2018-02-09 07:35:38 +00:00
|
|
|
# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
|
2017-11-14 21:15:24 +00:00
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|
2018-02-09 07:35:38 +00:00
|
|
|
"""
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|
|
|
This module contains the backtesting logic
|
|
|
|
"""
|
2018-03-25 19:37:14 +00:00
|
|
|
import logging
|
2020-10-07 18:59:05 +00:00
|
|
|
from collections import defaultdict
|
2018-07-27 21:01:52 +00:00
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from copy import deepcopy
|
2021-01-13 06:47:03 +00:00
|
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from datetime import datetime, timedelta, timezone
|
2021-01-23 12:02:48 +00:00
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from typing import Any, Dict, List, Optional, Tuple
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2018-03-17 21:44:47 +00:00
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Fix exception when few pairs with no data do not result in aborting backtest.
Exception is triggered by backtesting 20210301-20210501 range with BAKE/USDT pair (binance). Pair data starts on 2021-04-30 12:00:00 and after adjusting for startup candles pair dataframe is empty.
Solution: Since there are other pairs with enough data - skip pairs with no data and issue a warning.
Exception:
```
Traceback (most recent call last):
File "/home/rk/src/freqtrade/freqtrade/main.py", line 37, in main
return_code = args['func'](args)
File "/home/rk/src/freqtrade/freqtrade/commands/optimize_commands.py", line 53, in start_backtesting
backtesting.start()
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 502, in start
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 474, in backtest_one_strategy
results = self.backtest(
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 365, in backtest
data: Dict = self._get_ohlcv_as_lists(processed)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 199, in _get_ohlcv_as_lists
pair_data.loc[:, 'buy'] = 0 # cleanup from previous run
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 692, in __setitem__
iloc._setitem_with_indexer(indexer, value, self.name)
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 1587, in _setitem_with_indexer
raise ValueError(
ValueError: cannot set a frame with no defined index and a scalar
```
2021-05-13 06:47:28 +00:00
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from pandas import DataFrame
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2017-09-28 21:26:28 +00:00
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|
2021-09-13 18:00:22 +00:00
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from freqtrade.configuration import TimeRange, validate_config_consistency
|
2020-06-26 05:46:59 +00:00
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from freqtrade.constants import DATETIME_PRINT_FORMAT
|
2018-12-13 05:34:10 +00:00
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from freqtrade.data import history
|
2021-01-24 08:56:27 +00:00
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from freqtrade.data.btanalysis import trade_list_to_dataframe
|
2021-07-13 17:36:15 +00:00
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from freqtrade.data.converter import trim_dataframe, trim_dataframes
|
2019-03-24 14:24:47 +00:00
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from freqtrade.data.dataprovider import DataProvider
|
2021-03-11 18:16:18 +00:00
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from freqtrade.enums import BacktestState, SellType
|
2021-02-10 19:37:55 +00:00
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from freqtrade.exceptions import DependencyException, OperationalException
|
2019-10-20 11:56:01 +00:00
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
|
2020-12-07 14:45:02 +00:00
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from freqtrade.mixins import LoggingMixin
|
2021-03-21 14:56:36 +00:00
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from freqtrade.optimize.bt_progress import BTProgress
|
2020-09-28 17:39:41 +00:00
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from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
|
2020-06-26 05:46:59 +00:00
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store_backtest_stats)
|
2021-12-18 09:15:59 +00:00
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from freqtrade.persistence import LocalTrade, Order, PairLocks, Trade
|
2020-12-23 16:00:02 +00:00
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from freqtrade.plugins.pairlistmanager import PairListManager
|
2020-11-16 19:17:47 +00:00
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from freqtrade.plugins.protectionmanager import ProtectionManager
|
2019-03-06 18:55:34 +00:00
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
|
2021-06-08 19:04:34 +00:00
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from freqtrade.strategy.interface import IStrategy, SellCheckTuple
|
2020-10-11 17:50:37 +00:00
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from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
|
2021-01-28 06:06:58 +00:00
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from freqtrade.wallets import Wallets
|
2019-04-09 09:27:35 +00:00
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2021-03-25 08:34:33 +00:00
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2018-03-25 19:37:14 +00:00
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logger = logging.getLogger(__name__)
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2020-10-18 15:16:57 +00:00
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# Indexes for backtest tuples
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DATE_IDX = 0
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BUY_IDX = 1
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OPEN_IDX = 2
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CLOSE_IDX = 3
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SELL_IDX = 4
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LOW_IDX = 5
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HIGH_IDX = 6
|
2021-07-21 13:19:56 +00:00
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BUY_TAG_IDX = 7
|
2021-10-18 20:56:41 +00:00
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EXIT_TAG_IDX = 8
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2020-10-18 15:16:57 +00:00
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2018-03-25 19:37:14 +00:00
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2019-09-12 01:39:52 +00:00
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class Backtesting:
|
2017-11-14 22:14:01 +00:00
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"""
|
2018-02-09 07:35:38 +00:00
|
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|
Backtesting class, this class contains all the logic to run a backtest
|
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To run a backtest:
|
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backtesting = Backtesting(config)
|
|
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backtesting.start()
|
2017-11-14 22:14:01 +00:00
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"""
|
2018-07-28 05:00:58 +00:00
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2018-02-09 07:35:38 +00:00
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def __init__(self, config: Dict[str, Any]) -> None:
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2020-11-19 19:05:56 +00:00
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LoggingMixin.show_output = False
|
2018-02-09 07:35:38 +00:00
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self.config = config
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2020-12-31 18:46:54 +00:00
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self.results: Optional[Dict[str, Any]] = None
|
2018-04-06 07:57:08 +00:00
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2021-09-13 18:00:22 +00:00
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config['dry_run'] = True
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2018-07-28 05:41:38 +00:00
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self.strategylist: List[IStrategy] = []
|
2020-09-18 05:44:11 +00:00
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|
self.all_results: Dict[str, Dict] = {}
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2019-12-23 09:03:18 +00:00
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self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
|
2021-11-22 07:27:33 +00:00
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self.dataprovider = DataProvider(self.config, self.exchange)
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2019-03-24 14:24:47 +00:00
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2018-07-28 05:41:38 +00:00
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if self.config.get('strategy_list', None):
|
2018-07-28 05:55:59 +00:00
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for strat in list(self.config['strategy_list']):
|
2018-07-28 05:41:38 +00:00
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stratconf = deepcopy(self.config)
|
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|
stratconf['strategy'] = strat
|
2019-12-23 09:23:48 +00:00
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|
self.strategylist.append(StrategyResolver.load_strategy(stratconf))
|
2019-11-23 14:49:46 +00:00
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validate_config_consistency(stratconf)
|
2018-07-28 05:41:38 +00:00
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else:
|
2019-06-09 23:08:54 +00:00
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|
# No strategy list specified, only one strategy
|
2019-12-23 09:23:48 +00:00
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|
self.strategylist.append(StrategyResolver.load_strategy(self.config))
|
2019-11-23 14:49:46 +00:00
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validate_config_consistency(self.config)
|
2019-06-09 23:08:54 +00:00
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|
2020-06-01 18:49:40 +00:00
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if "timeframe" not in self.config:
|
2020-03-08 10:35:31 +00:00
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|
raise OperationalException("Timeframe (ticker interval) needs to be set in either "
|
2020-06-01 18:49:40 +00:00
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|
|
"configuration or as cli argument `--timeframe 5m`")
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self.timeframe = str(self.config.get('timeframe'))
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2019-12-11 06:12:37 +00:00
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self.timeframe_min = timeframe_to_minutes(self.timeframe)
|
2021-09-26 13:07:48 +00:00
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self.init_backtest_detail()
|
2020-06-07 14:06:20 +00:00
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self.pairlists = PairListManager(self.exchange, self.config)
|
|
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|
if 'VolumePairList' in self.pairlists.name_list:
|
2021-11-25 07:00:10 +00:00
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raise OperationalException("VolumePairList not allowed for backtesting. "
|
2021-11-26 05:27:06 +00:00
|
|
|
"Please use StaticPairlist instead.")
