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Update btanalysis.py

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This commit is contained in:
Guitheg 2021-12-09 10:18:10 +01:00
parent fbd9388809
commit 3c83de940d
1 changed files with 2 additions and 2 deletions
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freqtrade/data/btanalysis.py
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@ -420,11 +420,11 @@ def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_da
data_join = df.set_index('date').join(trades_aux.set_index('date'))
data_join["open_close_mark"] = data_join["open_close_mark"].fillna(0).astype(int)
data_join['is_in_trade'] = data_join.open_close_mark.cumsum()&1 # &1 <=> %2
data_join['is_in_trade'].loc[data_join['open_close_mark'] == 1] = 1
data_join.loc[data_join['open_close_mark'] == 1, 'is_in_trade'] = 1
data_join['close_cummax'] = 0
data_join['close_cummax'] = data_join.groupby(data_join.open_close_mark.cumsum()).close.cummax()
data_join['close_cummax'].loc[data_join['is_in_trade'] == 0] = 0
data_join.loc[data_join['is_in_trade'] == 0, 'close_cummax'] = 0
# print(mdd_df)
return mdd_df