adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

fix duration

Browse Source
This commit is contained in:
adriance 2022-03-10 00:34:59 +08:00
parent d579febfec
commit 499e9c3e98
1 changed files with 7 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

13
freqtrade/optimize/backtesting.py
View File

@ -357,6 +357,7 @@ class Backtesting:
trade_dur: int) -> float:
leverage = trade.leverage or 1.0
is_short = trade.is_short or False
filled_dur = int((trade.close_date_utc - trade.buy_filled_date_utc).total_seconds() // 60)
"""
Get close rate for backtesting result
"""
@ -378,7 +379,7 @@ class Backtesting:
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
if sell.sell_type == SellType.TRAILING_STOP_LOSS and (trade_dur == 0 or filled_dur == 0):
if (
not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
and self.strategy.trailing_only_offset_is_reached
@ -425,7 +426,7 @@ class Backtesting:
if is_short:
close_rate = (trade.open_rate *
(1 - trade.fee_open) - trade.open_rate * roi / leverage) / (trade.fee_close + 1)
if (trade_dur > 0 and trade_dur == roi_entry
if (trade_dur > 0 and filled_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] < close_rate):
# new ROI entry came into effect.
@ -435,7 +436,7 @@ class Backtesting:
close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
if (trade_dur > 0 and trade_dur == roi_entry
if (trade_dur > 0 and filled_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] > close_rate):
# new ROI entry came into effect.
@ -444,7 +445,7 @@ class Backtesting:
if is_short:
if (
trade_dur == 0
(trade_dur == 0 or filled_dur == 0)
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
@ -457,7 +458,7 @@ class Backtesting:
raise ValueError("Opening candle ROI on red candles.")
else:
if (
trade_dur == 0
(trade_dur == 0 or filled_dur == 0)
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
@ -534,7 +535,7 @@ class Backtesting:
if sell.sell_flag:
trade.close_date = sell_candle_time
trade_dur = int((trade.close_date_utc - trade.buy_filled_date_utc).total_seconds() // 60)
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
except ValueError: