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Merge branch 'develop' into margin-db

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Sam Germain
2021-06-20 01:31:47 -06:00
parent e6a137d5b4 347eceeda5
commit 1dd2a6a895
27 changed files with 302 additions and 223 deletions
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18
freqtrade/optimize/backtesting.py
View File

@@ -137,7 +137,7 @@ class Backtesting:
if hasattr(strategy, 'protections'):
conf = deepcopy(conf)
conf['protections'] = strategy.protections
self.protections = ProtectionManager(conf)
self.protections = ProtectionManager(self.config, strategy.protections)
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]:
"""
@@ -225,6 +225,22 @@ class Backtesting:
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached:
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):

19
freqtrade/optimize/hyperopt_tools.py Normal file → Executable file
View File

@@ -91,7 +91,7 @@ class HyperoptTools():
if print_json:
result_dict: Dict = {}
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
HyperoptTools._params_update_for_json(result_dict, params, s)
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
else:
@@ -104,17 +104,24 @@ class HyperoptTools():
HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:")
@staticmethod
def _params_update_for_json(result_dict, params, space: str) -> None:
if space in params:
def _params_update_for_json(result_dict, params, non_optimized, space: str) -> None:
if (space in params) or (space in non_optimized):
space_params = HyperoptTools._space_params(params, space)
space_non_optimized = HyperoptTools._space_params(non_optimized, space)
all_space_params = space_params
# Merge non optimized params if there are any
if len(space_non_optimized) > 0:
all_space_params = {**space_params, **space_non_optimized}
if space in ['buy', 'sell']:
result_dict.setdefault('params', {}).update(space_params)
result_dict.setdefault('params', {}).update(all_space_params)
elif space == 'roi':
# Convert keys in min_roi dict to strings because
# rapidjson cannot dump dicts with integer keys...
result_dict['minimal_roi'] = {str(k): v for k, v in space_params.items()}
result_dict['minimal_roi'] = {str(k): v for k, v in all_space_params.items()}
else: # 'stoploss', 'trailing'
result_dict.update(space_params)
result_dict.update(all_space_params)
@staticmethod
def _params_pretty_print(params, space: str, header: str, non_optimized={}) -> None:

4
freqtrade/optimize/optimize_reports.py
View File

@@ -556,7 +556,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Backtesting to', strat_results['backtest_end']),
('Max open trades', strat_results['max_open_trades']),
('', ''), # Empty line to improve readability
('Total trades', strat_results['total_trades']),
('Total/Daily Avg Trades',
f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"),
('Starting balance', round_coin_value(strat_results['starting_balance'],
strat_results['stake_currency'])),
('Final balance', round_coin_value(strat_results['final_balance'],
@@ -564,7 +565,6 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],