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eliminate recursion in _detect_next_stop_or_sell_point()

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hroff-1902 2019-02-27 06:07:16 +03:00
parent ee0e381d65
commit 4c2961f0d9
1 changed files with 65 additions and 65 deletions
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130
freqtrade/edge/__init__.py
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@ -351,7 +351,7 @@ class Edge():
return result return result
def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column, def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column,
ohlc_columns, stoploss, pair, start_point=0): ohlc_columns, stoploss, pair):
""" """
Iterate through ohlc_columns recursively in order to find the next trade Iterate through ohlc_columns recursively in order to find the next trade
Next trade opens from the first buy signal noticed to Next trade opens from the first buy signal noticed to
@ -362,80 +362,80 @@ class Edge():
""" """
result: list = [] result: list = []
open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal) start_point = 0
# return empty if we don't find trade entry (i.e. buy==1) or while True:
# we find a buy but at the of array open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal)
if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
return []
else:
open_trade_index += 1 # when a buy signal is seen,
# trade opens in reality on the next candle
stop_price_percentage = stoploss + 1 # return empty if we don't find trade entry (i.e. buy==1) or
open_price = ohlc_columns[open_trade_index, 0] # we find a buy but at the of array
stop_price = (open_price * stop_price_percentage) if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
break
else:
open_trade_index += 1 # when a buy signal is seen,
# trade opens in reality on the next candle
# Searching for the index where stoploss is hit stop_price_percentage = stoploss + 1
stop_index = utf1st.find_1st( open_price = ohlc_columns[open_trade_index, 0]
ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller) stop_price = (open_price * stop_price_percentage)
# If we don't find it then we assume stop_index will be far in future (infinite number) # Searching for the index where stoploss is hit
if stop_index == -1: stop_index = utf1st.find_1st(
stop_index = float('inf') ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
# Searching for the index where sell is hit # If we don't find it then we assume stop_index will be far in future (infinite number)
sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal) if stop_index == -1:
stop_index = float('inf')
# If we don't find it then we assume sell_index will be far in future (infinite number) # Searching for the index where sell is hit
if sell_index == -1: sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
sell_index = float('inf')
# Check if we don't find any stop or sell point (in that case trade remains open) # If we don't find it then we assume sell_index will be far in future (infinite number)
# It is not interesting for Edge to consider it so we simply ignore the trade if sell_index == -1:
# And stop iterating there is no more entry sell_index = float('inf')
if stop_index == sell_index == float('inf'):
return []
if stop_index <= sell_index: # Check if we don't find any stop or sell point (in that case trade remains open)
exit_index = open_trade_index + stop_index # It is not interesting for Edge to consider it so we simply ignore the trade
exit_type = SellType.STOP_LOSS # And stop iterating there is no more entry
exit_price = stop_price if stop_index == sell_index == float('inf'):
elif stop_index > sell_index: break
# if exit is SELL then we exit at the next candle
exit_index = open_trade_index + sell_index + 1
# check if we have the next candle if stop_index <= sell_index:
if len(ohlc_columns) - 1 < exit_index: exit_index = open_trade_index + stop_index
return [] exit_type = SellType.STOP_LOSS
exit_price = stop_price
elif stop_index > sell_index:
# if exit is SELL then we exit at the next candle
exit_index = open_trade_index + sell_index + 1
exit_type = SellType.SELL_SIGNAL # check if we have the next candle
exit_price = ohlc_columns[exit_index, 0] if len(ohlc_columns) - 1 < exit_index:
break
trade = {'pair': pair, exit_type = SellType.SELL_SIGNAL
'stoploss': stoploss, exit_price = ohlc_columns[exit_index, 0]
'profit_percent': '',
'profit_abs': '',
'open_time': date_column[open_trade_index],
'close_time': date_column[exit_index],
'open_index': start_point + open_trade_index,
'close_index': start_point + exit_index,
'trade_duration': '',
'open_rate': round(open_price, 15),
'close_rate': round(exit_price, 15),
'exit_type': exit_type
}
result.append(trade) trade = {'pair': pair,
'stoploss': stoploss,
'profit_percent': '',
'profit_abs': '',
'open_time': date_column[open_trade_index],
'close_time': date_column[exit_index],
'open_index': start_point + open_trade_index,
'close_index': start_point + exit_index,
'trade_duration': '',
'open_rate': round(open_price, 15),
'close_rate': round(exit_price, 15),
'exit_type': exit_type
}
# Calling again the same function recursively but giving result.append(trade)
# it a view of exit_index till the end of array
return result + self._detect_next_stop_or_sell_point( # giving a view of exit_index till the end of array
buy_column[exit_index:], buy_column = buy_column[exit_index:]
sell_column[exit_index:], sell_column = sell_column[exit_index:]
date_column[exit_index:], date_column = date_column[exit_index:]
ohlc_columns[exit_index:], ohlc_columns = ohlc_columns[exit_index:]
stoploss, start_point += exit_index
pair,
(start_point + exit_index) return result
)