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Update btanalysis.py

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This commit is contained in:
Guitheg 2021-12-10 10:58:16 +01:00
parent c8c14aecfc
commit 91e57f64d4
1 changed files with 6 additions and 0 deletions
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6
freqtrade/data/btanalysis.py
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@ -402,6 +402,7 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
Returns: Returns:
:return: (float) Give the maximum drawdown among each trades. :return: (float) Give the maximum drawdown among each trades.
:raise: (ValueError) if trade-dataframe was found empty. :raise: (ValueError) if trade-dataframe was found empty.
:raise: (ValueError) if all dataframes in data was found None.
""" """
if len(trades) == 0: if len(trades) == 0:
raise ValueError("Trade dataframe empty") raise ValueError("Trade dataframe empty")
@ -409,6 +410,8 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
trades_mdd_pair_list = [] trades_mdd_pair_list = []
for pair, df in data.items(): for pair, df in data.items():
if df is None:
break
# Gather the opening and closing trade dates into one Dates DataFrame # Gather the opening and closing trade dates into one Dates DataFrame
open_close_trades = trades.loc[trades['pair']==pair][["open_date","close_date"]] open_close_trades = trades.loc[trades['pair']==pair][["open_date","close_date"]]
@ -458,6 +461,9 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
mdd_pair = data_join['drawdown'].max() mdd_pair = data_join['drawdown'].max()
trades_mdd_pair_list.append(mdd_pair) trades_mdd_pair_list.append(mdd_pair)
if trades_mdd_pair_list == []:
raise ValueError("All dataframe in candle data are None")
trades_mdd_pair_list = np.array(trades_mdd_pair_list) trades_mdd_pair_list = np.array(trades_mdd_pair_list)
return trades_mdd_pair_list.max() return trades_mdd_pair_list.max()