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Merge pull request #357 from kryofly/timeperiod

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Timeperiod
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Gérald LONLAS 2018-01-18 20:26:44 -08:00 committed by GitHub
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10 changed files with 153 additions and 28 deletions
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23
docs/backtesting.md
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@ -51,6 +51,29 @@ python3 ./freqtrade/main.py backtesting --realistic-simulation --live
python3 ./freqtrade/main.py backtesting --datadir freqtrade/tests/testdata-20180101
```
**Running backtest with smaller testset**
Use the --timerange argument to change how much of the testset
you want to use. The last N ticks/timeframes will be used.
Example:
```bash
python3 ./freqtrade/main.py backtesting --timerange=-200
```
***Advanced use of timerange***
Doing --timerange=-200 will get the last 200 timeframes
from your inputdata. You can also specify specific dates,
or a range span indexed by start and stop.
The full timerange specification:
Not implemented yet! --timerange=-20180131
Not implemented yet! --timerange=20180101-
Not implemented yet! --timerange=20180101-20181231
Last 123 tickframes of data: --timerange=-123
First 123 tickframes of data: --timerange=123-
Tickframes from line 123 through 456: --timerange=123-456
**Update testdata directory
To update your testdata directory, or download into another testdata directory:
```bash
mkdir freqtrade/tests/testdata-20180113

10
docs/hyperopt.md
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@ -168,6 +168,16 @@ If you would like to learn parameters using an alternate ticke-data that
you have on-disk, use the --datadir PATH option. Default hyperopt will
use data from directory freqtrade/tests/testdata.
### Running hyperopt with smaller testset
Use the --timeperiod argument to change how much of the testset
you want to use. The last N ticks/timeframes will be used.
Example:
```bash
python3 ./freqtrade/main.py hyperopt --timeperiod -200
```
### Hyperopt with MongoDB
Hyperopt with MongoDB, is like Hyperopt under steroids. As you saw by
executing the previous command is the execution takes a long time.

47
freqtrade/misc.py
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@ -4,6 +4,7 @@ import json
import logging
import time
import os
import re
from typing import Any, Callable, Dict, List
from jsonschema import Draft4Validator, validate
@ -132,7 +133,7 @@ def parse_args(args: List[str], description: str):
dest='dry_run_db',
)
parser.add_argument(
'-dd', '--datadir',
'--datadir',
help='path to backtest data (default freqdata/tests/testdata',
dest='datadir',
default=os.path.join('freqtrade', 'tests', 'testdata'),
@ -190,6 +191,13 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
action='store_true',
dest='refresh_pairs',
)
backtesting_cmd.add_argument(
'--timerange',
help='Specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
# Add hyperopt subcommand
hyperopt_cmd = subparsers.add_parser('hyperopt', help='hyperopt module')
@ -216,6 +224,43 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
type=int,
metavar='INT',
)
hyperopt_cmd.add_argument(
'--timerange',
help='Specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
def parse_timerange(text):
if text is None:
return None
syntax = [('^-(\d{8})$', (None, 'date')),
('^(\d{8})-$', ('date', None)),
('^(\d{8})-(\d{8})$', ('date', 'date')),
('^(-\d+)$', (None, 'line')),
('^(\d+)-$', ('line', None)),
('^(\d+)-(\d+)$', ('index', 'index'))]
for rex, stype in syntax:
# Apply the regular expression to text
m = re.match(rex, text)
if m: # Regex has matched
rvals = m.groups()
n = 0
start = None
stop = None
if stype[0]:
start = rvals[n]
if stype[0] != 'date':
start = int(start)
n += 1
if stype[1]:
stop = rvals[n]
if stype[1] != 'date':
stop = int(stop)
return (stype, start, stop)
raise Exception('Incorrect syntax for timerange "%s"' % text)
# Required json-schema for user specified config