|
2020-12-16 18:24:47 +00:00
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|
|
if 'PerformanceFilter' in self.pairlists.name_list:
|
|
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|
raise OperationalException("PerformanceFilter not allowed for backtesting.")
|
2020-06-07 14:06:20 +00:00
|
|
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|
|
|
|
if len(self.strategylist) > 1 and 'PrecisionFilter' in self.pairlists.name_list:
|
|
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|
raise OperationalException(
|
|
|
|
"PrecisionFilter not allowed for backtesting multiple strategies."
|
|
|
|
)
|
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|
2021-05-02 09:20:54 +00:00
|
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self.dataprovider.add_pairlisthandler(self.pairlists)
|
2020-06-07 14:06:20 +00:00
|
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|
self.pairlists.refresh_pairlist()
|
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if len(self.pairlists.whitelist) == 0:
|
|
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|
raise OperationalException("No pair in whitelist.")
|
|
|
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|
2020-07-15 17:20:07 +00:00
|
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|
if config.get('fee', None) is not None:
|
2020-06-07 14:06:20 +00:00
|
|
|
self.fee = config['fee']
|
|
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|
else:
|
|
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|
self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
|
|
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|
2021-07-13 17:36:15 +00:00
|
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|
self.timerange = TimeRange.parse_timerange(
|
|
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|
None if self.config.get('timerange') is None else str(self.config.get('timerange')))
|
|
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|
2019-10-20 11:56:01 +00:00
|
|
|
# Get maximum required startup period
|
|
|
|
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
|
2021-08-01 17:16:26 +00:00
|
|
|
# Add maximum startup candle count to configuration for informative pairs support
|
|
|
|
self.config['startup_candle_count'] = self.required_startup
|
2021-07-09 05:19:44 +00:00
|
|
|
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
|
2021-09-26 13:07:48 +00:00
|
|
|
self.init_backtest()
|
2021-03-11 18:16:18 +00:00
|
|
|
|
2020-11-25 08:53:13 +00:00
|
|
|
def __del__(self):
|
2021-08-09 09:18:18 +00:00
|
|
|
self.cleanup()
|
|
|
|
|
|
|
|
def cleanup(self):
|
2020-11-25 08:53:13 +00:00
|
|
|
LoggingMixin.show_output = True
|
|
|
|
PairLocks.use_db = True
|
|
|
|
Trade.use_db = True
|
|
|
|
|
2021-09-26 13:07:48 +00:00
|
|
|
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] = {}
|
|
|
|
|
|
|
|
def init_backtest(self):
|
|
|
|
|
|
|
|
self.prepare_backtest(False)
|
|
|
|
|
|
|
|
self.wallets = Wallets(self.config, self.exchange, log=False)
|
|
|
|
|
|
|
|
self.progress = BTProgress()
|
|
|
|
self.abort = False
|
|
|
|
|
2021-02-26 18:48:06 +00:00
|
|
|
def _set_strategy(self, strategy: IStrategy):
|
2018-07-28 04:54:33 +00:00
|
|
|
"""
|
|
|
|
Load strategy into backtesting
|
|
|
|
"""
|
2020-10-18 15:16:57 +00:00
|
|
|
self.strategy: IStrategy = strategy
|
2021-05-03 06:47:58 +00:00
|
|
|
strategy.dp = self.dataprovider
|
2021-07-11 09:20:31 +00:00
|
|
|
# Attach Wallets to Strategy baseclass
|
2021-09-07 12:40:53 +00:00
|
|
|
strategy.wallets = self.wallets
|
2019-03-06 18:55:34 +00:00
|
|
|
# Set stoploss_on_exchange to false for backtesting,
|
|
|
|
# since a "perfect" stoploss-sell is assumed anyway
|
|
|
|
# And the regular "stoploss" function would not apply to that case
|
|
|
|
self.strategy.order_types['stoploss_on_exchange'] = False
|
2021-08-03 04:38:15 +00:00
|
|
|
|
|
|
|
def _load_protections(self, strategy: IStrategy):
|
2021-05-07 14:28:06 +00:00
|
|
|
if self.config.get('enable_protections', False):
|
|
|
|
conf = self.config
|
|
|
|
if hasattr(strategy, 'protections'):
|
|
|
|
conf = deepcopy(conf)
|
|
|
|
conf['protections'] = strategy.protections
|
2021-06-17 19:01:22 +00:00
|
|
|
self.protections = ProtectionManager(self.config, strategy.protections)
|
2018-07-28 04:54:33 +00:00
|
|
|
|
2021-08-14 13:34:43 +00:00
|
|
|
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]:
|
2020-09-18 05:45:47 +00:00
|
|
|
"""
|
|
|
|
Loads backtest data and returns the data combined with the timerange
|
|
|
|
as tuple.
