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Improve commenting on backtsting and backtest_multi_tst

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Matthias 2019-04-04 19:44:03 +02:00
parent 0307ba7883
commit 32cbb714f9
2 changed files with 11 additions and 2 deletions
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9
freqtrade/optimize/backtesting.py
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@ -329,6 +329,8 @@ class Backtesting(object):
end_date = args['end_date'] end_date = args['end_date']
trades = [] trades = []
trade_count_lock: Dict = {} trade_count_lock: Dict = {}
# Dict of ticker-lists for performance (looping lists is a lot faster than dataframes)
ticker: Dict = self._get_ticker_list(processed) ticker: Dict = self._get_ticker_list(processed)
lock_pair_until: Dict = {} lock_pair_until: Dict = {}
@ -345,10 +347,11 @@ class Backtesting(object):
try: try:
row = ticker[pair][indexes[pair]] row = ticker[pair][indexes[pair]]
except IndexError: except IndexError:
# missing Data for one pair ... # missing Data for one pair at the end.
# Warnings for this are shown by `validate_backtest_data` # Warnings for this are shown by `validate_backtest_data`
continue continue
# Waits until the time-counter reaches the start of the data for this pair.
if row.date > tmp.datetime: if row.date > tmp.datetime:
continue continue
@ -359,12 +362,13 @@ class Backtesting(object):
if (not position_stacking and pair in lock_pair_until if (not position_stacking and pair in lock_pair_until
and row.date <= lock_pair_until[pair]): and row.date <= lock_pair_until[pair]):
# without positionstacking, we can only have one open trade per pair.
continue continue
if max_open_trades > 0: if max_open_trades > 0:
# Check if max_open_trades has already been reached for the given date # Check if max_open_trades has already been reached for the given date
if not trade_count_lock.get(row.date, 0) < max_open_trades: if not trade_count_lock.get(row.date, 0) < max_open_trades:
continue continue
trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1
trade_entry = self._get_sell_trade_entry(pair, row, ticker[pair][indexes[pair]:], trade_entry = self._get_sell_trade_entry(pair, row, ticker[pair][indexes[pair]:],
@ -377,6 +381,7 @@ class Backtesting(object):
# Set lock_pair_until to end of testing period if trade could not be closed # Set lock_pair_until to end of testing period if trade could not be closed
lock_pair_until[pair] = end_date.datetime lock_pair_until[pair] = end_date.datetime
# Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.ticker_interval_mins) tmp += timedelta(minutes=self.ticker_interval_mins)
return DataFrame.from_records(trades, columns=BacktestResult._fields) return DataFrame.from_records(trades, columns=BacktestResult._fields)

4
freqtrade/tests/optimize/test_backtesting.py
View File

@ -701,9 +701,13 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair):
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker) patch_exchange(mocker)
pairs = ['ADA/BTC', 'DASH/BTC', 'ETH/BTC', 'LTC/BTC', 'NXT/BTC'] pairs = ['ADA/BTC', 'DASH/BTC', 'ETH/BTC', 'LTC/BTC', 'NXT/BTC']
data = history.load_data(datadir=None, ticker_interval='5m', pairs=pairs) data = history.load_data(datadir=None, ticker_interval='5m', pairs=pairs)
# Only use 500 lines to increase performance
data = trim_dictlist(data, -500) data = trim_dictlist(data, -500)
# Remove data for one pair from the beginning of the data
data[pair] = data[pair][tres:] data[pair] = data[pair][tres:]
# We need to enable sell-signal - otherwise it sells on ROI!! # We need to enable sell-signal - otherwise it sells on ROI!!
default_conf['experimental'] = {"use_sell_signal": True} default_conf['experimental'] = {"use_sell_signal": True}