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Merge pull request #1089 from freqtrade/feat/backtest_multi_strat

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Allow multi strategy backtest without data reload
This commit is contained in:
Janne Sinivirta
2018-08-02 12:35:47 +03:00
committed by GitHub
parent 17d78b7807 40ee86b357
commit 3a5b435dfa
8 changed files with 349 additions and 74 deletions
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10
freqtrade/arguments.py
View File

@@ -142,6 +142,16 @@ class Arguments(object):
action='store_true',
dest='refresh_pairs',
)
parser.add_argument(
'--strategy-list',
help='Provide a commaseparated list of strategies to backtest '
'Please note that ticker-interval needs to be set either in config '
'or via command line. When using this together with --export trades, '
'the strategy-name is injected into the filename '
'(so backtest-data.json becomes backtest-data-DefaultStrategy.json',
nargs='+',
dest='strategy_list',
)
parser.add_argument(
'--export',
help='export backtest results, argument are: trades\

8
freqtrade/configuration.py
View File

@@ -187,6 +187,14 @@ class Configuration(object):
config.update({'refresh_pairs': True})
logger.info('Parameter -r/--refresh-pairs-cached detected ...')
if 'strategy_list' in self.args and self.args.strategy_list:
config.update({'strategy_list': self.args.strategy_list})
logger.info('Using strategy list of %s Strategies', len(self.args.strategy_list))
if 'ticker_interval' in self.args and self.args.ticker_interval:
config.update({'ticker_interval': self.args.ticker_interval})
logger.info('Overriding ticker interval with Command line argument')
# If --export is used we add it to the configuration
if 'export' in self.args and self.args.export:
config.update({'export': self.args.export})