|
|
|
|
"""
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.init_step(BacktestState.DATALOAD, 1)
|
2021-03-11 18:16:18 +00:00
|
|
|
|
2019-10-23 18:13:43 +00:00
|
|
|
data = history.load_data(
|
2019-12-23 18:32:31 +00:00
|
|
|
datadir=self.config['datadir'],
|
2020-04-25 13:37:13 +00:00
|
|
|
pairs=self.pairlists.whitelist,
|
2019-11-02 19:26:26 +00:00
|
|
|
timeframe=self.timeframe,
|
2021-07-13 17:36:15 +00:00
|
|
|
timerange=self.timerange,
|
2019-10-23 18:13:43 +00:00
|
|
|
startup_candles=self.required_startup,
|
|
|
|
fail_without_data=True,
|
2019-12-28 13:57:39 +00:00
|
|
|
data_format=self.config.get('dataformat_ohlcv', 'json'),
|
2019-10-23 18:13:43 +00:00
|
|
|
)
|
|
|
|
|
2019-12-17 22:06:03 +00:00
|
|
|
min_date, max_date = history.get_timerange(data)
|
2019-10-23 18:13:43 +00:00
|
|
|
|
2020-06-09 06:07:34 +00:00
|
|
|
logger.info(f'Loading data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
|
|
|
|
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
|
2021-05-06 18:49:48 +00:00
|
|
|
f'({(max_date - min_date).days} days).')
|
2020-06-09 06:07:34 +00:00
|
|
|
|
2019-10-23 18:13:43 +00:00
|
|
|
# Adjust startts forward if not enough data is available
|
2021-07-13 17:36:15 +00:00
|
|
|
self.timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe),
|
|
|
|
self.required_startup, min_date)
|
2019-10-23 18:13:43 +00:00
|
|
|
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.set_new_value(1)
|
2021-08-14 13:34:43 +00:00
|
|
|
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'),
|
|
|
|
)
|
|
|
|
else:
|
|
|
|
self.detail_data = {}
|
2019-10-23 18:13:43 +00:00
|
|
|
|
2020-11-27 16:38:15 +00:00
|
|
|
def prepare_backtest(self, enable_protections):
|
|
|
|
"""
|
|
|
|
Backtesting setup method - called once for every call to "backtest()".
|
|
|
|
"""
|
|
|
|
PairLocks.use_db = False
|
2021-01-14 05:53:40 +00:00
|
|
|
PairLocks.timeframe = self.config['timeframe']
|
2020-11-27 16:38:15 +00:00
|
|
|
Trade.use_db = False
|
2021-03-08 18:40:29 +00:00
|
|
|
PairLocks.reset_locks()
|
|
|
|
Trade.reset_trades()
|
2021-05-23 07:36:02 +00:00
|
|
|
self.rejected_trades = 0
|
2021-05-02 09:20:54 +00:00
|
|
|
self.dataprovider.clear_cache()
|
2021-09-26 13:07:48 +00:00
|
|
|
if enable_protections:
|
|
|
|
self._load_protections(self.strategy)
|
2020-11-27 16:38:15 +00:00
|
|
|
|
2021-07-06 04:28:47 +00:00
|
|
|
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")
|
|
|
|
|
2020-10-18 15:16:57 +00:00
|
|
|
def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
|
2019-03-23 14:00:07 +00:00
|
|
|
"""
|
2020-03-08 10:35:31 +00:00
|
|
|
Helper function to convert a processed dataframes into lists for performance reasons.
|
2019-03-23 14:00:07 +00:00
|
|
|
|
|
|
|
Used by backtest() - so keep this optimized for performance.
|
|
|
|
"""
|
2020-10-18 15:16:57 +00:00
|
|
|
# Every change to this headers list must evaluate further usages of the resulting tuple
|
|
|
|
# and eventually change the constants for indexes at the top
|
2021-10-18 20:56:41 +00:00
|
|
|
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_tag', 'exit_tag']
|
2020-03-08 10:35:31 +00:00
|
|
|
data: Dict = {}
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.init_step(BacktestState.CONVERT, len(processed))
|
|
|
|
|
2020-03-08 10:35:31 +00:00
|
|
|
# Create dict with data
|
2019-03-23 14:00:07 +00:00
|
|
|
for pair, pair_data in processed.items():
|
2021-07-06 04:28:47 +00:00
|
|
|
self.check_abort()
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.increment()
|
2021-05-20 04:49:25 +00:00
|
|
|
if not pair_data.empty:
|
2021-05-20 04:56:11 +00:00
|
|
|
pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist
|
|
|
|
pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist
|
2021-08-11 07:18:25 +00:00
|
|
|
pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist
|
2021-10-18 20:56:41 +00:00
|
|
|
pair_data.loc[:, 'exit_tag'] = None # cleanup if exit_tag is exist
|
2019-03-23 14:00:07 +00:00
|
|
|
|
2020-03-13 00:54:56 +00:00
|
|
|
df_analyzed = self.strategy.advise_sell(
|
2021-07-31 08:00:24 +00:00
|
|
|
self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair}).copy()
|
2021-07-13 17:36:15 +00:00
|
|
|
# Trim startup period from analyzed dataframe
|
|
|
|
df_analyzed = trim_dataframe(df_analyzed, self.timerange,
|
|
|
|
startup_candles=self.required_startup)
|
2020-03-08 10:35:31 +00:00
|
|
|
# To avoid using data from future, we use buy/sell signals shifted
|
|
|
|
# from the previous candle
|
2020-01-25 10:42:31 +00:00
|
|
|
df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1)
|
|
|
|
df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1)
|
2021-08-11 07:18:25 +00:00
|
|
|
df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
|
2021-10-18 20:56:41 +00:00
|
|
|
df_analyzed.loc[:, 'exit_tag'] = df_analyzed.loc[:, 'exit_tag'].shift(1)
|
2019-03-23 14:00:07 +00:00
|
|
|
|
2021-07-31 06:45:04 +00:00
|
|
|
# Update dataprovider cache
|
|
|
|
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)
|
|
|
|
|
2021-08-10 05:09:38 +00:00
|
|
|
df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)
|
|
|
|
|
2019-03-23 14:00:07 +00:00
|
|
|
# Convert from Pandas to list for performance reasons
|
|
|
|
# (Looping Pandas is slow.)
|
2021-07-31 08:00:24 +00:00
|
|
|
data[pair] = df_analyzed[headers].values.tolist()
|
2020-03-08 10:35:31 +00:00
|
|
|
return data
|
2019-03-23 14:00:07 +00:00
|
|
|
|
2021-02-20 19:22:00 +00:00
|
|
|
def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
|
2020-02-02 04:00:40 +00:00
|
|
|
trade_dur: int) -> float:
|
2019-12-07 14:28:56 +00:00
|
|
|
"""
|
|
|
|
Get close rate for backtesting result
|
|
|
|
"""
|
2019-12-07 13:30:14 +00:00
|
|
|
# Special handling if high or low hit STOP_LOSS or ROI
|
|
|
|
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
|
2021-05-15 06:38:51 +00:00
|
|
|
if trade.stop_loss > sell_row[HIGH_IDX]:
