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add test for expectancy

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This commit is contained in:
Stefano Ariestasia 2023-07-22 11:25:53 +09:00
parent 8621dc96e7
commit cfd8b068e7
2 changed files with 12 additions and 2 deletions
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4
freqtrade/data/metrics.py
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@ -209,8 +209,8 @@ def calculate_expectancy(trades: pd.DataFrame) -> float:
average_win = (profit_sum / nb_win_trades) if nb_win_trades > 0 else 0 average_win = (profit_sum / nb_win_trades) if nb_win_trades > 0 else 0
average_loss = (loss_sum / nb_loss_trades) if nb_loss_trades > 0 else 0 average_loss = (loss_sum / nb_loss_trades) if nb_loss_trades > 0 else 0
winrate = nb_win_trades / len(trades) winrate = (nb_win_trades / len(trades)) if len(trades) > 0 else 0
loserate = nb_loss_trades / len(trades) loserate = (nb_loss_trades / len(trades)) if len(trades) > 0 else 0
expectancy = (winrate * average_win) - (loserate * average_loss) expectancy = (winrate * average_win) - (loserate * average_loss)
return expectancy return expectancy

10
tests/data/test_btanalysis.py
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@ -338,6 +338,16 @@ def test_calculate_csum(testdatadir):
with pytest.raises(ValueError, match='Trade dataframe empty.'): with pytest.raises(ValueError, match='Trade dataframe empty.'):
csum_min, csum_max = calculate_csum(DataFrame()) csum_min, csum_max = calculate_csum(DataFrame())
def test_calculate_expectancy(testdatadir):
filename = testdatadir / "backtest_results/backtest-result.json"
bt_data = load_backtest_data(filename)
expectancy = calculate_expectancy(DataFrame())
assert expectancy == 0.0
expectancy = calculate_expectancy(bt_data)
assert isinstance(expectancy, float)
assert pytest.approx(expectancy) == 0.07151374226574791
def test_calculate_expectancy_ratio(testdatadir): def test_calculate_expectancy_ratio(testdatadir):
filename = testdatadir / "backtest_results/backtest-result.json" filename = testdatadir / "backtest_results/backtest-result.json"