Drawdown

Perdagangan Finansial dengan Python

Chelsea Yang

Data Science Instructor

Apa itu drawdown?

Drawdown adalah penurunan dari puncak ke lembah dalam periode tertentu untuk suatu aset atau akun trading.

Grafik drawdown

Max drawdown

$\text{Max Drawdown} = (V_p - V_l)/ V_l $

$V_p$: Nilai puncak sebelum penurunan terbesar

$V_l$: Nilai terendah sebelum terbentuk puncak baru

Contoh max drawdown

Max drawdown

= (nilai titik A - nilai titik D)/nilai titik A = (1700 - 800)/1700 = 53%

Ambil drawdown dari statistik backtest

resInfo = bt_result.stats

# Get the max drawdown
max_drawdown = resInfo.loc['max_drawdown']
print('Maximum drawdown: %.2f'% max_drawdown)

# Get the average drawdown
avg_drawdown = resInfo.loc['avg_drawdown']
print('Average drawdown: %.2f'% avg_drawdown)

# Get the average drawdown days
avg_drawdown_days = resInfo.loc['avg_drawdown_days']
print('Average drawdown days: %.0f'% avg_drawdown_days)

Maximum drawdown: -0.59
Average drawdown: -0.11
Average drawdown days: 22

Rasio Calmar

CALMAR: CALifornia Managed Accounts Report

$ Calmar = CAGR / \text{Max Drawdown} $

Makin tinggi rasio Calmar, makin baik kinerja terimbangi risikonya.
Umumnya rasio Calmar > 3 dianggap sangat baik.

Hitung rasio Calmar secara manual

resInfo = bt_result.stats
# Get the CAGR
cagr = resInfo.loc['cagr']
# Get the max drawdown
max_drawdown = resInfo.loc['max_drawdown']


# Calculate Calmar ratio mannually
calmar_calc = cagr / max_drawdown * (-1)
print('Calmar Ratio calculated: %.2f'% calmar_calc)

Calmar Ratio calculated: 4.14

Ambil rasio Calmar dari statistik backtest

resInfo = bt_result.stats

# Get the Calmar ratio
calmar = resInfo.loc['calmar']
print('Calmar Ratio: %.2f'% calmar)

Calmar Ratio: 4.14

Ayo berlatih!

Perdagangan Finansial dengan Python