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docs/backtesting.md
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@ -5,6 +5,89 @@ This page explains how to validate your strategy performance by using Backtestin
Backtesting requires historic data to be available. 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. 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 ## Test your strategy with Backtesting
Now you have good Buy and Sell strategies and some historic data, you want to test it against Now you have good Buy and Sell strategies and some historic data, you want to test it against

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docs/bot-usage.md
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@ -205,258 +205,6 @@ in production mode. Example command:
freqtrade trade -c config.json --db-url sqlite:///tradesv3.dry_run.sqlite 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 ## Next step
The optimal strategy of the bot will change with time depending of the market trends. The next step is to The optimal strategy of the bot will change with time depending of the market trends. The next step is to

55
docs/edge.md
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@ -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` 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. `Edge Positioning` improves the performance of some trading strategies and *decreases* the performance of others.
## Introduction ## 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. 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**. - **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 ## Configurations
Edge module has following configuration options: Edge module has following configuration options:

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docs/hyperopt.md
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@ -32,6 +32,107 @@ source .env/bin/activate
pip install -r requirements-hyperopt.txt 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 ## Prepare Hyperopting
Before we start digging into Hyperopt, we recommend you to take a look at Before we start digging into Hyperopt, we recommend you to take a look at