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export open/close rate for backtesting too

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preparation to allow plotting of backtest results
This commit is contained in:
xmatthias
2018-06-23 14:19:50 +02:00
parent 909fd39b80
commit 0440a19171
2 changed files with 28 additions and 12 deletions
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22
freqtrade/optimize/backtesting.py
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@@ -37,6 +37,8 @@ class BacktestResult(NamedTuple):
close_index: int
trade_duration: float
open_at_end: bool
open_rate: float
close_rate: float
class Backtesting(object):
@@ -115,11 +117,13 @@ class Backtesting(object):
def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
records = [(trade_entry.pair, trade_entry.profit_percent,
trade_entry.open_time.timestamp(),
trade_entry.close_time.timestamp(),
trade_entry.open_index - 1, trade_entry.trade_duration)
for index, trade_entry in results.iterrows()]
# columns = ["pair", "profit", "opents", "closets", "index", "duration",
# "open_rate", "close_rate", "open_at_end"]
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
t.open_rate, t.close_rate, t.open_at_end)
for index, t in results.iterrows()]
if records:
logger.info('Dumping backtest results to %s', recordfilename)
@@ -158,7 +162,9 @@ class Backtesting(object):
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False
open_at_end=False,
open_rate=buy_row.close,
close_rate=sell_row.close
)
if partial_ticker:
# no sell condition found - trade stil open at end of backtest period
@@ -171,7 +177,9 @@ class Backtesting(object):
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True
open_at_end=True,
open_rate=buy_row.close,
close_rate=sell_row.close
)
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs)