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Merge pull request #3641 from freqtrade/fix/edgeremovebumps

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Fix edge with removebumps enabled
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Matthias 2020-08-08 17:33:08 +02:00 committed by GitHub
commit 3670be5dd2
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2 changed files with 97 additions and 2 deletions
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4
freqtrade/edge/edge_positioning.py
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@ -281,8 +281,8 @@ class Edge:
#
# Removing Pumps
if self.edge_config.get('remove_pumps', False):
results = results.groupby(['pair', 'stoploss']).apply(
lambda x: x[x['profit_abs'] < 2 * x['profit_abs'].std() + x['profit_abs'].mean()])
results = results[results['profit_abs'] < 2 * results['profit_abs'].std()
+ results['profit_abs'].mean()]
##########################################################################
# Removing trades having a duration more than X minutes (set in config)

95
tests/edge/test_edge.py
View File

@ -409,3 +409,98 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc
final = edge._process_expectancy(trades_df)
assert len(final) == 0
assert isinstance(final, dict)
def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,):
edge_conf['edge']['min_trade_number'] = 2
edge_conf['edge']['remove_pumps'] = True
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
freqtrade.exchange.get_fee = fee
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
trades = [
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:05:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:10:00.000000000'),
'open_index': 1,
'close_index': 1,
'trade_duration': '',
'open_rate': 17,
'close_rate': 15,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
'open_index': 4,
'close_index': 4,
'trade_duration': '',
'open_rate': 20,
'close_rate': 10,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
'open_index': 4,
'close_index': 4,
'trade_duration': '',
'open_rate': 20,
'close_rate': 10,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
'open_index': 4,
'close_index': 4,
'trade_duration': '',
'open_rate': 20,
'close_rate': 10,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
'open_index': 4,
'close_index': 4,
'trade_duration': '',
'open_rate': 20,
'close_rate': 10,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:30:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:40:00.000000000'),
'open_index': 6,
'close_index': 7,
'trade_duration': '',
'open_rate': 26,
'close_rate': 134,
'exit_type': 'sell_signal'}
]
trades_df = DataFrame(trades)
trades_df = edge._fill_calculable_fields(trades_df)
final = edge._process_expectancy(trades_df)
assert 'TEST/BTC' in final
assert final['TEST/BTC'].stoploss == -0.9
assert final['TEST/BTC'].nb_trades == len(trades_df) - 1
assert round(final['TEST/BTC'].winrate, 10) == 0.0