Merge commit '1134c81aad049d4357c8f299ffc801218f3d9574' into feature/objectify
This commit is contained in:
Gerald Lonlas
@@ -102,43 +102,35 @@ class Backtesting(object):
|
||||
])
|
||||
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt)
|
||||
|
||||
def _get_sell_trade_entry(self, pair, row, buy_subset, ticker, trade_count_lock, args):
|
||||
def _get_sell_trade_entry(self, pair, buy_row, partial_ticker, trade_count_lock, args):
|
||||
stake_amount = args['stake_amount']
|
||||
max_open_trades = args.get('max_open_trades', 0)
|
||||
trade = Trade(
|
||||
open_rate=row.close,
|
||||
open_date=row.Index,
|
||||
open_rate=buy_row.close,
|
||||
open_date=buy_row.date,
|
||||
stake_amount=stake_amount,
|
||||
amount=stake_amount / row.open,
|
||||
amount=stake_amount / buy_row.open,
|
||||
fee=exchange.get_fee()
|
||||
)
|
||||
|
||||
# calculate win/lose forwards from buy point
|
||||
sell_subset = ticker[ticker.index > row.Index][['close', 'sell', 'buy']]
|
||||
for row2 in sell_subset.itertuples(index=True):
|
||||
for sell_row in partial_ticker:
|
||||
if max_open_trades > 0:
|
||||
# Increase trade_count_lock for every iteration
|
||||
trade_count_lock[row2.Index] = trade_count_lock.get(row2.Index, 0) + 1
|
||||
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
|
||||
|
||||
buy_signal = row2.buy
|
||||
if(
|
||||
self.analyze.should_sell(
|
||||
trade=trade,
|
||||
rate=row2.close,
|
||||
date=row2.Index,
|
||||
buy=buy_signal,
|
||||
sell=row2.sell
|
||||
)
|
||||
):
|
||||
buy_signal = sell_row.buy
|
||||
if self.analyze.should_sell(trade, sell_row.close, sell_row.date, buy_signal,
|
||||
sell_row.sell):
|
||||
return \
|
||||
row2, \
|
||||
sell_row, \
|
||||
(
|
||||
pair,
|
||||
trade.calc_profit_percent(rate=row2.close),
|
||||
trade.calc_profit(rate=row2.close),
|
||||
(row2.Index - row.Index).seconds // 60
|
||||
),\
|
||||
row2.Index
|
||||
trade.calc_profit_percent(rate=sell_row.close),
|
||||
trade.calc_profit(rate=sell_row.close),
|
||||
(sell_row.date - buy_row.date).seconds // 60
|
||||
), \
|
||||
sell_row.date
|
||||
return None
|
||||
|
||||
def backtest(self, args) -> DataFrame:
|
||||
@@ -159,6 +151,7 @@ class Backtesting(object):
|
||||
stoploss: use stoploss
|
||||
:return: DataFrame
|
||||
"""
|
||||
headers = ['date', 'buy', 'open', 'close', 'sell']
|
||||
processed = args['processed']
|
||||
max_open_trades = args.get('max_open_trades', 0)
|
||||
realistic = args.get('realistic', True)
|
||||
@@ -167,37 +160,28 @@ class Backtesting(object):
|
||||
trades = []
|
||||
trade_count_lock = {}
|
||||
for pair, pair_data in processed.items():
|
||||
pair_data['buy'], pair_data['sell'] = 0, 0
|
||||
ticker = self.populate_sell_trend(
|
||||
self.populate_buy_trend(pair_data)
|
||||
)
|
||||
if 'date' in ticker:
|
||||
ticker.set_index('date', inplace=True)
|
||||
# for each buy point
|
||||
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
|
||||
|
||||
ticker_data = self.populate_sell_trend(self.populate_buy_trend(pair_data))[headers]
|
||||
ticker = [x for x in ticker_data.itertuples()]
|
||||
|
||||
lock_pair_until = None
|
||||
headers = ['buy', 'open', 'close', 'sell']
|
||||
buy_subset = ticker[(ticker.buy == 1) & (ticker.sell == 0)][headers]
|
||||
for row in buy_subset.itertuples(index=True):
|
||||
for index, row in enumerate(ticker):
|
||||
if row.buy == 0 or row.sell == 1:
|
||||
continue # skip rows where no buy signal or that would immediately sell off
