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1) open_trade_index refactored 2) sell index is shifted by 1

This commit is contained in:
misagh 2018-10-25 16:57:49 +02:00
parent 25daf3a0f7
commit c5474794d1
1 changed files with 28 additions and 9 deletions
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37
freqtrade/edge/__init__.py
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@ -50,7 +50,7 @@ class Edge():
self._last_updated = 0
self._timerange = Arguments.parse_timerange("%s-" % arrow.now().shift(
days=-1 * self._since_number_of_days).format('YYYYMMDD'))
days=-1 * self._since_number_of_days).format('YYYYMMDD'))
self.fee = self.exchange.get_fee()
@ -277,8 +277,18 @@ class Edge():
if results.empty:
return []
groupby_aggregator = {'profit_abs': [winrate, risk_reward_ratio, required_risk_reward, expectancy, 'count'], 'trade_duration': ['mean']}
final = results.groupby(['pair', 'stoploss'])['profit_abs','trade_duration'].agg(groupby_aggregator).reset_index(col_level=1)
groupby_aggregator = {
'profit_abs': [
winrate,
risk_reward_ratio,
required_risk_reward,
expectancy,
'count'],
'trade_duration': ['mean']}
final = results.groupby(['pair', 'stoploss'])['profit_abs', 'trade_duration'].agg(
groupby_aggregator).reset_index(col_level=1)
final.columns = final.columns.droplevel(0)
final = final.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
@ -319,21 +329,24 @@ class Edge():
# we find a buy but at the of array
if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
return []
else:
open_trade_index += 1 # when a buy signal is seen,
# trade opens in reality on the next candle
stop_price_percentage = stoploss + 1
open_price = ohlc_columns[open_trade_index + 1, 0]
open_price = ohlc_columns[open_trade_index, 0]
stop_price = (open_price * stop_price_percentage)
# Searching for the index where stoploss is hit
stop_index = utf1st.find_1st(
ohlc_columns[open_trade_index + 1:, 2], stop_price, utf1st.cmp_smaller)
ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
# If we don't find it then we assume stop_index will be far in future (infinite number)
if stop_index == -1:
stop_index = float('inf')
# Searching for the index where sell is hit
sell_index = utf1st.find_1st(sell_column[open_trade_index + 1:], 1, utf1st.cmp_equal)
sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
# If we don't find it then we assume sell_index will be far in future (infinite number)
if sell_index == -1:
@ -346,11 +359,17 @@ class Edge():
return []
if stop_index <= sell_index:
exit_index = open_trade_index + stop_index + 1
exit_index = open_trade_index + stop_index
exit_type = SellType.STOP_LOSS
exit_price = stop_price
elif stop_index > sell_index:
# if exit is SELL then we exit at the next candle
exit_index = open_trade_index + sell_index + 1
# check if we have the next candle
if len(ohlc_columns) - 1 < exit_index:
return []
exit_type = SellType.SELL_SIGNAL
exit_price = ohlc_columns[exit_index, 0]
@ -358,9 +377,9 @@ class Edge():
'stoploss': stoploss,
'profit_percent': '',
'profit_abs': '',
'open_time': date_column[open_trade_index + 1],
'open_time': date_column[open_trade_index],
'close_time': date_column[exit_index],
'open_index': start_point + open_trade_index + 1,
'open_index': start_point + open_trade_index,
'close_index': start_point + exit_index,
'trade_duration': '',
'open_rate': round(open_price, 15),