refactoring backslap (round one)
This commit is contained in:
misagh
parent
e8716f16ad
commit
40d73de357
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@ -1,42 +1,33 @@
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# pragma pylint: disable=W0603
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""" Edge positioning package """
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import logging
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import operator
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import sys
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from argparse import Namespace
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from datetime import datetime, timedelta
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from typing import Any, Dict, List, NamedTuple, Optional, Tuple
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from typing import Any, Dict
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import arrow
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from pandas import DataFrame, to_datetime
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from pandas import DataFrame
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import pandas as pd
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from tabulate import tabulate
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import freqtrade.optimize as optimize
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from freqtrade.optimize.backtesting import BacktestResult
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from freqtrade import DependencyException, constants
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from freqtrade.arguments import Arguments
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from freqtrade.configuration import Configuration
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from freqtrade.exchange import Exchange
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from freqtrade.misc import file_dump_json
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from freqtrade.persistence import Trade
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from freqtrade.strategy.interface import SellType
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from freqtrade.strategy.resolver import IStrategy, StrategyResolver
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from freqtrade.optimize.backtesting import Backtesting
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from collections import OrderedDict
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import numpy as np
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import timeit
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import utils_find_1st as utf1st
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from time import sleep
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from pandas import set_option
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import pdb
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logger = logging.getLogger(__name__)
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class Edge():
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config: Dict = {}
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def __init__(self, config: Dict[str, Any], exchange = None) -> None:
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def __init__(self, config: Dict[str, Any], exchange=None) -> None:
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"""
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constructor
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"""
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@ -47,7 +38,7 @@ class Edge():
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self.get_timeframe = Backtesting.get_timeframe
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self.populate_buy_trend = self.strategy.populate_buy_trend
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self.populate_sell_trend = self.strategy.populate_sell_trend
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self.edge_config = self.config.get('edge', {})
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self._last_updated = None
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@ -103,7 +94,6 @@ class Edge():
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self.stop_stops: int = 9999 # stop back testing any pair with this many stops, set to 999999 to not hit
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def calculate(self) -> bool:
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pairs = self.config['exchange']['pair_whitelist']
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heartbeat = self.config['edge']['process_throttle_secs']
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@ -115,9 +105,8 @@ class Edge():
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logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
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logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
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logger.info('Using local backtesting data (using whitelist in given config) ...')
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#TODO: add "timerange" to Edge config
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timerange = Arguments.parse_timerange(None if self.config.get(
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'timerange') is None else str(self.config.get('timerange')))
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@ -133,7 +122,7 @@ class Edge():
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if not data:
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logger.critical("No data found. Edge is stopped ...")
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return
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preprocessed = self.tickerdata_to_dataframe(data)
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# Print timeframe
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@ -144,27 +133,17 @@ class Edge():
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max_date.isoformat(),
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(max_date - min_date).days
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)
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headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
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# Max open trades need not be considered in Edge positioning
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max_open_trades = 0
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realistic = False
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stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
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stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
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stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
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stoploss_range = np.arange(stoploss_range_min, stoploss_range_max, stoploss_range_step)
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trades = []
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trade_count_lock: Dict = {}
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########################### Call out BSlap Loop instead of Original BT code
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bslap_results: list = []
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for pair, pair_data in preprocessed.items():
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# Sorting dataframe by date and reset index
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# Sorting dataframe by date and reset index
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pair_data = pair_data.sort_values(by=['date'])
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pair_data = pair_data.reset_index(drop=True)
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@ -184,18 +163,17 @@ class Edge():
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else:
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bslap_results_df = []
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bslap_results_df = DataFrame.from_records(bslap_results_df, columns=BacktestResult._fields)
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self._cached_pairs = self._process_result(data, bslap_results_df, stoploss_range)
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self._last_updated = arrow.utcnow().timestamp
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return True
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def sort_pairs(self, pairs) -> bool:
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if len(self._cached_pairs) == 0:
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self.calculate()
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edge_sorted_pairs = [x[0] for x in self._cached_pairs]
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return [x for _, x in sorted(zip(edge_sorted_pairs,pairs), key=lambda pair: pair[0])]
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def vector_fill_results_table(self, bslap_results_df: DataFrame):
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"""
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The Results frame contains a number of columns that are calculable
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@ -209,7 +187,6 @@ class Edge():
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:param bslap_results Dataframe
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:return: bslap_results Dataframe
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"""
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debug = self.debug_vector
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# stake and fees
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# stake = 0.015
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@ -221,7 +198,6 @@ class Edge():
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open_fee = fee / 2
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close_fee = fee / 2
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bslap_results_df['trade_duration'] = bslap_results_df['close_time'] - bslap_results_df['open_time']
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bslap_results_df['trade_duration'] = bslap_results_df['trade_duration'].map(lambda x: int(x.total_seconds() / 60))
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@ -242,7 +218,6 @@ class Edge():
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# Absolute profit
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bslap_results_df['profit_abs'] = bslap_results_df['sell_take'] - bslap_results_df['buy_spend']
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return bslap_results_df
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def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int, stop_stops: int,
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@ -250,26 +225,12 @@ class Edge():
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"""
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The purpose of this def is to return the next "buy" = 1
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after t_exit_ind.
