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trading.optimizer.analysis.calculators.drawdown

trading.optimizer.analysis.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\optimizer\analysis\calculators\drawdown.py 
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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
    )