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Fix some assumptions on the data 

available_capital is not guaranteed to be available, while dry-run-wallet is.
This commit is contained in:
Matthias 2022-05-02 19:44:14 +02:00
parent 7160f9085a
commit 1e2523af61
4 changed files with 6 additions and 6 deletions
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6
freqtrade/data/metrics.py
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@ -1,5 +1,5 @@
import logging import logging
from typing import Dict, Optional, Tuple from typing import Dict, Tuple
import numpy as np import numpy as np
import pandas as pd import pandas as pd
@ -73,7 +73,7 @@ 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, def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_col: str,
starting_balance: Optional[float] = 0.0) -> pd.DataFrame: starting_balance: float) -> pd.DataFrame:
max_drawdown_df = pd.DataFrame() max_drawdown_df = pd.DataFrame()
max_drawdown_df['cumulative'] = profit_results[value_col].cumsum() max_drawdown_df['cumulative'] = profit_results[value_col].cumsum()
max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax() max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax()
@ -93,7 +93,7 @@ def _calc_drawdown_series(profit_results: pd.DataFrame, *, date_col: str, value_
def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date', 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: float = 0.0
): ):
""" """
Calculate max drawdown and the corresponding close dates Calculate max drawdown and the corresponding close dates

2
freqtrade/optimize/hyperopt_loss/hyperopt_loss_max_drawdown_relative.py
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@ -36,7 +36,7 @@ class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
drawdown_df = calculate_underwater( drawdown_df = calculate_underwater(
results, results,
value_col='profit_abs', value_col='profit_abs',
starting_balance=config['available_capital'] starting_balance=config['dry_run_wallet']
) )
max_drawdown = abs(min(drawdown_df['drawdown'])) max_drawdown = abs(min(drawdown_df['drawdown']))
relative_drawdown = max(drawdown_df['drawdown_relative']) relative_drawdown = max(drawdown_df['drawdown_relative'])

3
freqtrade/plot/plotting.py
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@ -692,7 +692,8 @@ def plot_profit(config: Dict[str, Any]) -> None:
# this could be useful to gauge the overall market trend # this could be useful to gauge the overall market trend
fig = generate_profit_graph(plot_elements['pairs'], plot_elements['ohlcv'], fig = generate_profit_graph(plot_elements['pairs'], plot_elements['ohlcv'],
trades, config['timeframe'], trades, config['timeframe'],
config.get('stake_currency', ''), config['available_capital']) config.get('stake_currency', ''),
config.get('available_capital', config['dry_run_wallet']))
store_plot_file(fig, filename='freqtrade-profit-plot.html', store_plot_file(fig, filename='freqtrade-profit-plot.html',
directory=config['user_data_dir'] / 'plot', directory=config['user_data_dir'] / 'plot',
auto_open=config.get('plot_auto_open', False)) auto_open=config.get('plot_auto_open', False))

1
tests/test_plotting.py
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@ -454,7 +454,6 @@ def test_plot_profit(default_conf, mocker, testdatadir):
default_conf['datadir'] = testdatadir default_conf['datadir'] = testdatadir
default_conf['exportfilename'] = testdatadir / 'backtest-result_test_nofile.json' default_conf['exportfilename'] = testdatadir / 'backtest-result_test_nofile.json'
default_conf['pairs'] = ['ETH/BTC', 'LTC/BTC'] default_conf['pairs'] = ['ETH/BTC', 'LTC/BTC']
default_conf['available_capital'] = 1000
profit_mock = MagicMock() profit_mock = MagicMock()
store_mock = MagicMock() store_mock = MagicMock()