|
|
|
|
# our stoploss was already higher than candle high,
|
|
|
|
# possibly due to a cancelled trade exit.
|
|
|
|
# sell at open price.
|
|
|
|
return sell_row[OPEN_IDX]
|
|
|
|
|
2021-06-12 07:16:30 +00:00
|
|
|
# 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.
|
2021-06-29 13:17:52 +00:00
|
|
|
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
|
2021-07-03 06:22:21 +00:00
|
|
|
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
|
|
|
|
):
|
2021-06-12 07:16:30 +00:00
|
|
|
# Worst case: price reaches stop_positive_offset and dives down.
|
2021-06-17 04:48:41 +00:00
|
|
|
stop_rate = (sell_row[OPEN_IDX] *
|
|
|
|
(1 + abs(self.strategy.trailing_stop_positive_offset) -
|
2021-07-21 13:05:35 +00:00
|
|
|
abs(self.strategy.trailing_stop_positive)))
|
2021-06-12 07:16:30 +00:00
|
|
|
else:
|
|
|
|
# Worst case: price ticks tiny bit above open and dives down.
|
2021-06-29 13:17:52 +00:00
|
|
|
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct))
|
2021-06-12 07:16:30 +00:00
|
|
|
assert stop_rate < sell_row[HIGH_IDX]
|
2021-10-30 14:14:13 +00:00
|
|
|
# Limit lower-end to candle low to avoid sells below the low.
|
|
|
|
# This still remains "worst case" - but "worst realistic case".
|
|
|
|
return max(sell_row[LOW_IDX], stop_rate)
|
2021-06-12 07:16:30 +00:00
|
|
|
|
2019-12-07 13:30:14 +00:00
|
|
|
# Set close_rate to stoploss
|
2019-12-07 14:28:56 +00:00
|
|
|
return trade.stop_loss
|
2019-12-07 13:30:14 +00:00
|
|
|
elif sell.sell_type == (SellType.ROI):
|
2019-12-07 14:18:12 +00:00
|
|
|
roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
|
2020-10-18 15:16:57 +00:00
|
|
|
if roi is not None and roi_entry is not None:
|
2019-12-14 22:10:09 +00:00
|
|
|
if roi == -1 and roi_entry % self.timeframe_min == 0:
|
2019-12-09 15:52:12 +00:00
|
|
|
# When forceselling 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)
|
2019-12-07 14:28:56 +00:00
|
|
|
# - we'll use open instead of close
|
2020-10-18 15:16:57 +00:00
|
|
|
return sell_row[OPEN_IDX]
|
2019-12-07 14:28:56 +00:00
|
|
|
|
2019-12-07 13:30:14 +00:00
|
|
|
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
|
2019-12-09 15:52:12 +00:00
|
|
|
close_rate = - (trade.open_rate * roi + trade.open_rate *
|
|
|
|
(1 + trade.fee_open)) / (trade.fee_close - 1)
|
|
|
|
|
|
|
|
if (trade_dur > 0 and trade_dur == roi_entry
|
2019-12-14 22:10:09 +00:00
|
|
|
and roi_entry % self.timeframe_min == 0
|
2020-10-18 15:16:57 +00:00
|
|
|
and sell_row[OPEN_IDX] > close_rate):
|
2019-12-09 15:52:12 +00:00
|
|
|
# new ROI entry came into effect.
|
|
|
|
# use Open rate if open_rate > calculated sell rate
|
2020-10-18 15:16:57 +00:00
|
|
|
return sell_row[OPEN_IDX]
|
2019-12-07 13:30:14 +00:00
|
|
|
|
2021-12-03 16:44:53 +00:00
|
|
|
return close_rate
|
2019-12-07 14:18:12 +00:00
|
|
|
|
2019-12-07 13:30:14 +00:00
|
|
|
else:
|
|
|
|
# This should not be reached...
|
2020-10-18 15:16:57 +00:00
|
|
|
return sell_row[OPEN_IDX]
|
2019-12-07 13:30:14 +00:00
|
|
|
else:
|
2020-10-18 15:16:57 +00:00
|
|
|
return sell_row[OPEN_IDX]
|
2019-12-07 13:30:14 +00:00
|
|
|
|
2021-12-18 09:00:25 +00:00
|
|
|
def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
|
2021-12-18 09:15:59 +00:00
|
|
|
) -> LocalTrade:
|
2021-12-09 21:21:35 +00:00
|
|
|
|
2021-12-24 10:38:43 +00:00
|
|
|
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
|
2021-12-18 09:00:25 +00:00
|
|
|
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
|
|
|
|
default_retval=None)(
|
2021-12-10 20:48:00 +00:00
|
|
|
pair=trade.pair, trade=trade, current_time=row[DATE_IDX].to_pydatetime(),
|
|
|
|
current_rate=row[OPEN_IDX], current_profit=current_profit)
|
2021-12-09 21:21:35 +00:00
|
|
|
|
|
|
|
# Check if we should increase our position
|
2021-12-10 18:42:24 +00:00
|
|
|
if stake_amount is not None and stake_amount > 0.0:
|
2021-12-24 10:38:43 +00:00
|
|
|
pos_trade = self._enter_trade(trade.pair, row, stake_amount, trade)
|
|
|
|
if pos_trade is not None:
|
|
|
|
return pos_trade
|
2021-12-09 21:21:35 +00:00
|
|
|
|
|
|
|
return trade
|
|
|
|
|
2021-08-09 13:45:02 +00:00
|
|
|
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
|
|
|
|
sell_row: Tuple) -> Optional[LocalTrade]:
|
2021-12-11 15:14:04 +00:00
|
|
|
|
2021-12-10 22:28:12 +00:00
|
|
|
# Check if we need to adjust our current positions
|
2021-12-24 10:38:43 +00:00
|
|
|
if self.strategy.position_adjustment_enable:
|
2021-12-10 22:28:12 +00:00
|
|
|
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
|
2021-12-09 21:21:35 +00:00
|
|
|
|
2021-08-09 13:42:17 +00:00
|
|
|
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
|
2021-05-02 09:17:59 +00:00
|
|
|
sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
|
2021-08-09 13:42:17 +00:00
|
|
|
sell_candle_time, sell_row[BUY_IDX],
|
2021-04-28 18:36:06 +00:00
|
|
|
sell_row[SELL_IDX],
|
2020-10-18 15:16:57 +00:00
|
|
|
low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX])
|
2020-10-07 18:59:05 +00:00
|
|
|
|
2021-03-23 08:09:41 +00:00
|
|
|
if sell.sell_flag:
|
2021-08-09 13:42:17 +00:00
|
|
|
trade.close_date = sell_candle_time
|
2021-10-21 14:25:38 +00:00
|
|
|
|
2021-02-06 09:30:50 +00:00
|
|
|
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
|
|
|
|
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
|
2021-10-19 11:45:45 +00:00
|
|
|
# call the custom exit price,with default value as previous closerate
|
|
|
|
current_profit = trade.calc_profit_ratio(closerate)
|
2021-12-04 13:14:22 +00:00
|
|
|
if sell.sell_type in (SellType.SELL_SIGNAL, SellType.CUSTOM_SELL):
|
|
|
|
# Custom exit pricing only for sell-signals
|
|
|
|
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
|
|
|
|
default_retval=closerate)(
|
|
|
|
pair=trade.pair, trade=trade,
|
|
|
|
current_time=sell_row[DATE_IDX],
|
|
|
|
proposed_rate=closerate, current_profit=current_profit)
