46 lines
1.3 KiB
Python
46 lines
1.3 KiB
Python
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from __future__ import annotations
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import argparse
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from pathlib import Path
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import pandas as pd
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def main() -> None:
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ap = argparse.ArgumentParser()
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ap.add_argument("--equity", required=True)
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ap.add_argument("--trades", required=True)
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ap.add_argument("--top", type=int, default=3)
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args = ap.parse_args()
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eq = pd.read_parquet(args.equity)
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eq = eq.copy()
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eq.index = eq.index.astype(str)
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s = eq["equity"].astype(float)
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peak = s.cummax()
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dd = s / peak - 1.0
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# find worst drawdowns by trough
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worst = dd.nsmallest(args.top)
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tr = pd.read_parquet(args.trades)
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tr = tr.copy()
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tr["trade_date"] = tr["trade_date"].astype(str)
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for d, v in worst.items():
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# drawdown start = last peak before d
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peak_date = (s.loc[:d]).idxmax()
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print("---")
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print("trough", d, "dd", float(v))
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print("peak", peak_date, "peak_equity", float(s.loc[peak_date]), "trough_equity", float(s.loc[d]))
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w = tr[(tr["trade_date"] >= peak_date) & (tr["trade_date"] <= d)]
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print("trades in window", len(w))
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if not w.empty:
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cols = [c for c in ["trade_date", "ts_code", "side", "reason", "weight_before", "weight_after", "price"] if c in w.columns]
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print(w[cols].tail(25).to_string(index=False))
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if __name__ == "__main__":
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main()
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