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Add available balance control for bactesting

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Added this backtesting feature, to get more realistic results with available (simulated) balance checks.
Otherwise, there will be too unrealistic backtest end-results.
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citizen3942 2021-03-02 16:19:24 +02:00 committed by GitHub
parent f00c4fc27b
commit 18f61141c2
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GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 18 additions and 2 deletions
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18
freqtrade/optimize/backtesting.py
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@ -318,6 +318,9 @@ class Backtesting:
open_trades: Dict[str, List] = defaultdict(list)
open_trade_count = 0
# Variable to keep tabs on available balance
available_balance: float = self.config['dry_run_wallet']
# Loop timerange and get candle for each pair at that point in time
while tmp <= end_date:
open_trade_count_start = open_trade_count
@ -338,6 +341,12 @@ class Backtesting:
continue
indexes[pair] += 1
# Get available balance
if (available_balance < stake_amount and open_trade_count == 0):
end_date = row[DATE_IDX]
logger.info(f'Out of balance, cannot take another trade! Bakctest end date: {end_date}')
break
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected
# don't open on the last row
@ -345,7 +354,8 @@ class Backtesting:
and (max_open_trades <= 0 or open_trade_count_start < max_open_trades)
and tmp != end_date
and row[BUY_IDX] == 1 and row[SELL_IDX] != 1
and not PairLocks.is_pair_locked(pair, row[DATE_IDX])):
and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
and available_balance > stake_amount):
# Enter trade
trade = Trade(
pair=pair,
@ -357,6 +367,7 @@ class Backtesting:
fee_close=self.fee,
is_open=True,
)
# TODO: hacky workaround to avoid opening > max_open_trades
# This emulates previous behaviour - not sure if this is correct
# Prevents buying if the trade-slot was freed in this candle
@ -366,6 +377,9 @@ class Backtesting:
open_trades[pair].append(trade)
Trade.trades.append(trade)
# Update available balance
available_balance -= trade.stake_amount
for trade in open_trades[pair]:
# since indexes has been incremented before, we need to go one step back to
# also check the buying candle for sell conditions.
@ -376,6 +390,8 @@ class Backtesting:
open_trade_count -= 1
open_trades[pair].remove(trade)
trades.append(trade_entry)
# Update available balance
available_balance += trade_entry.close_profit_abs + trade_entry.stake_amount
if enable_protections:
self.protections.stop_per_pair(pair, row[DATE_IDX])
self.protections.global_stop(tmp)