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

Merge pull request #5394 from freqtrade/backtest_provide_first_cancdle

Browse Source 
Cache dataframe before cutting the first candle
This commit is contained in:
Matthias 2021-08-10 10:04:23 +02:00 committed by GitHub
commit 124e9519e4
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 7 additions and 7 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

6
freqtrade/optimize/backtesting.py
View File

@ -246,11 +246,11 @@ class Backtesting:
if has_buy_tag:
df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
df_analyzed.drop(df_analyzed.head(1).index, inplace=True)
# Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)
df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)
# Convert from Pandas to list for performance reasons
# (Looping Pandas is slow.)
data[pair] = df_analyzed[headers].values.tolist()
@ -478,9 +478,9 @@ class Backtesting:
if row[DATE_IDX] > tmp:
continue
self.dataprovider._set_dataframe_max_index(row_index)
row_index += 1
indexes[pair] = row_index
self.dataprovider._set_dataframe_max_index(row_index)
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected

8
tests/optimize/test_backtesting.py
View File

@ -742,9 +742,9 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
# 100 buys signals
results = result['results']
assert len(results) == 100
# Cached data should be 199 (missing 1 candle at the start)
# Cached data should be 200
analyzed_df = backtesting.dataprovider.get_analyzed_dataframe('UNITTEST/BTC', '1m')[0]
assert len(analyzed_df) == 199
assert len(analyzed_df) == 200
# Expect last candle to be 1 below end date (as the last candle is assumed as "incomplete"
# during backtesting)
expected_last_candle_date = backtest_conf['end_date'] - timedelta(minutes=1)
@ -807,11 +807,11 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
assert len(evaluate_result_multi(results['results'], '5m', 3)) == 0
# Cached data correctly removed amounts
offset = 2 if tres == 0 else 1
offset = 1 if tres == 0 else 0
removed_candles = len(data[pair]) - offset - backtesting.strategy.startup_candle_count
assert len(backtesting.dataprovider.get_analyzed_dataframe(pair, '5m')[0]) == removed_candles
assert len(backtesting.dataprovider.get_analyzed_dataframe(
'NXT/BTC', '5m')[0]) == len(data['NXT/BTC']) - 2 - backtesting.strategy.startup_candle_count
'NXT/BTC', '5m')[0]) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
backtest_conf = {
'processed': processed,