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drawdown.py
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drawdown.py
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#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015, 2016 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
from .. import Observer
class DrawDown(Observer):
'''This observer keeps track of the current drawdown level (plotted) and
the maxdrawdown (not plotted) levels
Params: None
'''
_stclock = True
lines = ('drawdown', 'maxdrawdown',)
plotinfo = dict(plot=True, subplot=True)
plotlines = dict(maxdrawdown=dict(_plotskip=True,))
def __init__(self):
self._dd = self._owner._addanalyzer_slave(bt.analyzers.DrawDown)
def next(self):
self.lines.drawdown[0] = self._dd.rets.drawdown # update drawdown
self.lines.maxdrawdown[0] = self._dd.rets.max.drawdown # update max
class DrawDown_Old(Observer):
'''This observer keeps track of the current drawdown level (plotted) and
the maxdrawdown (not plotted) levels
Params: None
'''
_stclock = True
lines = ('drawdown', 'maxdrawdown',)
plotinfo = dict(plot=True, subplot=True)
plotlines = dict(maxdrawdown=dict(_plotskip='True',))
def __init__(self):
super(DrawDown_Old, self).__init__()
self.maxdd = 0.0
self.peak = float('-inf')
def next(self):
value = self._owner.broker.getvalue()
# update the maximum seen peak
if value > self.peak:
self.peak = value
# calculate the current drawdown
self.lines.drawdown[0] = dd = 100.0 * (self.peak - value) / self.peak
# update the maxdrawdown if needed
self.lines.maxdrawdown[0] = self.maxdd = max(self.maxdd, dd)