Michael Halls-Moore
35 lines
1005 B
Python
35 lines
1005 B
Python
"""
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This is a small helper script written to help debug issues
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with performance calculation, that avoids having to re-run
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the full backtest.
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In this case it simply works off the "backtest.csv" file that
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is produced from a backtest.py run.
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"""
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import os
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import pandas as pd
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from qsforex.performance.performance import create_drawdowns
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from qsforex.settings import OUTPUT_RESULTS_DIR
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if __name__ == "__main__":
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in_filename = "backtest.csv"
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out_filename = "equity.csv"
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in_file = os.path.join(OUTPUT_RESULTS_DIR, in_filename)
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out_file = os.path.join(OUTPUT_RESULTS_DIR, out_filename)
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# Create equity curve dataframe
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df = pd.read_csv(in_file, index_col=0)
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df.dropna(inplace=True)
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df["Total"] = df.sum(axis=1)
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df["Returns"] = df["Total"].pct_change()
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df["Equity"] = (1.0+df["Returns"]).cumprod()
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# Create drawdown statistics
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drawdown, max_dd, dd_duration = create_drawdowns(df["Equity"])
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df["Drawdown"] = drawdown
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df.to_csv(out_file, index=True) |