stable/freqtrade/optimize/edge_cli.py

# pragma pylint: disable=missing-docstring, W0212, too-many-arguments

"""
This module contains the edge backtesting interface
"""
import logging
from typing import Dict, Any
from tabulate import tabulate
from freqtrade import constants
from freqtrade.edge import Edge

from freqtrade.arguments import Arguments
from freqtrade.exchange import Exchange
from freqtrade.resolvers import StrategyResolver

logger = logging.getLogger(__name__)


class EdgeCli(object):
    """
    EdgeCli class, this class contains all the logic to run edge backtesting

    To run a edge backtest:
    edge = EdgeCli(config)
    edge.start()
    """

    def __init__(self, config: Dict[str, Any]) -> None:
        self.config = config

        # Reset keys for edge
        self.config['exchange']['key'] = ''
        self.config['exchange']['secret'] = ''
        self.config['exchange']['password'] = ''
        self.config['exchange']['uid'] = ''
        self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
        self.config['dry_run'] = True
        self.exchange = Exchange(self.config)
        self.strategy = StrategyResolver(self.config).strategy

        self.edge = Edge(config, self.exchange, self.strategy)
        self.edge._refresh_pairs = self.config.get('refresh_pairs', False)

        self.timerange = Arguments.parse_timerange(None if self.config.get(
            'timerange') is None else str(self.config.get('timerange')))

        self.edge._timerange = self.timerange

    def _generate_edge_table(self, results: dict) -> str:

        floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
        tabular_data = []
        headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
                   'required risk reward', 'expectancy', 'total number of trades',
                   'average duration (min)']

        for result in results.items():
            if result[1].nb_trades > 0:
                tabular_data.append([
                    result[0],
                    result[1].stoploss,
                    result[1].winrate,
                    result[1].risk_reward_ratio,
                    result[1].required_risk_reward,
                    result[1].expectancy,
                    result[1].nb_trades,
                    round(result[1].avg_trade_duration)
                ])

        # Ignore type as floatfmt does allow tuples but mypy does not know that
        return tabulate(tabular_data, headers=headers,  # type: ignore
                        floatfmt=floatfmt, tablefmt="pipe")

    def start(self) -> None:
        result = self.edge.calculate()
        if result:
            print('')  # blank line for readability
            print(self._generate_edge_table(self.edge._cached_pairs))