stable/freqtrade/optimize/edge_cli.py

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# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
"""
This module contains the edge backtesting interface
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"""
import logging
from typing import Dict, Any
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from tabulate import tabulate
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from freqtrade import constants
from freqtrade.edge import Edge
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from freqtrade.arguments import Arguments
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from freqtrade.exchange import Exchange
from freqtrade.resolvers import StrategyResolver
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logger = logging.getLogger(__name__)
class EdgeCli(object):
"""
EdgeCli class, this class contains all the logic to run edge backtesting
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To run a edge backtest:
edge = EdgeCli(config)
edge.start()
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"""
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'] = ''
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self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
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self.config['dry_run'] = True
self.exchange = Exchange(self.config)
self.strategy = StrategyResolver(self.config).strategy
self.edge = Edge(config, self.exchange, self.strategy)
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self.edge._refresh_pairs = self.config.get('refresh_pairs', False)
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self.timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
self.edge._timerange = self.timerange
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def _generate_edge_table(self, results: dict) -> str:
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floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
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tabular_data = []
headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
'required risk reward', 'expectancy', 'total number of trades',
'average duration (min)']
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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)
])
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# 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")
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def start(self) -> None:
result = self.edge.calculate()
if result:
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print('') # blank line for readability
print(self._generate_edge_table(self.edge._cached_pairs))