回撤

Python 中的金融交易

Chelsea Yang

Data Science Instructor

什么是回撤？

回撤是资产或账户在特定时期内从峰值到谷值的下跌幅度。

回撤图

最大回撤

$\text{最大回撤} = (V_p - V_l)/ V_l $

$V_p$：最大下跌前的峰值

$V_l$：创出新高前的最低值

最大回撤示例

最大回撤

=（A 点数值 − D 点数值）/ A 点数值 =（1700 − 800）/ 1700 = 53%

从回测统计获取回撤指标

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

Calmar 比率

CALMAR：California Managed Accounts Report（加州托管账户报告）

$ Calmar = CAGR / \text{最大回撤} $

Calmar 越高，风险调整后表现越好。
一般认为 Calmar > 3 表现优秀。

手动计算 Calmar 比率

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

从回测统计获取 Calmar 比率

resInfo = bt_result.stats

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

Calmar Ratio: 4.14

Passons à la pratique !

Python 中的金融交易