Add long/short support to backtesting

freqtrade/data/btanalysis.py

@@ -30,7 +30,9 @@ BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
                    'fee_open', 'fee_close', 'trade_duration',
                    'profit_ratio', 'profit_abs', 'sell_reason',
                    'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
-                   'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'buy_tag']
+                   'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'buy_tag',
+                   'is_short'
+                   ]
 # TODO-lev: usage of the above might need compatibility code (buy_tag, is_short?, ...?)
 
 

freqtrade/optimize/optimize_reports.py

@@ -454,6 +454,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         # 'days_breakdown_stats': days_breakdown_stats,
 
         'total_trades': len(results),
+        'trade_count_long': len(results.loc[~results['is_short']]),
+        'trade_count_short': len(results.loc[results['is_short']]),
         'total_volume': float(results['stake_amount'].sum()),
         'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
         'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0,
@@ -719,6 +721,9 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('', ''),  # Empty line to improve readability
             ('Total/Daily Avg Trades',
                 f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"),
+            ('Long / Short',
+             f"{strat_results.get('trade_count_long', 'total_trades')} / "
+             f"{strat_results.get('trade_count_short', 0)}"),
             ('Starting balance', round_coin_value(strat_results['starting_balance'],
                                                   strat_results['stake_currency'])),
             ('Final balance', round_coin_value(strat_results['final_balance'],

tests/optimize/test_backtesting.py

@@ -698,7 +698,8 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
          'min_rate': [0.10370188, 0.10300000000000001],
          'max_rate': [0.10501, 0.1038888],
          'is_open': [False, False],
-         'buy_tag': [None, None]
+         'buy_tag': [None, None],
+         "is_short": [False, False],
          })
     pd.testing.assert_frame_equal(results, expected)
     data_pair = processed[pair]
@@ -1074,6 +1075,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
                             'stake_amount': [0.01, 0.01],
                             'open_rate': [0.104445, 0.10302485],
                             'close_rate': [0.104969, 0.103541],
+                            "is_short": [False, False],
+
                             'sell_reason': [SellType.ROI, SellType.ROI]
                             })
     result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
@@ -1091,6 +1094,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
                             'stake_amount': [0.01, 0.01, 0.01],
                             'open_rate': [0.104445, 0.10302485, 0.122541],
                             'close_rate': [0.104969, 0.103541, 0.123541],
+                            "is_short": [False, False, False],
                             'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
                             })
     backtestmock = MagicMock(side_effect=[
@@ -1180,6 +1184,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
                                                           '2018-01-30 05:35:00', ], utc=True),
                             'trade_duration': [235, 40],
                             'is_open': [False, False],
+                            'is_short': [False, False],
                             'stake_amount': [0.01, 0.01],
                             'open_rate': [0.104445, 0.10302485],
                             'close_rate': [0.104969, 0.103541],
@@ -1197,6 +1202,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
                                                           '2018-01-30 08:30:00'], utc=True),
                             'trade_duration': [47, 40, 20],
                             'is_open': [False, False, False],
+                            'is_short': [False, False, False],
                             'stake_amount': [0.01, 0.01, 0.01],
                             'open_rate': [0.104445, 0.10302485, 0.122541],
                             'close_rate': [0.104969, 0.103541, 0.123541],

tests/optimize/test_hyperopt.py

@@ -344,6 +344,7 @@ def test_hyperopt_format_results(hyperopt):
                                  "close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
                                  "trade_duration": [123, 34, 31, 14],
                                  "is_open": [False, False, False, True],
+                                 "is_short": [False, False, False, False],
                                  "stake_amount": [0.01, 0.01, 0.01, 0.01],
                                  "sell_reason": [SellType.ROI, SellType.STOP_LOSS,
                                                  SellType.ROI, SellType.FORCE_SELL]
@@ -412,6 +413,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
                                  "close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
                                  "trade_duration": [123, 34, 31, 14],
                                  "is_open": [False, False, False, True],
+                                 "is_short": [False, False, False, False],
                                  "stake_amount": [0.01, 0.01, 0.01, 0.01],
                                  "sell_reason": [SellType.ROI, SellType.STOP_LOSS,
                                                  SellType.ROI, SellType.FORCE_SELL]

tests/optimize/test_optimize_reports.py

@@ -76,6 +76,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
                                  "close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
                                  "trade_duration": [123, 34, 31, 14],
                                  "is_open": [False, False, False, True],
+                                 "is_short": [False, False, False, False],
                                  "stake_amount": [0.01, 0.01, 0.01, 0.01],
                                  "sell_reason": [SellType.ROI, SellType.STOP_LOSS,
                                                  SellType.ROI, SellType.FORCE_SELL]
@@ -124,6 +125,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
              "close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
              "trade_duration": [123, 34, 31, 14],
              "is_open": [False, False, False, True],
+             "is_short": [False, False, False, False],
              "stake_amount": [0.01, 0.01, 0.01, 0.01],
              "sell_reason": [SellType.ROI, SellType.ROI,
                              SellType.STOP_LOSS, SellType.FORCE_SELL]