Merge pull request #11590 from mrpabloyeah/fix-drawdown-calculation

Fix drawdown calculation when there are no winning trades

freqtrade/data/metrics.py

@@ -118,7 +118,7 @@ def _calc_drawdown_series(
 ) -> pd.DataFrame:
     max_drawdown_df = pd.DataFrame()
     max_drawdown_df["cumulative"] = profit_results[value_col].cumsum()
-    max_drawdown_df["high_value"] = max_drawdown_df["cumulative"].cummax()
+    max_drawdown_df["high_value"] = np.maximum(0, max_drawdown_df["cumulative"].cummax())
     max_drawdown_df["drawdown"] = max_drawdown_df["cumulative"] - max_drawdown_df["high_value"]
     max_drawdown_df["date"] = profit_results.loc[:, date_col]
     if starting_balance:

tests/data/test_btanalysis.py

@@ -569,7 +569,7 @@ def test_calculate_max_drawdown2():
     df1.loc[:, "profit"] = df1["profit"] * -1
     # No winning trade ...
     drawdown = calculate_max_drawdown(df1, date_col="open_date", value_col="profit")
-    assert drawdown.drawdown_abs == 0.043965
+    assert drawdown.drawdown_abs == 0.055545
 
 
 @pytest.mark.parametrize(