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Improve backtesting logs

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This commit is contained in:
hroff-1902
2019-09-10 10:42:45 +03:00
parent f987e6e0f9
commit 35580b135a
3 changed files with 69 additions and 66 deletions
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52
freqtrade/persistence.py
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@@ -1,7 +1,6 @@
"""
This module contains the class to persist trades into SQLite
"""
import logging
from datetime import datetime
from decimal import Decimal
@@ -19,8 +18,10 @@ from sqlalchemy.pool import StaticPool
from freqtrade import OperationalException
logger = logging.getLogger(__name__)
_DECL_BASE: Any = declarative_base()
_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
@@ -209,7 +210,8 @@ class Trade(_DECL_BASE):
ticker_interval = Column(Integer, nullable=True)
def __repr__(self):
open_since = arrow.get(self.open_date).humanize() if self.is_open else 'closed'
open_since = (f"{arrow.get(self.open_date).strftime('%Y-%m-%d %H:%M:%S')} "
f"({arrow.get(self.open_date).humanize()})" ) if self.is_open else 'closed'
return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
f'open_rate={self.open_rate:.8f}, open_since={open_since})')
@@ -250,7 +252,6 @@ class Trade(_DECL_BASE):
:param initial: Called to initiate stop_loss.
Skips everything if self.stop_loss is already set.
"""
if initial and not (self.stop_loss is None or self.stop_loss == 0):
# Don't modify if called with initial and nothing to do
return
@@ -259,7 +260,7 @@ class Trade(_DECL_BASE):
# no stop loss assigned yet
if not self.stop_loss:
logger.debug("assigning new stop loss")
logger.debug(f"'{self.pair}' - Assigning new stoploss...")
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
self.initial_stop_loss = new_loss
@@ -269,21 +270,21 @@ class Trade(_DECL_BASE):
# evaluate if the stop loss needs to be updated
else:
if new_loss > self.stop_loss: # stop losses only walk up, never down!
logger.debug(f"'{self.pair}' - Adjusting stoploss...")
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
logger.debug("adjusted stop loss")
else:
logger.debug("keeping current stop loss")
logger.debug(f"'{self.pair}' - Keeping current stoploss...")
logger.debug(
f"{self.pair} - current price {current_price:.8f}, "
f"'{self.pair}' - Stoploss adjusted. Current price {current_price:.8f}, "
f"bought at {self.open_rate:.8f} and calculated "
f"stop loss is at: {self.initial_stop_loss:.8f} initial "
f"stop at {self.stop_loss:.8f}. "
f"trailing stop loss saved us: "
f"stoploss is at: {self.initial_stop_loss:.8f}, "
f"initial stop at {self.stop_loss:.8f}. "
f"Trailing stoploss saved us: "
f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f} "
f"and max observed rate was {self.max_rate:.8f}")
f"and max observed rate was {self.max_rate:.8f}.")
def update(self, order: Dict) -> None:
"""
@@ -331,24 +332,19 @@ class Trade(_DECL_BASE):
self
)
def calc_open_trade_price(
self,
fee: Optional[float] = None) -> float:
def calc_open_trade_price(self, fee: Optional[float] = None) -> float:
"""
Calculate the open_rate including fee.
:param fee: fee to use on the open rate (optional).
If rate is not set self.fee will be used
:return: Price in of the open trade incl. Fees
"""
buy_trade = (Decimal(self.amount) * Decimal(self.open_rate))
fees = buy_trade * Decimal(fee or self.fee_open)
return float(buy_trade + fees)
def calc_close_trade_price(
self,
rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
def calc_close_trade_price(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculate the close_rate including fee
:param fee: fee to use on the close rate (optional).
@@ -357,7 +353,6 @@ class Trade(_DECL_BASE):
If rate is not set self.close_rate will be used
:return: Price in BTC of the open trade
"""
if rate is None and not self.close_rate:
return 0.0
@@ -365,10 +360,8 @@ class Trade(_DECL_BASE):
fees = sell_trade * Decimal(fee or self.fee_close)
return float(sell_trade - fees)
def calc_profit(
self,
rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
def calc_profit(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculate the absolute profit in stake currency between Close and Open trade
:param fee: fee to use on the close rate (optional).
@@ -385,10 +378,8 @@ class Trade(_DECL_BASE):
profit = close_trade_price - open_trade_price
return float(f"{profit:.8f}")
def calc_profit_percent(
self,
rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
def calc_profit_percent(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculates the profit in percentage (including fee).
:param rate: rate to compare with (optional).
@@ -396,7 +387,6 @@ class Trade(_DECL_BASE):
:param fee: fee to use on the close rate (optional).
:return: profit in percentage as float
"""
open_trade_price = self.calc_open_trade_price()
close_trade_price = self.calc_close_trade_price(
rate=(rate or self.close_rate),
@@ -436,8 +426,8 @@ class Trade(_DECL_BASE):
and trade.initial_stop_loss_pct != desired_stoploss):
# Stoploss value got changed
logger.info(f"Stoploss for {trade} needs adjustment.")
logger.info(f"Stoploss for {trade} needs adjustment...")
# Force reset of stoploss
trade.stop_loss = None
trade.adjust_stop_loss(trade.open_rate, desired_stoploss)
logger.info(f"new stoploss: {trade.stop_loss}, ")
logger.info(f"New stoploss: {trade.stop_loss}.")