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maximumDrawdown.py
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maximumDrawdown.py
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import plotly.express as px
import plotly.graph_objects as go
import os
import traceback
def calculate_max_drawdown(symbol, first_date, end, df, picture=False) -> float:
try:
window = 252
Roll_Max = df['Close'].rolling(window, min_periods=1).max()
Daily_Drawdown = df['Close']/Roll_Max - 1.0
Max_Daily_Drawdown = Daily_Drawdown.rolling(window, min_periods=1).min()
fig = px.line(x=df.index, y=df['Close'], title=f'{symbol} ({first_date}/{end})', labels={'x': 'Date', 'y': 'Close Price'})
fig.add_scatter(x=df.index, y=Max_Daily_Drawdown, mode='lines', name='Max. Drawdown', yaxis='y2')
fig.update_layout(yaxis2=dict(title='Max Drawdown', overlaying='y', side='right'), template='plotly_white', width=600, height=600, title_x=0.5, hovermode="x unified")
fig.update_layout(
title=go.layout.Title(
text=f"<b>{symbol} Max. Drawdown (252 window)</b><br><sup>{first_date}/{end}</sup>",
xref="paper",
x=0.5
),
yaxis=go.layout.YAxis(
title=go.layout.yaxis.Title(
text='Price'
)
),
xaxis=go.layout.XAxis(
title=go.layout.xaxis.Title(
text='Period'
)
)
)
if picture:
fig.show()
save = input("Save graphics to the current folder? (y/n)")
if save.lower() == 'y':
folder_name = "output"
save_dir = os.path.isdir(folder_name)
current_dir = os.getcwd()
if not save_dir:
os.makedirs(folder_name)
fig.write_image(f"{current_dir}/{folder_name}/{symbol}_statistics_{first_date}-{end}_{picture}.png")
fig.write_html(f"{current_dir}/{folder_name}/{symbol}_statistics_{first_date}-{end}_{picture}.html")
print(f"Image saved to {current_dir}/{folder_name}.")
return Max_Daily_Drawdown.min()
except Exception as e:
error_msg = f"Unexpected Error: {e}\nTraceback: {traceback.format_exc()}"
print(error_msg)
return error_msg