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Implement previous backtest result reuse when config and strategy did not change.

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This commit is contained in:
Rokas Kupstys
2022-01-06 11:53:11 +02:00
parent 6684bff963
commit 16861db653
9 changed files with 179 additions and 16 deletions
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51
freqtrade/optimize/backtesting.py
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@@ -14,12 +14,13 @@ from pandas import DataFrame
from freqtrade.configuration import TimeRange, validate_config_consistency
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.data import history
from freqtrade.data.btanalysis import trade_list_to_dataframe
from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import BacktestState, SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import get_strategy_run_id
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.bt_progress import BTProgress
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
@@ -60,7 +61,7 @@ class Backtesting:
LoggingMixin.show_output = False
self.config = config
self.results: Optional[Dict[str, Any]] = None
self.results: Dict[str, Any] = {}
config['dry_run'] = True
self.strategylist: List[IStrategy] = []
@@ -727,6 +728,7 @@ class Backtesting:
)
backtest_end_time = datetime.now(timezone.utc)
results.update({
'run_id': get_strategy_run_id(strat),
'backtest_start_time': int(backtest_start_time.timestamp()),
'backtest_end_time': int(backtest_end_time.timestamp()),
})
@@ -745,15 +747,50 @@ class Backtesting:
self.load_bt_data_detail()
logger.info("Dataload complete. Calculating indicators")
for strat in self.strategylist:
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
if len(self.strategylist) > 0:
run_ids = {
strategy.get_strategy_name(): get_strategy_run_id(strategy)
for strategy in self.strategylist
}
self.results = generate_backtest_stats(data, self.all_results,
min_date=min_date, max_date=max_date)
# Load previous result that will be updated incrementally.
if self.config.get('timerange', '-').endswith('-'):
self.config['no_backtest_cache'] = True
logger.warning('Backtest result caching disabled due to use of open-ended timerange.')
if not self.config.get('no_backtest_cache', False):
self.results = find_existing_backtest_stats(
self.config['user_data_dir'] / 'backtest_results', run_ids)
for strat in self.strategylist:
if self.results and strat.get_strategy_name() in self.results['strategy']:
# When previous result hash matches - reuse that result and skip backtesting.
logger.info(f'Reusing result of previous backtest for {strat.get_strategy_name()}')
continue
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
# Update old results with new ones.
if len(self.all_results) > 0:
results = generate_backtest_stats(
data, self.all_results, min_date=min_date, max_date=max_date)
if self.results:
self.results['metadata'].update(results['metadata'])
self.results['strategy'].update(results['strategy'])
self.results['strategy_comparison'].extend(results['strategy_comparison'])
else:
self.results = results
if self.config.get('export', 'none') == 'trades':
store_backtest_stats(self.config['exportfilename'], self.results)
# Results may be mixed up now. Sort them so they follow --strategy-list order.
if 'strategy_list' in self.config and len(self.results) > 0:
self.results['strategy_comparison'] = sorted(
self.results['strategy_comparison'],
key=lambda c: self.config['strategy_list'].index(c['key']))
self.results['strategy'] = dict(
sorted(self.results['strategy'].items(),
key=lambda kv: self.config['strategy_list'].index(kv[0])))
if len(self.strategylist) > 0:
# Show backtest results
show_backtest_results(self.config, self.results)

19
freqtrade/optimize/optimize_reports.py
View File

@@ -11,7 +11,8 @@ from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
calculate_max_drawdown)
from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
from freqtrade.misc import (decimals_per_coin, file_dump_json, get_backtest_metadata_filename,
round_coin_value)
logger = logging.getLogger(__name__)
@@ -33,6 +34,11 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
recordfilename.parent,
f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}'
).with_suffix(recordfilename.suffix)
# Store metadata separately.
file_dump_json(get_backtest_metadata_filename(filename), stats['metadata'])
del stats['metadata']
file_dump_json(filename, stats)
latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
@@ -509,16 +515,25 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
:param max_date: Backtest end date
:return: Dictionary containing results per strategy and a strategy summary.
"""
result: Dict[str, Any] = {'strategy': {}}
result: Dict[str, Any] = {
'metadata': {},
'strategy': {},
'strategy_comparison': [],
}
market_change = calculate_market_change(btdata, 'close')
metadata = {}
pairlist = list(btdata.keys())
for strategy, content in all_results.items():
strat_stats = generate_strategy_stats(pairlist, strategy, content,
min_date, max_date, market_change=market_change)
metadata[strategy] = {
'run_id': content['run_id']
}
result['strategy'][strategy] = strat_stats
strategy_results = generate_strategy_comparison(bt_stats=result['strategy'])
result['metadata'] = metadata
result['strategy_comparison'] = strategy_results
return result