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refactor get_close_rate out of get_sell_trade-entry

This commit is contained in:
Matthias 2019-12-07 14:30:14 +01:00
parent 8dd9b5c6fb
commit 3091869115
1 changed files with 24 additions and 20 deletions
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44
freqtrade/optimize/backtesting.py
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@ -261,6 +261,29 @@ class Backtesting:
ticker[pair] = [x for x in ticker_data.itertuples()]
return ticker
def _get_close_rate(self, sell_row, trade: Trade, sell, trade_dur) -> float:
# Special handling if high or low hit STOP_LOSS or ROI
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
# Set close_rate to stoploss
closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI):
roi = self.strategy.min_roi_reached_entry(trade_dur)
if roi is not None:
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
# Use the maximum between closerate and low as we
# cannot sell outside of a candle.
# Applies when using {"xx": -1} as roi to force sells after xx minutes
closerate = max(closerate, sell_row.low)
else:
# This should not be reached...
closerate = sell_row.open
else:
closerate = sell_row.open
return closerate
def _get_sell_trade_entry(
self, pair: str, buy_row: DataFrame,
partial_ticker: List, trade_count_lock: Dict,
@ -287,26 +310,7 @@ class Backtesting:
sell_row.sell, low=sell_row.low, high=sell_row.high)
if sell.sell_flag:
trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60)
# Special handling if high or low hit STOP_LOSS or ROI
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
# Set close_rate to stoploss
closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI):
roi = self.strategy.min_roi_reached_entry(trade_dur)
if roi is not None:
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
# Use the maximum between closerate and low as we
# cannot sell outside of a candle.
# Applies when using {"xx": -1} as roi to force sells after xx minutes
closerate = max(closerate, sell_row.low)
else:
# This should not be reached...
closerate = sell_row.open
else:
closerate = sell_row.open
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=closerate),