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add backtesting results abs profit min/abs profit max, to get a better view if a strategy has a enough money to succeed

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Florian Reitmeir
2020-12-24 22:17:24 +01:00
committed by Matthias
parent 10a11bda34
commit 5c263c7ffd
2 changed files with 35 additions and 1 deletions
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18
freqtrade/data/btanalysis.py
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@@ -383,3 +383,21 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
high_date = profit_results.loc[max_drawdown_df.iloc[:idxmin]['high_value'].idxmax(), date_col]
low_date = profit_results.loc[idxmin, date_col]
return abs(min(max_drawdown_df['drawdown'])), high_date, low_date
def calculate_csum(trades: pd.DataFrame) -> Tuple[float, float]:
"""
Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane
:param trades: DataFrame containing trades (requires columns close_date and profit_percent)
:return: Tuple (float, float) with cumsum of profit_abs
:raise: ValueError if trade-dataframe was found empty.
"""
if len(trades) == 0:
raise ValueError("Trade dataframe empty.")
csum_df = pd.DataFrame()
csum_df['sum'] = trades['profit_abs'].cumsum()
csum_min = csum_df['sum'].min()
csum_max = csum_df['sum'].max()
return csum_min, csum_max