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This function will also check is the stop limit for the pair has been reached.
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This function will also check is the stop limit for the pair has been reached.
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if stop_stops is the limit and stop_stops_count it the number of times the stop has been hit.
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t_exit_ind is the index the last trade exited on
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or 0 if first time around this loop.
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stop_stops i
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"""
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debug = self.debug
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# Timers, to be called if in debug
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def s():
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st = timeit.default_timer()
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return st
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def f(st):
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return (timeit.default_timer() - st)
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st = s()
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t_open_ind: int
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"""
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@ -290,17 +251,15 @@ class Edge():
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if stop_stops_count >= stop_stops: # if maximum number of stops allowed in a pair is hit, exit loop
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t_open_ind = -1 # -1 ends the loop
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if debug:
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print("Max stop limit ", stop_stops, "reached. Moving to next pair")
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return t_open_ind
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def _process_result(self, data: Dict[str, Dict], results: DataFrame, stoploss_range) -> str:
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"""
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This is a temporary version of edge positioning calculation.
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The function will be eventually moved to a plugin called Edge in order to calculate necessary WR, RRR and
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other indictaors related to money management periodically (each X minutes) and keep it in a storage.
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The calulation will be done per pair and per strategy.
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This is a temporary version of edge positioning calculation.
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The function will be eventually moved to a plugin called Edge in order to calculate necessary WR, RRR and
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other indictaors related to money management periodically (each X minutes) and keep it in a storage.
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The calulation will be done per pair and per strategy.
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"""
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# Removing open trades from dataset
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@ -312,8 +271,7 @@ class Edge():
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results = results.groupby('pair').filter(lambda x: len(x) > min_trades_number)
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###################################
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# Removing outliers (Only Pumps) from the dataset
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# Removing outliers (Only Pumps) from the dataset
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# The method to detect outliers is to calculate standard deviation
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# Then every value more than (standard deviation + 2*average) is out (pump)
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#
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@ -333,7 +291,6 @@ class Edge():
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results = results[results.trade_duration < max_trade_duration]
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#######################################################################
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# Win Rate is the number of profitable trades
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# Divided by number of trades
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def winrate(x):
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@ -354,7 +311,11 @@ class Edge():
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x = (1/(x[x > 0].count()/x.count()) -1)
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return x
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##############################
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def delta(x):
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x = (abs(1/ ((x[x < 0].sum() / x[x < 0].count()) / (x[x > 0].sum() / x[x > 0].count())))) - (1/(x[x > 0].count()/x.count()) -1)
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return x
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# Expectancy
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# Tells you the interest percentage you should hope
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# E.x. if expectancy is 0.35, on $1 trade you should expect a target of $1.35
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@ -365,47 +326,20 @@ class Edge():
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x = ((1 + average_win/average_loss) * winrate) - 1
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return x
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##############################
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final = results.groupby(['pair', 'stoploss'])['profit_abs'].\
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agg([winrate, risk_reward_ratio, required_risk_reward, expectancy]).\
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agg([winrate, risk_reward_ratio, required_risk_reward, expectancy, delta]).\
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reset_index().sort_values(by=['expectancy', 'stoploss'], ascending=False)\
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.groupby('pair').first().sort_values(by=['expectancy'], ascending=False)
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# Returning an array of pairs in order of "expectancy"
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return final.reset_index().values
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def backslap_pair(self, ticker_data, pair, stoploss):
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### backslap debug wrap
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# debug_2loops = False # only loop twice, for faster debug
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# debug_timing = False # print timing for each step
