diff --git a/docs/backtesting.md b/docs/backtesting.md index e1ab1c72d..15b189ebf 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -5,6 +5,89 @@ This page explains how to validate your strategy performance by using Backtestin Backtesting requires historic data to be available. To learn how to get data for the pairs and exchange you're interested in, head over to the [Data Downloading](data-download.md) section of the documentation. +## Backtesting command reference + +``` +usage: freqtrade backtesting [-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] + [--eps] [--dmmp] [--enable-protections] + [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] + [--export EXPORT] [--export-filename PATH] + +optional arguments: + -h, --help show this help message and exit + -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME + Specify ticker interval (`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. + --stake-amount STAKE_AMOUNT + Override the value of the `stake_amount` configuration + setting. + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). + --eps, --enable-position-stacking + Allow buying the same pair multiple times (position + stacking). + --dmmp, --disable-max-market-positions + Disable applying `max_open_trades` during backtest + (same as setting `max_open_trades` to a very high + number). + --enable-protections, --enableprotections + Enable protections for backtesting.Will slow + backtesting down by a considerable amount, but will + include configured protections + --strategy-list STRATEGY_LIST [STRATEGY_LIST ...] + Provide a space-separated list of strategies to + backtest. Please note that ticker-interval needs to be + set either in config or via command line. When using + this together with `--export trades`, the strategy- + name is injected into the filename (so `backtest- + data.json` becomes `backtest-data- + DefaultStrategy.json` + --export EXPORT Export backtest results, argument are: trades. + Example: `--export=trades` + --export-filename PATH + Save backtest results to the file with this filename. + Requires `--export` to be set as well. Example: + `--export-filename=user_data/backtest_results/backtest + _today.json` + +Common arguments: + -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). + --logfile FILE Log to the file specified. Special values are: + 'syslog', 'journald'. See the documentation for more + details. + -V, --version show program's version number and exit + -c PATH, --config PATH + Specify configuration file (default: + `userdir/config.json` or `config.json` whichever + exists). Multiple --config options may be used. Can be + set to `-` to read config from stdin. + -d PATH, --datadir PATH + Path to directory with historical backtesting data. + --userdir PATH, --user-data-dir PATH + Path to userdata directory. + +Strategy arguments: + -s NAME, --strategy NAME + Specify strategy class name which will be used by the + bot. + --strategy-path PATH Specify additional strategy lookup path. + +``` + ## Test your strategy with Backtesting Now you have good Buy and Sell strategies and some historic data, you want to test it against diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 5820b3cc7..c7fe8634d 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -205,258 +205,6 @@ in production mode. Example command: freqtrade trade -c config.json --db-url sqlite:///tradesv3.dry_run.sqlite ``` -## Backtesting commands - -Backtesting also uses the config specified via `-c/--config`. - -``` -usage: freqtrade backtesting [-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] - [--eps] [--dmmp] [--enable-protections] - [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] - [--export EXPORT] [--export-filename PATH] - -optional arguments: - -h, --help show this help message and exit - -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME - Specify ticker interval (`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. - --stake-amount STAKE_AMOUNT - Override the value of the `stake_amount` configuration - setting. - --fee FLOAT Specify fee ratio. Will be applied twice (on trade - entry and exit). - --eps, --enable-position-stacking - Allow buying the same pair multiple times (position - stacking). - --dmmp, --disable-max-market-positions - Disable applying `max_open_trades` during backtest - (same as setting `max_open_trades` to a very high - number). - --enable-protections, --enableprotections - Enable protections for backtesting.Will slow - backtesting down by a considerable amount, but will - include configured protections - --strategy-list STRATEGY_LIST [STRATEGY_LIST ...] - Provide a space-separated list of strategies to - backtest. Please note that ticker-interval needs to be - set either in config or via command line. When using - this together with `--export trades`, the strategy- - name is injected into the filename (so `backtest- - data.json` becomes `backtest-data- - DefaultStrategy.json` - --export EXPORT Export backtest results, argument are: trades. - Example: `--export=trades` - --export-filename PATH - Save backtest results to the file with this filename. - Requires `--export` to be set as well. Example: - `--export-filename=user_data/backtest_results/backtest - _today.json` - -Common arguments: - -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). - --logfile FILE Log to the file specified. Special values are: - 'syslog', 'journald'. See the documentation for more - details. - -V, --version show program's version number and exit - -c PATH, --config PATH - Specify configuration file (default: - `userdir/config.json` or `config.json` whichever - exists). Multiple --config options may be used. Can be - set to `-` to read config from stdin. - -d PATH, --datadir PATH - Path to directory with historical backtesting data. - --userdir PATH, --user-data-dir PATH - Path to userdata directory. - -Strategy arguments: - -s NAME, --strategy NAME - Specify strategy class name which will be used by the - bot. - --strategy-path PATH Specify additional strategy lookup path. - -``` - -### Getting historic data for backtesting - -The