CTYPTO/freqtrade
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chore: revert unnecessary edits

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Matthias
2025-07-08 19:56:09 +02:00
parent e6dd932436
commit fe92df7842
2 changed files with 19 additions and 25 deletions
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13
freqtrade/data/metrics.py
View File

@@ -175,11 +175,11 @@ def calculate_underwater(
@dataclass() @dataclass()
class DrawDownResult: class DrawDownResult:
# Max drawdown fields # Max drawdown fields
drawdown_abs: float = 0.0
high_date: pd.Timestamp = None high_date: pd.Timestamp = None
low_date: pd.Timestamp = None low_date: pd.Timestamp = None
high_value: float = 0.0 high_value: float = 0.0
low_value: float = 0.0 low_value: float = 0.0
drawdown_abs: float = 0.0
relative_account_drawdown: float = 0.0 relative_account_drawdown: float = 0.0
# Current drawdown fields # Current drawdown fields
current_high_date: pd.Timestamp = None current_high_date: pd.Timestamp = None
@@ -208,14 +208,10 @@ def calculate_max_drawdown(
relative account drawdown, and current drawdown information. relative account drawdown, and current drawdown information.
:raise: ValueError if trade-dataframe was found empty. :raise: ValueError if trade-dataframe was found empty.
""" """
if len(trades) == 0: if len(trades) == 0:
raise ValueError("Trade dataframe empty.") raise ValueError("Trade dataframe empty.")
# Sort trades by close date
profit_results = trades.sort_values(date_col).reset_index(drop=True) profit_results = trades.sort_values(date_col).reset_index(drop=True)
# Get drawdown data
max_drawdown_df = _calc_drawdown_series( max_drawdown_df = _calc_drawdown_series(
profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance profit_results, date_col=date_col, value_col=value_col, starting_balance=starting_balance
) )
@@ -231,7 +227,6 @@ def calculate_max_drawdown(
low_date = profit_results.loc[idxmin, date_col] low_date = profit_results.loc[idxmin, date_col]
high_val = max_drawdown_df.loc[high_idx, "cumulative"] high_val = max_drawdown_df.loc[high_idx, "cumulative"]
low_val = max_drawdown_df.loc[idxmin, "cumulative"] low_val = max_drawdown_df.loc[idxmin, "cumulative"]
max_drawdown_abs = abs(max_drawdown_df.loc[idxmin, "drawdown"])
max_drawdown_rel = max_drawdown_df.loc[idxmin, "drawdown_relative"] max_drawdown_rel = max_drawdown_df.loc[idxmin, "drawdown_relative"]
# Calculate current drawdown # Calculate current drawdown
@@ -242,13 +237,13 @@ def calculate_max_drawdown(
current_drawdown_abs = current_high_value - current_cumulative current_drawdown_abs = current_high_value - current_cumulative
current_drawdown_relative = max_drawdown_df.iloc[-1]["drawdown_relative"] current_drawdown_relative = max_drawdown_df.iloc[-1]["drawdown_relative"]
result = DrawDownResult( return DrawDownResult(
# Max drawdown # Max drawdown
drawdown_abs=abs(max_drawdown_df.loc[idxmin, "drawdown"]),
high_date=high_date, high_date=high_date,
low_date=low_date, low_date=low_date,
high_value=high_val, high_value=high_val,
low_value=low_val, low_value=low_val,
drawdown_abs=max_drawdown_abs,
relative_account_drawdown=max_drawdown_rel, relative_account_drawdown=max_drawdown_rel,
# Current drawdown # Current drawdown
current_high_date=current_high_date, current_high_date=current_high_date,
@@ -257,8 +252,6 @@ def calculate_max_drawdown(
current_relative_account_drawdown=current_drawdown_relative, current_relative_account_drawdown=current_drawdown_relative,
) )
return result
def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> tuple[float, float]: def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> tuple[float, float]:
""" """

31
freqtrade/rpc/rpc.py
View File

@@ -611,17 +611,18 @@ class RPC:
) )
expectancy, expectancy_ratio = calculate_expectancy(trades_df) expectancy, expectancy_ratio = calculate_expectancy(trades_df)
max_drawdown = DrawDownResult()
drawdown = DrawDownResult()
if len(trades_df) > 0: if len(trades_df) > 0:
try: try:
max_drawdown = calculate_max_drawdown( drawdown = calculate_max_drawdown(
trades_df, trades_df,
value_col="profit_abs", value_col="profit_abs",
date_col="close_date_dt", date_col="close_date_dt",
starting_balance=starting_balance, starting_balance=starting_balance,
) )
except ValueError: except ValueError:
# ValueError if no losing trade.
pass pass
profit_all_fiat = ( profit_all_fiat = (
@@ -672,19 +673,19 @@ class RPC:
"winrate": winrate, "winrate": winrate,
"expectancy": expectancy, "expectancy": expectancy,
"expectancy_ratio": expectancy_ratio, "expectancy_ratio": expectancy_ratio,
"max_drawdown": max_drawdown.relative_account_drawdown, "max_drawdown": drawdown.relative_account_drawdown,
"max_drawdown_abs": max_drawdown.drawdown_abs, "max_drawdown_abs": drawdown.drawdown_abs,
"max_drawdown_start": format_date(max_drawdown.high_date), "max_drawdown_start": format_date(drawdown.high_date),
"max_drawdown_start_timestamp": dt_ts_def(max_drawdown.high_date), "max_drawdown_start_timestamp": dt_ts_def(drawdown.high_date),
"max_drawdown_end": format_date(max_drawdown.low_date), "max_drawdown_end": format_date(drawdown.low_date),
"max_drawdown_end_timestamp": dt_ts_def(max_drawdown.low_date), "max_drawdown_end_timestamp": dt_ts_def(drawdown.low_date),
"drawdown_high": max_drawdown.high_value, "drawdown_high": drawdown.high_value,
"drawdown_low": max_drawdown.low_value, "drawdown_low": drawdown.low_value,
"current_drawdown": max_drawdown.current_relative_account_drawdown, "current_drawdown": drawdown.current_relative_account_drawdown,
"current_drawdown_abs": max_drawdown.current_drawdown_abs, "current_drawdown_abs": drawdown.current_drawdown_abs,
"current_drawdown_high": max_drawdown.current_high_value, "current_drawdown_high": drawdown.current_high_value,
"current_drawdown_start": format_date(max_drawdown.current_high_date), "current_drawdown_start": format_date(drawdown.current_high_date),
"current_drawdown_start_timestamp": dt_ts_def(max_drawdown.current_high_date), "current_drawdown_start_timestamp": dt_ts_def(drawdown.current_high_date),
"trading_volume": trading_volume, "trading_volume": trading_volume,
"bot_start_timestamp": dt_ts_def(bot_start, 0), "bot_start_timestamp": dt_ts_def(bot_start, 0),
"bot_start_date": format_date(bot_start), "bot_start_date": format_date(bot_start),