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# debug = False # print values, to check accuracy
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debug_2loops = self.debug_2loops # only loop twice, for faster debug
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debug_timing = self.debug_timing # print timing for each step
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debug = self.debug # print values, to check accuracy
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# Read Stop Loss Values and Stake
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#stop = self.stop_loss_value
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stop = stoploss
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p_stop = (stop + 1) # What stop really means, e.g 0.01 is 0.99 of price
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if debug:
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print("Stop is ", stop, "value from stragey file")
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print("p_stop is", p_stop, "value used to multiply to entry price")
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if debug:
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set_option('display.max_rows', 5000)
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set_option('display.max_columns', 8)
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pd.set_option('display.width', 1000)
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pd.set_option('max_colwidth', 40)
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pd.set_option('precision', 12)
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def s():
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st = timeit.default_timer()
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return st
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def f(st):
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return (timeit.default_timer() - st)
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#### backslap config
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'''
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Numpy arrays are used for 100x speed up
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@ -416,22 +350,12 @@ class Edge():
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#######
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# Use vars set at top of backtest
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np_buy: int = self.np_buy
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np_open: int = self.np_open
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np_close: int = self.np_close
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np_sell: int = self.np_sell
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np_high: int = self.np_high
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np_low: int = self.np_low
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np_stop: int = self.np_stop
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np_bto: int = self.np_bto # buys_triggered_on - should be close
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np_bco: int = self.np_bco # buys calculated on - open of the next candle.
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np_sto: int = self.np_sto # stops_triggered_on - Should be low, FT uses close
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np_sco: int = self.np_sco # stops_calculated_on - Should be stop, FT uses close
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### End Config
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pair: str = pair
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# ticker_data: DataFrame = ticker_dfs[t_file]
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bslap: DataFrame = ticker_data
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@ -457,23 +381,12 @@ class Edge():
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stop_stops = self.stop_stops # Int of stops within a pair to stop trading a pair at
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stop_stops_count = 0 # stop counter per pair
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st = s() # Start timer for processing dataframe
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if debug:
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print('Processing:', pair)
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# Results will be stored in a list of dicts
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bslap_pair_results: list = []
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bslap_result: dict = {}
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while t_exit_ind < np_buy_arr_len:
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loop = loop + 1
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if debug or debug_timing:
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print("-- T_exit_Ind - Numpy Index is", t_exit_ind, " ----------------------- Loop", loop, pair)
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if debug_2loops:
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if loop == 3:
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print(
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"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++Loop debug max met - breaking")
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break
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'''
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Dev phases
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Phase 1
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@ -481,7 +394,7 @@ class Edge():
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a) Find first buy index
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b) Discover first stop and sell hit after buy index
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c) Chose first instance as trade exit
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Phase 2
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2) Manage dynamic Stop and ROI Exit
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a) Create trade slice from 1
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@ -489,72 +402,50 @@ class Edge():
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c) search within trade slice for ROI hit
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'''
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if debug_timing:
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st = s()
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'''
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0 - Find next buy entry
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Finds index for first (buy = 1) flag
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Requires: np_buy_arr - a 1D array of the 'buy' column. To find next "1"
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Required: t_exit_ind - Either 0, first loop. Or The index we last exited on
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Requires: np_buy_arr_len - length of pair array.
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Requires: stops_stops - number of stops allowed before stop trading a pair
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Requires: np_buy_arr_len - length of pair array.
