From fa52373035c7aea8bcadefe5dab225bd408b669a Mon Sep 17 00:00:00 2001 From: Guitheg Date: Mon, 6 Dec 2021 17:37:25 +0100 Subject: [PATCH] Update btanalysis.py --- freqtrade/data/btanalysis.py | 14 ++++++-------- 1 file changed, 6 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index bbb25d204..31e672202 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -390,7 +390,7 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date' low_val = max_drawdown_df.loc[idxmin, 'cumulative'] return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val -def calculate_mdd(data: pd.DataFrame, trades: pd.DataFrame, *, date_col: str = 'close_date', +def calculate_mdd(data: dict, trades: pd.DataFrame, *, date_col: str = 'close_date', value_col: str = 'profit_ratio' ) -> float: """ @@ -410,16 +410,14 @@ def calculate_mdd(data: pd.DataFrame, trades: pd.DataFrame, *, date_col: str = ' mdd_df = pd.DataFrame() for pair, df in data.items(): - print(pair) - print(df) - open_close_date = trades.loc[trades['pair']==pair] - # print(open_close_date) - # mdd_df = df[[df["date"].isin(open_close_date), open_close_date]] + open_close_date = trades.loc[trades['pair']==pair][["open_date","close_date"]] + mdd_df = df[df["date"].isin([open_close_date["open_date"],open_close_date["close_date"]])] + # list_index_open=df[df["date"].isin(open_close_date["open_date"])].index.values.tolist() + # list_index_close=df[df["date"].isin(open_close_date["close_date"])].index.values.tolist() + # a = pd.DataFrame({"open":list_index_open, "close":list_index_close}) # print(mdd_df) return mdd_df - - def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]: """ Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane