Merge pull request #1089 from freqtrade/feat/backtest_multi_strat
Allow multi strategy backtest without data reload
This commit is contained in:
Janne Sinivirta
GitHub
@@ -6,7 +6,9 @@ This module contains the backtesting logic
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import logging
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import operator
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from argparse import Namespace
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from copy import deepcopy
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from datetime import datetime, timedelta
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from pathlib import Path
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from typing import Any, Dict, List, NamedTuple, Optional, Tuple
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import arrow
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@@ -52,13 +54,9 @@ class Backtesting(object):
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backtesting = Backtesting(config)
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backtesting.start()
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"""
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def __init__(self, config: Dict[str, Any]) -> None:
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self.config = config
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self.strategy: IStrategy = StrategyResolver(self.config).strategy
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self.ticker_interval = self.strategy.ticker_interval
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self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe
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self.advise_buy = self.strategy.advise_buy
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self.advise_sell = self.strategy.advise_sell
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# Reset keys for backtesting
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self.config['exchange']['key'] = ''
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@@ -66,9 +64,36 @@ class Backtesting(object):
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self.config['exchange']['password'] = ''
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self.config['exchange']['uid'] = ''
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self.config['dry_run'] = True
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self.strategylist: List[IStrategy] = []
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if self.config.get('strategy_list', None):
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# Force one interval
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self.ticker_interval = str(self.config.get('ticker_interval'))
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for strat in list(self.config['strategy_list']):
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stratconf = deepcopy(self.config)
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stratconf['strategy'] = strat
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self.strategylist.append(StrategyResolver(stratconf).strategy)
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else:
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# only one strategy
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strat = StrategyResolver(self.config).strategy
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self.strategylist.append(StrategyResolver(self.config).strategy)
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# Load one strategy
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self._set_strategy(self.strategylist[0])
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self.exchange = Exchange(self.config)
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self.fee = self.exchange.get_fee()
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def _set_strategy(self, strategy):
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"""
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Load strategy into backtesting
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"""
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self.strategy = strategy
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self.ticker_interval = self.config.get('ticker_interval')
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self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe
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self.advise_buy = strategy.advise_buy
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self.advise_sell = strategy.advise_sell
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@staticmethod
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def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
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"""
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@@ -132,7 +157,32 @@ class Backtesting(object):
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tabular_data.append([reason.value, count])
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return tabulate(tabular_data, headers=headers, tablefmt="pipe")
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def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
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def _generate_text_table_strategy(self, all_results: dict) -> str:
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"""
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Generate summary table per strategy
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"""
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stake_currency = str(self.config.get('stake_currency'))
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floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
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tabular_data = []
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headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
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'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
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for strategy, results in all_results.items():
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tabular_data.append([
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strategy,
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len(results.index),
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results.profit_percent.mean() * 100.0,
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results.profit_percent.sum() * 100.0,
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results.profit_abs.sum(),
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str(timedelta(
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minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
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len(results[results.profit_abs > 0]),
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len(results[results.profit_abs < 0])
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])
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return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
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def _store_backtest_result(self, recordfilename: str, results: DataFrame,
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strategyname: Optional[str] = None) -> None:
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records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
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t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
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@@ -140,6 +190,11 @@ class Backtesting(object):
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for index, t in results.iterrows()]
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if records:
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if strategyname:
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# Inject strategyname to filename
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recname = Path(recordfilename)
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recordfilename = str(Path.joinpath(
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recname.parent, f'{recname.stem}-{strategyname}').with_suffix(recname.suffix))
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logger.info('Dumping backtest results to %s', recordfilename)
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file_dump_json(recordfilename, records)
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@@ -307,62 +362,55 @@ class Backtesting(object):
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else:
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logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
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max_open_trades = 0
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all_results = {}
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preprocessed = self.tickerdata_to_dataframe(data)
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for strat in self.strategylist:
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logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
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self._set_strategy(strat)
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# Print timeframe
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min_date, max_date = self.get_timeframe(preprocessed)
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logger.info(
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'Measuring data from %s up to %s (%s days)..',
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min_date.isoformat(),
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max_date.isoformat(),
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(max_date - min_date).days
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)
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# need to reprocess data every time to populate signals
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preprocessed = self.tickerdata_to_dataframe(data)
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# Execute backtest and print results
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results = self.backtest(
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{
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'stake_amount': self.config.get('stake_amount'),
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'processed': preprocessed,
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'max_open_trades': max_open_trades,
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'position_stacking': self.config.get('position_stacking', False),
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}
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)
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if self.config.get('export', False):
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self._store_backtest_result(self.config.get('exportfilename'), results)
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logger.info(
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'\n' + '=' * 49 +
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' BACKTESTING REPORT ' +
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'=' * 50 + '\n'
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'%s',
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self._generate_text_table(
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data,
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results
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# Print timeframe
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min_date, max_date = self.get_timeframe(preprocessed)
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logger.info(
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'Measuring data from %s up to %s (%s days)..',
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min_date.isoformat(),
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max_date.isoformat(),
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(max_date - min_date).days
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)
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)
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# logger.info(
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# results[['sell_reason']].groupby('sell_reason').count()
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# )
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logger.info(
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'\n' +
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' SELL READON STATS '.center(119, '=') +
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'\n%s \n',
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self._generate_text_table_sell_reason(data, results)
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)
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logger.info(
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'\n' +
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' LEFT OPEN TRADES REPORT '.center(119, '=') +
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'\n%s',
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self._generate_text_table(
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data,
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results.loc[results.open_at_end]
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# Execute backtest and print results
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all_results[self.strategy.get_strategy_name()] = self.backtest(
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{
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'stake_amount': self.config.get('stake_amount'),
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'processed': preprocessed,
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'max_open_trades': max_open_trades,
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'position_stacking': self.config.get('position_stacking', False),
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}
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)
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)
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for strategy, results in all_results.items():
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if self.config.get('export', False):
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self._store_backtest_result(self.config['exportfilename'], results,
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strategy if len(self.strategylist) > 1 else None)
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print(f"Result for strategy {strategy}")
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print(' BACKTESTING REPORT '.center(119, '='))
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print(self._generate_text_table(data, results))
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print(' SELL REASON STATS '.center(119, '='))
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print(self._generate_text_table_sell_reason(data, results))
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print(' LEFT OPEN TRADES REPORT '.center(119, '='))
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print(self._generate_text_table(data, results.loc[results.open_at_end]))
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print()
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if len(all_results) > 1:
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# Print Strategy summary table
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print(' Strategy Summary '.center(119, '='))
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print(self._generate_text_table_strategy(all_results))
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print('\nFor more details, please look at the detail tables above')
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def setup_configuration(args: Namespace) -> Dict[str, Any]:
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