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Fix the fee calculation, backtesting, and hyperopt fee calculation and avg_profit

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This commit is contained in:
Gerald Lonlas
2017-12-18 21:58:02 -08:00
parent d613d63fdc c8fb6c4661
commit d258118b0a
14 changed files with 94 additions and 59 deletions
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28
freqtrade/optimize/backtesting.py
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@@ -48,8 +48,8 @@ def generate_text_table(
tabular_data.append([
pair,
len(result.index),
'{:.2f}%'.format(result.profit.mean() * 100.0),
'{:.08f} {}'.format(result.profit.sum(), stake_currency),
'{:.2f}%'.format(result.profit_percent.mean() * 100.0),
'{:.08f} {}'.format(result.profit_BTC.sum(), stake_currency),
'{:.2f}'.format(result.duration.mean() * ticker_interval),
])
@@ -57,8 +57,8 @@ def generate_text_table(
tabular_data.append([
'TOTAL',
len(results.index),
'{:.2f}%'.format(results.profit.mean() * 100.0),
'{:.08f} {}'.format(results.profit.sum(), stake_currency),
'{:.2f}%'.format(results.profit_percent.mean() * 100.0),
'{:.08f} {}'.format(results.profit_BTC.sum(), stake_currency),
'{:.2f}'.format(results.duration.mean() * ticker_interval),
])
return tabulate(tabular_data, headers=headers)
@@ -98,7 +98,8 @@ def backtest(config: Dict, processed: Dict[str, DataFrame],
trade = Trade(
open_rate=row.close,
open_date=row.date,
amount=config['stake_amount'],
stake_amount=config['stake_amount'],
amount=config['stake_amount'] / row.open,
fee=exchange.get_fee()
)
@@ -109,12 +110,20 @@ def backtest(config: Dict, processed: Dict[str, DataFrame],
trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1
if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
current_profit = trade.calc_profit_percent(row2.close)
current_profit_percent = trade.calc_profit_percent(rate=row2.close)
current_profit_BTC = trade.calc_profit(rate=row2.close)
lock_pair_until = row2.Index
trades.append((pair, current_profit, row2.Index - row.Index))
trades.append(
(
pair,
current_profit_percent,
current_profit_BTC,
row2.Index - row.Index
)
)
break
labels = ['currency', 'profit', 'duration']
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
return DataFrame.from_records(trades, columns=labels)
@@ -140,7 +149,8 @@ def start(args):
data[pair] = exchange.get_ticker_history(pair, args.ticker_interval)
else:
logger.info('Using local backtesting data (using whitelist in given config) ...')
data = load_data(pairs=pairs, ticker_interval=args.ticker_interval, refresh_pairs=args.refresh_pairs)
data = load_data(pairs=pairs, ticker_interval=args.ticker_interval,
refresh_pairs=args.refresh_pairs)
logger.info('Using stake_currency: %s ...', config['stake_currency'])
logger.info('Using stake_amount: %s ...', config['stake_amount'])