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Use dedicated index for every pair

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This commit is contained in:
Gianluca Puglia 2019-03-20 18:38:10 +01:00
parent 676c6a784d
commit 0eff324ce0
1 changed files with 15 additions and 7 deletions
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22
freqtrade/optimize/backtesting.py
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@ -10,7 +10,7 @@ from datetime import datetime, timedelta
from pathlib import Path from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional from typing import Any, Dict, List, NamedTuple, Optional
from pandas import DataFrame from pandas import DataFrame, Timestamp
from tabulate import tabulate from tabulate import tabulate
from freqtrade import optimize from freqtrade import optimize
@ -325,19 +325,29 @@ class Backtesting(object):
pairs.append(pair) pairs.append(pair)
lock_pair_until: Dict = {} lock_pair_until: Dict = {}
indexes: Dict = {}
tmp = start_date + timedelta(minutes=self.ticker_interval_mins) tmp = start_date + timedelta(minutes=self.ticker_interval_mins)
index = 0
# Loop timerange and test per pair # Loop timerange and test per pair
while tmp < end_date: while tmp < end_date:
# print(f"time: {tmp}") # print(f"time: {tmp}")
for i, pair in enumerate(ticker): for i, pair in enumerate(ticker):
if pair not in indexes:
indexes[pair] = 0
try: try:
row = ticker[pair][index] row = ticker[pair][indexes[pair]]
except IndexError: except IndexError:
# missing Data for one pair ... # missing Data for one pair ...
# Warnings for this are shown by `validate_backtest_data` # Warnings for this are shown by `validate_backtest_data`
continue continue
if row.date > Timestamp(tmp.datetime):
continue
indexes[pair] += 1
if row.buy == 0 or row.sell == 1: if row.buy == 0 or row.sell == 1:
continue # skip rows where no buy signal or that would immediately sell off continue # skip rows where no buy signal or that would immediately sell off
@ -351,7 +361,7 @@ class Backtesting(object):
trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1
trade_entry = self._get_sell_trade_entry(pair, row, ticker[pair][index + 1:], trade_entry = self._get_sell_trade_entry(pair, row, ticker[pair][indexes[pair]:],
trade_count_lock, args) trade_count_lock, args)
if trade_entry: if trade_entry:
@ -359,11 +369,9 @@ class Backtesting(object):
trades.append(trade_entry) trades.append(trade_entry)
else: else:
# Set lock_pair_until to end of testing period if trade could not be closed # Set lock_pair_until to end of testing period if trade could not be closed
# This happens only if the buy-signal was with the last candle lock_pair_until[pair] = Timestamp(end_date.datetime)
lock_pair_until[pair] = end_date
tmp += timedelta(minutes=self.ticker_interval_mins) tmp += timedelta(minutes=self.ticker_interval_mins)
index += 1
return DataFrame.from_records(trades, columns=BacktestResult._fields) return DataFrame.from_records(trades, columns=BacktestResult._fields)
def start(self) -> None: def start(self) -> None: