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Merge pull request #1040 from freqtrade/xmatthias_backtest_duration

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Fix backtest duration calculation
This commit is contained in:
Janne Sinivirta
2018-07-19 17:32:11 +03:00
committed by GitHub
parent 64f933477d aa69177436
commit 6070d819b8
2 changed files with 14 additions and 11 deletions
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16
freqtrade/optimize/backtesting.py
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@@ -6,7 +6,7 @@ This module contains the backtesting logic
import logging
import operator
from argparse import Namespace
from datetime import datetime
from datetime import datetime, timedelta
from typing import Any, Dict, List, NamedTuple, Optional, Tuple
import arrow
@@ -88,7 +88,7 @@ class Backtesting(object):
"""
stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.1f')
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
tabular_data = []
headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
@@ -100,7 +100,8 @@ class Backtesting(object):
result.profit_percent.mean() * 100.0,
result.profit_percent.sum() * 100.0,
result.profit_abs.sum(),
result.trade_duration.mean(),
str(timedelta(
minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
len(result[result.profit_abs > 0]),
len(result[result.profit_abs < 0])
])
@@ -112,7 +113,8 @@ class Backtesting(object):
results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0,
results.profit_abs.sum(),
results.trade_duration.mean(),
str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]),
len(results[results.profit_abs < 0])
])
@@ -159,7 +161,8 @@ class Backtesting(object):
profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date,
close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False,
@@ -174,7 +177,8 @@ class Backtesting(object):
profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date,
close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True,