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Update btanalysis.py

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Guitheg 2021-12-07 09:52:37 +01:00
parent fa52373035
commit d7b1d4eb2a
1 changed files with 5 additions and 3 deletions
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8
freqtrade/data/btanalysis.py
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@ -408,13 +408,15 @@ def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_da
raise ValueError("Trade dataframe empty") raise ValueError("Trade dataframe empty")
mdd_df = pd.DataFrame() mdd_df = pd.DataFrame()
mdd = lambda df :
for pair, df in data.items(): for pair, df in data.items():
open_close_date = trades.loc[trades['pair']==pair][["open_date","close_date"]] 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"]])] 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_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() 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}) 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]
# print(mdd_df) # print(mdd_df)
return mdd_df return mdd_df