From 7cedaf6a2f5d5debdf5d4fda8c1a1cffe94db268 Mon Sep 17 00:00:00 2001 From: KeKe <45591222+1122455801@users.noreply.github.com> Date: Fri, 1 Nov 2019 10:49:16 +0800 Subject: [PATCH] Update backtesting.py --- vnpy/app/cta_strategy/backtesting.py | 5 +++++ 1 file changed, 5 insertions(+) diff --git a/vnpy/app/cta_strategy/backtesting.py b/vnpy/app/cta_strategy/backtesting.py index 85758625..600742a0 100644 --- a/vnpy/app/cta_strategy/backtesting.py +++ b/vnpy/app/cta_strategy/backtesting.py @@ -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,