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Update backtest sell terminology to exit

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This commit is contained in:
Matthias 2022-04-24 14:30:50 +02:00
parent 3c17409bd7
commit 25c6c5e326
2 changed files with 49 additions and 49 deletions
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92
freqtrade/optimize/backtesting.py
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@ -178,7 +178,7 @@ class Backtesting:
# Attach Wallets to Strategy baseclass
strategy.wallets = self.wallets
# Set stoploss_on_exchange to false for backtesting,
# since a "perfect" stoploss-sell is assumed anyway
# since a "perfect" stoploss-exit is assumed anyway
# And the regular "stoploss" function would not apply to that case
self.strategy.order_types['stoploss_on_exchange'] = False
@ -353,24 +353,24 @@ class Backtesting:
data[pair] = df_analyzed[headers].values.tolist() if not df_analyzed.empty else []
return data
def _get_close_rate(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
"""
Get close rate for backtesting result
"""
# Special handling if high or low hit STOP_LOSS or ROI
if sell.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
return self._get_close_rate_for_stoploss(row, trade, sell, trade_dur)
elif sell.exit_type == (ExitType.ROI):
return self._get_close_rate_for_roi(row, trade, sell, trade_dur)
if exit.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
return self._get_close_rate_for_stoploss(row, trade, exit, trade_dur)
elif exit.exit_type == (ExitType.ROI):
return self._get_close_rate_for_roi(row, trade, exit, trade_dur)
else:
return row[OPEN_IDX]
def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
# our stoploss was already lower than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
# exit at open price.
is_short = trade.is_short or False
leverage = trade.leverage or 1.0
side_1 = -1 if is_short else 1
@ -384,7 +384,7 @@ class Backtesting:
# 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.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
if exit.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
if (
not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
and self.strategy.trailing_only_offset_is_reached
@ -403,7 +403,7 @@ class Backtesting:
else:
assert stop_rate < row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low.
# Limit lower-end to candle low to avoid exits below the low.
# This still remains "worst case" - but "worst realistic case".
if is_short:
return min(row[HIGH_IDX], stop_rate)
@ -413,7 +413,7 @@ class Backtesting:
# Set close_rate to stoploss
return trade.stop_loss
def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
is_short = trade.is_short or False
leverage = trade.leverage or 1.0
@ -438,7 +438,7 @@ class Backtesting:
and roi_entry % self.timeframe_min == 0
and is_new_roi):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
# use Open rate if open_rate > calculated exit rate
return row[OPEN_IDX]
if (trade_dur == 0 and (
@ -461,11 +461,11 @@ class Backtesting:
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower wick.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
# If open_rate is < open, only allow sells below the close on red candles.
# If open_rate is < open, only allow exits below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# cannot exit outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return min(max(close_rate, row[LOW_IDX]), row[HIGH_IDX])
@ -500,7 +500,7 @@ class Backtesting:
""" Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
row: Tuple) -> Optional[LocalTrade]:
# Check if we need to adjust our current positions
@ -512,33 +512,33 @@ class Backtesting:
if check_adjust_entry:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_ = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
sell = self.strategy.should_exit(
trade, row[OPEN_IDX], sell_candle_time, # type: ignore
exit_ = self.strategy.should_exit(
trade, row[OPEN_IDX], exit_candle_time, # type: ignore
enter=enter, exit_=exit_,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
if sell.exit_flag:
trade.close_date = sell_candle_time
if exit_.exit_flag:
trade.close_date = exit_candle_time
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
closerate = self._get_close_rate(row, trade, sell, trade_dur)
closerate = self._get_close_rate(row, trade, exit_, trade_dur)
except ValueError:
return None
# call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate)
order_type = self.strategy.order_types['exit']
if sell.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
# Custom exit pricing only for sell-signals
if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
# Custom exit pricing only for exit-signals
if order_type == 'limit':
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=closerate)(
pair=trade.pair, trade=trade,
current_time=sell_candle_time,
current_time=exit_candle_time,
proposed_rate=closerate, current_profit=current_profit)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
@ -553,12 +553,12 @@ class Backtesting:
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
time_in_force=time_in_force,
sell_reason=sell.exit_reason, # deprecated
exit_reason=sell.exit_reason,
current_time=sell_candle_time):
sell_reason=exit_.exit_reason, # deprecated
exit_reason=exit_.exit_reason,
current_time=exit_candle_time):
return None
trade.exit_reason = sell.exit_reason
trade.exit_reason = exit_.exit_reason
# Checks and adds an exit tag, after checking that the length of the
# row has the length for an exit tag column
@ -573,8 +573,8 @@ class Backtesting:
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
order_date=exit_candle_time,
order_update_date=exit_candle_time,
ft_is_open=True,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
@ -595,8 +595,8 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
trade.funding_fees = self.exchange.calculate_funding_fees(
@ -604,20 +604,20 @@ class Backtesting:
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc,
close_date=sell_candle_time,
close_date=exit_candle_time,
)
if self.timeframe_detail and trade.pair in self.detail_data:
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
detail_data = detail_data.loc[
(detail_data['date'] >= sell_candle_time) &
(detail_data['date'] < sell_candle_end)
(detail_data['date'] >= exit_candle_time) &
(detail_data['date'] < exit_candle_end)
].copy()
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
return self._get_sell_trade_entry_for_candle(trade, row)
return self._get_exit_trade_entry_for_candle(trade, row)
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
@ -627,14 +627,14 @@ class Backtesting:
headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
for det_row in detail_data[headers].values.tolist():
res = self._get_sell_trade_entry_for_candle(trade, det_row)
res = self._get_exit_trade_entry_for_candle(trade, det_row)
if res:
return res
return None
else:
return self._get_sell_trade_entry_for_candle(trade, row)
return self._get_exit_trade_entry_for_candle(trade, row)
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
@ -815,11 +815,11 @@ class Backtesting:
if trade.open_order_id and trade.nr_of_successful_entries == 0:
# Ignore trade if entry-order did not fill yet
continue
sell_row = data[pair][-1]
exit_row = data[pair][-1]
trade.close_date = sell_row[DATE_IDX].to_pydatetime()
trade.close_date = exit_row[DATE_IDX].to_pydatetime()
trade.exit_reason = ExitType.FORCE_EXIT.value
trade.close(sell_row[OPEN_IDX], show_msg=False)
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
# Deepcopy object to have wallets update correctly
trade1 = deepcopy(trade)
@ -985,18 +985,18 @@ class Backtesting:
LocalTrade.add_bt_trade(trade)
self.wallets.update()
# 4. Create sell orders (if any)
# 4. Create exit orders (if any)
if not trade.open_order_id:
self._get_sell_trade_entry(trade, row) # Place sell order if necessary
self._get_exit_trade_entry(trade, row) # Place exit order if necessary
# 5. Process sell orders.
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row):
trade.open_order_id = None
trade.close_date = current_time
trade.close(order.price, show_msg=False)
# logger.debug(f"{pair} - Backtesting sell {trade}")
# logger.debug(f"{pair} - Backtesting exit {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)

6
tests/optimize/test_backtesting.py
View File

@ -714,7 +714,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
)
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@ -727,13 +727,13 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_sell_trade_entry(trade, row)
res = backtesting._get_exit_trade_entry(trade, row)
assert res is None
# Assign backtest-detail data
backtesting.detail_data[pair] = row_detail
res = backtesting._get_sell_trade_entry(trade, row_sell)
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
# Sell at minute 3 (not available above!)