32
freqtrade/optimize/__init__.py
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@ -12,7 +12,20 @@ from freqtrade.analyze import populate_indicators, parse_ticker_dataframe
logger = logging.getLogger(__name__)
def load_tickerdata_file(datadir, pair, ticker_interval):
def trim_tickerlist(tickerlist, timerange):
(stype, start, stop) = timerange
if stype == (None, 'line'):
return tickerlist[stop:]
elif stype == ('line', None):
return tickerlist[0:start]
elif stype == ('index', 'index'):
return tickerlist[start:stop]
else:
return tickerlist
def load_tickerdata_file(datadir, pair, ticker_interval,
timerange=None):
"""
Load a pair from file,
:return dict OR empty if unsuccesful
@ -30,11 +43,15 @@ def load_tickerdata_file(datadir, pair, ticker_interval):
# Read the file, load the json
with open(file) as tickerdata:
pairdata = json.load(tickerdata)
if timerange:
pairdata = trim_tickerlist(pairdata, timerange)
return pairdata
def load_data(datadir: str, ticker_interval: int = 5, pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False) -> Dict[str, List]:
def load_data(datadir: str, ticker_interval: int = 5,
pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False,
timerange=None) -> Dict[str, List]:
"""
Loads ticker history data for the given parameters
:param ticker_interval: ticker interval in minutes
@ -51,16 +68,21 @@ def load_data(datadir: str, ticker_interval: int = 5, pairs: Optional[List[str]]
download_pairs(datadir, _pairs)
for pair in _pairs:
pairdata = load_tickerdata_file(datadir, pair, ticker_interval)
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
if not pairdata:
# download the tickerdata from exchange
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
# and retry reading the pair
pairdata = load_tickerdata_file(datadir, pair, ticker_interval)
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
result[pair] = pairdata
return result
def tickerdata_to_dataframe(data):
preprocessed = preprocess(data)
return preprocessed
def preprocess(tickerdata: Dict[str, List]) -> Dict[str, DataFrame]:
"""Creates a dataframe and populates indicators for given ticker data"""
return {pair: populate_indicators(parse_ticker_dataframe(pair_data))

10
freqtrade/optimize/backtesting.py
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@ -13,7 +13,6 @@ from freqtrade import exchange
from freqtrade.analyze import populate_buy_trend, populate_sell_trend
from freqtrade.exchange import Bittrex
from freqtrade.main import min_roi_reached
from freqtrade.optimize import preprocess
from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
@ -161,12 +160,13 @@ def start(args):
data[pair] = exchange.get_ticker_history(pair, args.ticker_interval)
else:
logger.info('Using local backtesting data (using whitelist in given config) ...')
data = optimize.load_data(args.datadir, pairs=pairs, ticker_interval=args.ticker_interval,
refresh_pairs=args.refresh_pairs)
logger.info('Using stake_currency: %s ...', config['stake_currency'])
logger.info('Using stake_amount: %s ...', config['stake_amount'])
timerange = misc.parse_timerange(args.timerange)
data = optimize.load_data(args.datadir, pairs=pairs, ticker_interval=args.ticker_interval,
refresh_pairs=args.refresh_pairs,
timerange=timerange)
max_open_trades = 0
if args.realistic_simulation:
logger.info('Using max_open_trades: %s ...', config['max_open_trades'])
@ -176,7 +176,7 @@ def start(args):
from freqtrade import main
main._CONF = config
preprocessed = preprocess(data)
preprocessed = optimize.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = get_timeframe(preprocessed)
logger.info('Measuring data from %s up to %s ...', min_date.isoformat(), max_date.isoformat())

9
freqtrade/optimize/hyperopt.py
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@ -15,7 +15,7 @@ from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe
from hyperopt.mongoexp import MongoTrials
from pandas import DataFrame
from freqtrade import main # noqa
from freqtrade import main, misc # noqa
from freqtrade import exchange, optimize
from freqtrade.exchange import Bittrex
from freqtrade.misc import load_config
@ -273,8 +273,11 @@ def start(args):
logger.info('Using config: %s ...', args.config)
config = load_config(args.config)
pairs = config['exchange']['pair_whitelist']
PROCESSED = optimize.preprocess(optimize.load_data(
args.datadir, pairs=pairs, ticker_interval=args.ticker_interval))
timerange = misc.parse_timerange(args.timerange)
data = optimize.load_data(args.datadir, pairs=pairs,
ticker_interval=args.ticker_interval,
timerange=timerange)
PROCESSED = optimize.tickerdata_to_dataframe(data)
if args.mongodb:
logger.info('Using mongodb ...')