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Requires: stops_stops - number of stops allowed before stop trading a pair
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Requires: stop_stop_counts - count of stops hit in the pair
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Provides: The next "buy" index after t_exit_ind
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If -1 is returned no buy has been found in remainder of array, skip to exit loop
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'''
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t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len, stop_stops, stop_stops_count)
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if debug:
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print("\n(0) numpy debug \nnp_get_t_open, has returned the next valid buy index as", t_open_ind)
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print("If -1 there are no valid buys in the remainder of ticker data. Skipping to end of loop")
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if debug_timing:
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t_t = f(st)
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print("0-numpy", str.format('{0:.17f}', t_t))
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st = s()
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if t_open_ind != -1:
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"""
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1 - Create views to search within for our open trade
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The views are our search space for the next Stop or Sell
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Numpy view is employed as:
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1,000 faster than pandas searches
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Pandas cannot assure it will always return a view, it may make a slow copy.
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The view contains columns:
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buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5
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Requires: np_bslap is our numpy array of the ticker DataFrame
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Requires: t_open_ind is the index row with the buy.
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Provides: np_t_open_v View of array after buy.
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Provides: np_t_open_v_stop View of array after buy +1
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Provides: np_t_open_v_stop View of array after buy +1
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(Stop will search in here to prevent stopping in the past)
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"""
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np_t_open_v = np_bslap[t_open_ind:]
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np_t_open_v_stop = np_bslap[t_open_ind + 1:]
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if debug:
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print("\n(1) numpy debug \nNumpy view row 0 is now Ticker_Data Index", t_open_ind)
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print("Numpy View: Buy - Open - Close - Sell - High - Low")
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print("Row 0", np_t_open_v[0])
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print("Row 1", np_t_open_v[1], )
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if debug_timing:
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t_t = f(st)
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print("2-numpy", str.format('{0:.17f}', t_t))
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st = s()
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'''
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2 - Calculate our stop-loss price
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As stop is based on buy price of our trade
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- (BTO)Buys are Triggered On np_bto, typically the CLOSE of candle
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- (BCO)Buys are Calculated On np_bco, default is OPEN of the next candle.
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This is as we only see the CLOSE after it has happened.
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The back test assumption is we have bought at first available price, the OPEN
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Requires: np_bslap - is our numpy array of the ticker DataFrame
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Requires: t_open_ind - is the index row with the first buy.
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Requires: p_stop - is the stop rate, ie. 0.99 is -1%
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@ -562,18 +453,11 @@ class Edge():
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'''
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np_t_stop_pri = (np_bslap[t_open_ind + 1, np_bco] * p_stop)
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if debug:
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print("\n(2) numpy debug\nStop-Loss has been calculated at:", np_t_stop_pri)
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if debug_timing:
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t_t = f(st)
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print("2-numpy", str.format('{0:.17f}', t_t))
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st = s()
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'''
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3 - Find candle STO is under Stop-Loss After Trade opened.
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where [np_sto] (stop tiggered on variable: "close", "low" etc) < np_t_stop_pri
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|
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|
||||
Requires: np_t_open_v_stop Numpy view of ticker_data after buy row +1 (when trade was opened)
|
||||
Requires: np_sto User Var(STO)StopTriggeredOn. Typically set to "low" or "close"
|
||||
Requires: np_t_stop_pri The stop-loss price STO must fall under to trigger stop
|
||||
|
|
@ -586,26 +470,11 @@ class Edge():
