Merge pull request #4535 from freqtrade/fix/backtestperformance

Improve backtest performance after enabling compounding
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Matthias 2021-03-13 16:51:00 +01:00 committed by GitHub
commit 3b99f04a78
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6 changed files with 67 additions and 9 deletions

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@ -377,7 +377,7 @@ class Backtesting:
open_trade_count += 1
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
open_trades[pair].append(trade)
LocalTrade.trades.append(trade)
LocalTrade.add_bt_trade(trade)
for trade in open_trades[pair]:
# also check the buying candle for sell conditions.
@ -387,6 +387,8 @@ class Backtesting:
# logger.debug(f"{pair} - Backtesting sell {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)
trades.append(trade_entry)
if enable_protections:
self.protections.stop_per_pair(pair, row[DATE_IDX])

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@ -208,6 +208,8 @@ class LocalTrade():
use_db: bool = False
# Trades container for backtesting
trades: List['LocalTrade'] = []
trades_open: List['LocalTrade'] = []
total_profit: float = 0
id: int = 0
@ -350,6 +352,8 @@ class LocalTrade():
Resets all trades. Only active for backtesting mode.
"""
LocalTrade.trades = []
LocalTrade.trades_open = []
LocalTrade.total_profit = 0
def adjust_min_max_rates(self, current_price: float) -> None:
"""
@ -599,7 +603,16 @@ class LocalTrade():
"""
# Offline mode - without database
sel_trades = [trade for trade in LocalTrade.trades]
if is_open is not None:
if is_open:
sel_trades = LocalTrade.trades_open
else:
sel_trades = LocalTrade.trades
else:
# Not used during backtesting, but might be used by a strategy
sel_trades = [trade for trade in LocalTrade.trades + LocalTrade.trades_open]
if pair:
sel_trades = [trade for trade in sel_trades if trade.pair == pair]
if open_date:
@ -607,10 +620,22 @@ class LocalTrade():
if close_date:
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
if is_open is not None:
sel_trades = [trade for trade in sel_trades if trade.is_open == is_open]
return sel_trades
@staticmethod
def close_bt_trade(trade):
LocalTrade.trades_open.remove(trade)
LocalTrade.trades.append(trade)
LocalTrade.total_profit += trade.close_profit_abs
@staticmethod
def add_bt_trade(trade):
if trade.is_open:
LocalTrade.trades_open.append(trade)
else:
LocalTrade.trades.append(trade)
@staticmethod
def get_open_trades() -> List[Any]:
"""

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@ -10,7 +10,7 @@ import arrow
from freqtrade.constants import UNLIMITED_STAKE_AMOUNT
from freqtrade.exceptions import DependencyException
from freqtrade.exchange import Exchange
from freqtrade.persistence import Trade
from freqtrade.persistence import LocalTrade, Trade
from freqtrade.state import RunMode
@ -66,9 +66,14 @@ class Wallets:
"""
# Recreate _wallets to reset closed trade balances
_wallets = {}
closed_trades = Trade.get_trades_proxy(is_open=False)
open_trades = Trade.get_trades_proxy(is_open=True)
# If not backtesting...
# TODO: potentially remove the ._log workaround to determine backtest mode.
if self._log:
closed_trades = Trade.get_trades_proxy(is_open=False)
tot_profit = sum([trade.close_profit_abs for trade in closed_trades])
else:
tot_profit = LocalTrade.total_profit
tot_in_trades = sum([trade.stake_amount for trade in open_trades])
current_stake = self.start_cap + tot_profit - tot_in_trades

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@ -199,7 +199,7 @@ def create_mock_trades(fee, use_db: bool = True):
if use_db:
Trade.session.add(trade)
else:
LocalTrade.trades.append(trade)
LocalTrade.add_bt_trade(trade)
# Simulate dry_run entries
trade = mock_trade_1(fee)

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@ -29,6 +29,7 @@ def mock_trade_1(fee):
fee_open=fee.return_value,
fee_close=fee.return_value,
is_open=True,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=17),
open_rate=0.123,
exchange='bittrex',
open_order_id='dry_run_buy_12345',
@ -183,6 +184,7 @@ def mock_trade_4(fee):
amount_requested=124.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=14),
is_open=True,
open_rate=0.123,
exchange='bittrex',
@ -234,6 +236,7 @@ def mock_trade_5(fee):
amount_requested=124.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=12),
is_open=True,
open_rate=0.123,
exchange='bittrex',
@ -284,6 +287,7 @@ def mock_trade_6(fee):
stake_amount=0.001,
amount=2.0,
amount_requested=2.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=5),
fee_open=fee.return_value,
fee_close=fee.return_value,
is_open=True,

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@ -1,5 +1,6 @@
# pragma pylint: disable=missing-docstring, C0103
import logging
from datetime import datetime, timedelta, timezone
from types import FunctionType
from unittest.mock import MagicMock
@ -1044,6 +1045,7 @@ def test_fee_updated(fee):
def test_total_open_trades_stakes(fee, use_db):
Trade.use_db = use_db
Trade.reset_trades()
res = Trade.total_open_trades_stakes()
assert res == 0
create_mock_trades(fee, use_db)
@ -1053,6 +1055,26 @@ def test_total_open_trades_stakes(fee, use_db):
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('use_db', [True, False])
def test_get_trades_proxy(fee, use_db):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades(fee, use_db)
trades = Trade.get_trades_proxy()
assert len(trades) == 6
assert isinstance(trades[0], Trade)
assert len(Trade.get_trades_proxy(is_open=True)) == 4
assert len(Trade.get_trades_proxy(is_open=False)) == 2
opendate = datetime.now(tz=timezone.utc) - timedelta(minutes=15)
assert len(Trade.get_trades_proxy(open_date=opendate)) == 3
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
def test_get_overall_performance(fee):
@ -1196,6 +1218,6 @@ def test_Trade_object_idem():
# Fails if only a column is added without corresponding parent field
for item in localtrade:
if (not item.startswith('__')
and item not in ('trades', )
and item not in ('trades', 'trades_open', 'total_profit')
and type(getattr(LocalTrade, item)) not in (property, FunctionType)):
assert item in trade