initial import: etf strategy project

scripts/analyze_drawdown.py

@@ -0,0 +1,45 @@
+from __future__ import annotations
+
+import argparse
+from pathlib import Path
+
+import pandas as pd
+
+
+def main() -> None:
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--equity", required=True)
+    ap.add_argument("--trades", required=True)
+    ap.add_argument("--top", type=int, default=3)
+    args = ap.parse_args()
+
+    eq = pd.read_parquet(args.equity)
+    eq = eq.copy()
+    eq.index = eq.index.astype(str)
+    s = eq["equity"].astype(float)
+
+    peak = s.cummax()
+    dd = s / peak - 1.0
+
+    # find worst drawdowns by trough
+    worst = dd.nsmallest(args.top)
+
+    tr = pd.read_parquet(args.trades)
+    tr = tr.copy()
+    tr["trade_date"] = tr["trade_date"].astype(str)
+
+    for d, v in worst.items():
+        # drawdown start = last peak before d
+        peak_date = (s.loc[:d]).idxmax()
+        print("---")
+        print("trough", d, "dd", float(v))
+        print("peak", peak_date, "peak_equity", float(s.loc[peak_date]), "trough_equity", float(s.loc[d]))
+        w = tr[(tr["trade_date"] >= peak_date) & (tr["trade_date"] <= d)]
+        print("trades in window", len(w))
+        if not w.empty:
+            cols = [c for c in ["trade_date", "ts_code", "side", "reason", "weight_before", "weight_after", "price"] if c in w.columns]
+            print(w[cols].tail(25).to_string(index=False))
+
+
+if __name__ == "__main__":
+    main()