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Don't use arrow objects for backtesting

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This commit is contained in:
Matthias 2020-10-18 16:18:52 +02:00
parent 23278e52db
commit 2591a34db4
2 changed files with 7 additions and 8 deletions
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11
freqtrade/optimize/backtesting.py
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@ -9,7 +9,6 @@ from copy import deepcopy
from datetime import datetime, timedelta from datetime import datetime, timedelta
from typing import Any, Dict, List, NamedTuple, Optional, Tuple from typing import Any, Dict, List, NamedTuple, Optional, Tuple
import arrow
from pandas import DataFrame from pandas import DataFrame
from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
@ -173,7 +172,7 @@ class Backtesting:
# Convert from Pandas to list for performance reasons # Convert from Pandas to list for performance reasons
# (Looping Pandas is slow.) # (Looping Pandas is slow.)
data[pair] = [x for x in df_analyzed.itertuples()] data[pair] = [x for x in df_analyzed.itertuples(index=False)]
return data return data
def _get_close_rate(self, sell_row, trade: Trade, sell: SellCheckTuple, def _get_close_rate(self, sell_row, trade: Trade, sell: SellCheckTuple,
@ -271,7 +270,7 @@ class Backtesting:
return trades return trades
def backtest(self, processed: Dict, stake_amount: float, def backtest(self, processed: Dict, stake_amount: float,
start_date: arrow.Arrow, end_date: arrow.Arrow, start_date: datetime, end_date: datetime,
max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame: max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
""" """
Implement backtesting functionality Implement backtesting functionality
@ -321,7 +320,7 @@ class Backtesting:
continue continue
# Waits until the time-counter reaches the start of the data for this pair. # Waits until the time-counter reaches the start of the data for this pair.
if row.date > tmp.datetime: if row.date > tmp:
continue continue
indexes[pair] += 1 indexes[pair] += 1
@ -413,8 +412,8 @@ class Backtesting:
results = self.backtest( results = self.backtest(
processed=preprocessed, processed=preprocessed,
stake_amount=self.config['stake_amount'], stake_amount=self.config['stake_amount'],
start_date=min_date, start_date=min_date.datetime,
end_date=max_date, end_date=max_date.datetime,
max_open_trades=max_open_trades, max_open_trades=max_open_trades,
position_stacking=position_stacking, position_stacking=position_stacking,
) )

4
freqtrade/optimize/hyperopt.py
View File

@ -538,8 +538,8 @@ class Hyperopt:
backtesting_results = self.backtesting.backtest( backtesting_results = self.backtesting.backtest(
processed=processed, processed=processed,
stake_amount=self.config['stake_amount'], stake_amount=self.config['stake_amount'],
start_date=min_date, start_date=min_date.datetime,
end_date=max_date, end_date=max_date.datetime,
max_open_trades=self.max_open_trades, max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking, position_stacking=self.position_stacking,
) )