Module backtrader.observers.drawdown

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 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:

      - ``fund`` (default: ``None``)

        If ``None`` the actual mode of the broker (fundmode - True/False) will
        be autodetected to decide if the returns are based on the total net
        asset value or on the fund value. See ``set_fundmode`` in the broker
        documentation

        Set it to ``True`` or ``False`` for a specific behavior

    '''
    _stclock = True

    params = (
        ('fund', None),
    )

    lines = ('drawdown', 'maxdrawdown',)

    plotinfo = dict(plot=True, subplot=True)

    plotlines = dict(maxdrawdown=dict(_plotskip=True,))

    def __init__(self):
        kwargs = self.p._getkwargs()
        self._dd = self._owner._addanalyzer_slave(bt.analyzers.DrawDown,
                                                  **kwargs)

    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 DrawDownLength(Observer):
    '''This observer keeps track of the current drawdown length (plotted) and
    the drawdown max length (not plotted)

    Params: None
    '''
    _stclock = True

    lines = ('len', 'maxlen',)

    plotinfo = dict(plot=True, subplot=True)

    plotlines = dict(maxlength=dict(_plotskip=True,))

    def __init__(self):
        self._dd = self._owner._addanalyzer_slave(bt.analyzers.DrawDown)

    def next(self):
        self.lines.len[0] = self._dd.rets.len  # update drawdown length
        self.lines.maxlen[0] = self._dd.rets.max.len  # update max length


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)

Classes

class DrawDown

This observer keeps track of the current drawdown level (plotted) and the maxdrawdown (not plotted) levels

Params

  • fund (default: None)

If None the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

Set it to True or False for a specific behavior

Expand source code 
class DrawDown(Observer):
    '''This observer keeps track of the current drawdown level (plotted) and
    the maxdrawdown (not plotted) levels

    Params:

      - ``fund`` (default: ``None``)

        If ``None`` the actual mode of the broker (fundmode - True/False) will
        be autodetected to decide if the returns are based on the total net
        asset value or on the fund value. See ``set_fundmode`` in the broker
        documentation

        Set it to ``True`` or ``False`` for a specific behavior

    '''
    _stclock = True

    params = (
        ('fund', None),
    )

    lines = ('drawdown', 'maxdrawdown',)

    plotinfo = dict(plot=True, subplot=True)

    plotlines = dict(maxdrawdown=dict(_plotskip=True,))

    def __init__(self):
        kwargs = self.p._getkwargs()
        self._dd = self._owner._addanalyzer_slave(bt.analyzers.DrawDown,
                                                  **kwargs)

    def next(self):
        self.lines.drawdown[0] = self._dd.rets.drawdown  # update drawdown
        self.lines.maxdrawdown[0] = self._dd.rets.max.drawdown  # update max

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class DrawDownLength

This observer keeps track of the current drawdown length (plotted) and the drawdown max length (not plotted)

Params: None

Expand source code 
class DrawDownLength(Observer):
    '''This observer keeps track of the current drawdown length (plotted) and
    the drawdown max length (not plotted)

    Params: None
    '''
    _stclock = True

    lines = ('len', 'maxlen',)

    plotinfo = dict(plot=True, subplot=True)

    plotlines = dict(maxlength=dict(_plotskip=True,))

    def __init__(self):
        self._dd = self._owner._addanalyzer_slave(bt.analyzers.DrawDown)

    def next(self):
        self.lines.len[0] = self._dd.rets.len  # update drawdown length
        self.lines.maxlen[0] = self._dd.rets.max.len  # update max length

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class DrawDown_Old

This observer keeps track of the current drawdown level (plotted) and the maxdrawdown (not plotted) levels

Params: None

Expand source code 
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)

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members