|
2021-12-03 16:44:53 +00:00
|
|
|
# Use the maximum between close_rate and low as we cannot sell outside of a candle.
|
|
|
|
closerate = min(max(closerate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
|
2021-03-25 08:25:25 +00:00
|
|
|
|
|
|
|
# Confirm trade exit:
|
|
|
|
time_in_force = self.strategy.order_time_in_force['sell']
|
|
|
|
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=closerate,
|
|
|
|
time_in_force=time_in_force,
|
2021-05-02 09:20:54 +00:00
|
|
|
sell_reason=sell.sell_reason,
|
2021-08-09 13:42:17 +00:00
|
|
|
current_time=sell_candle_time):
|
2021-03-25 08:25:25 +00:00
|
|
|
return None
|
|
|
|
|
2021-11-08 05:44:55 +00:00
|
|
|
trade.sell_reason = sell.sell_reason
|
|
|
|
|
|
|
|
# Checks and adds an exit tag, after checking that the length of the
|
|
|
|
# sell_row has the length for an exit tag column
|
|
|
|
if(
|
|
|
|
len(sell_row) > EXIT_TAG_IDX
|
|
|
|
and sell_row[EXIT_TAG_IDX] is not None
|
|
|
|
and len(sell_row[EXIT_TAG_IDX]) > 0
|
|
|
|
):
|
|
|
|
trade.sell_reason = sell_row[EXIT_TAG_IDX]
|
|
|
|
|
2020-11-16 19:21:32 +00:00
|
|
|
trade.close(closerate, show_msg=False)
|
2021-01-23 11:50:20 +00:00
|
|
|
return trade
|
2020-11-16 19:17:47 +00:00
|
|
|
|
2020-10-08 18:10:00 +00:00
|
|
|
return None
|
|
|
|
|
2021-08-09 13:45:02 +00:00
|
|
|
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
|
2021-08-14 15:36:02 +00:00
|
|
|
if self.timeframe_detail and trade.pair in self.detail_data:
|
2021-08-09 13:45:02 +00:00
|
|
|
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
|
|
|
|
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
|
|
|
|
|
|
|
|
detail_data = self.detail_data[trade.pair]
|
|
|
|
detail_data = detail_data.loc[
|
|
|
|
(detail_data['date'] >= sell_candle_time) &
|
|
|
|
(detail_data['date'] < sell_candle_end)
|
2021-10-18 20:56:41 +00:00
|
|
|
].copy()
|
2021-08-14 15:36:02 +00:00
|
|
|
if len(detail_data) == 0:
|
|
|
|
# Fall back to "regular" data if no detail data was found for this candle
|
|
|
|
return self._get_sell_trade_entry_for_candle(trade, sell_row)
|
2021-09-27 18:52:19 +00:00
|
|
|
detail_data.loc[:, 'buy'] = sell_row[BUY_IDX]
|
|
|
|
detail_data.loc[:, 'sell'] = sell_row[SELL_IDX]
|
2021-08-09 13:45:02 +00:00
|
|
|
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
|
|
|
|
for det_row in detail_data[headers].values.tolist():
|
|
|
|
res = self._get_sell_trade_entry_for_candle(trade, det_row)
|
|
|
|
if res:
|
|
|
|
return res
|
|
|
|
|
|
|
|
return None
|
|
|
|
|
|
|
|
else:
|
|
|
|
return self._get_sell_trade_entry_for_candle(trade, sell_row)
|
|
|
|
|
2021-12-24 10:38:43 +00:00
|
|
|
def _enter_trade(self, pair: str, row: Tuple, stake_amount: Optional[float] = None,
|
|
|
|
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
|
|
|
|
|
|
|
|
pos_adjust = trade is not None
|
|
|
|
if stake_amount is None:
|
|
|
|
try:
|
|
|
|
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
|
|
|
|
except DependencyException:
|
|
|
|
return trade
|
|
|
|
|
2021-10-19 11:45:45 +00:00
|
|
|
# let's call the custom entry price, using the open price as default price
|
|
|
|
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
|
|
|
|
default_retval=row[OPEN_IDX])(
|
|
|
|
pair=pair, current_time=row[DATE_IDX].to_pydatetime(),
|
|
|
|
proposed_rate=row[OPEN_IDX]) # default value is the open rate
|
2021-07-11 09:20:31 +00:00
|
|
|
|
2021-12-03 16:44:53 +00:00
|
|
|
# Move rate to within the candle's low/high rate
|
|
|
|
propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
|
|
|
|
|
2021-10-19 11:45:45 +00:00
|
|
|
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
|
2021-07-11 09:20:31 +00:00
|
|
|
max_stake_amount = self.wallets.get_available_stake_amount()
|
|
|
|
|
2021-12-24 10:38:43 +00:00
|
|
|
if not pos_adjust:
|
|
|
|
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
|
|
|
|
default_retval=stake_amount)(
|
|
|
|
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=propose_rate,
|
|
|
|
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
|
|
|
|
|
2021-11-10 05:38:24 +00:00
|
|
|
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
|
2021-07-11 09:20:31 +00:00
|
|
|
|
|
|
|
if not stake_amount:
|
2021-12-24 10:38:43 +00:00
|
|
|
# In case of pos adjust, still return the original trade
|
