adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Add analyze_trade_parallelism analysis function

This commit is contained in:
Matthias 2019-10-30 14:07:23 +01:00
parent dac88c6aed
commit dd408aa5d6
2 changed files with 17 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

7
freqtrade/data/btanalysis.py
View File

@ -52,7 +52,7 @@ def load_backtest_data(filename) -> pd.DataFrame:
return df
def parallel_trade_analysis(results: pd.DataFrame, timeframe: str) -> pd.DataFrame:
def analyze_trade_parallelism(results: pd.DataFrame, timeframe: str) -> pd.DataFrame:
"""
Find overlapping trades by expanding each trade once per period it was open
and then counting overlaps.
@ -62,7 +62,8 @@ def parallel_trade_analysis(results: pd.DataFrame, timeframe: str) -> pd.DataFra
"""
from freqtrade.exchange import timeframe_to_minutes
timeframe_min = timeframe_to_minutes(timeframe)
dates = [pd.Series(pd.date_range(row[1].open_time, row[1].close_time, freq=f"{timeframe_min}min"))
dates = [pd.Series(pd.date_range(row[1].open_time, row[1].close_time,
freq=f"{timeframe_min}min"))
for row in results[['open_time', 'close_time']].iterrows()]
deltas = [len(x) for x in dates]
dates = pd.Series(pd.concat(dates).values, name='date')
@ -85,7 +86,7 @@ def evaluate_result_multi(results: pd.DataFrame, timeframe: str,
:param max_open_trades: parameter max_open_trades used during backtest run
:return: dataframe with open-counts per time-period in freq
"""
df_final = parallel_trade_analysis(results, timeframe)
df_final = analyze_trade_parallelism(results, timeframe)
return df_final[df_final['open_trades'] > max_open_trades]

15
tests/data/test_btanalysis.py
View File

@ -10,7 +10,7 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS,
create_cum_profit,
extract_trades_of_period,
load_backtest_data, load_trades,
load_trades_from_db)
load_trades_from_db, analyze_trade_parallelism)
from freqtrade.data.history import load_data, load_pair_history
from tests.test_persistence import create_mock_trades
@ -32,7 +32,7 @@ def test_load_backtest_data(testdatadir):
@pytest.mark.usefixtures("init_persistence")
def test_load_trades_db(default_conf, fee, mocker):
def test_load_trades_from_db(default_conf, fee, mocker):
create_mock_trades(fee)
# remove init so it does not init again
@ -84,6 +84,17 @@ def test_extract_trades_of_period(testdatadir):
assert trades1.iloc[-1].close_time == Arrow(2017, 11, 14, 15, 25, 0).datetime
def test_analyze_trade_parallelism(default_conf, mocker, testdatadir):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
res = analyze_trade_parallelism(bt_data, "5m")
assert isinstance(res, DataFrame)
assert 'open_trades' in res.columns
assert res['open_trades'].max() == 3
assert res['open_trades'].min() == 0
def test_load_trades(default_conf, mocker):
db_mock = mocker.patch("freqtrade.data.btanalysis.load_trades_from_db", MagicMock())
bt_mock = mocker.patch("freqtrade.data.btanalysis.load_backtest_data", MagicMock())