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use date info to calculate trade durations

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This commit is contained in:
Janne Sinivirta 2018-02-05 18:09:09 +02:00
parent 192521523f
commit 8c7b29734e
3 changed files with 10 additions and 10 deletions
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10
freqtrade/optimize/backtesting.py
View File

@ -33,7 +33,7 @@ def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]
def generate_text_table( def generate_text_table(
data: Dict[str, Dict], results: DataFrame, stake_currency, ticker_interval) -> str: data: Dict[str, Dict], results: DataFrame, stake_currency) -> str:
""" """
Generates and returns a text table for the given backtest data and the results dataframe Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str :return: pretty printed table with tabulate as str
@ -49,7 +49,7 @@ def generate_text_table(
len(result.index), len(result.index),
result.profit_percent.mean() * 100.0, result.profit_percent.mean() * 100.0,
result.profit_BTC.sum(), result.profit_BTC.sum(),
result.duration.mean() * ticker_interval, result.duration.mean(),
len(result[result.profit_BTC > 0]), len(result[result.profit_BTC > 0]),
len(result[result.profit_BTC < 0]) len(result[result.profit_BTC < 0])
]) ])
@ -60,7 +60,7 @@ def generate_text_table(
len(results.index), len(results.index),
results.profit_percent.mean() * 100.0, results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(), results.profit_BTC.sum(),
results.duration.mean() * ticker_interval, results.duration.mean(),
len(results[results.profit_BTC > 0]), len(results[results.profit_BTC > 0]),
len(results[results.profit_BTC < 0]) len(results[results.profit_BTC < 0])
]) ])
@ -91,7 +91,7 @@ def get_sell_trade_entry(pair, row, buy_subset, ticker, trade_count_lock, args):
return row2, (pair, return row2, (pair,
trade.calc_profit_percent(rate=row2.close), trade.calc_profit_percent(rate=row2.close),
trade.calc_profit(rate=row2.close), trade.calc_profit(rate=row2.close),
row2.Index - row.Index (row2.date - row.date).seconds // 60
), row2.date ), row2.date
return None return None
@ -231,5 +231,5 @@ def start(args):
}) })
logger.info( logger.info(
'\n==================================== BACKTESTING REPORT ====================================\n%s', # noqa '\n==================================== BACKTESTING REPORT ====================================\n%s', # noqa
generate_text_table(data, results, config['stake_currency'], strategy.ticker_interval) generate_text_table(data, results, config['stake_currency'])
) )

2
freqtrade/optimize/hyperopt.py
View File

@ -406,7 +406,7 @@ def optimizer(params):
total_profit = results.profit_percent.sum() total_profit = results.profit_percent.sum()
trade_count = len(results.index) trade_count = len(results.index)
trade_duration = results.duration.mean() * 5 trade_duration = results.duration.mean()
if trade_count == 0 or trade_duration > MAX_ACCEPTED_TRADE_DURATION: if trade_count == 0 or trade_duration > MAX_ACCEPTED_TRADE_DURATION:
print('.', end='') print('.', end='')

8
freqtrade/tests/optimize/test_backtesting.py
View File

@ -29,12 +29,12 @@ def test_generate_text_table():
'loss': [0, 0] 'loss': [0, 0]
} }
) )
print(generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5)) print(generate_text_table({'BTC_ETH': {}}, results, 'BTC'))
assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == ( assert generate_text_table({'BTC_ETH': {}}, results, 'BTC') == (
'pair buy count avg profit % total profit BTC avg duration profit loss\n' # noqa 'pair buy count avg profit % total profit BTC avg duration profit loss\n' # noqa
'------- ----------- -------------- ------------------ -------------- -------- ------\n' # noqa '------- ----------- -------------- ------------------ -------------- -------- ------\n' # noqa
'BTC_ETH 2 15.00 0.60000000 100.0 2 0\n' # noqa 'BTC_ETH 2 15.00 0.60000000 20.0 2 0\n' # noqa
'TOTAL 2 15.00 0.60000000 100.0 2 0') # noqa 'TOTAL 2 15.00 0.60000000 20.0 2 0') # noqa
def test_get_timeframe(default_strategy): def test_get_timeframe(default_strategy):