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Test MaxDrawdown desc

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Matthias
2020-11-30 19:07:39 +01:00
parent 089c463cfb
commit f06b58dc91
2 changed files with 76 additions and 8 deletions
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12
freqtrade/plugins/protections/max_drawdown_protection.py
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@@ -40,7 +40,7 @@ class MaxDrawdown(IProtection):
return (f'{drawdown} > {self._max_allowed_drawdown} in {self._lookback_period} min, '
f'locking for {self._stop_duration} min.')
def _max_drawdown(self, date_now: datetime, pair: str) -> ProtectionReturn:
def _max_drawdown(self, date_now: datetime) -> ProtectionReturn:
"""
Evaluate recent trades for drawdown ...
"""
@@ -49,23 +49,21 @@ class MaxDrawdown(IProtection):
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
]
if pair:
filters.append(Trade.pair == pair)
trades = Trade.get_trades(filters).all()
trades_df = pd.DataFrame(trades)
trades_df = pd.DataFrame([trade.to_json() for trade in trades])
if len(trades) < self._trade_limit:
# Not enough trades in the relevant period
return False, None, None
# Drawdown is always positive
drawdown, _, _ = calculate_max_drawdown(trades_df)
drawdown, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
if drawdown > self._max_allowed_drawdown:
self.log_once(
f"Trading for {pair} stopped due to {drawdown:.2f} < {self._max_allowed_drawdown} "
f"within {self._lookback_period} minutes.", logger.info)
f"Trading stopped due to Max Drawdown {drawdown:.2f} < {self._max_allowed_drawdown}"
f" within {self._lookback_period} minutes.", logger.info)
until = self.calculate_lock_end(trades, self._stop_duration)
return True, until, self._reason(drawdown)