Merge pull request #3127 from orehunt/max_drawdown_fix_db_plot

use equality instead of index for row lookups
freqtrade · Apr 6, 2020 · 9387585 · 9387585
2 parents 4a85422 + 20abb37
commit 9387585
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Showing 2 changed files with 19 additions and 7 deletions.
diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py
@@ -151,13 +151,20 @@ def load_trades(source: str, db_url: str, exportfilename: Path,
         return load_backtest_data(exportfilename)
 
 
-def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame) -> pd.DataFrame:
+def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame,
+                             date_index=False) -> pd.DataFrame:
     """
     Compare trades and backtested pair DataFrames to get trades performed on backtested period
     :return: the DataFrame of a trades of period
     """
-    trades = trades.loc[(trades['open_time'] >= dataframe.iloc[0]['date']) &
-                        (trades['close_time'] <= dataframe.iloc[-1]['date'])]
+    if date_index:
+        trades_start = dataframe.index[0]
+        trades_stop = dataframe.index[-1]
+    else:
+        trades_start = dataframe.iloc[0]['date']
+        trades_stop = dataframe.iloc[-1]['date']
+    trades = trades.loc[(trades['open_time'] >= trades_start) &
+                        (trades['close_time'] <= trades_stop)]
     return trades
 
 

diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py
@@ -10,6 +10,7 @@
                                        create_cum_profit,
                                        extract_trades_of_period, load_trades)
 from freqtrade.data.converter import trim_dataframe
+from freqtrade.exchange import timeframe_to_prev_date
 from freqtrade.data.history import load_data
 from freqtrade.misc import pair_to_filename
 from freqtrade.resolvers import StrategyResolver
@@ -122,7 +123,8 @@ def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_sub
     return fig
 
 
-def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame) -> make_subplots:
+def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame,
+                     timeframe: str) -> make_subplots:
     """
     Add scatter points indicating max drawdown
     """
@@ -132,8 +134,8 @@ def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame) -> m
         drawdown = go.Scatter(
             x=[highdate, lowdate],
             y=[
-                df_comb.loc[highdate, 'cum_profit'],
-                df_comb.loc[lowdate, 'cum_profit'],
+                df_comb.loc[timeframe_to_prev_date(timeframe, highdate), 'cum_profit'],
+                df_comb.loc[timeframe_to_prev_date(timeframe, lowdate), 'cum_profit'],
             ],
             mode='markers',
             name=f"Max drawdown {max_drawdown * 100:.2f}%",
@@ -383,6 +385,9 @@ def generate_profit_graph(pairs: str, data: Dict[str, pd.DataFrame],
     # Combine close-values for all pairs, rename columns to "pair"
     df_comb = combine_dataframes_with_mean(data, "close")
 
+    # Trim trades to available OHLCV data
+    trades = extract_trades_of_period(df_comb, trades, date_index=True)
+
     # Add combined cumulative profit
     df_comb = create_cum_profit(df_comb, trades, 'cum_profit', timeframe)
 
@@ -405,7 +410,7 @@ def generate_profit_graph(pairs: str, data: Dict[str, pd.DataFrame],
 
     fig.add_trace(avgclose, 1, 1)
     fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
-    fig = add_max_drawdown(fig, 2, trades, df_comb)
+    fig = add_max_drawdown(fig, 2, trades, df_comb, timeframe)
 
     for pair in pairs:
         profit_col = f'cum_profit_{pair}'