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Add analyze_trade_parallelism analysis function

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Matthias
2019-10-30 14:07:23 +01:00
parent dac88c6aed
commit dd408aa5d6
2 changed files with 17 additions and 5 deletions
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7
freqtrade/data/btanalysis.py
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@@ -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]