adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #1037 from freqtrade/fix/backtest-comment

Browse Source 
replace --realistic with 2 separate flags
This commit is contained in:
Janne Sinivirta
2018-07-19 17:33:19 +03:00
committed by GitHub
parent 6070d819b8 71100a67c9
commit 0cc1b66ae7
8 changed files with 95 additions and 57 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
freqtrade/optimize/backtesting.py
View File

@@ -202,13 +202,13 @@ class Backtesting(object):
stake_amount: btc amount to use for each trade
processed: a processed dictionary with format {pair, data}
max_open_trades: maximum number of concurrent trades (default: 0, disabled)
realistic: do we try to simulate realistic trades? (default: True)
position_stacking: do we allow position stacking? (default: False)
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
position_stacking = args.get('position_stacking', False)
trades = []
trade_count_lock: Dict = {}
for pair, pair_data in processed.items():
@@ -232,7 +232,7 @@ class Backtesting(object):
if row.buy == 0 or row.sell == 1:
continue # skip rows where no buy signal or that would immediately sell off
if realistic:
if not position_stacking:
if lock_pair_until is not None and row.date <= lock_pair_until:
continue
if max_open_trades > 0:
@@ -286,11 +286,11 @@ class Backtesting(object):
if not data:
logger.critical("No data found. Terminating.")
return
# Ignore max_open_trades in backtesting, except realistic flag was passed
if self.config.get('realistic_simulation', False):
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
max_open_trades = self.config['max_open_trades']
else:
logger.info('Ignoring max_open_trades (realistic_simulation not set) ...')
logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
preprocessed = self.tickerdata_to_dataframe(data)
@@ -310,7 +310,7 @@ class Backtesting(object):
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'realistic': self.config.get('realistic_simulation', False),
'position_stacking': self.config.get('position_stacking', False),
}
)

2
freqtrade/optimize/hyperopt.py
View File

@@ -280,7 +280,7 @@ class Hyperopt(Backtesting):
{
'stake_amount': self.config['stake_amount'],
'processed': processed,
'realistic': self.config.get('realistic_simulation', False),
'position_stacking': self.config.get('position_stacking', True),
}
)
result_explanation = self.format_results(results)