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Add realized maximum drawdown metric #504

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Add realized maximum drawdown metric #504

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13 changes: 13 additions & 0 deletions jesse/services/metrics.py
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Original file line number Diff line number Diff line change
Expand Up @@ -157,6 +157,17 @@ def max_drawdown(returns):
# Always convert to pandas Series
return pd.Series([result])

def realized_max_drawdown(starting_balance, df_pnl):
"""
Calculates the realized maximum drawdown as a percentage
"""
cumulative_balance = starting_balance + df_pnl.cumsum()
peak_balance = cumulative_balance.cummax()
drawdown = peak_balance - cumulative_balance
drawdown_pct = (drawdown / peak_balance) * 100
result = -drawdown_pct.max()

return pd.Series([result])

def cagr(returns, rf=0.0, compounded=True, periods=365):
"""
Expand Down Expand Up @@ -311,6 +322,7 @@ def trades(trades_list: List[ClosedTrade], daily_balance: list, final: bool = Tr
average_losing_holding_period = losing_trades['holding_period'].mean()
gross_profit = winning_trades['PNL'].sum()
gross_loss = losing_trades['PNL'].sum()
realized_max_dd = realized_max_drawdown(starting_balance, df['PNL']).iloc[0]

start_date = datetime.fromtimestamp(store.app.starting_time / 1000)
date_index = pd.date_range(start=start_date, periods=len(daily_balance))
Expand Down Expand Up @@ -366,6 +378,7 @@ def safe_convert(value, convert_type=float):
'gross_profit': safe_convert(gross_profit),
'gross_loss': safe_convert(gross_loss),
'max_drawdown': safe_convert(max_dd),
'realized_max_drawdown': safe_convert(realized_max_dd),
'annual_return': safe_convert(annual_return),
'sharpe_ratio': safe_convert(sharpe),
'calmar_ratio': safe_convert(calmar),
Expand Down
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