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

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This commit is contained in:
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 # get entry in min_roi >= to trade duration
roi_entry = max(list(filter(lambda x: trade_dur >= x, roi_entry = max(list(filter(lambda x: trade_dur >= x,
self.strategy.minimal_roi.keys()))) self.strategy.minimal_roi.keys())))
# set close-rate to min-roi roi = self.strategy.minimal_roi[roi_entry]
closerate = trade.open_rate + trade.open_rate * \
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: else:
closerate = sell_row.open closerate = sell_row.open

20
freqtrade/tests/optimize/test_backtesting.py
View File

@ -518,18 +518,18 @@ def test_backtest(default_conf, fee, mocker) -> None:
expected = pd.DataFrame( expected = pd.DataFrame(
{'pair': [pair, pair], {'pair': [pair, pair],
'profit_percent': [0.00029977, 0.00056716], 'profit_percent': [0.0, 0.0],
'profit_abs': [1.49e-06, 7.6e-07], 'profit_abs': [0.0, 0.0],
'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime, 'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime], Arrow(2018, 1, 30, 3, 30, 0).datetime],
'close_time': [Arrow(2018, 1, 29, 22, 40, 0).datetime, 'close_time': [Arrow(2018, 1, 29, 22, 35, 0).datetime,
Arrow(2018, 1, 30, 4, 20, 0).datetime], Arrow(2018, 1, 30, 4, 15, 0).datetime],
'open_index': [77, 183], 'open_index': [77, 183],
'close_index': [125, 193], 'close_index': [124, 192],
'trade_duration': [240, 50], 'trade_duration': [235, 45],
'open_at_end': [False, False], 'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485], 'open_rate': [0.104445, 0.10302485],
'close_rate': [0.105, 0.10359999], 'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI] 'sell_reason': [SellType.ROI, SellType.ROI]
}) })
pd.testing.assert_frame_equal(results, expected) pd.testing.assert_frame_equal(results, expected)
@ -539,9 +539,11 @@ def test_backtest(default_conf, fee, mocker) -> None:
# Check open trade rate alignes to open rate # Check open trade rate alignes to open rate
assert ln is not None assert ln is not None
assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6) assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
# check close trade rate alignes to close rate # check close trade rate alignes to close rate or is between high and low
ln = data_pair.loc[data_pair["date"] == t["close_time"]] ln = data_pair.loc[data_pair["date"] == t["close_time"]]
assert round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) or
round(ln.iloc[0]["low"], 6) < round(
t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None: def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None: