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

Fix create_cum_profit to work with trades that don't open on candle

Browse Source 
opens
This commit is contained in:
Matthias
2019-10-28 14:24:12 +01:00
parent 17fce00a5e
commit e82460bde6
4 changed files with 17 additions and 11 deletions
Download Patch File Download Diff File Expand all files Collapse all files

12
freqtrade/data/btanalysis.py
View File

@@ -150,15 +150,21 @@ def combine_tickers_with_mean(tickers: Dict[str, pd.DataFrame], column: str = "c
return df_comb
def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str) -> pd.DataFrame:
def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
timeframe: str) -> pd.DataFrame:
"""
Adds a column `col_name` with the cumulative profit for the given trades array.
:param df: DataFrame with date index
:param trades: DataFrame containing trades (requires columns close_time and profitperc)
:param col_name: Column name that will be assigned the results
:param timeframe: Timeframe used during the operations
:return: Returns df with one additional column, col_name, containing the cumulative profit.
"""
# Use groupby/sum().cumsum() to avoid errors when multiple trades sold at the same candle.
df[col_name] = trades.groupby('close_time')['profitperc'].sum().cumsum()
from freqtrade.exchange import timeframe_to_minutes
ticker_minutes = timeframe_to_minutes(timeframe)
# Resample to ticker_interval to make sure trades match candles
_trades_sum = trades.resample(f'{ticker_minutes}min', on='close_time')[['profitperc']].sum()
df.loc[:, col_name] = _trades_sum.cumsum()
# Set first value to 0
df.loc[df.iloc[0].name, col_name] = 0
# FFill to get continuous