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Add analyze_trade_parallelism analysis function

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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
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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 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 Find overlapping trades by expanding each trade once per period it was open
and then counting overlaps. 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 from freqtrade.exchange import timeframe_to_minutes
timeframe_min = timeframe_to_minutes(timeframe) 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()] for row in results[['open_time', 'close_time']].iterrows()]
deltas = [len(x) for x in dates] deltas = [len(x) for x in dates]
dates = pd.Series(pd.concat(dates).values, name='date') 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 :param max_open_trades: parameter max_open_trades used during backtest run
:return: dataframe with open-counts per time-period in freq :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] return df_final[df_final['open_trades'] > max_open_trades]

15
tests/data/test_btanalysis.py
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@ -10,7 +10,7 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS,
create_cum_profit, create_cum_profit,
extract_trades_of_period, extract_trades_of_period,
load_backtest_data, load_trades, 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 freqtrade.data.history import load_data, load_pair_history
from tests.test_persistence import create_mock_trades from tests.test_persistence import create_mock_trades
@ -32,7 +32,7 @@ def test_load_backtest_data(testdatadir):
@pytest.mark.usefixtures("init_persistence") @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) create_mock_trades(fee)
# remove init so it does not init again # 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 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): def test_load_trades(default_conf, mocker):
db_mock = mocker.patch("freqtrade.data.btanalysis.load_trades_from_db", MagicMock()) db_mock = mocker.patch("freqtrade.data.btanalysis.load_trades_from_db", MagicMock())
bt_mock = mocker.patch("freqtrade.data.btanalysis.load_backtest_data", MagicMock()) bt_mock = mocker.patch("freqtrade.data.btanalysis.load_backtest_data", MagicMock())