|
|||
# plus 1 as np_t_open_v_stop is 1 ahead of view np_t_open_v, used from here on out.
|
||||
np_t_stop_ind = np_t_stop_ind + 1
|
||||
|
||||
if debug:
|
||||
print("\n(3) numpy debug\nNext view index with STO (stop trigger on) under Stop-Loss is",
|
||||
np_t_stop_ind - 1,
|
||||
". STO is using field", np_sto,
|
||||
"\nFrom key: buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5\n")
|
||||
|
||||
print(
|
||||
"If -1 or 0 returned there is no stop found to end of view, then next two array lines are garbage")
|
||||
print("Row", np_t_stop_ind - 1, np_t_open_v[np_t_stop_ind])
|
||||
print("Row", np_t_stop_ind, np_t_open_v[np_t_stop_ind + 1])
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("3-numpy", str.format('{0:.17f}', t_t))
|
||||
st = s()
|
||||
|
||||
'''
|
||||
4 - Find first sell index after trade open
|
||||
|
||||
|
||||
First index in the view np_t_open_v where ['sell'] = 1
|
||||
|
||||
|
||||
Requires: np_t_open_v - view of ticker_data from buy onwards
|
||||
Requires: no_sell - integer '3', the buy column in the array
|
||||
Provides: np_t_sell_ind index of view where first sell=1 after buy
|
||||
|
|
@ -617,26 +486,17 @@ class Edge():
|
|||
|
||||
np_t_sell_ind = utf1st.find_1st(np_t_open_v[:, np_sell],
|
||||
1, utf1st.cmp_equal)
|
||||
if debug:
|
||||
print("\n(4) numpy debug\nNext view index with sell = 1 is ", np_t_sell_ind)
|
||||
print("If 0 or less is returned there is no sell found to end of view, then next lines garbage")
|
||||
print("Row", np_t_sell_ind, np_t_open_v[np_t_sell_ind])
|
||||
print("Row", np_t_sell_ind + 1, np_t_open_v[np_t_sell_ind + 1])
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("4-numpy", str.format('{0:.17f}', t_t))
|
||||
st = s()
|
||||
|
||||
'''
|
||||
5 - Determine which was hit first a stop or sell
|
||||
To then use as exit index price-field (sell on buy, stop on stop)
|
||||
|
||||
|
||||
STOP takes priority over SELL as would be 'in candle' from tick data
|
||||
Sell would use Open from Next candle.
|
||||
So in a draw Stop would be hit first on ticker data in live
|
||||
|
||||
|
||||
Validity of when types of trades may be executed can be summarised as:
|
||||
|
||||
|
||||
Tick View
|
||||
index index Buy Sell open low close high Stop price
|
||||
open 2am 94 -1 0 0 ----- ------ ------ ----- -----
|
||||
|
|
@ -644,28 +504,26 @@ class Edge():
|
|||
open 4am 96 1 0 1 Enter trgstop trg sel ROI out Stop out
|
||||
open 5am 97 2 0 0 Exit ------ ------- ----- -----
|
||||
open 6am 98 3 0 0 ----- ------ ------- ----- -----
|
||||
|
||||
|
||||
-1 means not found till end of view i.e no valid Stop found. Exclude from match.
|
||||
Stop tiggering and closing in 96-1, the candle we bought at OPEN in, is valid.
|
||||
|
||||
|
||||
Buys and sells are triggered at candle close
|
||||
Both will open their postions at the open of the next candle. i/e + 1 index
|
||||
|
||||
|
||||
Stop and buy Indexes are on the view. To map to the ticker dataframe
|
||||
the t_open_ind index should be summed.
|
||||
|
||||
|
||||
np_t_stop_ind: Stop Found index in view
|
||||
t_exit_ind : Sell found in view
|
||||
t_open_ind : Where view was started on ticker_data
|
||||
|
||||
|
||||
TODO: fix this frig for logic test,, case/switch/dictionary would be better...
