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moving stop loss range to init as it doesn’t need to be called on each

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iteration
This commit is contained in:
misagh 2018-11-06 19:16:20 +01:00
parent 5c38b92a75
commit 133ba5d6a1
1 changed files with 19 additions and 6 deletions
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25
freqtrade/edge/__init__.py
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@ -20,6 +20,13 @@ logger = logging.getLogger(__name__)
class Edge(): class Edge():
"""
Calculates Win Rate, Risk Reward Ratio, Expectancy
against historical data for a give set of markets and a strategy
it then adjusts stoploss and position size accordingly
and force it into the strategy
Author: https://github.com/mishaker
"""
config: Dict = {} config: Dict = {}
_cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs _cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
@ -49,6 +56,17 @@ class Edge():
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14) self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time self._last_updated: int = 0 # Timestamp of pairs last updated time
self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
# calculating stoploss range
self._stoploss_range = np.arange(
self._stoploss_range_min,
self._stoploss_range_max,
self._stoploss_range_step
)
self._timerange: TimeRange = Arguments.parse_timerange("%s-" % arrow.now().shift( self._timerange: TimeRange = Arguments.parse_timerange("%s-" % arrow.now().shift(
days=-1 * self._since_number_of_days).format('YYYYMMDD')) days=-1 * self._since_number_of_days).format('YYYYMMDD'))
@ -91,11 +109,6 @@ class Edge():
) )
headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low'] headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
stoploss_range = np.arange(stoploss_range_min, stoploss_range_max, stoploss_range_step)
trades: list = [] trades: list = []
for pair, pair_data in preprocessed.items(): for pair, pair_data in preprocessed.items():
# Sorting dataframe by date and reset index # Sorting dataframe by date and reset index
@ -105,7 +118,7 @@ class Edge():
ticker_data = self.advise_sell( ticker_data = self.advise_sell(
self.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy() self.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
trades += self._find_trades_for_stoploss_range(ticker_data, pair, stoploss_range) trades += self._find_trades_for_stoploss_range(ticker_data, pair, self._stoploss_range)
# If no trade found then exit # If no trade found then exit
if len(trades) == 0: if len(trades) == 0: