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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from argparse import Namespace
from typing import Dict, Tuple, Any, List, Optional
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import ccxt
import arrow
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from pandas import DataFrame, Series
from tabulate import tabulate
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import freqtrade.optimize as optimize
import freqtrade.exchange as exchange
from freqtrade import exchange
from freqtrade.analyze import Analyze
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from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.logger import Logger
from freqtrade.misc import file_dump_json
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from freqtrade.persistence import Trade
class Backtesting(object):
"""
Backtesting class, this class contains all the logic to run a backtest
To run a backtest:
backtesting = Backtesting(config)
backtesting.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
# Init the logger
self.logging = Logger(name=__name__, level=config['loglevel'])
self.logger = self.logging.get_logger()
self.config = config
self.analyze = None
self.ticker_interval = None
self.tickerdata_to_dataframe = None
self.populate_buy_trend = None
self.populate_sell_trend = None
self._init()
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def _init(self) -> None:
"""
Init objects required for backtesting
:return: None
"""
self.analyze = Analyze(self.config)
self.ticker_interval = self.analyze.strategy.ticker_interval
self.tickerdata_to_dataframe = self.analyze.tickerdata_to_dataframe
self.populate_buy_trend = self.analyze.populate_buy_trend
self.populate_sell_trend = self.analyze.populate_sell_trend
# Reset keys for backtesting
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self.config['exchange']['key'] = ''
self.config['exchange']['secret'] = ''
exchange.init(self.config)
@staticmethod
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
"""
Get the maximum timeframe for the given backtest data
:param data: dictionary with preprocessed backtesting data
:return: tuple containing min_date, max_date
"""
all_dates = Series([])
for pair_data in data.values():
all_dates = all_dates.append(pair_data['date'])
all_dates.sort_values(inplace=True)
return arrow.get(all_dates.iloc[0]), arrow.get(all_dates.iloc[-1])
def _generate_text_table(self, data: Dict[str, Dict], results: DataFrame) -> str:
"""
Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str
"""
stake_currency = self.config.get('stake_currency')
floatfmt = ('s', 'd', '.2f', '.8f', '.1f')
tabular_data = []
headers = ['pair', 'buy count', 'avg profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
for pair in data:
result = results[results.currency == pair]
tabular_data.append([
pair,
len(result.index),
result.profit_percent.mean() * 100.0,
result.profit_BTC.sum(),
result.duration.mean(),
len(result[result.profit_BTC > 0]),
len(result[result.profit_BTC < 0])
])
# Append Total
tabular_data.append([
'TOTAL',
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(),
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results.duration.mean(),
len(results[results.profit_BTC > 0]),
len(results[results.profit_BTC < 0])
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt)
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def _get_sell_trade_entry(
self, pair: str, buy_row: DataFrame,
partial_ticker: List, trade_count_lock: Dict, args: Dict) -> Optional[Tuple]:
stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0)
trade = Trade(
open_rate=buy_row.close,
open_date=buy_row.date,
stake_amount=stake_amount,
amount=stake_amount / buy_row.open,
fee=exchange.get_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
if self.analyze.should_sell(trade, sell_row.close, sell_row.date, buy_signal,
sell_row.sell):
return \
sell_row, \
(
pair,
trade.calc_profit_percent(rate=sell_row.close),
trade.calc_profit(rate=sell_row.close),
(sell_row.date - buy_row.date).seconds // 60
), \
sell_row.date
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)
realistic: do we try to simulate realistic trades? (default: True)
sell_profit_only: sell if profit only
use_sell_signal: act on sell-signal
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
record = args.get('record', None)
records = []
trades = []
trade_count_lock = {}
for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
ticker_data = self.populate_sell_trend(self.populate_buy_trend(pair_data))[headers]
ticker = [x for x in ticker_data.itertuples()]
lock_pair_until = None
for index, row in enumerate(ticker):
if row.buy == 0 or row.sell == 1:
continue # skip rows where no buy signal or that would immediately sell off
if realistic:
if lock_pair_until is not None and row.date <= lock_pair_until:
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
ret = self._get_sell_trade_entry(pair, row, ticker[index + 1:],
trade_count_lock, args)
if ret:
row2, trade_entry, next_date = ret
lock_pair_until = next_date
trades.append(trade_entry)
if record:
# Note, need to be json.dump friendly
# record a tuple of pair, current_profit_percent,
# entry-date, duration
records.append((pair, trade_entry[1],
row.date.timestamp(),
row2.date.timestamp(),
row.date, trade_entry[3]))
# For now export inside backtest(), maybe change so that backtest()
# returns a tuple like: (dataframe, records, logs, etc)
if record and record.find('trades') >= 0:
self.logger.info('Dumping backtest results')
file_dump_json('backtest-result.json', records)
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
return DataFrame.from_records(trades, columns=labels)
def start(self) -> None:
"""
Run a backtesting end-to-end
:return: None
"""
data = {}
pairs = self.config['exchange']['pair_whitelist']
self.logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
self.logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
if self.config.get('live'):
self.logger.info('Downloading data for all pairs in whitelist ...')
for pair in pairs:
data[pair] = exchange.get_ticker_history(pair, self.ticker_interval)
else:
self.logger.info('Using local backtesting data (using whitelist in given config) ...')
timerange = Arguments.parse_timerange(self.config.get('timerange'))
data = optimize.load_data(
self.config['datadir'],
pairs=pairs,
ticker_interval=self.ticker_interval,
refresh_pairs=self.config.get('refresh_pairs', False),
timerange=timerange
)
# Ignore max_open_trades in backtesting, except realistic flag was passed
if self.config.get('realistic_simulation', False):
max_open_trades = self.config['max_open_trades']
else:
self.logger.info('Ignoring max_open_trades (realistic_simulation not set) ...')
max_open_trades = 0
preprocessed = self.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = self.get_timeframe(preprocessed)
self.logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
# Execute backtest and print results
sell_profit_only = self.config.get('experimental', {}).get('sell_profit_only', False)
use_sell_signal = self.config.get('experimental', {}).get('use_sell_signal', False)
results = self.backtest(
{
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'realistic': self.config.get('realistic_simulation', False),
'sell_profit_only': sell_profit_only,
'use_sell_signal': use_sell_signal,
'record': self.config.get('export')
}
)
self.logging.set_format('%(message)s')
self.logger.info(
'\n==================================== '
'BACKTESTING REPORT'
' ====================================\n'
'%s',
self._generate_text_table(
data,
results
)
)
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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'] = ''
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 logger
logger = Logger(name=__name__).get_logger()
logger.info('Starting freqtrade in Backtesting mode')
# Initialize configuration
config = setup_configuration(args)
# Initialize backtesting object
backtesting = Backtesting(config)
backtesting.start()