Add constant, boolean check, rename option to fit with other x_enable, check that RunMode is BACKTEST

freqtrade/constants.py

@@ -380,6 +380,7 @@ CONF_SCHEMA = {
         },
         'position_adjustment_enable': {'type': 'boolean'},
         'max_entry_position_adjustment': {'type': ['integer', 'number'], 'minimum': -1},
+        'backtest_signal_candle_export_enable': {'type': 'boolean'},
     },
     'definitions': {
         'exchange': {

freqtrade/optimize/backtesting.py

@@ -19,7 +19,7 @@ from freqtrade.data import history
 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, CandleType, ExitCheckTuple, ExitType, TradingMode
+from freqtrade.enums import BacktestState, CandleType, ExitCheckTuple, ExitType, TradingMode, RunMode
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
 from freqtrade.misc import get_strategy_run_id
@@ -74,7 +74,7 @@ class Backtesting:
         self.strategylist: List[IStrategy] = []
         self.all_results: Dict[str, Dict] = {}
         self.processed_dfs: Dict[str, Dict] = {}
-        
+
         self._exchange_name = self.config['exchange']['name']
         self.exchange = ExchangeResolver.load_exchange(self._exchange_name, self.config)
         self.dataprovider = DataProvider(self.config, self.exchange)
@@ -129,9 +129,7 @@ class Backtesting:
         self.config['startup_candle_count'] = self.required_startup
         self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
 
-        self.enable_backtest_signal_candle_export = False
-        if self.config.get('enable_backtest_signal_candle_export', None) is not None:
-            self.enable_backtest_signal_candle_export = bool(self.config.get('enable_backtest_signal_candle_export'))
+        self.backtest_signal_candle_export_enable = self.config.get('backtest_signal_candle_export_enable', False)
 
         self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
         # strategies which define "can_short=True" will fail to load in Spot mode.
@@ -1076,7 +1074,7 @@ class Backtesting:
         })
         self.all_results[self.strategy.get_strategy_name()] = results
 
-        if self.enable_backtest_signal_candle_export:
+        if self.backtest_signal_candle_export_enable and self.dataprovider.runmode == RunMode.BACKTEST:
             signal_candles_only = {}
             for pair in preprocessed_tmp.keys():
                 signal_candles_only_df = DataFrame()

freqtrade/optimize/optimize_reports.py

@@ -44,6 +44,25 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
     latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
     file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
 
+def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]) -> None:
+    """
+    Stores backtest trade signal candles
+    :param recordfilename: Path object, which can either be a filename or a directory.
+        Filenames will be appended with a timestamp right before the suffix
+        while for directories, <directory>/backtest-result-<datetime>_signals.pkl will be used as filename
+    :param stats: Dict containing the backtesting signal candles
+    """
+    if recordfilename.is_dir():
+        filename = (recordfilename /
+                    f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl')
+    else:
+        filename = Path.joinpath(
+            recordfilename.parent,
+            f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}'
+        ).with_suffix(recordfilename.suffix)
+
+    with open(filename, 'wb') as f:
+        pickle.dump(candles, f)
 
 def _get_line_floatfmt(stake_currency: str) -> List[str]:
     """