stable/freqtrade/optimize/backtesting.py

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# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
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"""
This module contains the backtesting logic
"""
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import logging
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from argparse import Namespace
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from copy import deepcopy
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from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional
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from pandas import DataFrame
from tabulate import tabulate
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import freqtrade.optimize as optimize
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from freqtrade import DependencyException, constants
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from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
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from freqtrade.exchange import Exchange
from freqtrade.misc import file_dump_json
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from freqtrade.persistence import Trade
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.interface import SellType, IStrategy
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logger = logging.getLogger(__name__)
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class BacktestResult(NamedTuple):
"""
NamedTuple Defining BacktestResults inputs.
"""
pair: str
profit_percent: float
profit_abs: float
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open_time: datetime
close_time: datetime
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open_index: int
close_index: int
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trade_duration: float
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open_at_end: bool
open_rate: float
close_rate: float
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sell_reason: SellType
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class Backtesting(object):
"""
Backtesting class, this class contains all the logic to run a backtest
To run a backtest:
backtesting = Backtesting(config)
backtesting.start()
"""
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def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
# Reset keys for backtesting
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self.config['exchange']['key'] = ''
self.config['exchange']['secret'] = ''
self.config['exchange']['password'] = ''
self.config['exchange']['uid'] = ''
self.config['dry_run'] = True
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self.strategylist: List[IStrategy] = []
if self.config.get('strategy_list', None):
# Force one interval
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self.ticker_interval = str(self.config.get('ticker_interval'))
self.ticker_interval_mins = constants.TICKER_INTERVAL_MINUTES[self.ticker_interval]
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for strat in list(self.config['strategy_list']):
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stratconf = deepcopy(self.config)
stratconf['strategy'] = strat
self.strategylist.append(StrategyResolver(stratconf).strategy)
else:
# only one strategy
self.strategylist.append(StrategyResolver(self.config).strategy)
# Load one strategy
self._set_strategy(self.strategylist[0])
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self.exchange = Exchange(self.config)
self.fee = self.exchange.get_fee()
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def _set_strategy(self, strategy):
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"""
Load strategy into backtesting
"""
self.strategy = strategy
self.ticker_interval = self.config.get('ticker_interval')
self.ticker_interval_mins = constants.TICKER_INTERVAL_MINUTES[self.ticker_interval]
self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe
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self.advise_buy = strategy.advise_buy
self.advise_sell = strategy.advise_sell
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def _generate_text_table(self, data: Dict[str, Dict], results: DataFrame,
skip_nan: bool = False) -> str:
"""
Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str
"""
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stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
tabular_data = []
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headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
for pair in data:
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result = results[results.pair == pair]
if skip_nan and result.profit_abs.isnull().all():
continue
tabular_data.append([
pair,
len(result.index),
result.profit_percent.mean() * 100.0,
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result.profit_percent.sum() * 100.0,
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result.profit_abs.sum(),
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str(timedelta(
minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
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len(result[result.profit_abs > 0]),
len(result[result.profit_abs < 0])
])
# Append Total
tabular_data.append([
'TOTAL',
len(results.index),
results.profit_percent.mean() * 100.0,
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results.profit_percent.sum() * 100.0,
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results.profit_abs.sum(),
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str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
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len(results[results.profit_abs > 0]),
len(results[results.profit_abs < 0])
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
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def _generate_text_table_sell_reason(self, data: Dict[str, Dict], results: DataFrame) -> str:
"""
Generate small table outlining Backtest results
"""
tabular_data = []
headers = ['Sell Reason', 'Count']
for reason, count in results['sell_reason'].value_counts().iteritems():
tabular_data.append([reason.value, count])
return tabulate(tabular_data, headers=headers, tablefmt="pipe")
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def _generate_text_table_strategy(self, all_results: dict) -> str:
"""
Generate summary table per strategy
"""
stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
tabular_data = []
headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
for strategy, results in all_results.items():
tabular_data.append([
strategy,
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0,
results.profit_abs.sum(),
str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]),
len(results[results.profit_abs < 0])
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def _store_backtest_result(self, recordfilename: str, results: DataFrame,
strategyname: Optional[str] = None) -> None:
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records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
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t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
for index, t in results.iterrows()]
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if records:
if strategyname:
# Inject strategyname to filename
recname = Path(recordfilename)
recordfilename = str(Path.joinpath(
recname.parent, f'{recname.stem}-{strategyname}').with_suffix(recname.suffix))
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logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
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def _get_sell_trade_entry(
self, pair: str, buy_row: DataFrame,
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partial_ticker: List, trade_count_lock: Dict, args: Dict) -> Optional[BacktestResult]:
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stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0)
trade = Trade(
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open_rate=buy_row.open,
open_date=buy_row.date,
stake_amount=stake_amount,
amount=stake_amount / buy_row.open,
fee_open=self.fee,
fee_close=self.fee
)
# calculate win/lose forwards from buy point
for sell_row in partial_ticker:
if max_open_trades > 0:
# Increase trade_count_lock for every iteration
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
buy_signal = sell_row.buy
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sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell, low=sell_row.low, high=sell_row.high)
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if sell.sell_flag:
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trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60)
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# Special handling if high or low hit STOP_LOSS or ROI
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
# Set close_rate to stoploss
closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI):
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# get entry in min_roi >= to trade duration
roi_entry = max(list(filter(lambda x: trade_dur >= x,
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self.strategy.minimal_roi.keys())))
roi = self.strategy.minimal_roi[roi_entry]
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
else:
closerate = sell_row.open
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return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate),
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open_time=buy_row.date,
close_time=sell_row.date,
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trade_duration=trade_dur,
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open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False,
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open_rate=buy_row.open,
close_rate=closerate,
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sell_reason=sell.sell_type
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)
if partial_ticker:
# no sell condition found - trade stil open at end of backtest period
sell_row = partial_ticker[-1]
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btr = BacktestResult(pair=pair,
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profit_percent=trade.calc_profit_percent(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
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open_time=buy_row.date,
close_time=sell_row.date,
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trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
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open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True,
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open_rate=buy_row.open,
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close_rate=sell_row.open,
sell_reason=SellType.FORCE_SELL
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)
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logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs)
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return btr
return None
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def backtest(self, args: Dict) -> DataFrame:
"""
Implements backtesting functionality
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
Of course try to not have ugly code. By some accessor are sometime slower than functions.
Avoid, logging on this method
:param args: a dict containing:
stake_amount: btc amount to use for each trade
processed: a processed dictionary with format {pair, data}
max_open_trades: maximum number of concurrent trades (default: 0, disabled)
position_stacking: do we allow position stacking? (default: False)
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
position_stacking = args.get('position_stacking', False)
start_date = args['start_date']
end_date = args['end_date']
trades = []
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trade_count_lock: Dict = {}
ticker: Dict = {}
pairs = []
# Create ticker dict
for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
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ticker_data = self.advise_sell(
self.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
# to avoid using data from future, we buy/sell with signal from previous candle
ticker_data.loc[:, 'buy'] = ticker_data['buy'].shift(1)
ticker_data.loc[:, 'sell'] = ticker_data['sell'].shift(1)
ticker_data.drop(ticker_data.head(1).index, inplace=True)
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# Convert from Pandas to list for performance reasons
# (Looping Pandas is slow.)
ticker[pair] = [x for x in ticker_data.itertuples()]
pairs.append(pair)
lock_pair_until: Dict = {}
tmp = start_date + timedelta(minutes=self.ticker_interval_mins)
index = 0
# Loop timerange and test per pair
while tmp < end_date:
# print(f"time: {tmp}")
for i, pair in enumerate(ticker):
try:
row = ticker[pair][index]
except IndexError:
