stable/freqtrade/optimize/backtesting.py

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

"""
This module contains the backtesting logic
"""
import logging
from collections import defaultdict
from copy import deepcopy
from datetime import datetime, timedelta, timezone
from typing import Any, Dict, List, Optional, Tuple

import pandas as pd
from numpy import nan
from pandas import DataFrame

from freqtrade import constants
from freqtrade.configuration import TimeRange, validate_config_consistency
from freqtrade.constants import DATETIME_PRINT_FORMAT, LongShort
from freqtrade.data import history
from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
                             TradingMode)
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.bt_progress import BTProgress
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
                                                 store_backtest_signal_candles,
                                                 store_backtest_stats)
from freqtrade.persistence import LocalTrade, Order, PairLocks, Trade
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.wallets import Wallets


logger = logging.getLogger(__name__)

# Indexes for backtest tuples
DATE_IDX = 0
OPEN_IDX = 1
HIGH_IDX = 2
LOW_IDX = 3
CLOSE_IDX = 4
LONG_IDX = 5
ELONG_IDX = 6  # Exit long
SHORT_IDX = 7
ESHORT_IDX = 8  # Exit short
ENTER_TAG_IDX = 9
EXIT_TAG_IDX = 10

# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
HEADERS = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
           'enter_short', 'exit_short', 'enter_tag', 'exit_tag']


class Backtesting:
    """
    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:

        LoggingMixin.show_output = False
        self.config = config
        self.results: Dict[str, Any] = {}
        self.trade_id_counter: int = 0
        self.order_id_counter: int = 0

        config['dry_run'] = True
        self.run_ids: Dict[str, str] = {}
        self.strategylist: List[IStrategy] = []
        self.all_results: Dict[str, Dict] = {}
        self.processed_dfs: Dict[str, Dict] = {}

        self._exchange_name = self.config['exchange']['name']
        self.exchange = ExchangeResolver.load_exchange(self._exchange_name, self.config)
        self.dataprovider = DataProvider(self.config, self.exchange)

        if self.config.get('strategy_list', None):
            for strat in list(self.config['strategy_list']):
                stratconf = deepcopy(self.config)
                stratconf['strategy'] = strat
                self.strategylist.append(StrategyResolver.load_strategy(stratconf))
                validate_config_consistency(stratconf)

        else:
            # No strategy list specified, only one strategy
            self.strategylist.append(StrategyResolver.load_strategy(self.config))
            validate_config_consistency(self.config)

        if "timeframe" not in self.config:
            raise OperationalException("Timeframe needs to be set in either "
                                       "configuration or as cli argument `--timeframe 5m`")
        self.timeframe = str(self.config.get('timeframe'))
        self.timeframe_min = timeframe_to_minutes(self.timeframe)
        self.init_backtest_detail()
        self.pairlists = PairListManager(self.exchange, self.config)
        if 'VolumePairList' in self.pairlists.name_list:
            raise OperationalException("VolumePairList not allowed for backtesting. "
                                       "Please use StaticPairlist instead.")
        if 'PerformanceFilter' in self.pairlists.name_list:
            raise OperationalException("PerformanceFilter not allowed for backtesting.")

        if len(self.strategylist) > 1 and 'PrecisionFilter' in self.pairlists.name_list:
            raise OperationalException(
                "PrecisionFilter not allowed for backtesting multiple strategies."
            )

        self.dataprovider.add_pairlisthandler(self.pairlists)
        self.pairlists.refresh_pairlist()

        if len(self.pairlists.whitelist) == 0:
            raise OperationalException("No pair in whitelist.")

        if config.get('fee', None) is not None:
            self.fee = config['fee']
        else:
            self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])

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

        # Get maximum required startup period
        self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
        # Add maximum startup candle count to configuration for informative pairs support
        self.config['startup_candle_count'] = self.required_startup
        self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)

        self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
        # strategies which define "can_short=True" will fail to load in Spot mode.
        self._can_short = self.trading_mode != TradingMode.SPOT

        self.init_backtest()

    def __del__(self):
        self.cleanup()

    @staticmethod
    def cleanup():
        LoggingMixin.show_output = True
        PairLocks.use_db = True
        Trade.use_db = True

    def init_backtest_detail(self):
        # Load detail timeframe if specified
        self.timeframe_detail = str(self.config.get('timeframe_detail', ''))
        if self.timeframe_detail:
            self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail)
            if self.timeframe_min <= self.timeframe_detail_min:
                raise OperationalException(
                    "Detail timeframe must be smaller than strategy timeframe.")

        else:
            self.timeframe_detail_min = 0
        self.detail_data: Dict[str, DataFrame] = {}
        self.futures_data: Dict[str, DataFrame] = {}

    def init_backtest(self):

        self.prepare_backtest(False)

        self.wallets = Wallets(self.config, self.exchange, log=False)

        self.progress = BTProgress()
        self.abort = False

    def _set_strategy(self, strategy: IStrategy):
        """
        Load strategy into backtesting
        """
        self.strategy: IStrategy = strategy
        strategy.dp = self.dataprovider
        # Attach Wallets to Strategy baseclass
        strategy.wallets = self.wallets
        # Set stoploss_on_exchange to false for backtesting,
        # since a "perfect" stoploss-exit is assumed anyway
        # And the regular "stoploss" function would not apply to that case
        self.strategy.order_types['stoploss_on_exchange'] = False
        self.strategy.bot_start()

    def _load_protections(self, strategy: IStrategy):
        if self.config.get('enable_protections', False):
            conf = self.config
            if hasattr(strategy, 'protections'):
                conf = deepcopy(conf)
                conf['protections'] = strategy.protections
            self.protections = ProtectionManager(self.config, strategy.protections)

    def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]:
        """
        Loads backtest data and returns the data combined with the timerange
        as tuple.
        """
        self.progress.init_step(BacktestState.DATALOAD, 1)

        data = history.load_data(
            datadir=self.config['datadir'],
            pairs=self.pairlists.whitelist,
            timeframe=self.timeframe,
            timerange=self.timerange,
            startup_candles=self.required_startup,
            fail_without_data=True,
            data_format=self.config.get('dataformat_ohlcv', 'json'),
            candle_type=self.config.get('candle_type_def', CandleType.SPOT)
        )

        min_date, max_date = history.get_timerange(data)

        logger.info(f'Loading data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'({(max_date - min_date).days} days).')

        # Adjust startts forward if not enough data is available
        self.timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe),
                                                 self.required_startup, min_date)

        self.progress.set_new_value(1)
        return data, self.timerange

    def load_bt_data_detail(self) -> None:
        """
        Loads backtest detail data (smaller timeframe) if necessary.
        """
        if self.timeframe_detail:
            self.detail_data = history.load_data(
                datadir=self.config['datadir'],
                pairs=self.pairlists.whitelist,
                timeframe=self.timeframe_detail,
                timerange=self.timerange,
                startup_candles=0,
                fail_without_data=True,
                data_format=self.config.get('dataformat_ohlcv', 'json'),
                candle_type=self.config.get('candle_type_def', CandleType.SPOT)
            )
        else:
            self.detail_data = {}
        if self.trading_mode == TradingMode.FUTURES:
            # Load additional futures data.
            funding_rates_dict = history.load_data(
                datadir=self.config['datadir'],
                pairs=self.pairlists.whitelist,
                timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
                timerange=self.timerange,
                startup_candles=0,
                fail_without_data=True,
                data_format=self.config.get('dataformat_ohlcv', 'json'),
                candle_type=CandleType.FUNDING_RATE
            )

            # For simplicity, assign to CandleType.Mark (might contian index candles!)
            mark_rates_dict = history.load_data(
                datadir=self.config['datadir'],
                pairs=self.pairlists.whitelist,
                timeframe=self.exchange._ft_has['mark_ohlcv_timeframe'],
                timerange=self.timerange,
                startup_candles=0,
                fail_without_data=True,
                data_format=self.config.get('dataformat_ohlcv', 'json'),
                candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
            )
            # Combine data to avoid combining the data per trade.
            unavailable_pairs = []
            for pair in self.pairlists.whitelist:
                if pair not in self.exchange._leverage_tiers:
                    unavailable_pairs.append(pair)
                    continue
                self.futures_data[pair] = funding_rates_dict[pair].merge(
                    mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])

            if unavailable_pairs:
                raise OperationalException(
                        f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. "
                        "It is therefore impossible to backtest with this pair at the moment.")
        else:
            self.futures_data = {}

    def prepare_backtest(self, enable_protections):
        """
        Backtesting setup method - called once for every call to "backtest()".
        """
        PairLocks.use_db = False
        PairLocks.timeframe = self.config['timeframe']
        Trade.use_db = False
        PairLocks.reset_locks()
        Trade.reset_trades()
        self.rejected_trades = 0
        self.timedout_entry_orders = 0
        self.timedout_exit_orders = 0
        self.dataprovider.clear_cache()
        if enable_protections:
            self._load_protections(self.strategy)

    def check_abort(self):
        """
        Check if abort was requested, raise DependencyException if that's the case
        Only applies to Interactive backtest mode (webserver mode)
        """
        if self.abort:
            self.abort = False
            raise DependencyException("Stop requested")

    def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
        """
        Helper function to convert a processed dataframes into lists for performance reasons.

        Used by backtest() - so keep this optimized for performance.

        :param processed: a processed dictionary with format {pair, data}, which gets cleared to
        optimize memory usage!
        """

        data: Dict = {}
        self.progress.init_step(BacktestState.CONVERT, len(processed))

        # Create dict with data
        for pair in processed.keys():
            pair_data = processed[pair]
            self.check_abort()
            self.progress.increment()

            if not pair_data.empty:
                # Cleanup from prior runs
                pair_data.drop(HEADERS[5:] + ['buy', 'sell'], axis=1, errors='ignore')

            df_analyzed = self.strategy.advise_exit(
                self.strategy.advise_entry(pair_data, {'pair': pair}),
                {'pair': pair}
            ).copy()
            # Trim startup period from analyzed dataframe
            df_analyzed = processed[pair] = pair_data = trim_dataframe(
                df_analyzed, self.timerange, startup_candles=self.required_startup)
            # Update dataprovider cache
            self.dataprovider._set_cached_df(
                pair, self.timeframe, df_analyzed, self.config['candle_type_def'])

            # Create a copy of the dataframe before shifting, that way the entry signal/tag
            # remains on the correct candle for callbacks.
            df_analyzed = df_analyzed.copy()

            # To avoid using data from future, we use entry/exit signals shifted
            # from the previous candle
            for col in HEADERS[5:]:
                tag_col = col in ('enter_tag', 'exit_tag')
                if col in df_analyzed.columns:
                    df_analyzed.loc[:, col] = df_analyzed.loc[:, col].replace(
                        [nan], [0 if not tag_col else None]).shift(1)
                elif not df_analyzed.empty:
                    df_analyzed.loc[:, col] = 0 if not tag_col else None

            df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)

            # Convert from Pandas to list for performance reasons
            # (Looping Pandas is slow.)
            data[pair] = df_analyzed[HEADERS].values.tolist() if not df_analyzed.empty else []
        return data

    def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                        trade_dur: int) -> float:
        """
        Get close rate for backtesting result
        """
        # Special handling if high or low hit STOP_LOSS or ROI
        if exit.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
            return self._get_close_rate_for_stoploss(row, trade, exit, trade_dur)
        elif exit.exit_type == (ExitType.ROI):
            return self._get_close_rate_for_roi(row, trade, exit, trade_dur)
        else:
            return row[OPEN_IDX]

    def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                                     trade_dur: int) -> float:
        # our stoploss was already lower than candle high,
        # possibly due to a cancelled trade exit.
        # exit at open price.
        is_short = trade.is_short or False
        leverage = trade.leverage or 1.0
        side_1 = -1 if is_short else 1
        if is_short:
            if trade.stop_loss < row[LOW_IDX]:
                return row[OPEN_IDX]
        else:
            if trade.stop_loss > row[HIGH_IDX]:
                return row[OPEN_IDX]

        # Special case: trailing triggers within same candle as trade opened. Assume most
        # pessimistic price movement, which is moving just enough to arm stoploss and
        # immediately going down to stop price.
        if exit.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
            if (
                not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
                and self.strategy.trailing_only_offset_is_reached
                and self.strategy.trailing_stop_positive_offset is not None
                and self.strategy.trailing_stop_positive
            ):
                # Worst case: price reaches stop_positive_offset and dives down.
                stop_rate = (row[OPEN_IDX] *
                             (1 + side_1 * abs(self.strategy.trailing_stop_positive_offset) -
                              side_1 * abs(self.strategy.trailing_stop_positive / leverage)))
            else:
                # Worst case: price ticks tiny bit above open and dives down.
                stop_rate = row[OPEN_IDX] * (1 - side_1 * abs(trade.stop_loss_pct / leverage))
                if is_short:
                    assert stop_rate > row[LOW_IDX]
                else:
                    assert stop_rate < row[HIGH_IDX]

            # Limit lower-end to candle low to avoid exits below the low.
            # This still remains "worst case" - but "worst realistic case".
            if is_short:
                return min(row[HIGH_IDX], stop_rate)
            else:
                return max(row[LOW_IDX], stop_rate)

        # Set close_rate to stoploss
        return trade.stop_loss

    def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                                trade_dur: int) -> float:
        is_short = trade.is_short or False
        leverage = trade.leverage or 1.0
        side_1 = -1 if is_short else 1
        roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
        if roi is not None and roi_entry is not None:
            if roi == -1 and roi_entry % self.timeframe_min == 0:
                # When force_exiting with ROI=-1, the roi time will always be equal to trade_dur.
                # If that entry is a multiple of the timeframe (so on candle open)
                # - we'll use open instead of close
                return row[OPEN_IDX]

            # - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
            roi_rate = trade.open_rate * roi / leverage
            open_fee_rate = side_1 * trade.open_rate * (1 + side_1 * trade.fee_open)
            close_rate = -(roi_rate + open_fee_rate) / (trade.fee_close - side_1 * 1)
            if is_short:
                is_new_roi = row[OPEN_IDX] < close_rate
            else:
                is_new_roi = row[OPEN_IDX] > close_rate
            if (trade_dur > 0 and trade_dur == roi_entry
                    and roi_entry % self.timeframe_min == 0
                    and is_new_roi):
                # new ROI entry came into effect.
                # use Open rate if open_rate > calculated exit rate
                return row[OPEN_IDX]

            if (trade_dur == 0 and (
                (
                    is_short
                    # Red candle (for longs)
                    and row[OPEN_IDX] < row[CLOSE_IDX]  # Red candle
                    and trade.open_rate > row[OPEN_IDX]  # trade-open above open_rate
                    and close_rate < row[CLOSE_IDX]  # closes below close
                )
                or
                (
                    not is_short
                    # green candle (for shorts)
                    and row[OPEN_IDX] > row[CLOSE_IDX]  # green candle
                    and trade.open_rate < row[OPEN_IDX]  # trade-open below open_rate
                    and close_rate > row[CLOSE_IDX]  # closes above close
                )
            )):
                # ROI on opening candles with custom pricing can only
                # trigger if the entry was at Open or lower wick.
                # details: https: // github.com/freqtrade/freqtrade/issues/6261
                # If open_rate is < open, only allow exits below the close on red candles.
                raise ValueError("Opening candle ROI on red candles.")

            # Use the maximum between close_rate and low as we
            # cannot exit outside of a candle.
            # Applies when a new ROI setting comes in place and the whole candle is above that.
            return min(max(close_rate, row[LOW_IDX]), row[HIGH_IDX])

        else:
            # This should not be reached...
            return row[OPEN_IDX]

    def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
                                           ) -> LocalTrade:
        current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
        min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1)
        max_stake = self.exchange.get_max_pair_stake_amount(trade.pair, row[OPEN_IDX])
        stake_available = self.wallets.get_available_stake_amount()
        stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
                                             default_retval=None)(
            trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
            current_profit=current_profit, min_stake=min_stake,
            max_stake=min(max_stake, stake_available))

        # Check if we should increase our position
        if stake_amount is not None and stake_amount > 0.0:

            pos_trade = self._enter_trade(
                trade.pair, row, 'short' if trade.is_short else 'long', stake_amount, trade)
            if pos_trade is not None:
                self.wallets.update()
                return pos_trade

        return trade

    def _get_order_filled(self, rate: float, row: Tuple) -> bool:
        """ Rate is within candle, therefore filled"""
        return row[LOW_IDX] <= rate <= row[HIGH_IDX]

    def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
                                         row: Tuple) -> Optional[LocalTrade]:

        # Check if we need to adjust our current positions
        if self.strategy.position_adjustment_enable:
            check_adjust_entry = True
            if self.strategy.max_entry_position_adjustment > -1:
                entry_count = trade.nr_of_successful_entries
                check_adjust_entry = (entry_count <= self.strategy.max_entry_position_adjustment)
            if check_adjust_entry:
                trade = self._get_adjust_trade_entry_for_candle(trade, row)

        exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
        enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
        exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
        exit_ = self.strategy.should_exit(
            trade, row[OPEN_IDX], exit_candle_time,  # type: ignore
            enter=enter, exit_=exit_sig,
            low=row[LOW_IDX], high=row[HIGH_IDX]
        )

        if exit_.exit_flag:
            trade.close_date = exit_candle_time
            exit_reason = exit_.exit_reason

            trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
            try:
                close_rate = self._get_close_rate(row, trade, exit_, trade_dur)
            except ValueError:
                return None
            # call the custom exit price,with default value as previous close_rate
            current_profit = trade.calc_profit_ratio(close_rate)
            order_type = self.strategy.order_types['exit']
            if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
                # Checks and adds an exit tag, after checking that the length of the
                # row has the length for an exit tag column
                if(
                    len(row) > EXIT_TAG_IDX
                    and row[EXIT_TAG_IDX] is not None
                    and len(row[EXIT_TAG_IDX]) > 0
                    and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
                ):
                    exit_reason = row[EXIT_TAG_IDX]
                # Custom exit pricing only for exit-signals
                if order_type == 'limit':
                    close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
                                                       default_retval=close_rate)(
                        pair=trade.pair, trade=trade,
                        current_time=exit_candle_time,
                        proposed_rate=close_rate, current_profit=current_profit,
                        exit_tag=exit_reason)
                    # We can't place orders lower than current low.
                    # freqtrade does not support this in live, and the order would fill immediately
                    if trade.is_short:
                        close_rate = min(close_rate, row[HIGH_IDX])
                    else:
                        close_rate = max(close_rate, row[LOW_IDX])
            # Confirm trade exit:
            time_in_force = self.strategy.order_time_in_force['exit']

            if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
                    pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
                    rate=close_rate,
                    time_in_force=time_in_force,
                    sell_reason=exit_reason,  # deprecated
                    exit_reason=exit_reason,
                    current_time=exit_candle_time):
                return None

            trade.exit_reason = exit_reason

            self.order_id_counter += 1
            order = Order(
                id=self.order_id_counter,
                ft_trade_id=trade.id,
                order_date=exit_candle_time,
                order_update_date=exit_candle_time,
                ft_is_open=True,
                ft_pair=trade.pair,
                order_id=str(self.order_id_counter),
                symbol=trade.pair,
                ft_order_side=trade.exit_side,
                side=trade.exit_side,
                order_type=order_type,
                status="open",
                price=close_rate,
                average=close_rate,
                amount=trade.amount,
                filled=0,
                remaining=trade.amount,
                cost=trade.amount * close_rate,
            )
            trade.orders.append(order)
            return trade

        return None

    def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
        exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()

        if self.trading_mode == TradingMode.FUTURES:
            trade.funding_fees = self.exchange.calculate_funding_fees(
                self.futures_data[trade.pair],
                amount=trade.amount,
                is_short=trade.is_short,
                open_date=trade.open_date_utc,
                close_date=exit_candle_time,
            )

        if self.timeframe_detail and trade.pair in self.detail_data:
            exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)

            detail_data = self.detail_data[trade.pair]
            detail_data = detail_data.loc[
                (detail_data['date'] >= exit_candle_time) &
                (detail_data['date'] < exit_candle_end)
            ].copy()
            if len(detail_data) == 0:
                # Fall back to "regular" data if no detail data was found for this candle
                return self._get_exit_trade_entry_for_candle(trade, row)
            detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
            detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
            detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
            detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
            detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
            detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
            for det_row in detail_data[HEADERS].values.tolist():
                res = self._get_exit_trade_entry_for_candle(trade, det_row)
                if res:
                    return res

            return None

        else:
            return self._get_exit_trade_entry_for_candle(trade, row)

    def get_valid_price_and_stake(
        self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
        direction: LongShort, current_time: datetime, entry_tag: Optional[str],
        trade: Optional[LocalTrade], order_type: str
    ) -> Tuple[float, float, float, float]:

        if order_type == 'limit':
            propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
                                                 default_retval=propose_rate)(
                pair=pair, current_time=current_time,
                proposed_rate=propose_rate, entry_tag=entry_tag,
                side=direction,
            )  # default value is the open rate
            # We can't place orders higher than current high (otherwise it'd be a stop limit entry)
            # which freqtrade does not support in live.
            if direction == "short":
                propose_rate = max(propose_rate, row[LOW_IDX])
            else:
                propose_rate = min(propose_rate, row[HIGH_IDX])

        pos_adjust = trade is not None
        leverage = trade.leverage if trade else 1.0
        if not pos_adjust:
            try:
                stake_amount = self.wallets.get_trade_stake_amount(pair, None, update=False)
            except DependencyException:
                return 0, 0, 0, 0

            max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
            leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
                pair=pair,
                current_time=current_time,
                current_rate=row[OPEN_IDX],
                proposed_leverage=1.0,
                max_leverage=max_leverage,
                side=direction,
            ) if self._can_short else 1.0
            # Cap leverage between 1.0 and max_leverage.
            leverage = min(max(leverage, 1.0), max_leverage)

        min_stake_amount = self.exchange.get_min_pair_stake_amount(
            pair, propose_rate, -0.05, leverage=leverage) or 0
        max_stake_amount = self.exchange.get_max_pair_stake_amount(
            pair, propose_rate, leverage=leverage)
        stake_available = self.wallets.get_available_stake_amount()

        if not pos_adjust:
            stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
                                                 default_retval=stake_amount)(
                pair=pair, current_time=current_time, current_rate=propose_rate,
                proposed_stake=stake_amount, min_stake=min_stake_amount,
                max_stake=min(stake_available, max_stake_amount),
                entry_tag=entry_tag, side=direction)

        stake_amount_val = self.wallets.validate_stake_amount(
            pair=pair,
            stake_amount=stake_amount,
            min_stake_amount=min_stake_amount,
            max_stake_amount=max_stake_amount,
        )

        return propose_rate, stake_amount_val, leverage, min_stake_amount

    def _enter_trade(self, pair: str, row: Tuple, direction: LongShort,
                     stake_amount: Optional[float] = None,
                     trade: Optional[LocalTrade] = None,
                     requested_rate: Optional[float] = None,
                     requested_stake: Optional[float] = None) -> Optional[LocalTrade]:

        current_time = row[DATE_IDX].to_pydatetime()
        entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
        # let's call the custom entry price, using the open price as default price
        order_type = self.strategy.order_types['entry']
        pos_adjust = trade is not None and requested_rate is None

        propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake(
            pair, row, row[OPEN_IDX], stake_amount, direction, current_time, entry_tag, trade,
            order_type
        )

        # replace proposed rate if another rate was requested
        propose_rate = requested_rate if requested_rate else propose_rate
        stake_amount = requested_stake if requested_stake else stake_amount

        if not stake_amount:
            # In case of pos adjust, still return the original trade
            # If not pos adjust, trade is None
            return trade
        time_in_force = self.strategy.order_time_in_force['entry']

        if not pos_adjust:
            # Confirm trade entry:
            if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
                    pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
                    time_in_force=time_in_force, current_time=current_time,
                    entry_tag=entry_tag, side=direction):
                return trade

        if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
            self.order_id_counter += 1
            base_currency = self.exchange.get_pair_base_currency(pair)
            amount = round((stake_amount / propose_rate) * leverage, 8)
            is_short = (direction == 'short')
            # Necessary for Margin trading. Disabled until support is enabled.
            # interest_rate = self.exchange.get_interest_rate()

            if trade is None:
                # Enter trade
                self.trade_id_counter += 1
                trade = LocalTrade(
                    id=self.trade_id_counter,
                    open_order_id=self.order_id_counter,
                    pair=pair,
                    base_currency=base_currency,
                    stake_currency=self.config['stake_currency'],
                    open_rate=propose_rate,
                    open_rate_requested=propose_rate,
                    open_date=current_time,
                    stake_amount=stake_amount,
                    amount=amount,
                    amount_requested=amount,
                    fee_open=self.fee,
                    fee_close=self.fee,
                    is_open=True,
                    enter_tag=entry_tag,
                    exchange=self._exchange_name,
                    is_short=is_short,
                    trading_mode=self.trading_mode,
                    leverage=leverage,
                    # interest_rate=interest_rate,
                    orders=[],
                )

            trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)

            trade.set_isolated_liq(self.exchange.get_liquidation_price(
                pair=pair,
                open_rate=propose_rate,
                amount=amount,
                leverage=leverage,
                is_short=is_short,
            ))

            order = Order(
                id=self.order_id_counter,
                ft_trade_id=trade.id,
                ft_is_open=True,
                ft_pair=trade.pair,
                order_id=str(self.order_id_counter),
                symbol=trade.pair,
                ft_order_side=trade.entry_side,
                side=trade.entry_side,
                order_type=order_type,
                status="open",
                order_date=current_time,
                order_filled_date=current_time,
                order_update_date=current_time,
                price=propose_rate,
                average=propose_rate,
                amount=amount,
                filled=0,
                remaining=amount,
                cost=stake_amount + trade.fee_open,
            )
            trade.orders.append(order)
            if pos_adjust and self._get_order_filled(order.price, row):
                order.close_bt_order(current_time, trade)
            else:
                trade.open_order_id = str(self.order_id_counter)
            trade.recalc_trade_from_orders()

        return trade

    def handle_left_open(self, open_trades: Dict[str, List[LocalTrade]],
                         data: Dict[str, List[Tuple]]) -> List[LocalTrade]:
        """
        Handling of left open trades at the end of backtesting
        """
        trades = []
        for pair in open_trades.keys():
            if len(open_trades[pair]) > 0:
                for trade in open_trades[pair]:
                    if trade.open_order_id and trade.nr_of_successful_entries == 0:
                        # Ignore trade if entry-order did not fill yet
                        continue
                    exit_row = data[pair][-1]

                    trade.close_date = exit_row[DATE_IDX].to_pydatetime()
                    trade.exit_reason = ExitType.FORCE_EXIT.value
                    trade.close(exit_row[OPEN_IDX], show_msg=False)
                    LocalTrade.close_bt_trade(trade)
                    # Deepcopy object to have wallets update correctly
                    trade1 = deepcopy(trade)
                    trade1.is_open = True
                    trades.append(trade1)
        return trades

    def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
        # Always allow trades when max_open_trades is enabled.
        if max_open_trades <= 0 or open_trade_count < max_open_trades:
            return True
        # Rejected trade
        self.rejected_trades += 1
        return False

    def check_for_trade_entry(self, row) -> Optional[LongShort]:
        enter_long = row[LONG_IDX] == 1
        exit_long = row[ELONG_IDX] == 1
        enter_short = self._can_short and row[SHORT_IDX] == 1
        exit_short = self._can_short and row[ESHORT_IDX] == 1

        if enter_long == 1 and not any([exit_long, enter_short]):
            # Long
            return 'long'
        if enter_short == 1 and not any([exit_short, enter_long]):
            # Short
            return 'short'
        return None

    def run_protections(
            self, enable_protections, pair: str, current_time: datetime, side: LongShort):
        if enable_protections:
            self.protections.stop_per_pair(pair, current_time, side)
            self.protections.global_stop(current_time, side)

    def manage_open_orders(self, trade: LocalTrade, current_time, row: Tuple) -> bool:
        """
        Check if any open order needs to be cancelled or replaced.
        Returns True if the trade should be deleted.
        """
        for order in [o for o in trade.orders if o.ft_is_open]:
            if self.check_order_cancel(trade, order, current_time):
                # delete trade due to order timeout
                return True
            elif self.check_order_replace(trade, order, current_time, row):
                # delete trade due to user request
                return True
        # default maintain trade
        return False

    def check_order_cancel(self, trade: LocalTrade, order: Order, current_time) -> bool:
        """
        Check if current analyzed order has to be canceled.
        Returns True if the trade should be Deleted (initial order was canceled).
        """
        timedout = self.strategy.ft_check_timed_out(trade, order, current_time)
        if timedout:
            if order.side == trade.entry_side:
                self.timedout_entry_orders += 1
                if trade.nr_of_successful_entries == 0:
                    # Remove trade due to entry timeout expiration.
                    return True
                else:
                    # Close additional entry order
                    del trade.orders[trade.orders.index(order)]
            if order.side == trade.exit_side:
                self.timedout_exit_orders += 1
                # Close exit order and retry exiting on next signal.
                del trade.orders[trade.orders.index(order)]

        return False

    def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
                            row: Tuple) -> bool:
        """
        Check if current analyzed entry order has to be replaced and do so.
        If user requested cancellation and there are no filled orders in the trade will
        instruct caller to delete the trade.
        Returns True if the trade should be deleted.
        """
        # only check on new candles for open entry orders
        if order.side == trade.entry_side and current_time > order.order_date_utc:
            requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
                                                   default_retval=order.price)(
                trade=trade, order=order, pair=trade.pair, current_time=current_time,
                proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
                entry_tag=trade.enter_tag, side=trade.trade_direction
            )  # default value is current order price

            # cancel existing order whenever a new rate is requested (or None)
            if requested_rate == order.price:
                # assumption: there can't be multiple open entry orders at any given time
                return False
            else:
                del trade.orders[trade.orders.index(order)]

            # place new order if result was not None
            if requested_rate:
                self._enter_trade(pair=trade.pair, row=row, trade=trade,
                                  requested_rate=requested_rate,
                                  requested_stake=(order.remaining * order.price),
                                  direction='short' if trade.is_short else 'long')
            else:
                # assumption: there can't be multiple open entry orders at any given time
                return (trade.nr_of_successful_entries == 0)
        return False

    def validate_row(
            self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
        try:
            # Row is treated as "current incomplete candle".
            # entry / exit signals are shifted by 1 to compensate for this.
            row = data[pair][row_index]
        except IndexError:
            # missing Data for one pair at the end.
            # Warnings for this are shown during data loading
            return None

        # Waits until the time-counter reaches the start of the data for this pair.
        if row[DATE_IDX] > current_time:
            return None
        return row

    def backtest(self, processed: Dict,
                 start_date: datetime, end_date: datetime,
                 max_open_trades: int = 0, position_stacking: bool = False,
                 enable_protections: bool = False) -> Dict[str, Any]:
        """
        Implement 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 extensive logging in this method and functions it calls.

