backtrader.analyzers.calmar module

Calmar Ratio Analyzer Module - Calmar ratio calculation.

This module provides the Calmar analyzer for calculating the Calmar ratio (annual return divided by maximum drawdown).

Classes:

Calmar: Analyzer that calculates Calmar ratio.

示例

>>> cerebro = bt.Cerebro()
>>> cerebro.addanalyzer(bt.analyzers.Calmar, _name='calmar')
>>> results = cerebro.run()
>>> print(results[0].analyzers.calmar.get_analysis())

class backtrader.analyzers.calmar.Calmar

基类：TimeFrameAnalyzerBase

This analyzer calculates the CalmarRatio timeframe which can be different from the one used in the underlying data Params:

• timeframe (default: None) If None the timeframe of the first data in the system will be used

  Pass TimeFrame.NoTimeFrame to consider the entire dataset with no time constraints

• compression (default: None)

  Only used for sub-day timeframes to, for example, work on an hourly timeframe by specifying "TimeFrame.Minutes" and 60 as compression

  If compression is None, then the compression of the first data in the system will be used

• None

• fund (default: None)

  If None, the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

参见

• https://en.wikipedia.org/wiki/Calmar_ratio

- ``get_analysis``

Returns a OrderedDict with a key for the time period and the corresponding rolling Calmar ratio

- ``calmar`` the latest calculated calmar ratio

packages = ('collections', 'math')

params = (('timeframe', 7), ('period', 36), ('fund', None))

__init__(*args, **kwargs)

Initialize the Calmar analyzer.

参数:

• *args -- Positional arguments.

• **kwargs -- Keyword arguments for analyzer parameters.

start()

Initialize the analyzer at the start of the backtest.

Sets up the maximum drawdown tracking, value history queue, and fund mode.

on_dt_over()

Calculate Calmar ratio when timeframe period ends.

Updates maximum drawdown and calculates Calmar ratio as annualized return divided by maximum drawdown.

stop()

Finalize the analysis when backtest ends.

Triggers one final Calmar ratio calculation.