stable/freqtrade/optimize/edge_cli.py

80 lines
2.7 KiB
Python
Raw Normal View History

2018-11-14 11:37:15 +00:00
# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
"""
This module contains the edge backtesting interface
2018-11-14 11:37:15 +00:00
"""
import logging
from typing import Any, Dict
2018-11-14 12:25:44 +00:00
from tabulate import tabulate
2019-06-15 10:20:32 +00:00
from freqtrade import constants
from freqtrade.configuration import (TimeRange, remove_credentials,
validate_config_consistency)
from freqtrade.edge import Edge
2018-11-14 11:37:15 +00:00
from freqtrade.exchange import Exchange
from freqtrade.resolvers import StrategyResolver
2018-11-14 11:37:15 +00:00
logger = logging.getLogger(__name__)
2019-09-12 01:39:52 +00:00
class EdgeCli:
2018-11-14 11:37:15 +00:00
"""
EdgeCli class, this class contains all the logic to run edge backtesting
2018-11-14 11:37:15 +00:00
To run a edge backtest:
edge = EdgeCli(config)
edge.start()
2018-11-14 11:37:15 +00:00
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
# Reset keys for edge
remove_credentials(self.config)
2019-06-15 10:20:32 +00:00
self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
2018-11-14 11:37:15 +00:00
self.exchange = Exchange(self.config)
self.strategy = StrategyResolver(self.config).strategy
validate_config_consistency(self.config)
2018-11-14 11:37:15 +00:00
self.edge = Edge(config, self.exchange, self.strategy)
2019-09-20 18:22:51 +00:00
# Set refresh_pairs to false for edge-cli (it must be true for edge)
2019-09-20 18:02:07 +00:00
self.edge._refresh_pairs = False
2018-11-14 11:37:15 +00:00
self.timerange = TimeRange.parse_timerange(None if self.config.get(
2018-11-14 16:14:37 +00:00
'timerange') is None else str(self.config.get('timerange')))
self.edge._timerange = self.timerange
2018-11-14 12:25:44 +00:00
def _generate_edge_table(self, results: dict) -> str:
2018-11-14 15:31:23 +00:00
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
2018-11-14 12:25:44 +00:00
tabular_data = []
headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
'required risk reward', 'expectancy', 'total number of trades',
'average duration (min)']
2018-11-14 12:25:44 +00:00
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)
])
2018-11-14 12:25:44 +00:00
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(tabular_data, headers=headers,
floatfmt=floatfmt, tablefmt="pipe") # type: ignore
2018-11-14 12:25:44 +00:00
2018-11-14 11:37:15 +00:00
def start(self) -> None:
result = self.edge.calculate()
if result:
2019-05-22 11:34:35 +00:00
print('') # blank line for readability
print(self._generate_edge_table(self.edge._cached_pairs))