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Use open-rates for backtesting

This commit is contained in:
Matthias 2018-07-05 20:20:52 +02:00
parent 8fb146ba6a
commit 8b06000f0f
1 changed files with 10 additions and 10 deletions
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20
freqtrade/optimize/backtesting.py
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@ -134,7 +134,7 @@ class Backtesting(object):
stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0)
trade = Trade(
open_rate=buy_row.close,
open_rate=buy_row.open,
open_date=buy_row.date,
stake_amount=stake_amount,
amount=stake_amount / buy_row.open,
@ -149,35 +149,35 @@ class Backtesting(object):
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
buy_signal = sell_row.buy
if self.analyze.should_sell(trade, sell_row.close, sell_row.date, buy_signal,
if self.analyze.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell):
return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.close),
profit_abs=trade.calc_profit(rate=sell_row.close),
profit_percent=trade.calc_profit_percent(rate=sell_row.open),
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,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False,
open_rate=buy_row.close,
close_rate=sell_row.close
open_rate=buy_row.open,
close_rate=sell_row.open
)
if partial_ticker:
# no sell condition found - trade stil open at end of backtest period
sell_row = partial_ticker[-1]
btr = BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.close),
profit_abs=trade.calc_profit(rate=sell_row.close),
profit_percent=trade.calc_profit_percent(rate=sell_row.open),
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,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True,
open_rate=buy_row.close,
close_rate=sell_row.close
open_rate=buy_row.open,
close_rate=sell_row.open
)
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs)