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test done

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This commit is contained in:
Guitheg 2021-12-13 10:15:34 +01:00
parent 91e57f64d4
commit d08b0918ad
2 changed files with 59 additions and 48 deletions
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5
freqtrade/data/btanalysis.py
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@ -390,6 +390,7 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
low_val = max_drawdown_df.loc[idxmin, 'cumulative'] low_val = max_drawdown_df.loc[idxmin, 'cumulative']
return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val
# TODO : is supposed to work only with long positions
def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float : def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
""" """
Calculate Trades MDD (Max DrawDown) : Calculate Trades MDD (Max DrawDown) :
@ -410,9 +411,7 @@ def calculate_trades_mdd(data: dict, trades: pd.DataFrame) -> float :
trades_mdd_pair_list = [] trades_mdd_pair_list = []
for pair, df in data.items(): for pair, df in data.items():
if df is None: if isinstance(df, pd.DataFrame):
break
# Gather the opening and closing trade dates into one Dates DataFrame # Gather the opening and closing trade dates into one Dates DataFrame
open_close_trades = trades.loc[trades['pair']==pair][["open_date","close_date"]] open_close_trades = trades.loc[trades['pair']==pair][["open_date","close_date"]]
open_close_trades = pd.concat( open_close_trades = pd.concat(

16
tests/data/test_btanalysis.py
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@ -1,7 +1,7 @@
from math import isclose from math import isclose
from pathlib import Path from pathlib import Path
from unittest.mock import MagicMock from unittest.mock import MagicMock
import numpy as np
import pytest import pytest
from arrow import Arrow from arrow import Arrow
from pandas import DataFrame, DateOffset, Timestamp, to_datetime from pandas import DataFrame, DateOffset, Timestamp, to_datetime
@ -10,7 +10,7 @@ from freqtrade.configuration import TimeRange
from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD, from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD,
analyze_trade_parallelism, calculate_csum, analyze_trade_parallelism, calculate_csum,
calculate_market_change, calculate_max_drawdown, calculate_market_change, calculate_max_drawdown, calculate_trades_mdd,
combine_dataframes_with_mean, create_cum_profit, combine_dataframes_with_mean, create_cum_profit,
extract_trades_of_period, get_latest_backtest_filename, extract_trades_of_period, get_latest_backtest_filename,
get_latest_hyperopt_file, load_backtest_data, load_trades, get_latest_hyperopt_file, load_backtest_data, load_trades,
@ -332,3 +332,15 @@ def test_calculate_max_drawdown2():
df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_date']) df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_date'])
with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'): with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'):
calculate_max_drawdown(df, date_col='open_date', value_col='profit') calculate_max_drawdown(df, date_col='open_date', value_col='profit')
def test_calculate_trades_mdd(testdatadir):
backtest_file = testdatadir / "backtest-result_test.json"
trades = load_backtest_data(backtest_file)
pairlist = set(trades["pair"])
with pytest.raises(ValueError, match='All dataframe in candle data are None'):
calculate_trades_mdd({"BTC/BUSD" : None}, trades)
data = load_data(datadir=testdatadir, pairs=pairlist, timeframe='5m')
trades_mdd = calculate_trades_mdd(data, trades)
assert np.round(trades_mdd, 6) == 0.138943