160
freqtrade/optimize/backtesting.py
View File

@@ -6,7 +6,9 @@ This module contains the backtesting logic
import logging
import operator
from argparse import Namespace
from copy import deepcopy
from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional, Tuple
import arrow
@@ -52,13 +54,9 @@ class Backtesting(object):
backtesting = Backtesting(config)
backtesting.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
self.strategy: IStrategy = StrategyResolver(self.config).strategy
self.ticker_interval = self.strategy.ticker_interval
self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe
self.advise_buy = self.strategy.advise_buy
self.advise_sell = self.strategy.advise_sell
# Reset keys for backtesting
self.config['exchange']['key'] = ''
@@ -66,9 +64,36 @@ class Backtesting(object):
self.config['exchange']['password'] = ''
self.config['exchange']['uid'] = ''
self.config['dry_run'] = True
self.strategylist: List[IStrategy] = []
if self.config.get('strategy_list', None):
# Force one interval
self.ticker_interval = str(self.config.get('ticker_interval'))
for strat in list(self.config['strategy_list']):
stratconf = deepcopy(self.config)
stratconf['strategy'] = strat
self.strategylist.append(StrategyResolver(stratconf).strategy)
else:
# only one strategy
strat = StrategyResolver(self.config).strategy
self.strategylist.append(StrategyResolver(self.config).strategy)
# Load one strategy
self._set_strategy(self.strategylist[0])
self.exchange = Exchange(self.config)
self.fee = self.exchange.get_fee()
def _set_strategy(self, strategy):
"""
Load strategy into backtesting
"""
self.strategy = strategy
self.ticker_interval = self.config.get('ticker_interval')
self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe
self.advise_buy = strategy.advise_buy
self.advise_sell = strategy.advise_sell
@staticmethod
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
"""
@@ -132,7 +157,32 @@ class Backtesting(object):
tabular_data.append([reason.value, count])
return tabulate(tabular_data, headers=headers, tablefmt="pipe")
def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
def _generate_text_table_strategy(self, all_results: dict) -> str:
"""
Generate summary table per strategy
"""
stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
tabular_data = []
headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
for strategy, results in all_results.items():
tabular_data.append([
strategy,
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0,
results.profit_abs.sum(),
str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]),
len(results[results.profit_abs < 0])
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def _store_backtest_result(self, recordfilename: str, results: DataFrame,
strategyname: Optional[str] = None) -> None:
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
@@ -140,6 +190,11 @@ class Backtesting(object):
for index, t in results.iterrows()]
if records:
if strategyname:
# Inject strategyname to filename
recname = Path(recordfilename)
recordfilename = str(Path.joinpath(
recname.parent, f'{recname.stem}-{strategyname}').with_suffix(recname.suffix))
logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
@@ -307,62 +362,55 @@ class Backtesting(object):
else:
logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
all_results = {}
preprocessed = self.tickerdata_to_dataframe(data)
for strat in self.strategylist:
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
self._set_strategy(strat)
# Print timeframe
min_date, max_date = self.get_timeframe(preprocessed)
logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
# need to reprocess data every time to populate signals
preprocessed = self.tickerdata_to_dataframe(data)
# Execute backtest and print results
results = self.backtest(
{
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'position_stacking': self.config.get('position_stacking', False),
}
)
if self.config.get('export', False):
self._store_backtest_result(self.config.get('exportfilename'), results)
logger.info(
'\n' + '=' * 49 +
' BACKTESTING REPORT ' +
'=' * 50 + '\n'
'%s',
self._generate_text_table(
data,
results
# Print timeframe
min_date, max_date = self.get_timeframe(preprocessed)
logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
)
# logger.info(
# results[['sell_reason']].groupby('sell_reason').count()
# )
logger.info(
'\n' +
' SELL READON STATS '.center(119, '=') +
'\n%s \n',
self._generate_text_table_sell_reason(data, results)
)
logger.info(
'\n' +
' LEFT OPEN TRADES REPORT '.center(119, '=') +
'\n%s',
self._generate_text_table(
data,
results.loc[results.open_at_end]
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
{
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'position_stacking': self.config.get('position_stacking', False),
}
)
)
for strategy, results in all_results.items():
if self.config.get('export', False):
self._store_backtest_result(self.config['exportfilename'], results,
strategy if len(self.strategylist) > 1 else None)
print(f"Result for strategy {strategy}")
print(' BACKTESTING REPORT '.center(119, '='))
print(self._generate_text_table(data, results))
print(' SELL REASON STATS '.center(119, '='))
print(self._generate_text_table_sell_reason(data, results))
print(' LEFT OPEN TRADES REPORT '.center(119, '='))
print(self._generate_text_table(data, results.loc[results.open_at_end]))
print()
if len(all_results) > 1:
# Print Strategy summary table
print(' Strategy Summary '.center(119, '='))
print(self._generate_text_table_strategy(all_results))
print('\nFor more details, please look at the detail tables above')
def setup_configuration(args: Namespace) -> Dict[str, Any]:

