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Merge branch 'develop' into binance-public-data

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Meng Xiangzhuo
2024-11-13 12:14:50 +08:00
parent d7555e1f29 5d9af5a7da
commit 7ca39a5c38
174 changed files with 5221 additions and 2809 deletions
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8
tests/data/test_btanalysis.py
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@@ -503,7 +503,7 @@ def test_calculate_max_drawdown2():
]
dates = [dt_utc(2020, 1, 1) + timedelta(days=i) for i in range(len(values))]
df = DataFrame(zip(values, dates), columns=["profit", "open_date"])
df = DataFrame(zip(values, dates, strict=False), columns=["profit", "open_date"])
# sort by profit and reset index
df = df.sort_values("profit").reset_index(drop=True)
df1 = df.copy()
@@ -522,11 +522,11 @@ def test_calculate_max_drawdown2():
assert drawdown.drawdown_abs == 0.091755
assert pytest.approx(drawdown.relative_account_drawdown) == 0.32129575
df = DataFrame(zip(values[:5], dates[:5]), columns=["profit", "open_date"])
df = DataFrame(zip(values[:5], dates[:5], strict=False), columns=["profit", "open_date"])
with pytest.raises(ValueError, match="No losing trade, therefore no drawdown."):
calculate_max_drawdown(df, date_col="open_date", value_col="profit")
df1 = DataFrame(zip(values[:5], dates[:5]), columns=["profit", "open_date"])
df1 = DataFrame(zip(values[:5], dates[:5], strict=False), columns=["profit", "open_date"])
df1.loc[:, "profit"] = df1["profit"] * -1
# No winning trade ...
drawdown = calculate_max_drawdown(df1, date_col="open_date", value_col="profit")
@@ -548,7 +548,7 @@ def test_calculate_max_drawdown_abs(profits, relative, highd, lowdays, result, r
"""
init_date = datetime(2020, 1, 1, tzinfo=timezone.utc)
dates = [init_date + timedelta(days=i) for i in range(len(profits))]
df = DataFrame(zip(profits, dates), columns=["profit_abs", "open_date"])
df = DataFrame(zip(profits, dates, strict=False), columns=["profit_abs", "open_date"])
# sort by profit and reset index
df = df.sort_values("profit_abs").reset_index(drop=True)
df1 = df.copy()