        :param processed: a processed dictionary with format {pair, data}, which gets cleared to
        optimize memory usage!
        :param start_date: backtesting timerange start datetime
        :param end_date: backtesting timerange end datetime
        :param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
        :param position_stacking: do we allow position stacking?
        :param enable_protections: Should protections be enabled?
        :return: DataFrame with trades (results of backtesting)
        """
        trades: List[LocalTrade] = []
        self.prepare_backtest(enable_protections)
        # Ensure wallets are uptodate (important for --strategy-list)
        self.wallets.update()
        # Use dict of lists with data for performance
        # (looping lists is a lot faster than pandas DataFrames)
        data: Dict = self._get_ohlcv_as_lists(processed)

        # Indexes per pair, so some pairs are allowed to have a missing start.
        indexes: Dict = defaultdict(int)
        current_time = start_date + timedelta(minutes=self.timeframe_min)

        open_trades: Dict[str, List[LocalTrade]] = defaultdict(list)
        open_trade_count = 0

        self.progress.init_step(BacktestState.BACKTEST, int(
            (end_date - start_date) / timedelta(minutes=self.timeframe_min)))

        # Loop timerange and get candle for each pair at that point in time
        while current_time <= end_date:
            open_trade_count_start = open_trade_count
            self.check_abort()
            for i, pair in enumerate(data):
                row_index = indexes[pair]
                row = self.validate_row(data, pair, row_index, current_time)
                if not row:
                    continue

                row_index += 1
                indexes[pair] = row_index
                self.dataprovider._set_dataframe_max_index(row_index)

                for t in list(open_trades[pair]):
                    # 1. Manage currently open orders of active trades
                    if self.manage_open_orders(t, current_time, row):
                        # Close trade
                        open_trade_count -= 1
                        open_trades[pair].remove(t)
                        self.wallets.update()

                # 2. Process entries.
                # without positionstacking, we can only have one open trade per pair.
                # max_open_trades must be respected
                # don't open on the last row
                trade_dir = self.check_for_trade_entry(row)
                if (
                    (position_stacking or len(open_trades[pair]) == 0)
                    and self.trade_slot_available(max_open_trades, open_trade_count_start)
                    and current_time != end_date
                    and trade_dir is not None
                    and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
                ):
                    trade = self._enter_trade(pair, row, trade_dir)
                    if trade:
                        # TODO: hacky workaround to avoid opening > max_open_trades
                        # This emulates previous behavior - not sure if this is correct
                        # Prevents entering if the trade-slot was freed in this candle
                        open_trade_count_start += 1
                        open_trade_count += 1
                        # logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
                        open_trades[pair].append(trade)

                for trade in list(open_trades[pair]):
                    # 3. Process entry orders.
                    order = trade.select_order(trade.entry_side, is_open=True)
                    if order and self._get_order_filled(order.price, row):
                        order.close_bt_order(current_time, trade)
                        trade.open_order_id = None
                        LocalTrade.add_bt_trade(trade)
                        self.wallets.update()

                    # 4. Create exit orders (if any)
                    if not trade.open_order_id:
                        self._get_exit_trade_entry(trade, row)  # Place exit order if necessary

                    # 5. Process exit orders.
                    order = trade.select_order(trade.exit_side, is_open=True)
                    if order and self._get_order_filled(order.price, row):
                        trade.open_order_id = None
                        trade.close_date = current_time
                        trade.close(order.price, show_msg=False)

                        # logger.debug(f"{pair} - Backtesting exit {trade}")
                        open_trade_count -= 1
                        open_trades[pair].remove(trade)
                        LocalTrade.close_bt_trade(trade)
                        trades.append(trade)
                        self.wallets.update()
                        self.run_protections(
                            enable_protections, pair, current_time, trade.trade_direction)

            # Move time one configured time_interval ahead.
            self.progress.increment()
            current_time += timedelta(minutes=self.timeframe_min)

        trades += self.handle_left_open(open_trades, data=data)
        self.wallets.update()

        results = trade_list_to_dataframe(trades)
        return {
            'results': results,
            'config': self.strategy.config,
            'locks': PairLocks.get_all_locks(),
            'rejected_signals': self.rejected_trades,
            'timedout_entry_orders': self.timedout_entry_orders,
            'timedout_exit_orders': self.timedout_exit_orders,
            'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
        }

    def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, DataFrame],
                              timerange: TimeRange):
        self.progress.init_step(BacktestState.ANALYZE, 0)

        logger.info(f"Running backtesting for Strategy {strat.get_strategy_name()}")
        backtest_start_time = datetime.now(timezone.utc)
        self._set_strategy(strat)

        strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()

        # Use max_open_trades in backtesting, except --disable-max-market-positions is set
        if self.config.get('use_max_market_positions', True):
            # Must come from strategy config, as the strategy may modify this setting.
            max_open_trades = self.strategy.config['max_open_trades']
        else:
            logger.info(
                'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
            max_open_trades = 0

        # need to reprocess data every time to populate signals
        preprocessed = self.strategy.advise_all_indicators(data)

        # Trim startup period from analyzed dataframe
        preprocessed_tmp = trim_dataframes(preprocessed, timerange, self.required_startup)

        if not preprocessed_tmp:
            raise OperationalException(
                "No data left after adjusting for startup candles.")

