stable/freqtrade/optimize/edge_cli.py

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

"""
This module contains the backtesting logic
"""
import logging
from argparse import Namespace
from typing import Dict, Any
from tabulate import tabulate
from freqtrade.edge import Edge

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

logger = logging.getLogger(__name__)


class EdgeCli(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:
        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['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)
                ])

        return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")

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


def setup_configuration(args: Namespace) -> Dict[str, Any]:
    """
    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


def start(args: Namespace) -> None:
    """
    Start Edge script
    :param args: Cli args from Arguments()
    :return: None
    """
    # Initialize configuration
    config = setup_configuration(args)
    logger.info('Starting freqtrade in Edge mode')

    # Initialize Edge object
    edge_cli = EdgeCli(config)
    edge_cli.start()