Update backtesting.py

vnpy/app/cta_strategy/backtesting.py

@@ -293,7 +293,7 @@ class BacktestingEngine:
         self.output("逐日盯市盈亏计算完成")
         return self.daily_df
 
-    def calculate_statistics(self, df: DataFrame = None):
+    def calculate_statistics(self, df: DataFrame = None, Output=True):
         """"""
         self.output("开始计算策略统计指标")
 
@@ -325,6 +325,7 @@ class BacktestingEngine:
             daily_return = 0
             return_std = 0
             sharpe_ratio = 0
+            return_drawdown_ratio = 0
         else:
             # Calculate balance related time series data
             df["balance"] = df["net_pnl"].cumsum() + self.capital
@@ -373,7 +374,10 @@ class BacktestingEngine:
             else:
                 sharpe_ratio = 0
 
+            return_drawdown_ratio = -total_return / max_ddpercent
+
         # Output
+        if Output:
             self.output("-" * 30)
             self.output(f"首个交易日：\t{start_date}")
             self.output(f"最后交易日：\t{end_date}")
@@ -405,6 +409,7 @@ class BacktestingEngine:
             self.output(f"日均收益率：\t{daily_return:,.2f}%")
             self.output(f"收益标准差：\t{return_std:,.2f}%")
             self.output(f"Sharpe Ratio：\t{sharpe_ratio:,.2f}")
+            self.output(f"收益回撤比：\t{return_drawdown_ratio:,.2f}")
 
         statistics = {
             "start_date": start_date,
@@ -430,6 +435,7 @@ class BacktestingEngine:
             "daily_return": daily_return,
             "return_std": return_std,
             "sharpe_ratio": sharpe_ratio,
+            "return_drawdown_ratio": return_drawdown_ratio,
         }
 
         return statistics