first time your run Backtesting, you will need to download some historic data first. -This can be accomplished by using `freqtrade download-data`. -Check the corresponding [Data Downloading](data-download.md) section for more details - -## Hyperopt commands - -To optimize your strategy, you can use hyperopt parameter hyperoptimization -to find optimal parameter values for your strategy. - -``` -usage: freqtrade hyperopt [-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] - [--hyperopt NAME] [--hyperopt-path PATH] [--eps] - [--dmmp] [--enable-protections] [-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] - [--random-state INT] [--min-trades INT] - [--hyperopt-loss NAME] - -optional arguments: - -h, --help show this help message and exit - -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME - Specify ticker interval (`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. - --stake-amount STAKE_AMOUNT - Override the value of the `stake_amount` configuration - setting. - --fee FLOAT Specify fee ratio. Will be applied twice (on trade - entry and exit). - --hyperopt NAME Specify hyperopt class name which will be used by the - bot. - --hyperopt-path PATH Specify additional lookup path for Hyperopt and - Hyperopt Loss functions. - --eps, --enable-position-stacking - Allow buying the same pair multiple times (position - stacking). - --dmmp, --disable-max-market-positions - Disable applying `max_open_trades` during backtest - (same as setting `max_open_trades` to a very high - number). - --enable-protections, --enableprotections - Enable protections for backtesting.Will slow - backtesting down by a considerable amount, but will - include configured protections - -e INT, --epochs INT Specify number of epochs (default: 100). - --spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...] - Specify which parameters to hyperopt. Space-separated - list. - --print-all Print all results, not only the best ones. - --no-color Disable colorization of hyperopt results. May be - useful if you are redirecting output to a file. - --print-json Print output in JSON format. - -j JOBS, --job-workers JOBS - The number of concurrently running jobs for - hyperoptimization (hyperopt worker processes). If -1 - (default), all CPUs are used, for -2, all CPUs but one - are used, etc. If 1 is given, no parallel computing - code is used at all. - --random-state INT Set random state to some positive integer for - 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 - class (IHyperOptLoss). Different functions can - generate completely different results, since the - target for optimization is different. Built-in - Hyperopt-loss-functions are: - ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, - SharpeHyperOptLoss, SharpeHyperOptLossDaily, - SortinoHyperOptLoss, SortinoHyperOptLossDaily - -Common arguments: - -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). - --logfile FILE Log to the file specified. Special values are: - 'syslog', 'journald'. See the documentation for more - details. - -V, --version show program's version number and exit - -c PATH, --config PATH - Specify configuration file (default: - `userdir/config.json` or `config.json` whichever - exists). Multiple --config options may be used. Can be - set to `-` to read config from stdin. - -d PATH, --datadir PATH - Path to directory with historical backtesting data. - --userdir PATH, --user-data-dir PATH - Path to userdata directory. - -Strategy arguments: - -s NAME, --strategy NAME - Specify strategy class name which will be used by the - bot. - --strategy-path PATH Specify additional strategy lookup path. - -``` - -## Edge commands - -To know your trade expectancy and winrate against historical data, you can use Edge. - -``` -usage: freqtrade edge [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH] - [--userdir PATH] [-s NAME] [--strategy-path PATH] - [-i TIMEFRAME] [--timerange TIMERANGE] - [--max-open-trades INT] [--stake-amount STAKE_AMOUNT] - [--fee FLOAT] [--stoplosses STOPLOSS_RANGE] - -optional arguments: - -h, --help show this help message and exit - -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME - Specify ticker interval (`1m`, `5m`, `30m`, `1h`, - `1d`). - --timerange TIMERANGE - Specify what timerange of data to use. - --max-open-trades INT - Override the value of the `max_open_trades` - configuration setting. - --stake-amount STAKE_AMOUNT - Override the value of the `stake_amount` configuration - setting. - --fee FLOAT Specify fee ratio. Will be applied twice (on trade - entry and exit). - --stoplosses STOPLOSS_RANGE - Defines a range of stoploss values against which edge - will assess the strategy. The format is "min,max,step" - (without any space). Example: - `--stoplosses=-0.01,-0.1,-0.001` - -Common arguments: - -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). - --logfile FILE Log to the file specified. Special values are: - 'syslog', 'journald'. See the documentation for more - details. - -V, --version show program's version number and exit - -c PATH, --config PATH - Specify configuration file (default: - `userdir/config.json` or `config.json` whichever - exists). Multiple --config options may be used. Can be - set to `-` to read config from stdin. - -d PATH, --datadir PATH - Path to directory with historical backtesting data. - --userdir PATH, --user-data-dir PATH - Path to userdata directory. - -Strategy arguments: - -s NAME, --strategy NAME - Specify strategy class name which will be used by the - bot. - --strategy-path PATH Specify additional strategy lookup path. - -``` - -To understand edge and how to read the results, please read the [edge documentation](edge.md). - ## Next step The optimal strategy of the bot will change with time depending of the market trends. The next step is to diff --git a/docs/edge.md b/docs/edge.md index 6f01fcf65..5565ca2f9 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -9,6 +9,7 @@ The `Edge Positioning` module uses probability to calculate your win rate and ri `Edge Positioning` only considers *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. `Edge