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use profit_ratio in calculate_cum_profit

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Matthias
2021-01-29 19:06:46 +01:00
parent ad9efd3ac5
commit ea0ffbae73
3 changed files with 9 additions and 9 deletions
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12
freqtrade/data/btanalysis.py
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@@ -337,7 +337,7 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
"""
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_date and profit_percent)
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
: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.
@@ -349,8 +349,8 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
timeframe_minutes = timeframe_to_minutes(timeframe)
# Resample to timeframe to make sure trades match candles
_trades_sum = trades.resample(f'{timeframe_minutes}min', on='close_date'
)[['profit_percent']].sum()
df.loc[:, col_name] = _trades_sum['profit_percent'].cumsum()
)[['profit_ratio']].sum()
df.loc[:, col_name] = _trades_sum['profit_ratio'].cumsum()
# Set first value to 0
df.loc[df.iloc[0].name, col_name] = 0
# FFill to get continuous
@@ -359,13 +359,13 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str,
def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date',
value_col: str = 'profit_percent'
value_col: str = 'profit_ratio'
) -> Tuple[float, pd.Timestamp, pd.Timestamp]:
"""
Calculate max drawdown and the corresponding close dates
:param trades: DataFrame containing trades (requires columns close_date and profit_percent)
:param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
:param date_col: Column in DataFrame to use for dates (defaults to 'close_date')
:param value_col: Column in DataFrame to use for values (defaults to 'profit_percent')
:param value_col: Column in DataFrame to use for values (defaults to 'profit_ratio')
:return: Tuple (float, highdate, lowdate) with absolute max drawdown, high and low time
:raise: ValueError if trade-dataframe was found empty.
"""