122
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -406,6 +406,50 @@ def test_generate_text_table_sell_reason(default_conf, mocker):
data={'ETH/BTC': {}}, results=results) == result_str
def test_generate_text_table_strategyn(default_conf, mocker):
"""
Test Backtesting.generate_text_table_sell_reason() method
"""
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
results = {}
results['ETH/BTC'] = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
results['LTC/BTC'] = pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'profit_percent': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'profit': [4, 1, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
result_str = (
'| Strategy | buy count | avg profit % | cum profit % '
'| total profit BTC | avg duration | profit | loss |\n'
'|:-----------|------------:|---------------:|---------------:'
'|-------------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 3 | 20.00 | 60.00 '
'| 1.10000000 | 0:17:00 | 3 | 0 |\n'
'| LTC/BTC | 3 | 30.00 | 90.00 '
'| 1.30000000 | 0:20:00 | 3 | 0 |'
)
print(backtesting._generate_text_table_strategy(all_results=results))
assert backtesting._generate_text_table_strategy(all_results=results) == result_str
def test_backtesting_start(default_conf, mocker, caplog) -> None:
def get_timeframe(input1, input2):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
@@ -654,6 +698,18 @@ def test_backtest_record(default_conf, fee, mocker):
records = records[0]
# Ensure records are of correct type
assert len(records) == 4
# reset test to test with strategy name
names = []
records = []
backtesting._store_backtest_result("backtest-result.json", results, "DefStrat")
assert len(results) == 4
# Assert file_dump_json was only called once
assert names == ['backtest-result-DefStrat.json']
records = records[0]
# Ensure records are of correct type
assert len(records) == 4
# ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117)
# Below follows just a typecheck of the schema/type of trade-records
oix = None
@@ -686,15 +742,6 @@ def test_backtest_start_live(default_conf, mocker, caplog):
read_data=json.dumps(default_conf)
))
args = MagicMock()
args.ticker_interval = 1
args.level = 10
args.live = True
args.datadir = None
args.export = None
args.strategy = 'DefaultStrategy'
args.timerange = '-100' # needed due to MagicMock malleability
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
@@ -725,3 +772,60 @@ def test_backtest_start_live(default_conf, mocker, caplog):
for line in exists:
assert log_has(line, caplog.record_tuples)
def test_backtest_start_multi_strat(default_conf, mocker, caplog):
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
mocker.patch('freqtrade.exchange.Exchange.get_ticker_history',
new=lambda s, n, i: _load_pair_as_ticks(n, i))
patch_exchange(mocker)
backtestmock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
gen_table_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table', gen_table_mock)
gen_strattable_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table_strategy',
gen_strattable_mock)
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
args = [
'--config', 'config.json',
'--datadir', 'freqtrade/tests/testdata',
'backtesting',
'--ticker-interval', '1m',
'--live',
'--timerange', '-100',
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategy',
]
args = get_args(args)
start(args)
# 2 backtests, 4 tables
assert backtestmock.call_count == 2
assert gen_table_mock.call_count == 4
assert gen_strattable_mock.call_count == 1
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--ticker-interval detected ...',
'Using ticker_interval: 1m ...',
'Parameter -l/--live detected ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: -100 ...',
'Using data folder: freqtrade/tests/testdata ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Downloading data for all pairs in whitelist ...',
'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategy',
]
for line in exists:
assert log_has(line, caplog.record_tuples)

8
freqtrade/tests/test_arguments.py
View File

@@ -132,7 +132,11 @@ def test_parse_args_backtesting_custom() -> None:
'backtesting',
'--live',
'--ticker-interval', '1m',
'--refresh-pairs-cached']
'--refresh-pairs-cached',
'--strategy-list',
'DefaultStrategy',
'TestStrategy'
]
call_args = Arguments(args, '').get_parsed_arg()
assert call_args.config == 'test_conf.json'
assert call_args.live is True
@@ -141,6 +145,8 @@ def test_parse_args_backtesting_custom() -> None:
assert call_args.func is not None
assert call_args.ticker_interval == '1m'
assert call_args.refresh_pairs is True
assert type(call_args.strategy_list) is list
assert len(call_args.strategy_list) == 2
def test_parse_args_hyperopt_custom() -> None:

55
freqtrade/tests/test_configuration.py
View File

@@ -292,6 +292,61 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
)
def test_setup_configuration_with_stratlist(mocker, default_conf, caplog) -> None:
"""
Test setup_configuration() function
"""
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
arglist = [
'--config', 'config.json',
'backtesting',
'--ticker-interval', '1m',
'--export', '/bar/foo',
'--strategy-list',
'DefaultStrategy',
'TestStrategy'
]
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert log_has(
'Using ticker_interval: 1m ...',
caplog.record_tuples
)
assert 'strategy_list' in config
assert log_has('Using strategy list of 2 Strategies', caplog.record_tuples)
assert 'position_stacking' not in config
assert 'use_max_market_positions' not in config
assert 'timerange' not in config
assert 'export' in config
assert log_has(
'Parameter --export detected: {} ...'.format(config['export']),
caplog.record_tuples
)
def test_hyperopt_with_arguments(mocker, default_conf, caplog) -> None:
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)