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Fix ROI close-rate calculation to work with fees - adjust tests

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Matthias
2018-11-01 13:14:59 +01:00
parent c21b45647d
commit 95d271ca5d
2 changed files with 16 additions and 12 deletions
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8
freqtrade/optimize/backtesting.py
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@@ -218,9 +218,11 @@ class Backtesting(object):
# get entry in min_roi >= to trade duration
roi_entry = max(list(filter(lambda x: trade_dur >= x,
self.strategy.minimal_roi.keys())))
# set close-rate to min-roi
closerate = trade.open_rate + trade.open_rate * \
self.strategy.minimal_roi[roi_entry]
roi = self.strategy.minimal_roi[roi_entry]
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
else:
closerate = sell_row.open