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Don't use profit_percent for backtesting results anymore

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Matthias
2021-01-23 13:02:48 +01:00
parent 48977493bb
commit 8ee264bc59
17 changed files with 78 additions and 101 deletions
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10
freqtrade/optimize/hyperopt_loss_sharpe_daily.py
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@@ -34,9 +34,9 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
annual_risk_free_rate = 0.0
risk_free_rate = annual_risk_free_rate / days_in_year
# apply slippage per trade to profit_percent
results.loc[:, 'profit_percent_after_slippage'] = \
results['profit_percent'] - slippage_per_trade_ratio
# apply slippage per trade to profit_ratio
results.loc[:, 'profit_ratio_after_slippage'] = \
results['profit_ratio'] - slippage_per_trade_ratio
# create the index within the min_date and end max_date
t_index = date_range(start=min_date, end=max_date, freq=resample_freq,
@@ -44,10 +44,10 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
sum_daily = (
results.resample(resample_freq, on='close_date').agg(
{"profit_percent_after_slippage": sum}).reindex(t_index).fillna(0)
{"profit_ratio_after_slippage": sum}).reindex(t_index).fillna(0)
)
total_profit = sum_daily["profit_percent_after_slippage"] - risk_free_rate
total_profit = sum_daily["profit_ratio_after_slippage"] - risk_free_rate
expected_returns_mean = total_profit.mean()
up_stdev = total_profit.std()