        # Use preprocessed_tmp for date generation (the trimmed dataframe).
        # Backtesting will re-trim the dataframes after entry/exit signal generation.
        min_date, max_date = history.get_timerange(preprocessed_tmp)
        logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'({(max_date - min_date).days} days).')
        # Execute backtest and store results
        results = self.backtest(
            processed=preprocessed,
            start_date=min_date,
            end_date=max_date,
            max_open_trades=max_open_trades,
            position_stacking=self.config.get('position_stacking', False),
            enable_protections=self.config.get('enable_protections', False),
        )
        backtest_end_time = datetime.now(timezone.utc)
        results.update({
            'run_id': self.run_ids.get(strat.get_strategy_name(), ''),
            'backtest_start_time': int(backtest_start_time.timestamp()),
            'backtest_end_time': int(backtest_end_time.timestamp()),
        })
        self.all_results[self.strategy.get_strategy_name()] = results

        if (self.config.get('export', 'none') == 'signals' and
                self.dataprovider.runmode == RunMode.BACKTEST):
            self._generate_trade_signal_candles(preprocessed_tmp, results)

        return min_date, max_date

    def _generate_trade_signal_candles(self, preprocessed_df, bt_results):
        signal_candles_only = {}
        for pair in preprocessed_df.keys():
            signal_candles_only_df = DataFrame()

            pairdf = preprocessed_df[pair]
            resdf = bt_results['results']
            pairresults = resdf.loc[(resdf["pair"] == pair)]

            if pairdf.shape[0] > 0:
                for t, v in pairresults.open_date.items():
                    allinds = pairdf.loc[(pairdf['date'] < v)]
                    signal_inds = allinds.iloc[[-1]]
                    signal_candles_only_df = pd.concat([signal_candles_only_df, signal_inds])

                signal_candles_only[pair] = signal_candles_only_df

        self.processed_dfs[self.strategy.get_strategy_name()] = signal_candles_only

    def _get_min_cached_backtest_date(self):
        min_backtest_date = None
        backtest_cache_age = self.config.get('backtest_cache', constants.BACKTEST_CACHE_DEFAULT)
        if self.timerange.stopts == 0 or datetime.fromtimestamp(
           self.timerange.stopts, tz=timezone.utc) > datetime.now(tz=timezone.utc):
            logger.warning('Backtest result caching disabled due to use of open-ended timerange.')
        elif backtest_cache_age == 'day':
            min_backtest_date = datetime.now(tz=timezone.utc) - timedelta(days=1)
        elif backtest_cache_age == 'week':
            min_backtest_date = datetime.now(tz=timezone.utc) - timedelta(weeks=1)
        elif backtest_cache_age == 'month':
            min_backtest_date = datetime.now(tz=timezone.utc) - timedelta(weeks=4)
        return min_backtest_date

    def load_prior_backtest(self):
        self.run_ids = {
            strategy.get_strategy_name(): get_strategy_run_id(strategy)
            for strategy in self.strategylist
        }

        # Load previous result that will be updated incrementally.
        # This can be circumvented in certain instances in combination with downloading more data
        min_backtest_date = self._get_min_cached_backtest_date()
        if min_backtest_date is not None:
            self.results = find_existing_backtest_stats(
                self.config['user_data_dir'] / 'backtest_results', self.run_ids, min_backtest_date)

    def start(self) -> None:
        """
        Run backtesting end-to-end
        :return: None
        """
        data: Dict[str, Any] = {}

        data, timerange = self.load_bt_data()
        self.load_bt_data_detail()
        logger.info("Dataload complete. Calculating indicators")

        self.load_prior_backtest()

        for strat in self.strategylist:
            if self.results and strat.get_strategy_name() in self.results['strategy']:
                # When previous result hash matches - reuse that result and skip backtesting.
                logger.info(f'Reusing result of previous backtest for {strat.get_strategy_name()}')
                continue
            min_date, max_date = self.backtest_one_strategy(strat, data, timerange)

        # Update old results with new ones.
        if len(self.all_results) > 0:
            results = generate_backtest_stats(
                data, self.all_results, min_date=min_date, max_date=max_date)
            if self.results:
                self.results['metadata'].update(results['metadata'])
                self.results['strategy'].update(results['strategy'])
                self.results['strategy_comparison'].extend(results['strategy_comparison'])
            else:
                self.results = results

            if self.config.get('export', 'none') in ('trades', 'signals'):
                store_backtest_stats(self.config['exportfilename'], self.results)

            if (self.config.get('export', 'none') == 'signals' and
                    self.dataprovider.runmode == RunMode.BACKTEST):
                store_backtest_signal_candles(self.config['exportfilename'], self.processed_dfs)

        # Results may be mixed up now. Sort them so they follow --strategy-list order.
        if 'strategy_list' in self.config and len(self.results) > 0:
            self.results['strategy_comparison'] = sorted(
                self.results['strategy_comparison'],
                key=lambda c: self.config['strategy_list'].index(c['key']))
            self.results['strategy'] = dict(
                sorted(self.results['strategy'].items(),
                       key=lambda kv: self.config['strategy_list'].index(kv[0])))

        if len(self.strategylist) > 0:
            # Show backtest results
            show_backtest_results(self.config, self.results)