Merge pull request #4751 from freqtrade/pairs_backtesting

Pairs backtesting
2021-04-17 19:14:13 +02:00 · 2021-04-17 19:14:13 +02:00 · 3b53c88dbe
commit 3b53c88dbe
parent c52edcff4d fbb9075539
9 changed files with 33 additions and 12 deletions
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@ -15,7 +15,8 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
                             [--data-format-ohlcv {json,jsongz,hdf5}]
                             [--max-open-trades INT]
                             [--stake-amount STAKE_AMOUNT] [--fee FLOAT]
-                             [--eps] [--dmmp] [--enable-protections]
+                             [-p PAIRS [PAIRS ...]] [--eps] [--dmmp]
+                             [--enable-protections]
                             [--dry-run-wallet DRY_RUN_WALLET]
                             [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
                             [--export EXPORT] [--export-filename PATH]
@ -37,6 +38,9 @@ optional arguments:
                        setting.
  --fee FLOAT           Specify fee ratio. Will be applied twice (on trade
                        entry and exit).
+  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
+                        Limit command to these pairs. Pairs are space-
+                        separated.
  --eps, --enable-position-stacking
                        Allow buying the same pair multiple times (position
                        stacking).
--- a/docs/data-download.md
+++ b/docs/data-download.md
@ -30,7 +30,7 @@ usage: freqtrade download-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
 optional arguments:
  -h, --help            show this help message and exit
  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
-                        Show profits for only these pairs. Pairs are space-
+                        Limit command to these pairs. Pairs are space-
                        separated.
  --pairs-file FILE     File containing a list of pairs to download.
  --days INT            Download data for given number of days.
@ -48,10 +48,10 @@ optional arguments:
                        exchange/pairs/timeframes.
  --data-format-ohlcv {json,jsongz,hdf5}
                        Storage format for downloaded candle (OHLCV) data.
-                        (default: `json`).
+                        (default: `None`).
  --data-format-trades {json,jsongz,hdf5}
                        Storage format for downloaded trades data. (default:
-                        `jsongz`).
+                        `None`).

 Common arguments:
  -v, --verbose         Verbose mode (-vv for more, -vvv to get all messages).
--- a/docs/edge.md
+++ b/docs/edge.md
@ -215,8 +215,10 @@ Let's say the stake currency is **ETH** and there is $10$ **ETH** on the wallet.
 usage: freqtrade edge [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
                      [--userdir PATH] [-s NAME] [--strategy-path PATH]
                      [-i TIMEFRAME] [--timerange TIMERANGE]
+                      [--data-format-ohlcv {json,jsongz,hdf5}]
                      [--max-open-trades INT] [--stake-amount STAKE_AMOUNT]
-                      [--fee FLOAT] [--stoplosses STOPLOSS_RANGE]
+                      [--fee FLOAT] [-p PAIRS [PAIRS ...]]
+                      [--stoplosses STOPLOSS_RANGE]

