B737 Captain reported receiving a windshear alert on takeoff.

Narrative

On Day 0 we were operating flight ZZZ to ZZZ1. We pushed back off gate and taxied to RWY XXR. There was rain showers in the area and the surface was wet. We decided to do a flaps 5 Max VR takeoff due to the conditions. When we got to the runway; there was a cell producing heavy rain at the end of the runway. We decided to delay takeoff until the cell moved off our procedure path. During that time a corporate jet took off and reported light to moderate turbulence. Right after he took off Tower announced wind shear alerts for XXL and XXR departure end loss of 15 knots. We decided to delay longer. The weather was moving slowly to the Southeast and after about 4 or 5 minutes we felt comfortable taking off on runway XXR as we were going to make a right turnout into clear skies. We accepted takeoff clearance and proceeded the takeoff roll. I was the flying pilot. About 20 knots from V1 we went into heavy rain and the visibility declined significantly. About that time; Tower issued a wind shear alert for 15L of a loss but I don't recall how much of a loss. We continued our Max VR takeoff and climb out. At 400 ft AGL we started our right turn to heading 020. At about 500 ft we got a wind shear warning (oral and on the PFD (Primary Flight Display)). I immediately called max power; stow speed brakes and pitched for the flight director. The First Officer backed me up and made trending altitude callouts. Initially; we had a performance increase and then the decrease came with a total loss of approximately 20-25 knots. I got a bank angle oral warning which I immediately corrected and a don't sink oral warning 2 times. I followed the flight director until performance increased again and the warnings went away. We then quickly brought the flaps up without exceeding any speeds. We continued our turn to heading 020 and continued to ZZZ1. We also reported the wind shear event to Tower before switching frequencies. We had a very observant jump seater on board that gave us great information. He said we got the wind shear warning at about 500-600 ft. The bank angle oral was just a slight over bank. During the performance increase we climbed to 1050ft. During the decreasing performance we lost about 200 ft of altitude and came out of the wind shear at 850 ft.