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Add fee to backtestresult

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This commit is contained in:
Matthias 2020-06-26 20:21:08 +02:00
parent 03ab61959b
commit 6e94734678
2 changed files with 16 additions and 8 deletions
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18
freqtrade/optimize/backtesting.py
View File

@ -40,11 +40,13 @@ class BacktestResult(NamedTuple):
profit_percent: float
profit_abs: float
open_date: datetime
open_rate: float
open_fee: float
close_date: datetime
close_rate: float
close_fee: float
trade_duration: float
open_at_end: bool
open_rate: float
close_rate: float
sell_reason: SellType
@ -247,11 +249,13 @@ class Backtesting:
profit_percent=trade.calc_profit_ratio(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate),
open_date=buy_row.date,
open_rate=buy_row.open,
open_fee=self.fee,
close_date=sell_row.date,
close_rate=closerate,
close_fee=self.fee,
trade_duration=trade_dur,
open_at_end=False,
open_rate=buy_row.open,
close_rate=closerate,
sell_reason=sell.sell_type
)
if partial_ohlcv:
@ -261,12 +265,14 @@ class Backtesting:
profit_percent=trade.calc_profit_ratio(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
open_date=buy_row.date,
open_rate=buy_row.open,
open_fee=self.fee,
close_date=sell_row.date,
close_rate=sell_row.open,
close_fee=self.fee,
trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
open_at_end=True,
open_rate=buy_row.open,
close_rate=sell_row.open,
sell_reason=SellType.FORCE_SELL
)
logger.debug(f"{pair} - Force selling still open trade, "

6
tests/optimize/test_backtesting.py
View File

@ -462,12 +462,14 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
),
'open_rate': [0.104445, 0.10302485],
'open_fee': [0.0025, 0.0025],
'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime,
Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True),
'close_rate': [0.104969, 0.103541],
'close_fee': [0.0025, 0.0025],
'trade_duration': [235, 40],
'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
})
pd.testing.assert_frame_equal(results, expected)