Fixed bug in the calculation of drawdown and drawdown duration

evanwporter · Sep 26, 2023 · 2a56e86 · 2a56e86
1 parent 5a2bb31
commit 2a56e86
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Showing 5 changed files with 25 additions and 66 deletions.
diff --git a/DataHandler/dh.h b/DataHandler/dh.h
@@ -35,7 +35,7 @@ class DataHandler {
       std::map<std::string, int> s;
 
       std::vector<datetime64> total_symbol_dates;
-      std::vector<std::string> symbols;// = {"GOOG", "AAPL"};
+      std::vector<std::string> symbols;
 
       sd::ondemand::document settings;
       bool quiet = true;
@@ -45,7 +45,6 @@ class DataHandler {
       unsigned int total_bars, current, data_size;
 
       DataHandler();
-      // DataHandler(std::vector<std::string> sym);
 
       MoneyMatrixX getLatestBarsN(std::string symbol, int N);
 };

diff --git a/Metrics/metrics.cpp b/Metrics/metrics.cpp
@@ -68,7 +68,7 @@ Metrics::Metrics(Portfolio *p) {
 
     // std::cout<<"7";
 
-    // calculate_drawdown();
+    calculate_drawdown();
 
     // std::cout << max_dd << std::endl;
 
@@ -83,70 +83,33 @@ double Metrics::SHARPE_RATIO(int periods) {
     return std::sqrt(periods) * RETURNS.mean() / stdev(RETURNS);
 }
 
-// double Metrics::std(Eigen::VectorXd vec) {
-//     return std::sqrt((vec.array() - vec.mean()).square().sum() / (vec.size() - 1));
-// }
-
-
-// void Metrics::calculate_drawdown() {
-
-//     MoneyVectorX high_water_mark = MoneyMatrixX(EQUITY_CURVE.size(), 1);
-//     MoneyVectorX drawdown = MoneyMatrixX(EQUITY_CURVE.size(), 1);
-//     MoneyVectorX drawdown_duration = MoneyMatrixX(EQUITY_CURVE.size(), 1);
-
-//     for (int t = 1; t < EQUITY_CURVE.size(); t++) {
-//         high_water_mark(t) = std::max(high_water_mark(t - 1), EQUITY_CURVE(t));
-//         drawdown(t) = high_water_mark(t) - EQUITY_CURVE(t);
-//         if (drawdown(t) == 0) {
-//             drawdown_duration(t) = 0;
-//         }
-//         else {
-//             drawdown_duration(t) = drawdown_duration(t-1) + 1;
-//         };
-//     //     high_water_mark[t] = max(high_water_mark[t-1], self.eq_curve[t])
-//     //     drawdown[t]= high_water_mark[t] - self.eq_curve[t]
-//     //     drawdown_duration[t]= 0 if drawdown[t] == 0 else drawdown_duration[t-1] + 1
-//     };
+void Metrics::calculate_drawdown() {
+
+    PercentVectorX high_water_mark = PercentVectorX(EQUITY_CURVE.size(), 1);
+    PercentVectorX drawdown = PercentVectorX(EQUITY_CURVE.size(), 1);
+    PercentVectorX drawdown_duration = PercentVectorX(EQUITY_CURVE.size(), 1);
+
+    for (int t = 1; t < EQUITY_CURVE.size(); t++) {
+        high_water_mark(t) = std::max(high_water_mark(t - 1), EQUITY_CURVE(t));
+        drawdown(t) = high_water_mark(t) - EQUITY_CURVE(t);
+        if (drawdown(t) == 0) {
+            drawdown_duration(t) = 0;
+        }
+        else {
+            drawdown_duration(t) = drawdown_duration(t-1) + 1;
+        };
+    };
 
-//     MAX_DRAWDOWN = drawdown.maxCoeff();
-//     DRAWDOWN_DURATION = drawdown_duration.maxCoeff();
-
-// };
-
-// void Metrics::cumulative_product(MoneyVectorX vec, MoneyVectorX& make_vec) {
-//     // Note this function automatically adds one to whatever its cumulatively multiplying.
-
-//     make_vec = Eigen::MatrixXd(vec.size(), 1);
-//     // make_vec(0) = vec(0);
-
-//     // std::cout << "TOTAL RETURNS" << std::endl << vec.head(10) << std::endl;
-
-//     make_vec(0) = vec(0);
-//     vec.array() += 1.f;
-
-//     // std::cout << "TOTAL RETURNS + 1" << std::endl << vec.head(10) << std::endl;
+    MAX_DRAWDOWN = drawdown.maxCoeff();
+    DRAWDOWN_DURATION = drawdown_duration.maxCoeff();
 
-//     for (int j = 1; j < vec.size(); j++) {
-//         make_vec(j) = (vec(j) * make_vec(j - 1));
-//     };
+};
 
-// }
 
 void Metrics::printf_csv(std::string path, MoneyMatrixX matrix) {
     const static Eigen::IOFormat CSVFormat(StreamPrecision, DontAlignCols, ", ", "\n");
     std::ofstream file(path);
     file << matrix.format(CSVFormat);
-
-
-    // std::cout << matrix;
-
-    // for (int row = 0; row < matrix.rows(); row++) {
-    //     for (int col = 0; col < matrix.cols(); col++) std::cout << col << ',';
-    //     std::cout << '\n';
-    // }
-
-    // for (auto row : matrix)
-
 }
 
 void Metrics::display_metrics() {
@@ -155,8 +118,8 @@ void Metrics::display_metrics() {
     vt.addRow("Time Taken", TIME_TAKEN);
     vt.addRow("Sharpe Ratio", SHARPE_RATIO(252));
     vt.addRow("Total Return", TOTAL_RETURN);
-    vt.addRow("Max DD", 100);//MAX_DRAWDOWN);
-    vt.addRow("DD Duration", 100);//DRAWDOWN_DURATION);
+    vt.addRow("Max DD", MAX_DRAWDOWN);
+    vt.addRow("DD Duration", DRAWDOWN_DURATION);
     // vt.addRow("Profit and Loss", PnL);
 
     vt.print(std::cout);

diff --git a/Metrics/metrics.h b/Metrics/metrics.h
@@ -19,13 +19,9 @@ class Metrics {
 
       MoneyMatrixX holdings, TOTAL_EQUITY;
 
-      Matrix< double, Dynamic, 1 > RETURNS, EQUITY_CURVE;
+      PercentVectorX RETURNS, EQUITY_CURVE;
 
-
       double SHARPE_RATIO(int periods);
-
-      // static double std(VectorXd vec);
-      // static void cumulative_product(Eigen::VectorXd vec, VectorXd& make_vec);
 
       double MAX_DRAWDOWN, TOTAL_RETURN, PnL;
       double TIME_TAKEN;

diff --git a/backtest.exe b/backtest.exe
diff --git a/utility.h b/utility.h
@@ -19,6 +19,7 @@ typedef long quantity_t;
 
 typedef Eigen::Matrix< money, Eigen::Dynamic, Eigen::Dynamic, Eigen::RowMajor > MoneyMatrixX;
 typedef Eigen::Matrix< money, Eigen::Dynamic, 1 > MoneyVectorX;
+typedef Eigen::Matrix< double, Eigen::Dynamic, 1 > PercentVectorX;
 
 
 #endif