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

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* 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
This commit is contained in:
Mathieu Favréaux
2017-11-24 20:09:44 +00:00
committed by Michael Egger
parent cfbfe90aa0
commit 371ee1e457
3 changed files with 15 additions and 8 deletions
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13
freqtrade/tests/test_backtesting.py
View File

@@ -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']))

4
freqtrade/tests/test_misc.py
View File

@@ -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