 optional arguments:
  -h, --help            show this help message and exit
@ -224,6 +226,9 @@ optional arguments:
                        Specify timeframe (`1m`, `5m`, `30m`, `1h`, `1d`).
  --timerange TIMERANGE
                        Specify what timerange of data to use.
+  --data-format-ohlcv {json,jsongz,hdf5}
+                        Storage format for downloaded candle (OHLCV) data.
+                        (default: `None`).
  --max-open-trades INT
                        Override the value of the `max_open_trades`
                        configuration setting.
@ -232,6 +237,9 @@ optional arguments:
                        setting.
  --fee FLOAT           Specify fee ratio. Will be applied twice (on trade
                        entry and exit).
+  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
+                        Limit command to these pairs. Pairs are space-
+                        separated.
  --stoplosses STOPLOSS_RANGE
                        Defines a range of stoploss values against which edge
                        will assess the strategy. The format is "min,max,step"
--- a/docs/hyperopt.md
+++ b/docs/hyperopt.md
@ -44,8 +44,9 @@ usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
                          [--data-format-ohlcv {json,jsongz,hdf5}]
                          [--max-open-trades INT]
                          [--stake-amount STAKE_AMOUNT] [--fee FLOAT]
-                          [--hyperopt NAME] [--hyperopt-path PATH] [--eps]
-                          [--dmmp] [--enable-protections]
+                          [-p PAIRS [PAIRS ...]] [--hyperopt NAME]
+                          [--hyperopt-path PATH] [--eps] [--dmmp]
+                          [--enable-protections]
                          [--dry-run-wallet DRY_RUN_WALLET] [-e INT]
                          [--spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]]
                          [--print-all] [--no-color] [--print-json] [-j JOBS]
@ -69,6 +70,9 @@ optional arguments:
                        setting.
  --fee FLOAT           Specify fee ratio. Will be applied twice (on trade
                        entry and exit).
+  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
+                        Limit command to these pairs. Pairs are space-
+                        separated.
  --hyperopt NAME       Specify hyperopt class name which will be used by the
                        bot.
  --hyperopt-path PATH  Specify additional lookup path for Hyperopt and
@ -105,7 +109,8 @@ optional arguments:
                        reproducible hyperopt results.
  --min-trades INT      Set minimal desired number of trades for evaluations
                        in the hyperopt optimization path (default: 1).
-  --hyperopt-loss NAME  Specify the class name of the hyperopt loss function
+  --hyperopt-loss NAME, --hyperoptloss NAME
+                        Specify the class name of the hyperopt loss function
                        class (IHyperOptLoss). Different functions can
                        generate completely different results, since the
                        target for optimization is different. Built-in
--- a/docs/plotting.md
+++ b/docs/plotting.md
@ -37,7 +37,7 @@ usage: freqtrade plot-dataframe [-h] [-v] [--logfile FILE] [-V] [-c PATH]
 optional arguments:
  -h, --help            show this help message and exit
  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
-                        Show profits for only these pairs. Pairs are space-
+                        Limit command to these pairs. Pairs are space-
                        separated.
  --indicators1 INDICATORS1 [INDICATORS1 ...]
                        Set indicators from your strategy you want in the
@ -90,6 +90,7 @@ Strategy arguments:
                        Specify strategy class name which will be used by the
                        bot.
  --strategy-path PATH  Specify additional strategy lookup path.
+
 ```

 Example:
@ -244,7 +245,7 @@ usage: freqtrade plot-profit [-h] [-v] [--logfile FILE] [-V] [-c PATH]
 optional arguments:
  -h, --help            show this help message and exit
  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
-                        Show profits for only these pairs. Pairs are space-
+                        Limit command to these pairs. Pairs are space-
                        separated.
  --timerange TIMERANGE
                        Specify what timerange of data to use.
@ -286,6 +287,7 @@ Strategy arguments:
                        Specify strategy class name which will be used by the
                        bot.
  --strategy-path PATH  Specify additional strategy lookup path.
+
 ```

 The `-p/--pairs`  argument, can be used to limit the pairs that are considered for this calculation.
--- a/freqtrade/commands/arguments.py
+++ b/freqtrade/commands/arguments.py
@ -17,7 +17,7 @@ ARGS_STRATEGY = ["strategy", "strategy_path"]
 ARGS_TRADE = ["db_url", "sd_notify", "dry_run", "dry_run_wallet", "fee"]

 ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
-                        "max_open_trades", "stake_amount", "fee"]
+                        "max_open_trades", "stake_amount", "fee", "pairs"]

 ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
                                        "enable_protections", "dry_run_wallet",
--- a/freqtrade/commands/cli_options.py
+++ b/freqtrade/commands/cli_options.py
@ -330,7 +330,7 @@ AVAILABLE_CLI_OPTIONS = {
    # Script options
    "pairs": Arg(
        '-p', '--pairs',
-        help='Show profits for only these pairs. Pairs are space-separated.',
+        help='Limit command to these pairs. Pairs are space-separated.',
        nargs='+',
    ),
    # Download data
--- a/freqtrade/configuration/configuration.py
+++ b/freqtrade/configuration/configuration.py
@ -445,6 +445,7 @@ class Configuration:
        """

        if "pairs" in config:
+            config['exchange']['pair_whitelist'] = config['pairs']
            return

        if "pairs_file" in self.args and self.args["pairs_file"]:
--- a/tests/test_configuration.py
+++ b/tests/test_configuration.py
@ -1002,6 +1002,7 @@ def test_pairlist_resolving():
    config = configuration.get_config()

    assert config['pairs'] == ['ETH/BTC', 'XRP/BTC']
+    assert config['exchange']['pair_whitelist'] == ['ETH/BTC', 'XRP/BTC']
    assert config['exchange']['name'] == 'binance'