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Ensure the same timestamp is used for backtest and signal export

This commit is contained in:
Matthias 2022-06-15 06:53:52 +02:00
parent 01a68e1060
commit 3c62df6b86
4 changed files with 26 additions and 21 deletions
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7
freqtrade/optimize/backtesting.py
View File

@ -1264,13 +1264,14 @@ class Backtesting:
self.results['strategy_comparison'].extend(results['strategy_comparison']) self.results['strategy_comparison'].extend(results['strategy_comparison'])
else: else:
self.results = results self.results = results
dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
if self.config.get('export', 'none') in ('trades', 'signals'): if self.config.get('export', 'none') in ('trades', 'signals'):
store_backtest_stats(self.config['exportfilename'], self.results) store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix)
if (self.config.get('export', 'none') == 'signals' and if (self.config.get('export', 'none') == 'signals' and
self.dataprovider.runmode == RunMode.BACKTEST): self.dataprovider.runmode == RunMode.BACKTEST):
store_backtest_signal_candles(self.config['exportfilename'], self.processed_dfs) store_backtest_signal_candles(
self.config['exportfilename'], self.processed_dfs, dt_appendix)
# Results may be mixed up now. Sort them so they follow --strategy-list order. # Results may be mixed up now. Sort them so they follow --strategy-list order.
if 'strategy_list' in self.config and len(self.results) > 0: if 'strategy_list' in self.config and len(self.results) > 0:

20
freqtrade/optimize/optimize_reports.py
View File

@ -17,21 +17,21 @@ from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> None: def store_backtest_stats(
recordfilename: Path, stats: Dict[str, DataFrame], dtappendix: str) -> None:
""" """
Stores backtest results Stores backtest results
:param recordfilename: Path object, which can either be a filename or a directory. :param recordfilename: Path object, which can either be a filename or a directory.
Filenames will be appended with a timestamp right before the suffix Filenames will be appended with a timestamp right before the suffix
while for directories, <directory>/backtest-result-<datetime>.json will be used as filename while for directories, <directory>/backtest-result-<datetime>.json will be used as filename
:param stats: Dataframe containing the backtesting statistics :param stats: Dataframe containing the backtesting statistics
:param dtappendix: Datetime to use for the filename
""" """
if recordfilename.is_dir(): if recordfilename.is_dir():
filename = (recordfilename / filename = (recordfilename / f'backtest-result-{dtappendix}.json')
f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}.json')
else: else:
filename = Path.joinpath( filename = Path.joinpath(
recordfilename.parent, recordfilename.parent, f'{recordfilename.stem}-{dtappendix}'
f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}'
).with_suffix(recordfilename.suffix) ).with_suffix(recordfilename.suffix)
# Store metadata separately. # Store metadata separately.
@ -44,7 +44,8 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]) -> Path: def store_backtest_signal_candles(
recordfilename: Path, candles: Dict[str, Dict], dtappendix: str) -> Path:
""" """
Stores backtest trade signal candles Stores backtest trade signal candles
:param recordfilename: Path object, which can either be a filename or a directory. :param recordfilename: Path object, which can either be a filename or a directory.
@ -52,14 +53,13 @@ def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]
while for directories, <directory>/backtest-result-<datetime>_signals.pkl will be used while for directories, <directory>/backtest-result-<datetime>_signals.pkl will be used
as filename as filename
:param stats: Dict containing the backtesting signal candles :param stats: Dict containing the backtesting signal candles
:param dtappendix: Datetime to use for the filename
""" """
if recordfilename.is_dir(): if recordfilename.is_dir():
filename = (recordfilename / filename = (recordfilename / f'backtest-result-{dtappendix}_signals.pkl')
f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl')
else: else:
filename = Path.joinpath( filename = Path.joinpath(
recordfilename.parent, recordfilename.parent, f'{recordfilename.stem}-{dtappendix}_signals.pkl'
f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl'
) )
file_dump_joblib(filename, candles) file_dump_joblib(filename, candles)

6
freqtrade/rpc/api_server/api_backtest.py
View File

@ -1,6 +1,7 @@
import asyncio import asyncio
import logging import logging
from copy import deepcopy from copy import deepcopy
from datetime import datetime
from typing import Any, Dict, List from typing import Any, Dict, List
from fastapi import APIRouter, BackgroundTasks, Depends from fastapi import APIRouter, BackgroundTasks, Depends
@ -102,7 +103,10 @@ async def api_start_backtest(bt_settings: BacktestRequest, background_tasks: Bac
min_date=min_date, max_date=max_date) min_date=min_date, max_date=max_date)
if btconfig.get('export', 'none') == 'trades': if btconfig.get('export', 'none') == 'trades':
store_backtest_stats(btconfig['exportfilename'], ApiServer._bt.results) store_backtest_stats(
btconfig['exportfilename'], ApiServer._bt.results,
datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
)
logger.info("Backtest finished.") logger.info("Backtest finished.")