|
|
|
# If not pos adjust, trade is None
|
|
|
|
return trade
|
2021-03-23 08:09:41 +00:00
|
|
|
|
|
|
|
order_type = self.strategy.order_types['buy']
|
|
|
|
time_in_force = self.strategy.order_time_in_force['sell']
|
2021-03-25 08:25:25 +00:00
|
|
|
# Confirm trade entry:
|
2021-12-24 10:38:43 +00:00
|
|
|
if not pos_adjust:
|
|
|
|
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=row[DATE_IDX].to_pydatetime()):
|
|
|
|
return None
|
2021-03-23 08:09:41 +00:00
|
|
|
|
2021-02-20 19:21:30 +00:00
|
|
|
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
|
2021-12-24 10:38:43 +00:00
|
|
|
amount = round(stake_amount / propose_rate, 8)
|
|
|
|
if trade is None:
|
|
|
|
# Enter trade
|
|
|
|
has_buy_tag = len(row) >= BUY_TAG_IDX + 1
|
|
|
|
trade = LocalTrade(
|
|
|
|
pair=pair,
|
|
|
|
open_rate=propose_rate,
|
|
|
|
open_date=row[DATE_IDX].to_pydatetime(),
|
|
|
|
stake_amount=stake_amount,
|
|
|
|
amount=amount,
|
|
|
|
fee_open=self.fee,
|
|
|
|
fee_close=self.fee,
|
|
|
|
is_open=True,
|
|
|
|
buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
|
|
|
|
exchange='backtesting',
|
|
|
|
orders=[]
|
|
|
|
)
|
|
|
|
|
2021-12-09 21:21:35 +00:00
|
|
|
order = Order(
|
|
|
|
ft_is_open=False,
|
|
|
|
ft_pair=trade.pair,
|
|
|
|
symbol=trade.pair,
|
|
|
|
ft_order_side="buy",
|
|
|
|
side="buy",
|
|
|
|
order_type="market",
|
|
|
|
status="closed",
|
2021-12-24 10:38:43 +00:00
|
|
|
price=propose_rate,
|
|
|
|
average=propose_rate,
|
|
|
|
amount=amount,
|
|
|
|
cost=stake_amount + trade.fee_open
|
2021-12-09 21:21:35 +00:00
|
|
|
)
|
|
|
|
trade.orders.append(order)
|
2021-12-24 10:38:43 +00:00
|
|
|
if pos_adjust:
|
|
|
|
trade.recalc_trade_from_orders()
|
|
|
|
|
|
|
|
return trade
|
2021-02-10 19:37:55 +00:00
|
|
|
|
2021-02-20 18:29:04 +00:00
|
|
|
def handle_left_open(self, open_trades: Dict[str, List[LocalTrade]],
|
|
|
|
data: Dict[str, List[Tuple]]) -> List[LocalTrade]:
|
2020-10-08 18:10:00 +00:00
|
|
|
"""
|
|
|
|
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]:
|
|
|
|
sell_row = data[pair][-1]
|
2020-11-16 19:17:47 +00:00
|
|
|
|
2021-04-26 17:54:47 +00:00
|
|
|
trade.close_date = sell_row[DATE_IDX].to_pydatetime()
|
2021-02-06 09:30:50 +00:00
|
|
|
trade.sell_reason = SellType.FORCE_SELL.value
|
2021-01-23 11:50:20 +00:00
|
|
|
trade.close(sell_row[OPEN_IDX], show_msg=False)
|
2021-03-14 08:48:40 +00:00
|
|
|
LocalTrade.close_bt_trade(trade)
|
2021-01-28 06:06:58 +00:00
|
|
|
# Deepcopy object to have wallets update correctly
|
|
|
|
trade1 = deepcopy(trade)
|
|
|
|
trade1.is_open = True
|
|
|
|
trades.append(trade1)
|
2020-10-08 18:10:00 +00:00
|
|
|
return trades
|
2018-02-09 07:35:38 +00:00
|
|
|
|
2021-05-23 07:36:02 +00:00
|
|
|
def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
|
2021-05-23 07:46:51 +00:00
|
|
|
# Always allow trades when max_open_trades is enabled.
|
|
|
|
if max_open_trades <= 0 or open_trade_count < max_open_trades:
|
2021-05-23 07:36:02 +00:00
|
|
|
return True
|
|
|
|
# Rejected trade
|
|
|
|
self.rejected_trades += 1
|
|
|
|
return False
|
|
|
|
|
2021-02-10 19:37:55 +00:00
|
|
|
def backtest(self, processed: Dict,
|
2020-10-18 14:18:52 +00:00
|
|
|
start_date: datetime, end_date: datetime,
|
2020-11-23 19:29:29 +00:00
|
|
|
max_open_trades: int = 0, position_stacking: bool = False,
|
2021-04-30 05:31:57 +00:00
|
|
|
enable_protections: bool = False) -> Dict[str, Any]:
|
2018-02-09 07:35:38 +00:00
|
|
|
"""
|
2019-12-13 23:12:16 +00:00
|
|
|
Implement backtesting functionality
|
2018-02-09 07:35:38 +00:00
|
|
|
|
|
|
|
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.
|
2019-12-13 23:12:16 +00:00
|
|
|
Avoid extensive logging in this method and functions it calls.
|
|
|
|
|
|
|
|
:param processed: a processed dictionary with format {pair, data}
|
|
|
|
: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?
|
2020-11-23 19:29:29 +00:00
|
|
|
:param enable_protections: Should protections be enabled?
|
2019-12-13 23:12:16 +00:00
|
|
|
:return: DataFrame with trades (results of backtesting)
|
2018-02-09 07:35:38 +00:00
|
|
|
"""
|
2021-02-20 19:22:00 +00:00
|
|
|
trades: List[LocalTrade] = []
|
2020-11-27 16:38:15 +00:00
|
|
|
self.prepare_backtest(enable_protections)
