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Update backtesting.py

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Support for custom entry-prices and exit-prices during backtesting.
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GluTbl 2021-10-19 17:15:45 +05:30 committed by GitHub
parent 2995f9a347
commit 00406ea7d5
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1 changed files with 17 additions and 5 deletions
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22
freqtrade/optimize/backtesting.py
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@ -360,6 +360,13 @@ class Backtesting:
trade.sell_reason = sell.sell_reason trade.sell_reason = sell.sell_reason
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) 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) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
# call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate)
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)
# Confirm trade exit: # Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell'] time_in_force = self.strategy.order_time_in_force['sell']
@ -407,13 +414,18 @@ class Backtesting:
stake_amount = self.wallets.get_trade_stake_amount(pair, None) stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException: except DependencyException:
return None return None
# 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
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0 min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount() max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount, stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)( default_retval=stake_amount)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX], 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) proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount) stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
@ -424,7 +436,7 @@ class Backtesting:
time_in_force = self.strategy.order_time_in_force['sell'] time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry: # Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)( if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX], 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()): time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime()):
return None return None
@ -433,10 +445,10 @@ class Backtesting:
has_buy_tag = len(row) >= BUY_TAG_IDX + 1 has_buy_tag = len(row) >= BUY_TAG_IDX + 1
trade = LocalTrade( trade = LocalTrade(
pair=pair, pair=pair,
open_rate=row[OPEN_IDX], open_rate=propose_rate,
open_date=row[DATE_IDX].to_pydatetime(), open_date=row[DATE_IDX].to_pydatetime(),
stake_amount=stake_amount, stake_amount=stake_amount,
amount=round(stake_amount / row[OPEN_IDX], 8), amount=round(stake_amount / propose_rate, 8),
fee_open=self.fee, fee_open=self.fee,
fee_close=self.fee, fee_close=self.fee,
is_open=True, is_open=True,