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PEP8 code compliance

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This commit is contained in:
Nicolas Papp
2022-04-23 13:15:14 -03:00
parent c8e4687833
commit 0f943c482b
4 changed files with 37 additions and 16 deletions
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26
freqtrade/data/btanalysis.py
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@@ -435,7 +435,7 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_col: str,
starting_balance : Optional[float] = 0.0) -> pd.DataFrame:
starting_balance: Optional[float] = 0.0) -> pd.DataFrame:
max_drawdown_df = pd.DataFrame()
max_drawdown_df['cumulative'] = profit_results[value_col].cumsum()
max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax()
@@ -446,13 +446,15 @@ def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_
max_balance = starting_balance + max_drawdown_df['high_value']
max_drawdown_df['drawdown_relative'] = ((max_balance - cumulative_balance) / max_balance)
else:
# This is not completely accurate,
max_drawdown_df['drawdown_relative'] = ((max_drawdown_df['high_value'] - max_drawdown_df['cumulative']) / max_drawdown_df['high_value'])
# This is not completely accurate
max_drawdown_df['drawdown_relative'] = (
(max_drawdown_df['high_value'] - max_drawdown_df['cumulative'])
/ max_drawdown_df['high_value'])
return max_drawdown_df
def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
value_col: str = 'profit_ratio', starting_balance : Optional[float] = 0.0
value_col: str = 'profit_ratio', starting_balance: Optional[float] = 0.0
):
"""
Calculate max drawdown and the corresponding close dates
@@ -466,7 +468,11 @@ def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
if len(trades) == 0:
raise ValueError("Trade dataframe empty.")
profit_results = trades.sort_values(date_col).reset_index(drop=True)
max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance)
max_drawdown_df = _calc_drawdown_series(
profit_results,
date_col=date_col,
value_col=value_col,
starting_balance=starting_balance)
return max_drawdown_df
@@ -489,9 +495,15 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
if len(trades) == 0:
raise ValueError("Trade dataframe empty.")
profit_results = trades.sort_values(date_col).reset_index(drop=True)
max_drawdown_df = _calc_drawdown_series(profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance)
max_drawdown_df = _calc_drawdown_series(
profit_results,
date_col=date_col,
value_col=value_col,
starting_balance=starting_balance
)
idxmin = max_drawdown_df['drawdown_relative'].idxmax() if relative else max_drawdown_df['drawdown'].idxmin()
idxmin = max_drawdown_df['drawdown_relative'].idxmax() if relative \
else max_drawdown_df['drawdown'].idxmin()
if idxmin == 0:
raise ValueError("No losing trade, therefore no drawdown.")
high_date = profit_results.loc[max_drawdown_df.iloc[:idxmin]['high_value'].idxmax(), date_col]