14
tests/optimize/test_optimize_reports.py
View File

@ -171,7 +171,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
_backup_file(filename_last, copy_file=True) _backup_file(filename_last, copy_file=True)
assert not filename.is_file() assert not filename.is_file()
store_backtest_stats(filename, stats) store_backtest_stats(filename, stats, '2022_01_01_15_05_13')
# get real Filename (it's btresult-<date>.json) # get real Filename (it's btresult-<date>.json)
last_fn = get_latest_backtest_filename(filename_last.parent) last_fn = get_latest_backtest_filename(filename_last.parent)
@ -194,7 +194,7 @@ def test_store_backtest_stats(testdatadir, mocker):
dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_json') dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_json')
store_backtest_stats(testdatadir, {'metadata': {}}) store_backtest_stats(testdatadir, {'metadata': {}}, '2022_01_01_15_05_13')
assert dump_mock.call_count == 3 assert dump_mock.call_count == 3
assert isinstance(dump_mock.call_args_list[0][0][0], Path) assert isinstance(dump_mock.call_args_list[0][0][0], Path)
@ -202,7 +202,7 @@ def test_store_backtest_stats(testdatadir, mocker):
dump_mock.reset_mock() dump_mock.reset_mock()
filename = testdatadir / 'testresult.json' filename = testdatadir / 'testresult.json'
store_backtest_stats(filename, {'metadata': {}}) store_backtest_stats(filename, {'metadata': {}}, '2022_01_01_15_05_13')
assert dump_mock.call_count == 3 assert dump_mock.call_count == 3
assert isinstance(dump_mock.call_args_list[0][0][0], Path) assert isinstance(dump_mock.call_args_list[0][0][0], Path)
# result will be testdatadir / testresult-<timestamp>.json # result will be testdatadir / testresult-<timestamp>.json
@ -216,7 +216,7 @@ def test_store_backtest_candles(testdatadir, mocker):
candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}} candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
# mock directory exporting # mock directory exporting
store_backtest_signal_candles(testdatadir, candle_dict) store_backtest_signal_candles(testdatadir, candle_dict, '2022_01_01_15_05_13')
assert dump_mock.call_count == 1 assert dump_mock.call_count == 1
assert isinstance(dump_mock.call_args_list[0][0][0], Path) assert isinstance(dump_mock.call_args_list[0][0][0], Path)
@ -225,7 +225,7 @@ def test_store_backtest_candles(testdatadir, mocker):
dump_mock.reset_mock() dump_mock.reset_mock()
# mock file exporting # mock file exporting
filename = Path(testdatadir / 'testresult') filename = Path(testdatadir / 'testresult')
store_backtest_signal_candles(filename, candle_dict) store_backtest_signal_candles(filename, candle_dict, '2022_01_01_15_05_13')
assert dump_mock.call_count == 1 assert dump_mock.call_count == 1
assert isinstance(dump_mock.call_args_list[0][0][0], Path) assert isinstance(dump_mock.call_args_list[0][0][0], Path)
# result will be testdatadir / testresult-<timestamp>_signals.pkl # result will be testdatadir / testresult-<timestamp>_signals.pkl
@ -238,7 +238,7 @@ def test_write_read_backtest_candles(tmpdir):
candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}} candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
# test directory exporting # test directory exporting
stored_file = store_backtest_signal_candles(Path(tmpdir), candle_dict) stored_file = store_backtest_signal_candles(Path(tmpdir), candle_dict, '2022_01_01_15_05_13')
scp = open(stored_file, "rb") scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp) pickled_signal_candles = joblib.load(scp)
scp.close() scp.close()
@ -252,7 +252,7 @@ def test_write_read_backtest_candles(tmpdir):
# test file exporting # test file exporting
filename = Path(tmpdir / 'testresult') filename = Path(tmpdir / 'testresult')
stored_file = store_backtest_signal_candles(filename, candle_dict) stored_file = store_backtest_signal_candles(filename, candle_dict, '2022_01_01_15_05_13')
scp = open(stored_file, "rb") scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp) pickled_signal_candles = joblib.load(scp)
scp.close() scp.close()