drawdown_duration = drawdown.low_date - drawdown.high_date
except ValueError: except ValueError:
drawdown = None drawdown = None
drawdown_duration = timedelta()
try:
underwater = calculate_max_drawdown_from_balance(wallet, relative=True)
except ValueError:
underwater = None
return { return {
"start_balance": start_balance, "start_balance": start_balance,
"end_balance": end_balance, "end_balance": end_balance,
@@ -79,7 +86,13 @@ def generate_wallet_stats(wallet_df: DataFrame, stake_currency: str) -> dict[str
"sharpe": sharpe, "sharpe": sharpe,
"sortino": sortino, "sortino": sortino,
"calmar": calmar, "calmar": calmar,
"low_date": low_date.strftime(DATETIME_PRINT_FORMAT),
"low_ts": int(low_date.timestamp() * 1000),
"high_date": high_date.strftime(DATETIME_PRINT_FORMAT),
"high_ts": int(high_date.timestamp() * 1000),
# Drawdown metrics
"max_drawdown_account": drawdown.relative_account_drawdown if drawdown else 0.0, "max_drawdown_account": drawdown.relative_account_drawdown if drawdown else 0.0,
"max_relative_drawdown": underwater.relative_account_drawdown,
"max_drawdown_abs": drawdown.drawdown_abs if drawdown else 0.0, "max_drawdown_abs": drawdown.drawdown_abs if drawdown else 0.0,
"drawdown_start": ( "drawdown_start": (
drawdown.high_date.strftime(DATETIME_PRINT_FORMAT) drawdown.high_date.strftime(DATETIME_PRINT_FORMAT)
@@ -101,10 +114,10 @@ def generate_wallet_stats(wallet_df: DataFrame, stake_currency: str) -> dict[str
if drawdown and drawdown.low_date is not None if drawdown and drawdown.low_date is not None
else None else None
), ),
"low_date": low_date.strftime(DATETIME_PRINT_FORMAT), "drawdown_duration": drawdown_duration,
"low_ts": int(low_date.timestamp() * 1000), "drawdown_duration_s": drawdown_duration.total_seconds(),
"high_date": high_date.strftime(DATETIME_PRINT_FORMAT), "max_drawdown_low": drawdown.low_value,
"high_ts": int(high_date.timestamp() * 1000), "max_drawdown_high": drawdown.high_value,
} }