# missing Data for one pair ...
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# Warnings for this are shown by `validate_backtest_data`
continue
if row.buy == 0 or row.sell == 1:
continue # skip rows where no buy signal or that would immediately sell off
if not position_stacking:
if pair in lock_pair_until and row.date <= lock_pair_until[pair]:
continue
if max_open_trades > 0:
# Check if max_open_trades has already been reached for the given date
if not trade_count_lock.get(row.date, 0) < max_open_trades:
continue
trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1
trade_entry = self._get_sell_trade_entry(pair, row, ticker[pair][index + 1:],
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trade_count_lock, args)
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if trade_entry:
lock_pair_until[pair] = trade_entry.close_time
trades.append(trade_entry)
else:
# Set lock_pair_until to end of testing period if trade could not be closed
# This happens only if the buy-signal was with the last candle
lock_pair_until[pair] = end_date
tmp += timedelta(minutes=self.ticker_interval_mins)
index += 1
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return DataFrame.from_records(trades, columns=BacktestResult._fields)
def start(self) -> None:
"""
Run a backtesting end-to-end
:return: None
"""
data: Dict[str, Any] = {}
pairs = self.config['exchange']['pair_whitelist']
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logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
if self.config.get('live'):
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logger.info('Downloading data for all pairs in whitelist ...')
self.exchange.refresh_tickers(pairs, self.ticker_interval)
data = self.exchange._klines
else:
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logger.info('Using local backtesting data (using whitelist in given config) ...')
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timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
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data = optimize.load_data(
self.config['datadir'],
pairs=pairs,
ticker_interval=self.ticker_interval,
refresh_pairs=self.config.get('refresh_pairs', False),
exchange=self.exchange,
timerange=timerange
)
if not data:
logger.critical("No data found. Terminating.")
return
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# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
max_open_trades = self.config['max_open_trades']
else:
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logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
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all_results = {}
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for strat in self.strategylist:
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logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
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self._set_strategy(strat)
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# need to reprocess data every time to populate signals
preprocessed = self.strategy.tickerdata_to_dataframe(data)
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min_date, max_date = optimize.get_timeframe(preprocessed)
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# Validate dataframe for missing values
optimize.validate_backtest_data(preprocessed, min_date, max_date,
constants.TICKER_INTERVAL_MINUTES[self.ticker_interval])
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logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
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# Execute backtest and print results
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all_results[self.strategy.get_strategy_name()] = self.backtest(
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{
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'position_stacking': self.config.get('position_stacking', False),
'start_date': min_date,
'end_date': max_date,
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}
)
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for strategy, results in all_results.items():
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if self.config.get('export', False):
self._store_backtest_result(self.config['exportfilename'], results,
strategy if len(self.strategylist) > 1 else None)
print(f"Result for strategy {strategy}")
print(' BACKTESTING REPORT '.center(119, '='))
print(self._generate_text_table(data, results))
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print(' SELL REASON STATS '.center(119, '='))
print(self._generate_text_table_sell_reason(data, results))
print(' LEFT OPEN TRADES REPORT '.center(119, '='))
print(self._generate_text_table(data, results.loc[results.open_at_end], True))
print()
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if len(all_results) > 1:
# Print Strategy summary table
print(' Strategy Summary '.center(119, '='))
print(self._generate_text_table_strategy(all_results))
print('\nFor more details, please look at the detail tables above')
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def setup_configuration(args: Namespace) -> Dict[str, Any]:
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"""
Prepare the configuration for the backtesting
:param args: Cli args from Arguments()
:return: Configuration
"""
configuration = Configuration(args)
config = configuration.get_config()
# Ensure we do not use Exchange credentials
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
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if config['stake_amount'] == constants.UNLIMITED_STAKE_AMOUNT:
raise DependencyException('stake amount could not be "%s" for backtesting' %
constants.UNLIMITED_STAKE_AMOUNT)
return config
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def start(args: Namespace) -> None:
"""
Start Backtesting script
:param args: Cli args from Arguments()
:return: None
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"""
# Initialize configuration
config = setup_configuration(args)
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logger.info('Starting freqtrade in Backtesting mode')
# Initialize backtesting object
backtesting = Backtesting(config)
backtesting.start()