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average trade duration added

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This commit is contained in:
misagh 2018-10-18 11:09:10 +02:00
parent 6aa9cd1060
commit 57bc4a866a
1 changed files with 14 additions and 6 deletions
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20
freqtrade/edge/__init__.py
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@ -14,6 +14,7 @@ from freqtrade.arguments import TimeRange
from freqtrade.strategy.interface import SellType from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver from freqtrade.strategy.resolver import IStrategy, StrategyResolver
from freqtrade.optimize.backtesting import Backtesting from freqtrade.optimize.backtesting import Backtesting
import sys
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -31,6 +32,7 @@ class Edge():
_timerange: TimeRange _timerange: TimeRange
def __init__(self, config: Dict[str, Any], exchange=None) -> None: def __init__(self, config: Dict[str, Any], exchange=None) -> None:
sys.setrecursionlimit(10000)
self.config = config self.config = config
self.exchange = exchange self.exchange = exchange
self.strategy: IStrategy = StrategyResolver(self.config).strategy self.strategy: IStrategy = StrategyResolver(self.config).strategy
@ -68,7 +70,7 @@ class Edge():
self.config['datadir'], self.config['datadir'],
pairs=pairs, pairs=pairs,
ticker_interval=self.ticker_interval, ticker_interval=self.ticker_interval,
refresh_pairs=True, refresh_pairs=False,
exchange=self.exchange, exchange=self.exchange,
timerange=self._timerange timerange=self._timerange
) )
@ -272,13 +274,19 @@ class Edge():
return x return x
############################## ##############################
final = results.groupby(['pair', 'stoploss'])['profit_abs'].\ if results.empty:
agg([winrate, risk_reward_ratio, required_risk_reward, expectancy]).\ return []
reset_index().sort_values(by=['expectancy', 'stoploss'], ascending=False)\
.groupby('pair').first().sort_values(by=['expectancy'], ascending=False) groupby_aggregator = {'profit_abs': [winrate, risk_reward_ratio, required_risk_reward, expectancy, 'count'], 'trade_duration': ['mean']}
final = results.groupby(['pair', 'stoploss'])['profit_abs','trade_duration'].agg(groupby_aggregator).reset_index(col_level=1)
final.columns = final.columns.droplevel(0)
final = final.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
final.rename(columns={'mean': 'avg_duration(min)'}, inplace=True)
# Returning an array of pairs in order of "expectancy" # Returning an array of pairs in order of "expectancy"
return final.reset_index().values return final.values
def _find_trades_for_stoploss_range(self, ticker_data, pair, stoploss_range): def _find_trades_for_stoploss_range(self, ticker_data, pair, stoploss_range):
buy_column = ticker_data['buy'].values buy_column = ticker_data['buy'].values