11
freqtrade/tests/optimize/test_backtesting.py
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@ -69,8 +69,8 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
def load_data_test(what):
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
data = trim_dictlist(data, -100)
timerange = ((None, 'line'), None, -100)
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'], timerange=timerange)
pair = data['BTC_UNITEST']
datalen = len(pair)
# Depending on the what parameter we now adjust the
@ -152,10 +152,10 @@ def test_backtest_pricecontours(default_conf, mocker):
simple_backtest(default_conf, contour, numres)
def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False):
tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1)
def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False, timerange=None):
tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1, timerange=timerange)
pairdata = {'BTC_UNITEST': tickerdata}
return trim_dictlist(pairdata, -100)
return pairdata
def test_backtest_start(default_conf, mocker, caplog):
@ -169,6 +169,7 @@ def test_backtest_start(default_conf, mocker, caplog):
args.level = 10
args.live = False
args.datadir = None
args.timerange = '-100' # needed due to MagicMock malleability
backtesting.start(args)
# check the logs, that will contain the backtest result
exists = ['Using max_open_trades: 1 ...',

22
freqtrade/tests/optimize/test_hyperopt.py
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@ -54,6 +54,7 @@ def create_trials(mocker):
def test_start_calls_fmin(mocker):
trials = create_trials(mocker)
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.hyperopt.TRIALS', return_value=trials)
mocker.patch('freqtrade.optimize.hyperopt.sorted',
return_value=trials.results)
@ -61,7 +62,8 @@ def test_start_calls_fmin(mocker):
mocker.patch('freqtrade.optimize.load_data')
mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False)
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False,
timerange=None)
start(args)
mock_fmin.assert_called_once()
@ -70,11 +72,12 @@ def test_start_calls_fmin(mocker):
def test_start_uses_mongotrials(mocker):
mock_mongotrials = mocker.patch('freqtrade.optimize.hyperopt.MongoTrials',
return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True)
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True,
timerange=None)
start(args)
mock_mongotrials.assert_called_once()
@ -125,11 +128,12 @@ def test_fmin_best_results(mocker, caplog):
}
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result)
args = mocker.Mock(epochs=1, config='config.json.example')
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
@ -147,11 +151,12 @@ def test_fmin_best_results(mocker, caplog):
def test_fmin_throw_value_error(mocker, caplog):
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', side_effect=ValueError())
args = mocker.Mock(epochs=1, config='config.json.example')
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
@ -185,7 +190,8 @@ def test_resuming_previous_hyperopt_results_succeeds(mocker):
return_value={})
args = mocker.Mock(epochs=1,
config='config.json.example',
mongodb=False)
mongodb=False,
timerange=None)
start(args)

8
freqtrade/tests/optimize/test_optimize.py
View File

@ -174,3 +174,11 @@ def test_load_tickerdata_file():
assert not load_tickerdata_file(None, 'BTC_UNITEST', 7)
tickerdata = load_tickerdata_file(None, 'BTC_UNITEST', 1)
assert _btc_unittest_length == len(tickerdata)
def test_tickerdata_to_dataframe():
timerange = ((None, 'line'), None, -100)
tick = load_tickerdata_file(None, 'BTC_UNITEST', 1, timerange=timerange)
tickerlist = {'BTC_UNITEST': tick}
data = optimize.tickerdata_to_dataframe(tickerlist)
assert 100 == len(data['BTC_UNITEST'])

9
freqtrade/tests/test_misc.py
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@ -8,7 +8,7 @@ import pytest
from jsonschema import ValidationError
from freqtrade.misc import (common_args_parser, load_config, parse_args,
throttle)
throttle, parse_timerange)
def test_throttle():
@ -133,6 +133,13 @@ def test_parse_args_hyperopt_custom(mocker):
assert call_args.func is not None
def test_parse_timerange_incorrect():
assert ((None, 'line'), None, -200) == parse_timerange('-200')
assert (('line', None), 200, None) == parse_timerange('200-')
with pytest.raises(Exception, match=r'Incorrect syntax.*'):
parse_timerange('-')
def test_load_config(default_conf, mocker):
file_mock = mocker.patch('freqtrade.misc.open', mocker.mock_open(
read_data=json.dumps(default_conf)