Multi-day backtesting now supported.

scripts/test_performance.py

@@ -0,0 +1,35 @@
+"""
+This is a small helper script written to help debug issues
+with performance calculation, that avoids having to re-run
+the full backtest.
+
+In this case it simply works off the "backtest.csv" file that
+is produced from a backtest.py run.
+"""
+
+
+import os
+
+import pandas as pd
+
+from qsforex.performance.performance import create_drawdowns
+from qsforex.settings import OUTPUT_RESULTS_DIR
+
+
+if __name__ == "__main__":
+    in_filename = "backtest.csv"
+    out_filename = "equity.csv" 
+    in_file = os.path.join(OUTPUT_RESULTS_DIR, in_filename)
+    out_file = os.path.join(OUTPUT_RESULTS_DIR, out_filename)
+
+    # Create equity curve dataframe
+    df = pd.read_csv(in_file, index_col=0)
+    df.dropna(inplace=True)
+    df["Total"] = df.sum(axis=1)
+    df["Returns"] = df["Total"].pct_change()
+    df["Equity"] = (1.0+df["Returns"]).cumprod()
+
+    # Create drawdown statistics
+    drawdown, max_dd, dd_duration = create_drawdowns(df["Equity"])
+    df["Drawdown"] = drawdown
+    df.to_csv(out_file, index=True)