In backtesting, ensure we don't buy the same pair again before selling (#139)

* in backtesting, ensure we don't buy before we sell

* no overlapping trades only if max_open_trades > 0

* --limit-max-trades now --realistic-simulation

freqtrade/misc.py

@@ -147,10 +147,10 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
         metavar='INT',
     )
     backtest.add_argument(
-        '--limit-max-trades',
+        '--realistic-simulation',
         help='uses max_open_trades from config to simulate real world limitations',
         action='store_true',
-        dest='limit_max_trades',
+        dest='realistic_simulation',
     )
 
 
@@ -167,7 +167,7 @@ def start_backtesting(args) -> None:
         'BACKTEST_LIVE': 'true' if args.live else '',
         'BACKTEST_CONFIG': args.config,
         'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval),
-        'BACKTEST_LIMIT_MAX_TRADES': 'true' if args.limit_max_trades else '',
+        'BACKTEST_REALISTIC_SIMULATION': 'true' if args.realistic_simulation else '',
     })
     path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py')
     pytest.main(['-s', path])

freqtrade/tests/test_backtesting.py

@@ -83,13 +83,14 @@ def generate_text_table(data: Dict[str, Dict], results: DataFrame, stake_currenc
     return tabulate(tabular_data, headers=headers)
 
 
-def backtest(config: Dict, processed, mocker, max_open_trades=0):
+def backtest(config: Dict, processed, mocker, max_open_trades=0, realistic=True):
     """
     Implements backtesting functionality
     :param config: config to use
     :param processed: a processed dictionary with format {pair, data}
     :param mocker: mocker instance
     :param max_open_trades: maximum number of concurrent trades (default: 0, disabled)
+    :param realistic: do we try to simulate realistic trades? (default: True)
     :return: DataFrame
     """
     trades = []
@@ -100,7 +101,11 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
         pair_data['buy'], pair_data['sell'] = 0, 0
         ticker = populate_sell_trend(populate_buy_trend(pair_data))
         # for each buy point
+        lock_pair_until = None
         for row in ticker[ticker.buy == 1].itertuples(index=True):
+            if realistic:
+                if lock_pair_until is not None and row.Index <= lock_pair_until:
+                    continue
             if max_open_trades > 0:
                 # 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:
@@ -125,6 +130,7 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
 
                 if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
                     current_profit = trade.calc_profit(row2.close)
+                    lock_pair_until = row2.Index
 
                     trades.append((pair, current_profit, row2.Index - row.Index))
                     break
@@ -133,7 +139,7 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
 
 
 def get_max_open_trades(config):
-    if not os.environ.get('BACKTEST_LIMIT_MAX_TRADES'):
+    if not os.environ.get('BACKTEST_REALISTIC_SIMULATION'):
         return 0
     print('Using max_open_trades: {} ...'.format(config['max_open_trades']))
     return config['max_open_trades']
@@ -176,6 +182,7 @@ def test_backtest(backtest_conf, mocker):
     ))
 
     # Execute backtest and print results
-    results = backtest(config, preprocess(data), mocker, get_max_open_trades(config))
+    realistic = os.environ.get('BACKTEST_REALISTIC_SIMULATION')
+    results = backtest(config, preprocess(data), mocker, get_max_open_trades(config), realistic)
     print('====================== BACKTESTING REPORT ======================================\n\n')
     print(generate_text_table(data, results, config['stake_currency']))

freqtrade/tests/test_misc.py

@@ -109,7 +109,7 @@ def test_start_backtesting(mocker):
         live=True,
         loglevel=20,
         ticker_interval=1,
-        limit_max_trades=True,
+        realistic_simulation=True,
     )
     start_backtesting(args)
     assert env_mock == {
@@ -117,7 +117,7 @@ def test_start_backtesting(mocker):
         'BACKTEST_LIVE': 'true',
         'BACKTEST_CONFIG': 'config.json',
         'BACKTEST_TICKER_INTERVAL': '1',
-        'BACKTEST_LIMIT_MAX_TRADES': 'true',
+        'BACKTEST_REALISTIC_SIMULATION': 'true',
     }
     assert pytest_mock.call_count == 1