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Merge branch 'develop' into backtest_fitlivepredictions

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This commit is contained in:
Wagner Costa
2022-11-30 08:29:28 -03:00
parent 17cf3c7e83 915524a161
commit 26e8a5766f
10 changed files with 118 additions and 60 deletions
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8
freqtrade/commands/analyze_commands.py
View File

@@ -60,10 +60,4 @@ def start_analysis_entries_exits(args: Dict[str, Any]) -> None:
logger.info('Starting freqtrade in analysis mode')
process_entry_exit_reasons(config['exportfilename'],
config['exchange']['pair_whitelist'],
config['analysis_groups'],
config['enter_reason_list'],
config['exit_reason_list'],
config['indicator_list']
)
process_entry_exit_reasons(config)

2
freqtrade/commands/arguments.py
View File

@@ -106,7 +106,7 @@ ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperop
"disableparamexport", "backtest_breakdown"]
ARGS_ANALYZE_ENTRIES_EXITS = ["exportfilename", "analysis_groups", "enter_reason_list",
"exit_reason_list", "indicator_list"]
"exit_reason_list", "indicator_list", "timerange"]
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-freqaimodels",

3
freqtrade/configuration/configuration.py
View File

@@ -462,6 +462,9 @@ class Configuration:
self._args_to_config(config, argname='indicator_list',
logstring='Analysis indicator list: {}')
self._args_to_config(config, argname='timerange',
logstring='Filter trades by timerange: {}')
def _process_runmode(self, config: Config) -> None:
self._args_to_config(config, argname='dry_run',

100
freqtrade/data/entryexitanalysis.py
View File

@@ -1,11 +1,12 @@
import logging
from pathlib import Path
from typing import List, Optional
import joblib
import pandas as pd
from tabulate import tabulate
from freqtrade.configuration import TimeRange
from freqtrade.constants import Config
from freqtrade.data.btanalysis import (get_latest_backtest_filename, load_backtest_data,
load_backtest_stats)
from freqtrade.exceptions import OperationalException
@@ -152,37 +153,55 @@ def _do_group_table_output(bigdf, glist):
logger.warning("Invalid group mask specified.")
def _print_results(analysed_trades, stratname, analysis_groups,
enter_reason_list, exit_reason_list,
indicator_list, columns=None):
if columns is None:
columns = ['pair', 'open_date', 'close_date', 'profit_abs', 'enter_reason', 'exit_reason']
def _select_rows_within_dates(df, timerange=None, df_date_col: str = 'date'):
if timerange:
if timerange.starttype == 'date':
df = df.loc[(df[df_date_col] >= timerange.startdt)]
if timerange.stoptype == 'date':
df = df.loc[(df[df_date_col] < timerange.stopdt)]
return df
bigdf = pd.DataFrame()
def _select_rows_by_tags(df, enter_reason_list, exit_reason_list):
if enter_reason_list and "all" not in enter_reason_list:
df = df.loc[(df['enter_reason'].isin(enter_reason_list))]
if exit_reason_list and "all" not in exit_reason_list:
df = df.loc[(df['exit_reason'].isin(exit_reason_list))]
return df
def prepare_results(analysed_trades, stratname,
enter_reason_list, exit_reason_list,
timerange=None):
res_df = pd.DataFrame()
for pair, trades in analysed_trades[stratname].items():
bigdf = pd.concat([bigdf, trades], ignore_index=True)
res_df = pd.concat([res_df, trades], ignore_index=True)
if bigdf.shape[0] > 0 and ('enter_reason' in bigdf.columns):
res_df = _select_rows_within_dates(res_df, timerange)
if res_df is not None and res_df.shape[0] > 0 and ('enter_reason' in res_df.columns):
res_df = _select_rows_by_tags(res_df, enter_reason_list, exit_reason_list)
return res_df
def print_results(res_df, analysis_groups, indicator_list):
if res_df.shape[0] > 0:
if analysis_groups:
_do_group_table_output(bigdf, analysis_groups)
if enter_reason_list and "all" not in enter_reason_list:
bigdf = bigdf.loc[(bigdf['enter_reason'].isin(enter_reason_list))]
if exit_reason_list and "all" not in exit_reason_list:
bigdf = bigdf.loc[(bigdf['exit_reason'].isin(exit_reason_list))]
_do_group_table_output(res_df, analysis_groups)
if "all" in indicator_list:
print(bigdf)
print(res_df)
elif indicator_list is not None:
available_inds = []
for ind in indicator_list:
if ind in bigdf:
if ind in res_df:
available_inds.append(ind)
ilist = ["pair", "enter_reason", "exit_reason"] + available_inds
_print_table(bigdf[ilist], sortcols=['exit_reason'], show_index=False)
_print_table(res_df[ilist], sortcols=['exit_reason'], show_index=False)
else:
print("\\_ No trades to show")
print("\\No trades to show")
def _print_table(df, sortcols=None, show_index=False):
@@ -201,27 +220,34 @@ def _print_table(df, sortcols=None, show_index=False):
)
def process_entry_exit_reasons(backtest_dir: Path,
pairlist: List[str],
analysis_groups: Optional[List[str]] = ["0", "1", "2"],
enter_reason_list: Optional[List[str]] = ["all"],
exit_reason_list: Optional[List[str]] = ["all"],
indicator_list: Optional[List[str]] = []):
def process_entry_exit_reasons(config: Config):
try:
backtest_stats = load_backtest_stats(backtest_dir)
analysis_groups = config.get('analysis_groups', [])
enter_reason_list = config.get('enter_reason_list', ["all"])
exit_reason_list = config.get('exit_reason_list', ["all"])
indicator_list = config.get('indicator_list', [])
timerange = TimeRange.parse_timerange(None if config.get(
'timerange') is None else str(config.get('timerange')))
backtest_stats = load_backtest_stats(config['exportfilename'])
for strategy_name, results in backtest_stats['strategy'].items():
trades = load_backtest_data(backtest_dir, strategy_name)
trades = load_backtest_data(config['exportfilename'], strategy_name)
if not trades.empty:
signal_candles = _load_signal_candles(backtest_dir)
analysed_trades_dict = _process_candles_and_indicators(pairlist, strategy_name,
trades, signal_candles)
_print_results(analysed_trades_dict,
strategy_name,
analysis_groups,
enter_reason_list,
exit_reason_list,
indicator_list)
signal_candles = _load_signal_candles(config['exportfilename'])
analysed_trades_dict = _process_candles_and_indicators(
config['exchange']['pair_whitelist'], strategy_name,
trades, signal_candles)
res_df = prepare_results(analysed_trades_dict, strategy_name,
enter_reason_list, exit_reason_list,
timerange=timerange)
print_results(res_df,
analysis_groups,
indicator_list)
except ValueError as e:
raise OperationalException(e) from e

