BitcoinDMAC: Max Drawdown and Max Drawdown Duration values

[a-m-p-m]

Hi Oleg,

Can't figure out how

Max Drawdown [%] 29.194
Max Drawdown Duration 323 days 00:00:00

are obtained in the BitcoinDMAC notebook (https://github.com/polakowo/vectorbt/blob/master/examples/BitcoinDMAC.ipynb) so have to ask you, sorry, I'm stuck:

What are these Max Drawdown values related to?

It looks like, trades because they change when fast_window/slow_window are changed. But when you look at the trades plot (dmac_pf.trades.plot().show()), there are no trades which would produce these drawdown values.

[polakowo]

@a-m-p-m those are drawdown records from pf.drawdowns, drawdown is computed from the portfolio's equity.

[a-m-p-m]

Ok. Equity as a whole, not individual trades as I assumed. Thank you.
Is there a way to pinpoint the dates between which max drawdown occurred? Which file/function should I look at?

[polakowo]

As said, pf.drawdowns. To print as dataframe: pf.drawdowns.records_readable.