|
||||
|
||||
if realistic:
|
||||
if lock_pair_until is not None and row.Index <= lock_pair_until:
|
||||
if lock_pair_until is not None and row.date <= 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.Index, 0) < max_open_trades:
|
||||
if not trade_count_lock.get(row.date, 0) < max_open_trades:
|
||||
continue
|
||||
|
||||
if max_open_trades > 0:
|
||||
# Increase lock
|
||||
trade_count_lock[row.Index] = trade_count_lock.get(row.Index, 0) + 1
|
||||
trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1
|
||||
|
||||
ret = self._get_sell_trade_entry(
|
||||
pair=pair,
|
||||
row=row,
|
||||
buy_subset=buy_subset,
|
||||
ticker=ticker,
|
||||
trade_count_lock=trade_count_lock,
|
||||
args=args
|
||||
)
|
||||
ret = self._get_sell_trade_entry(pair, row, ticker[index + 1:],
|
||||
trade_count_lock, args)
|
||||
|
||||
if ret:
|
||||
row2, trade_entry, next_date = ret
|
||||
@@ -208,9 +192,9 @@ class Backtesting(object):
|
||||
# record a tuple of pair, current_profit_percent,
|
||||
# entry-date, duration
|
||||
records.append((pair, trade_entry[1],
|
||||
row.Index.strftime('%s'),
|
||||
row2.Index.strftime('%s'),
|
||||
row.Index, trade_entry[3]))
|
||||
row.date.strftime('%s'),
|
||||
row2.date.strftime('%s'),
|
||||
row.date, trade_entry[3]))
|
||||
# For now export inside backtest(), maybe change so that backtest()
|
||||
# returns a tuple like: (dataframe, records, logs, etc)
|
||||
if record and record.find('trades') >= 0:
|
||||
@@ -226,6 +210,8 @@ class Backtesting(object):
|
||||
"""
|
||||
data = {}
|
||||
pairs = self.config['exchange']['pair_whitelist']
|
||||
self.logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
|
||||
self.logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
|
||||
|
||||
if self.config.get('live'):
|
||||
self.logger.info('Downloading data for all pairs in whitelist ...')
|
||||
@@ -233,8 +219,6 @@ class Backtesting(object):
|
||||
data[pair] = exchange.get_ticker_history(pair, self.ticker_interval)
|
||||
else:
|
||||
self.logger.info('Using local backtesting data (using whitelist in given config) ...')
|
||||
self.logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
|
||||
self.logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
|
||||
|
||||
timerange = Arguments.parse_timerange(self.config.get('timerange'))
|
||||
data = optimize.load_data(
|
||||
|
||||
@@ -240,15 +240,15 @@ class Hyperopt(Backtesting):
|
||||
return trade_loss + profit_loss + duration_loss
|
||||
|
||||
@staticmethod
|
||||
def generate_roi_table(params) -> Dict[str, float]:
|
||||
def generate_roi_table(params) -> Dict[int, float]:
|
||||
"""
|
||||
Generate the ROI table thqt will be used by Hyperopt
|
||||
"""
|
||||
roi_table = {}
|
||||
roi_table["0"] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
|
||||
roi_table[str(params['roi_t3'])] = params['roi_p1'] + params['roi_p2']
|
||||
roi_table[str(params['roi_t3'] + params['roi_t2'])] = params['roi_p1']
|
||||
roi_table[str(params['roi_t3'] + params['roi_t2'] + params['roi_t1'])] = 0
|
||||
roi_table[0] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
|
||||
roi_table[params['roi_t3']] = params['roi_p1'] + params['roi_p2']
|
||||
roi_table[params['roi_t3'] + params['roi_t2']] = params['roi_p1']
|
||||
roi_table[params['roi_t3'] + params['roi_t2'] + params['roi_t1']] = 0
|
||||
|
||||
return roi_table
|
||||
|
||||
|
||||
Reference in New Issue
Block a user