33
freqtrade/rpc/rpc.py
View File

@@ -740,6 +740,24 @@ class RPC:
self._freqtrade.wallets.update()
return {'result': f'Created sell order for trade {trade_id}.'}
def _force_entry_validations(self, pair: str, order_side: SignalDirection):
if not self._freqtrade.config.get('force_entry_enable', False):
raise RPCException('Force_entry not enabled.')
if self._freqtrade.state != State.RUNNING:
raise RPCException('trader is not running')
if order_side == SignalDirection.SHORT and self._freqtrade.trading_mode == TradingMode.SPOT:
raise RPCException("Can't go short on Spot markets.")
if pair not in self._freqtrade.exchange.get_markets(tradable_only=True):
raise RPCException('Symbol does not exist or market is not active.')
# Check if pair quote currency equals to the stake currency.
stake_currency = self._freqtrade.config.get('stake_currency')
if not self._freqtrade.exchange.get_pair_quote_currency(pair) == stake_currency:
raise RPCException(
f'Wrong pair selected. Only pairs with stake-currency {stake_currency} allowed.')
def _rpc_force_entry(self, pair: str, price: Optional[float], *,
order_type: Optional[str] = None,
order_side: SignalDirection = SignalDirection.LONG,
@@ -750,21 +768,8 @@ class RPC:
Handler for forcebuy <asset> <price>
Buys a pair trade at the given or current price
"""
self._force_entry_validations(pair, order_side)
if not self._freqtrade.config.get('force_entry_enable', False):
raise RPCException('Force_entry not enabled.')
if self._freqtrade.state != State.RUNNING:
raise RPCException('trader is not running')
if order_side == SignalDirection.SHORT and self._freqtrade.trading_mode == TradingMode.SPOT:
raise RPCException("Can't go short on Spot markets.")
# Check if pair quote currency equals to the stake currency.
stake_currency = self._freqtrade.config.get('stake_currency')
if not self._freqtrade.exchange.get_pair_quote_currency(pair) == stake_currency:
raise RPCException(
f'Wrong pair selected. Only pairs with stake-currency {stake_currency} allowed.')
# check if valid pair
# check if pair already has an open pair