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Fix 2 bugs in ROI calculation

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This commit is contained in:
Matthias 2022-03-16 19:50:25 +01:00
parent 298797cbfd
commit a89c1da19f
2 changed files with 2 additions and 2 deletions
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2
freqtrade/optimize/backtesting.py
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@ -429,7 +429,7 @@ class Backtesting:
# - (Expected abs profit - open_rate - open_fee) / (fee_close -1) # - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
roi_rate = trade.open_rate * roi / leverage roi_rate = trade.open_rate * roi / leverage
open_fee_rate = side_1 * trade.open_rate * (1 + side_1 * trade.fee_open) open_fee_rate = side_1 * trade.open_rate * (1 + side_1 * trade.fee_open)
close_rate = -side_1 * (roi_rate + open_fee_rate) / (trade.fee_close - side_1 * 1) close_rate = -(roi_rate + open_fee_rate) / (trade.fee_close - side_1 * 1)
if is_short: if is_short:
is_new_roi = sell_row[OPEN_IDX] < close_rate is_new_roi = sell_row[OPEN_IDX] < close_rate
else: else:

2
freqtrade/strategy/interface.py
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@ -869,7 +869,7 @@ class IStrategy(ABC, HyperStrategyMixin):
force_stoploss=force_stoploss, low=low, high=high) force_stoploss=force_stoploss, low=low, high=high)
# Set current rate to high for backtesting sell # Set current rate to high for backtesting sell
current_rate = high or rate current_rate = (low if trade.is_short else high) or rate
current_profit = trade.calc_profit_ratio(current_rate) current_profit = trade.calc_profit_ratio(current_rate)
# if enter signal and ignore_roi is set, we don't need to evaluate min_roi. # if enter signal and ignore_roi is set, we don't need to evaluate min_roi.