def backtest(self, prices, ref_prices, params):
m = params["m"]
x = params["x"]
interval = params[Ct.interval_key()]
mon_ret_df = Financials.pct_change(prices)
p_return = IntradayResistanceBreakout.calculate(mon_ret_df, m, x)
cagr_params = {Ct.interval_key(): interval}
cagr = CAGR.get_cagr(p_return, cagr_params)
sharpe_params = {"rf": 0.025, Ct.interval_key(): interval}
sharpe = Sharpe.get_sharpe(p_return, sharpe_params)
max_dd = MaxDrawdown.get_max_drawdown(p_return)
# calculating overall strategy's KPIs
mon_ret_df = Financials.pct_change(ref_prices)
cagr_ref = CAGR.get_cagr(mon_ret_df, cagr_params)
sharpe_params = {"rf": 0.025, Ct.interval_key(): interval}
sharpe_ref = Sharpe.get_sharpe(mon_ret_df, sharpe_params)
max_dd_ref = MaxDrawdown.get_max_drawdown(mon_ret_df)
print("CAGR - Portfolio: {}".format(cagr[Ct.cagr_key()]["mon_ret"]))
print("Sharpe - Portfolio: {}".format(
sharpe[Ct.sharpe_key()]["mon_ret"]))
print("MAX-Drawdown - Portfolio: {}".format(
max_dd[Ct.max_drawdown_key()]["mon_ret"]))
print("CAGR - Ref: {}".format(cagr_ref[Ct.cagr_key()]["^DJI"]))
print("Sharpe - Ref: {}".format(sharpe_ref[Ct.sharpe_key()]["^DJI"]))
print("MAX-Drawdown - Ref: {}".format(
max_dd_ref[Ct.max_drawdown_key()]["^DJI"]))
IntradayResistanceBreakout.plot(p_return, mon_ret_df)
def test_KPI_max_drawdown(self):
tickers = ["TSLA", "SPY"]
interval = Ct.INTERVAL.DAY
conf = {
Ct.tickers_key(): tickers,
Ct.historical_type_key(): DATASOURCETYPE.YFINANCE,
Ct.fundamentals_type_key(): None,
Ct.fundamentals_options_key(): [],
Ct.force_fundamentals_key(): False,
Ct.indicators_key(): [],
Ct.start_date_key(): dt.datetime(2021, 3, 7) - dt.timedelta(1825),
Ct.end_date_key(): dt.datetime(2021, 3, 7),
Ct.interval_key(): interval,
Ct.period_key(): None,
Ct.bulk_key(): True
}
stocks = \
StocksFactory.create_stocks(
conf=conf
)
prices_df = stocks[0].get_prices_data(keys={Ct.adj_close_key(): True})
df = Financials.pct_change(prices_df)
md = MaxDrawdown()
result = md.calculate(df)
self.assertEqual(0.6062653645917145,
result[Ct.max_drawdown_key()]['TSLA'])
self.assertEqual(0.3371725544013077,
result[Ct.max_drawdown_key()]['SPY'])
class MaxDrawdown(KPI):
kpi_name = Constants.max_drawdown_key()
def __init__(self, params=None):
super().__init__(params)
if not params:
self.params = {}
def calculate(self, df, params=None):
super().calculate(df)
self.result = MaxDrawdown.get_max_drawdown(df)
return self.result
@staticmethod
def get_max_drawdown(input_df):
""" function to calculate max drawdown" """
df = input_df.copy()
df.columns = df.columns.droplevel(1)
cumprod_df = (1 + df).cumprod()
cum_roll_max_df = cumprod_df.cummax()
drawdown_df = cum_roll_max_df - cumprod_df
drawdown_pct_df = drawdown_df / cum_roll_max_df
result_df = pd.DataFrame()
result_df[MaxDrawdown.kpi_name] = drawdown_pct_df.max()
return result_df
def get_calmar(input_df, params=None):
"""function to calculate Calmar"""
if params is None:
params = {}
cagr = CAGR.get_cagr(input_df, params)
max_dd = MaxDrawdown.get_max_drawdown(input_df)
result_df = pd.DataFrame()
result_df[Calmar.kpi_name] = (cagr[Ct.cagr_key()] /
max_dd[Ct.max_drawdown_key()])
return result_df
