Skip to content

contango.trading.metrics.calculators.drawdown

contango.trading.metrics.calculators.drawdown

get_drawdown_metrics 

get_drawdown_metrics(context: AnalysisContext) -> DrawdownMetrics

Calculates the drawdown metrics for a strategy backtest.

Parameters:

Name Type Description Default
context AnalysisContext

The AnalysisContext object to derive data from.

 required

Returns:

Type Description
DrawdownMetrics

A DrawdownMetrics object with all the metrics relating to returns.
Source code in src\contango\trading\metrics\calculators\drawdown.py 
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
def get_drawdown_metrics(context: AnalysisContext) -> DrawdownMetrics:
    """
    Calculates the drawdown metrics for a strategy backtest.

    Args:
        context: The `AnalysisContext` object to derive data from.

    Returns:
        A `DrawdownMetrics` object with all the metrics relating to returns.
    """
    max_drawdown = _get_max_drawdown(context.drawdowns)
    average_drawdown = _get_average_drawdown(context.drawdowns)
    return DrawdownMetrics(
        max_drawdown=max_drawdown,
        average_drawdown=average_drawdown
    )