|
2018-06-07 07:21:07 +00:00
|
|
|
|
2020-03-08 10:35:31 +00:00
|
|
|
# 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)
|
2018-10-15 20:02:23 +00:00
|
|
|
|
2019-04-04 18:23:10 +00:00
|
|
|
# Indexes per pair, so some pairs are allowed to have a missing start.
|
2021-04-24 17:15:09 +00:00
|
|
|
indexes: Dict = defaultdict(int)
|
2019-12-11 06:12:37 +00:00
|
|
|
tmp = start_date + timedelta(minutes=self.timeframe_min)
|
2019-03-20 17:38:10 +00:00
|
|
|
|
2021-02-20 19:22:00 +00:00
|
|
|
open_trades: Dict[str, List[LocalTrade]] = defaultdict(list)
|
2020-10-07 18:59:05 +00:00
|
|
|
open_trade_count = 0
|
|
|
|
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.init_step(BacktestState.BACKTEST, int(
|
|
|
|
(end_date - start_date) / timedelta(minutes=self.timeframe_min)))
|
2021-03-11 18:16:18 +00:00
|
|
|
|
2019-04-04 18:23:10 +00:00
|
|
|
# Loop timerange and get candle for each pair at that point in time
|
2020-10-07 18:59:05 +00:00
|
|
|
while tmp <= end_date:
|
|
|
|
open_trade_count_start = open_trade_count
|
2021-07-06 04:28:47 +00:00
|
|
|
self.check_abort()
|
2020-03-08 10:35:31 +00:00
|
|
|
for i, pair in enumerate(data):
|
2021-05-08 13:06:19 +00:00
|
|
|
row_index = indexes[pair]
|
2018-10-15 20:02:23 +00:00
|
|
|
try:
|
2021-08-09 12:40:02 +00:00
|
|
|
# Row is treated as "current incomplete candle".
|
|
|
|
# Buy / sell signals are shifted by 1 to compensate for this.
|
2021-05-08 13:06:19 +00:00
|
|
|
row = data[pair][row_index]
|
2018-10-15 20:02:23 +00:00
|
|
|
except IndexError:
|
2019-04-04 17:44:03 +00:00
|
|
|
# missing Data for one pair at the end.
|
2019-06-15 11:45:50 +00:00
|
|
|
# Warnings for this are shown during data loading
|
2018-10-15 20:02:23 +00:00
|
|
|
continue
|
2018-03-04 00:42:37 +00:00
|
|
|
|
2019-04-04 17:44:03 +00:00
|
|
|
# Waits until the time-counter reaches the start of the data for this pair.
|
2020-10-18 15:16:57 +00:00
|
|
|
if row[DATE_IDX] > tmp:
|
2019-03-20 17:38:10 +00:00
|
|
|
continue
|
2021-05-08 13:06:19 +00:00
|
|
|
|
2021-08-09 12:40:02 +00:00
|
|
|
row_index += 1
|
2021-05-08 13:06:19 +00:00
|
|
|
indexes[pair] = row_index
|
2021-08-10 05:09:38 +00:00
|
|
|
self.dataprovider._set_dataframe_max_index(row_index)
|
2019-03-20 17:38:10 +00:00
|
|
|
|
2020-10-07 18:59:05 +00:00
|
|
|
# without positionstacking, we can only have one open trade per pair.
|
|
|
|
# max_open_trades must be respected
|
|
|
|
# don't open on the last row
|
2021-05-23 07:36:02 +00:00
|
|
|
if (
|
|
|
|
(position_stacking or len(open_trades[pair]) == 0)
|
|
|
|
and self.trade_slot_available(max_open_trades, open_trade_count_start)
|
|
|
|
and tmp != end_date
|
|
|
|
and row[BUY_IDX] == 1
|
|
|
|
and row[SELL_IDX] != 1
|
|
|
|
and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
|
|
|
|
):
|
2021-04-21 18:01:10 +00:00
|
|
|
trade = self._enter_trade(pair, row)
|
2021-02-10 19:37:55 +00:00
|
|
|
if trade:
|
|
|
|
# TODO: hacky workaround to avoid opening > max_open_trades
|
|
|
|
# This emulates previous behaviour - not sure if this is correct
|
|
|
|
# Prevents buying if the trade-slot was freed in this candle
|
|
|
|
open_trade_count_start += 1
|
|
|
|
open_trade_count += 1
|
2021-02-16 06:56:35 +00:00
|
|
|
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
|
2021-02-10 19:37:55 +00:00
|
|
|
open_trades[pair].append(trade)
|
2021-03-13 09:16:32 +00:00
|
|
|
LocalTrade.add_bt_trade(trade)
|
2020-10-07 18:59:05 +00:00
|
|
|
|
2021-08-11 06:35:16 +00:00
|
|
|
for trade in list(open_trades[pair]):
|
2020-10-07 18:59:05 +00:00
|
|
|
# also check the buying candle for sell conditions.
|
2021-05-02 09:17:59 +00:00
|
|
|
trade_entry = self._get_sell_trade_entry(trade, row)
|
2021-06-25 13:45:49 +00:00
|
|
|
# Sell occurred
|
2020-10-07 18:59:05 +00:00
|
|
|
if trade_entry:
|
2020-10-18 14:38:16 +00:00
|
|
|
# logger.debug(f"{pair} - Backtesting sell {trade}")
|
2020-10-07 18:59:05 +00:00
|
|
|
open_trade_count -= 1
|
|
|
|
open_trades[pair].remove(trade)
|
2021-03-13 09:16:32 +00:00
|
|
|
|
|
|
|
LocalTrade.close_bt_trade(trade)
|
2020-10-07 18:59:05 +00:00
|
|
|
trades.append(trade_entry)
|
2020-11-23 19:29:29 +00:00
|
|
|
if enable_protections:
|
|
|
|
self.protections.stop_per_pair(pair, row[DATE_IDX])
|
2020-11-27 16:38:15 +00:00
|
|
|
self.protections.global_stop(tmp)
|
2018-03-04 00:42:37 +00:00
|
|
|
|
2020-10-07 18:59:05 +00:00
|
|
|
# Move time one configured time_interval ahead.
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.increment()
|
2020-10-07 18:59:05 +00:00
|
|
|
tmp += timedelta(minutes=self.timeframe_min)
|
2019-04-04 17:44:03 +00:00
|
|
|
|
2020-10-08 18:10:00 +00:00
|
|
|
trades += self.handle_left_open(open_trades, data=data)
|
2021-02-17 19:07:27 +00:00
|
|
|
self.wallets.update()
|
2018-06-09 19:44:20 +00:00
|
|
|
|
2021-04-30 05:31:57 +00:00
|
|
|
results = trade_list_to_dataframe(trades)
|
|
|
|
return {
|
|
|
|
'results': results,
|
|
|
|
'config': self.strategy.config,
|
|
|
|
'locks': PairLocks.get_all_locks(),
|
2021-05-23 07:46:51 +00:00
|
|
|
'rejected_signals': self.rejected_trades,
|
2021-04-30 05:31:57 +00:00
|
|
|
'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
|
|
|
|
}
|
2018-02-09 07:35:38 +00:00
|
|
|
|
2021-08-09 12:53:18 +00:00
|
|
|
def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, DataFrame],
|
|
|
|
timerange: TimeRange):
|
2021-03-21 14:56:36 +00:00
|
|
|
self.progress.init_step(BacktestState.ANALYZE, 0)
|
|
|
|
|
2020-09-18 05:44:11 +00:00
|
|
|
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
|
2021-01-13 06:47:03 +00:00
|
|
|
backtest_start_time = datetime.now(timezone.utc)
|
2020-09-18 05:44:11 +00:00
|
|
|
self._set_strategy(strat)
|
|
|
|
|
2020-10-11 17:50:37 +00:00
|
|
|
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
|
|
|
|
|
2020-09-18 05:44:11 +00:00
|
|
|
# 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
|
2021-08-09 12:53:18 +00:00
|
|
|
preprocessed = self.strategy.advise_all_indicators(data)
|
2020-09-18 05:44:11 +00:00
|
|
|
|
|
|
|
# Trim startup period from analyzed dataframe
|
2021-07-13 17:36:15 +00:00
|
|
|
preprocessed_tmp = trim_dataframes(preprocessed, timerange, self.required_startup)
|
Fix exception when few pairs with no data do not result in aborting backtest.