Positioning` improves the performance of some trading strategies and *decreases* the performance of others. + ## Introduction Trading strategies are not perfect. They are frameworks that are susceptible to the market and its indicators. Because the market is not at all predictable, sometimes a strategy will win and sometimes the same strategy will lose. @@ -208,6 +209,60 @@ Let's say the stake currency is **ETH** and there is $10$ **ETH** on the wallet. - **Trade 4** The strategy detects a new buy signal int the **XLM/ETH** market. `Edge Positioning` calculates the stoploss of $2\%$, and the position size of $0.055 / 0.02 = 2.75$ **ETH**. +## Edge command reference + +``` +usage: freqtrade edge [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH] + [--userdir PATH] [-s NAME] [--strategy-path PATH] + [-i TIMEFRAME] [--timerange TIMERANGE] + [--max-open-trades INT] [--stake-amount STAKE_AMOUNT] + [--fee FLOAT] [--stoplosses STOPLOSS_RANGE] + +optional arguments: + -h, --help show this help message and exit + -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME + Specify ticker interval (`1m`, `5m`, `30m`, `1h`, + `1d`). + --timerange TIMERANGE + Specify what timerange of data to use. + --max-open-trades INT + Override the value of the `max_open_trades` + configuration setting. + --stake-amount STAKE_AMOUNT + Override the value of the `stake_amount` configuration + setting. + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). + --stoplosses STOPLOSS_RANGE + Defines a range of stoploss values against which edge + will assess the strategy. The format is "min,max,step" + (without any space). Example: + `--stoplosses=-0.01,-0.1,-0.001` + +Common arguments: + -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). + --logfile FILE Log to the file specified. Special values are: + 'syslog', 'journald'. See the documentation for more + details. + -V, --version show program's version number and exit + -c PATH, --config PATH + Specify configuration file (default: + `userdir/config.json` or `config.json` whichever + exists). Multiple --config options may be used. Can be + set to `-` to read config from stdin. + -d PATH, --datadir PATH + Path to directory with historical backtesting data. + --userdir PATH, --user-data-dir PATH + Path to userdata directory. + +Strategy arguments: + -s NAME, --strategy NAME + Specify strategy class name which will be used by the + bot. + --strategy-path PATH Specify additional strategy lookup path. + +``` + ## Configurations Edge module has following configuration options: diff --git a/docs/hyperopt.md b/docs/hyperopt.md index f88d9cd4f..ec155062f 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -32,6 +32,107 @@ source .env/bin/activate pip install -r requirements-hyperopt.txt ``` +## Hyperopt command reference + + +``` +usage: freqtrade hyperopt [-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] + [--hyperopt NAME] [--hyperopt-path PATH] [--eps] + [--dmmp] [--enable-protections] [-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] + [--random-state INT] [--min-trades INT] + [--hyperopt-loss NAME] + +optional arguments: + -h, --help show this help message and exit + -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME + Specify ticker interval (`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. + --stake-amount STAKE_AMOUNT + Override the value of the `stake_amount` configuration + setting. + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). + --hyperopt NAME Specify hyperopt class name which will be used by the + bot. + --hyperopt-path PATH Specify additional lookup path for Hyperopt and + Hyperopt Loss functions. + --eps, --enable-position-stacking + Allow buying the same pair multiple times (position + stacking). + --dmmp, --disable-max-market-positions + Disable applying `max_open_trades` during backtest + (same as setting `max_open_trades` to a very high + number). + --enable-protections, --enableprotections + Enable protections for backtesting.Will slow + backtesting down by a considerable amount, but will + include configured protections + -e INT, --epochs INT Specify number of epochs (default: 100). + --spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...] + Specify which parameters to hyperopt. Space-separated + list. + --print-all Print all results, not only the best ones. + --no-color Disable colorization of hyperopt results. May be + useful if you are redirecting output to a file. + --print-json Print output in JSON format. + -j JOBS, --job-workers JOBS + The number of concurrently running jobs for + hyperoptimization (hyperopt worker processes). If -1 + (default), all CPUs are used, for -2, all CPUs but one + are used, etc. If 1 is given, no parallel computing + code is used at all. + --random-state INT Set random state to some positive integer for + 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 + class (IHyperOptLoss). Different functions can + generate completely different results, since the + target for optimization is different. Built-in + Hyperopt-loss-functions are: + ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, + SharpeHyperOptLoss, SharpeHyperOptLossDaily, + SortinoHyperOptLoss, SortinoHyperOptLossDaily + +Common arguments: + -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). + --logfile FILE Log to the file specified. Special values are: + 'syslog', 'journald'. See the documentation for more + details. + -V, --version show program's version number and exit + -c PATH, --config PATH + Specify configuration file (default: + `userdir/config.json` or `config.json` whichever + exists). Multiple --config options may be used. Can be + set to `-` to read config from stdin. + -d PATH, --datadir PATH + Path to directory with historical backtesting data. + --userdir PATH, --user-data-dir PATH + Path to userdata directory. + +Strategy arguments: + -s NAME, --strategy NAME + Specify strategy class name which will be used by the + bot. + --strategy-path PATH Specify additional strategy lookup path. + +``` + ## Prepare Hyperopting Before we start digging into Hyperopt, we recommend you to take a look at