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Show new metrics in backtesting

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This commit is contained in:
Matthias
2022-12-25 21:29:37 +01:00
parent 89c7c2fec6
commit 7a5439321c
2 changed files with 16 additions and 8 deletions
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12
freqtrade/data/metrics.py
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@@ -287,8 +287,8 @@ def calculate_sharpe(trades: pd.DataFrame,
return sharp_ratio
def calculate_calmar(trades: pd.DataFrame,
min_date: datetime, max_date: datetime) -> float:
def calculate_calmar(trades: pd.DataFrame, min_date: datetime, max_date: datetime,
starting_balance: float) -> float:
"""
Calculate calmar
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
@@ -297,17 +297,17 @@ def calculate_calmar(trades: pd.DataFrame,
if (len(trades) == 0) or (min_date is None) or (max_date is None) or (min_date == max_date):
return 0
total_profit = trades["profit_ratio"]
days_period = (max_date - min_date).days
total_profit = trades['profit_abs'].sum() / starting_balance
days_period = max(1, (max_date - min_date).days)
# adding slippage of 0.1% per trade
# total_profit = total_profit - 0.0005
expected_returns_mean = total_profit.sum() / days_period * 100
expected_returns_mean = total_profit / days_period * 100
# calculate max drawdown
try:
_, _, _, _, _, max_drawdown = calculate_max_drawdown(
trades, value_col="profit_abs"
trades, value_col="profit_abs", starting_balance=starting_balance
)
except ValueError:
max_drawdown = 0