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Update btanalysis.py

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This commit is contained in:
Guitheg 2021-12-06 17:37:25 +01:00
parent dc2091baf8
commit fa52373035
1 changed files with 6 additions and 8 deletions
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14
freqtrade/data/btanalysis.py
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@ -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