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Merge pull request #2173 from 1122455801/max_drawdown_duration20191101

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[Add] max drawdown duration index
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vn.py 2019-11-01 10:57:17 +08:00 committed by GitHub
commit 18a1c6e247
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1 changed files with 5 additions and 0 deletions
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vnpy/app/cta_strategy/backtesting.py
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@ -392,6 +392,9 @@ class BacktestingEngine:
end_balance = df["balance"].iloc[-1]
max_drawdown = df["drawdown"].min()
max_ddpercent = df["ddpercent"].min()
max_drawdown_end = df["drawdown"].idxmin()
max_drawdown_start = df["balance"][:max_drawdown_end].argmax()
max_drawdown_duration = (max_drawdown_end - max_drawdown_start).days
total_net_pnl = df["net_pnl"].sum()
daily_net_pnl = total_net_pnl / total_days
@ -437,6 +440,7 @@ class BacktestingEngine:
self.output(f"年化收益：\t{annual_return:,.2f}%")
self.output(f"最大回撤: \t{max_drawdown:,.2f}")
self.output(f"百分比最大回撤: {max_ddpercent:,.2f}%")
self.output(f"最长回撤天数: \t{max_drawdown_duration}")
self.output(f"总盈亏：\t{total_net_pnl:,.2f}")
self.output(f"总手续费：\t{total_commission:,.2f}")
@ -465,6 +469,7 @@ class BacktestingEngine:
"end_balance": end_balance,
"max_drawdown": max_drawdown,
"max_ddpercent": max_ddpercent,
"max_drawdown_duration": max_drawdown_duration,
"total_net_pnl": total_net_pnl,
"daily_net_pnl": daily_net_pnl,
"total_commission": total_commission,