Exception is triggered by backtesting 20210301-20210501 range with BAKE/USDT pair (binance). Pair data starts on 2021-04-30 12:00:00 and after adjusting for startup candles pair dataframe is empty.
Solution: Since there are other pairs with enough data - skip pairs with no data and issue a warning.
Exception:
```
Traceback (most recent call last):
File "/home/rk/src/freqtrade/freqtrade/main.py", line 37, in main
return_code = args['func'](args)
File "/home/rk/src/freqtrade/freqtrade/commands/optimize_commands.py", line 53, in start_backtesting
backtesting.start()
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 502, in start
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 474, in backtest_one_strategy
results = self.backtest(
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 365, in backtest
data: Dict = self._get_ohlcv_as_lists(processed)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 199, in _get_ohlcv_as_lists
pair_data.loc[:, 'buy'] = 0 # cleanup from previous run
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 692, in __setitem__
iloc._setitem_with_indexer(indexer, value, self.name)
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 1587, in _setitem_with_indexer
raise ValueError(
ValueError: cannot set a frame with no defined index and a scalar
```
2021-05-13 06:47:28 +00:00
|
|
|
|
2021-07-13 17:36:15 +00:00
|
|
|
if not preprocessed_tmp:
|
2021-05-06 18:49:48 +00:00
|
|
|
raise OperationalException(
|
Fix exception when few pairs with no data do not result in aborting backtest.
Exception is triggered by backtesting 20210301-20210501 range with BAKE/USDT pair (binance). Pair data starts on 2021-04-30 12:00:00 and after adjusting for startup candles pair dataframe is empty.
Solution: Since there are other pairs with enough data - skip pairs with no data and issue a warning.
Exception:
```
Traceback (most recent call last):
File "/home/rk/src/freqtrade/freqtrade/main.py", line 37, in main
return_code = args['func'](args)
File "/home/rk/src/freqtrade/freqtrade/commands/optimize_commands.py", line 53, in start_backtesting
backtesting.start()
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 502, in start
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 474, in backtest_one_strategy
results = self.backtest(
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 365, in backtest
data: Dict = self._get_ohlcv_as_lists(processed)
File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 199, in _get_ohlcv_as_lists
pair_data.loc[:, 'buy'] = 0 # cleanup from previous run
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 692, in __setitem__
iloc._setitem_with_indexer(indexer, value, self.name)
File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 1587, in _setitem_with_indexer
raise ValueError(
ValueError: cannot set a frame with no defined index and a scalar
```
2021-05-13 06:47:28 +00:00
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"No data left after adjusting for startup candles.")
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2021-07-13 17:36:15 +00:00
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# Use preprocessed_tmp for date generation (the trimmed dataframe).
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# Backtesting will re-trim the dataframes after buy/sell signal generation.
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min_date, max_date = history.get_timerange(preprocessed_tmp)
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2020-09-18 05:44:11 +00:00
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logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
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2021-05-06 18:49:48 +00:00
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f'({(max_date - min_date).days} days).')
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2020-09-18 05:44:11 +00:00
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# Execute backtest and store results
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results = self.backtest(
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processed=preprocessed,
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2021-05-06 17:34:10 +00:00
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start_date=min_date,
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end_date=max_date,
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2020-09-18 05:44:11 +00:00
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max_open_trades=max_open_trades,
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position_stacking=self.config.get('position_stacking', False),
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enable_protections=self.config.get('enable_protections', False),
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)
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2021-01-13 06:47:03 +00:00
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backtest_end_time = datetime.now(timezone.utc)
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2021-04-30 05:31:57 +00:00
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results.update({
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2021-01-13 06:47:03 +00:00
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'backtest_start_time': int(backtest_start_time.timestamp()),
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'backtest_end_time': int(backtest_end_time.timestamp()),
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2021-04-30 05:31:57 +00:00
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})
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self.all_results[self.strategy.get_strategy_name()] = results
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2020-09-18 05:44:11 +00:00
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return min_date, max_date
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2018-02-09 07:35:38 +00:00
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def start(self) -> None:
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"""
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2019-12-13 23:12:16 +00:00
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Run backtesting end-to-end
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2018-02-09 07:35:38 +00:00
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:return: None
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"""
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2018-08-19 17:39:22 +00:00
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data: Dict[str, Any] = {}
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2019-12-13 23:12:16 +00:00
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2021-08-14 13:34:43 +00:00
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data, timerange = self.load_bt_data()
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self.load_bt_data_detail()
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2021-04-23 17:22:41 +00:00
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logger.info("Dataload complete. Calculating indicators")
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2019-06-14 17:37:54 +00:00
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2018-07-28 05:41:38 +00:00
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for strat in self.strategylist:
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2020-09-18 05:44:11 +00:00
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min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
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2021-03-01 07:57:57 +00:00
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if len(self.strategylist) > 0:
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2020-12-31 18:46:54 +00:00
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self.results = generate_backtest_stats(data, self.all_results,
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min_date=min_date, max_date=max_date)
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2020-03-15 14:36:23 +00:00
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2021-06-14 17:57:24 +00:00
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if self.config.get('export', 'none') == 'trades':
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2020-12-31 18:46:54 +00:00
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store_backtest_stats(self.config['exportfilename'], self.results)
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2020-09-26 12:55:12 +00:00
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2021-03-01 07:57:57 +00:00
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# Show backtest results
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2020-12-31 18:46:54 +00:00
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show_backtest_results(self.config, self.results)
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