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Extract handling of left open trades to seperate method

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This commit is contained in:
Matthias 2020-10-08 20:10:00 +02:00
parent 52502193c4
commit e8f2c09f08
1 changed files with 32 additions and 24 deletions
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56
freqtrade/optimize/backtesting.py
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@ -239,6 +239,37 @@ class Backtesting:
open_at_end=False, open_at_end=False,
sell_reason=sell.sell_type sell_reason=sell.sell_type
) )
return None
def handle_left_open(self, open_trades: Dict[str, List],
data: Dict[str, DataFrame]) -> List[BacktestResult]:
"""
Handling of left open trades at the end of backtesting
"""
trades = []
for pair in open_trades.keys():
if len(open_trades[pair]) > 0:
for trade in open_trades[pair]:
sell_row = data[pair][-1]
trade_entry = BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio(
rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
open_date=trade.open_date,
open_rate=trade.open_rate,
open_fee=self.fee,
close_date=sell_row.date,
close_rate=sell_row.open,
close_fee=self.fee,
amount=trade.amount,
trade_duration=int((
sell_row.date - trade.open_date
).total_seconds() // 60),
open_at_end=True,
sell_reason=SellType.FORCE_SELL
)
trades.append(trade_entry)
return trades
def backtest(self, processed: Dict, stake_amount: float, def backtest(self, processed: Dict, stake_amount: float,
start_date: arrow.Arrow, end_date: arrow.Arrow, start_date: arrow.Arrow, end_date: arrow.Arrow,
@ -338,30 +369,7 @@ class Backtesting:
# Move time one configured time_interval ahead. # Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.timeframe_min) tmp += timedelta(minutes=self.timeframe_min)
# Handle trades that were left open trades += self.handle_left_open(open_trades, data=data)
for pair in open_trades.keys():
if len(open_trades[pair]) == 0:
continue
else:
for trade in open_trades[pair]:
sell_row = data[pair][-1]
trade_entry = BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio(
rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
open_date=trade.open_date,
open_rate=trade.open_rate,
open_fee=self.fee,
close_date=sell_row.date,
close_rate=sell_row.open,
close_fee=self.fee,
amount=trade.amount,
trade_duration=int((
sell_row.date - trade.open_date).total_seconds() // 60),
open_at_end=True,
sell_reason=SellType.FORCE_SELL
)
trades.append(trade_entry)
return DataFrame.from_records(trades, columns=BacktestResult._fields) return DataFrame.from_records(trades, columns=BacktestResult._fields)