Merge upstream
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மனோஜ்குமார் பழனிச்சாமி
@@ -297,6 +297,9 @@ class Backtesting:
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self.rejected_trades = 0
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self.timedout_entry_orders = 0
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self.timedout_exit_orders = 0
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self.canceled_trade_entries = 0
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self.canceled_entry_orders = 0
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self.replaced_entry_orders = 0
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self.dataprovider.clear_cache()
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if enable_protections:
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self._load_protections(self.strategy)
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@@ -548,6 +551,7 @@ class Backtesting:
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if exit_.exit_flag:
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trade.close_date = exit_candle_time
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exit_reason = exit_.exit_reason
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trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
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try:
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@@ -558,13 +562,23 @@ class Backtesting:
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current_profit = trade.calc_profit_ratio(close_rate)
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order_type = self.strategy.order_types['exit']
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if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
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# Checks and adds an exit tag, after checking that the length of the
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# row has the length for an exit tag column
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if(
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len(row) > EXIT_TAG_IDX
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and row[EXIT_TAG_IDX] is not None
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and len(row[EXIT_TAG_IDX]) > 0
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and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
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):
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exit_reason = row[EXIT_TAG_IDX]
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# Custom exit pricing only for exit-signals
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if order_type == 'limit':
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close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
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default_retval=close_rate)(
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pair=trade.pair, trade=trade,
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current_time=exit_candle_time,
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proposed_rate=close_rate, current_profit=current_profit)
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proposed_rate=close_rate, current_profit=current_profit,
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exit_tag=exit_.exit_reason)
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# We can't place orders lower than current low.
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# freqtrade does not support this in live, and the order would fill immediately
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if trade.is_short:
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@@ -578,24 +592,36 @@ class Backtesting:
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pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
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rate=close_rate,
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time_in_force=time_in_force,
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sell_reason=exit_.exit_reason, # deprecated
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exit_reason=exit_.exit_reason,
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sell_reason=exit_reason, # deprecated
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exit_reason=exit_reason,
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current_time=exit_candle_time):
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return None
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trade.exit_reason = exit_.exit_reason
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trade.exit_reason = exit_reason
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# Checks and adds an exit tag, after checking that the length of the
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# row has the length for an exit tag column
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if(
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len(row) > EXIT_TAG_IDX
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and row[EXIT_TAG_IDX] is not None
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and len(row[EXIT_TAG_IDX]) > 0
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and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
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):
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trade.exit_reason = row[EXIT_TAG_IDX]
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return self._exit_trade(trade, row, close_rate)
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self.order_id_counter += 1
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order = Order(
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id=self.order_id_counter,
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ft_trade_id=trade.id,
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order_date=exit_candle_time,
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order_update_date=exit_candle_time,
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ft_is_open=True,
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ft_pair=trade.pair,
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order_id=str(self.order_id_counter),
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symbol=trade.pair,
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ft_order_side=trade.exit_side,
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side=trade.exit_side,
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order_type=order_type,
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status="open",
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price=close_rate,
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average=close_rate,
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amount=trade.amount,
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filled=0,
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remaining=trade.amount,
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cost=trade.amount * close_rate,
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)
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trade.orders.append(order)
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return trade
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return None
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@@ -831,11 +857,11 @@ class Backtesting:
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remaining=amount,
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cost=stake_amount + trade.fee_open,
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)
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trade.orders.append(order)
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if pos_adjust and self._get_order_filled(order.price, row):
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order.close_bt_order(current_time, trade)
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else:
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trade.open_order_id = str(self.order_id_counter)
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trade.orders.append(order)
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trade.recalc_trade_from_orders()
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return trade
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@@ -903,6 +929,7 @@ class Backtesting:
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return True
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elif self.check_order_replace(trade, order, current_time, row):
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# delete trade due to user request
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self.canceled_trade_entries += 1
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return True
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# default maintain trade
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return False
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@@ -952,6 +979,7 @@ class Backtesting:
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return False
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else:
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del trade.orders[trade.orders.index(order)]
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self.canceled_entry_orders += 1
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# place new order if result was not None
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if requested_rate:
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@@ -959,6 +987,7 @@ class Backtesting:
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requested_rate=requested_rate,
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requested_stake=(order.remaining * order.price),
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direction='short' if trade.is_short else 'long')
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self.replaced_entry_orders += 1
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else:
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# assumption: there can't be multiple open entry orders at any given time
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return (trade.nr_of_successful_entries == 0)
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@@ -1112,6 +1141,9 @@ class Backtesting:
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'rejected_signals': self.rejected_trades,
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'timedout_entry_orders': self.timedout_entry_orders,
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'timedout_exit_orders': self.timedout_exit_orders,
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'canceled_trade_entries': self.canceled_trade_entries,
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'canceled_entry_orders': self.canceled_entry_orders,
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'replaced_entry_orders': self.replaced_entry_orders,
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'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
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}
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@@ -468,6 +468,9 @@ def generate_strategy_stats(pairlist: List[str],
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'rejected_signals': content['rejected_signals'],
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'timedout_entry_orders': content['timedout_entry_orders'],
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'timedout_exit_orders': content['timedout_exit_orders'],
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'canceled_trade_entries': content['canceled_trade_entries'],
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'canceled_entry_orders': content['canceled_entry_orders'],
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'replaced_entry_orders': content['replaced_entry_orders'],
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'max_open_trades': max_open_trades,
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'max_open_trades_setting': (config['max_open_trades']
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if config['max_open_trades'] != float('inf') else -1),
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@@ -753,6 +756,12 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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('Drawdown End', strat_results['drawdown_end']),
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])
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entry_adjustment_metrics = [
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('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')),
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('Canceled Entry Orders', strat_results.get('canceled_entry_orders', 'N/A')),
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('Replaced Entry Orders', strat_results.get('replaced_entry_orders', 'N/A')),
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] if strat_results.get('canceled_entry_orders', 0) > 0 else []
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# Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
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# command stores these results and newer version of freqtrade must be able to handle old
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# results with missing new fields.
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@@ -801,6 +810,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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('Entry/Exit Timeouts',
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f"{strat_results.get('timedout_entry_orders', 'N/A')} / "
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f"{strat_results.get('timedout_exit_orders', 'N/A')}"),
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*entry_adjustment_metrics,
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('', ''), # Empty line to improve readability
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('Min balance', round_coin_value(strat_results['csum_min'],
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