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Update btanalysis.py

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This commit is contained in:
Guitheg 2021-12-07 11:05:56 +01:00
parent d7b1d4eb2a
commit a5706e8432
1 changed files with 19 additions and 5 deletions
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24
freqtrade/data/btanalysis.py
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@ -408,15 +408,29 @@ def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_da
raise ValueError("Trade dataframe empty")
mdd_df = pd.DataFrame()
mdd = lambda df :
for pair, df in data.items():
# Init colonne boolean à 0
df_bis = df.copy()
df_bis["is_into_trade"] = np.zeros(len(df_bis), dtype=bool)
# Récupération des index
open_close_date = trades.loc[trades['pair']==pair][["open_date","close_date"]]
mdd_df = df[df["date"].isin([open_close_date["open_date"],open_close_date["close_date"]])]
list_index_open=df[df["date"].isin(open_close_date["open_date"])].index.values.tolist()
list_index_close=df[df["date"].isin(open_close_date["close_date"])].index.values.tolist()
a = pd.DataFrame({"open":list_index_open, "close":list_index_close})
b = [df.loc[a["open"][i]:a["close"][i]] for i in a.index.values]
l_open=df[df["date"].isin(open_close_date["open_date"])].index.values.tolist()
l_close=df[df["date"].isin(open_close_date["close_date"])].index.values.tolist()
# Set 1 aux bornes open et close dans le df
df_bis["is_into_trade"].iloc[l_open] = 1
df_bis["is_into_trade"].iloc[l_close] = 1
# cumulative sum modulo 2
df_bis["is_into_trade"] = df_bis["is_into_trade"].cumsum()&1
# close boundaries set to 1 (again)
df_bis["is_into_trade"].iloc[l_close] = 1
# print(mdd_df)
return mdd_df