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use all min_roi entries

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This commit is contained in:
Matthias 2018-08-17 07:07:50 +02:00
parent 233c442af9
commit 98050ff594
1 changed files with 7 additions and 3 deletions
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10
freqtrade/optimize/backtesting.py
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@ -208,12 +208,17 @@ class Backtesting(object):
sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal, sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell, low=sell_row.low, high=sell_row.high) sell_row.sell, low=sell_row.low, high=sell_row.high)
if sell.sell_flag: if sell.sell_flag:
trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60)
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
# Set close_rate to stoploss # Set close_rate to stoploss
closerate = trade.stop_loss closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI): elif sell.sell_type == (SellType.ROI):
# get entry in min_roi >= to trade duration
roi_entry = max(list(filter(lambda x: trade_dur >= x,
list(self.strategy.minimal_roi.keys()))))
# set close-rate to min-roi # set close-rate to min-roi
closerate = trade.open_rate + trade.open_rate * self.strategy.minimal_roi[0] closerate = trade.open_rate + trade.open_rate * \
self.strategy.minimal_roi[roi_entry]
else: else:
closerate = sell_row.open closerate = sell_row.open
@ -222,8 +227,7 @@ class Backtesting(object):
profit_abs=trade.calc_profit(rate=closerate), profit_abs=trade.calc_profit(rate=closerate),
open_time=buy_row.date, open_time=buy_row.date,
close_time=sell_row.date, close_time=sell_row.date,
trade_duration=int(( trade_duration=trade_dur,
sell_row.date - buy_row.date).total_seconds() // 60),
open_index=buy_row.Index, open_index=buy_row.Index,
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=False, open_at_end=False,