|
||||
more so when later testing many options, dynamic stop / roi etc
|
||||
cludge - Setting np_t_sell_ind as 9999999999 when -1 (not found)
|
||||
cludge - Setting np_t_stop_ind as 9999999999 when -1 (not found)
|
||||
|
||||
|
||||
'''
|
||||
if debug:
|
||||
print("\n(5) numpy debug\nStop or Sell Logic Processing")
|
||||
|
||||
# cludge for logic test (-1) means it was not found, set crazy high to lose < test
|
||||
np_t_sell_ind = 99999999 if np_t_sell_ind <= 0 else np_t_sell_ind
|
||||
|
|
@ -676,9 +534,6 @@ class Edge():
|
|||
t_exit_ind = t_open_ind + np_t_stop_ind # Set Exit row index
|
||||
t_exit_type = SellType.STOP_LOSS # Set Exit type (stop)
|
||||
np_t_exit_pri = np_sco # The price field our STOP exit will use
|
||||
if debug:
|
||||
print("Type STOP is first exit condition. "
|
||||
"At view index:", np_t_stop_ind, ". Ticker data exit index is", t_exit_ind)
|
||||
|
||||
# Buy = 1 found before a stoploss triggered
|
||||
elif np_t_sell_ind < 99999999 and np_t_sell_ind < np_t_stop_ind:
|
||||
|
|
@ -687,104 +542,18 @@ class Edge():
|
|||
t_exit_ind = t_open_ind + np_t_sell_ind # Set Exit row index
|
||||
t_exit_type = SellType.SELL_SIGNAL # Set Exit type (sell)
|
||||
np_t_exit_pri = np_open # The price field our SELL exit will use
|
||||
if debug:
|
||||
print("Type SELL is first exit condition. "
|
||||
"At view index", np_t_sell_ind, ". Ticker data exit index is", t_exit_ind)
|
||||
|
||||
# No stop or buy left in view - set t_exit_last -1 to handle gracefully
|
||||
else:
|
||||
t_exit_last: int = -1 # Signal loop to exit, no buys or sells found.
|
||||
t_exit_type = SellType.NONE
|
||||
np_t_exit_pri = 999 # field price should be calculated on. 999 a non-existent column
|
||||
if debug:
|
||||
print("No valid STOP or SELL found. Signalling t_exit_last to gracefully exit")
|
||||
|
||||
# TODO: fix having to cludge/uncludge this ..
|
||||
# Undo cludge
|
||||
np_t_sell_ind = -1 if np_t_sell_ind == 99999999 else np_t_sell_ind
|
||||
np_t_stop_ind = -1 if np_t_stop_ind == 99999999 else np_t_stop_ind
|
||||
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("5-logic", str.format('{0:.17f}', t_t))
|
||||
st = s()
|
||||
|
||||
if debug:
|
||||
'''
|
||||
Print out the buys, stops, sells
|
||||
Include Line before and after to for easy
|
||||
Human verification
|
||||
'''
|
||||
# Combine the np_t_stop_pri value to bslap dataframe to make debug
|
||||
# life easy. This is the current stop price based on buy price_
|
||||
# This is slow but don't care about performance in debug
|
||||
#
|
||||
# When referencing equiv np_column, as example np_sto, its 5 in numpy and 6 in df, so +1
|
||||
# as there is no data column in the numpy array.
|
||||
bslap['np_stop_pri'] = np_t_stop_pri
|
||||
|
||||
# Buy
|
||||
print("\n\nDATAFRAME DEBUG =================== BUY ", pair)
|
||||
print("Numpy Array BUY Index is:", 0)
|
||||
print("DataFrame BUY Index is:", t_open_ind, "displaying DF \n")
|
||||
print("HINT, BUY trade should use OPEN price from next candle, i.e ", t_open_ind + 1)
|
||||
op_is = t_open_ind - 1 # Print open index start, line before
|
||||
op_if = t_open_ind + 3 # Print open index finish, line after
|
||||
print(bslap.iloc[op_is:op_if], "\n")
|
||||
|
||||
# Stop - Stops trigger price np_sto (+1 for pandas column), and price received np_sco +1. (Stop Trigger|Calculated On)
|
||||
if np_t_stop_ind < 0:
|
||||
print("DATAFRAME DEBUG =================== STOP ", pair)
|
||||
print("No STOPS were found until the end of ticker data file\n")
|
||||
else:
|
||||
print("DATAFRAME DEBUG =================== STOP ", pair)
|
||||
print("Numpy Array STOP Index is:", np_t_stop_ind, "View starts at index", t_open_ind)
|
||||
df_stop_index = (t_open_ind + np_t_stop_ind)
|
||||
|
||||
print("DataFrame STOP Index is:", df_stop_index, "displaying DF \n")
|
||||
print("First Stoploss trigger after Trade entered at OPEN in candle", t_open_ind + 1, "is ",
|
||||
df_stop_index, ": \n",
|
||||
str.format('{0:.17f}', bslap.iloc[df_stop_index][np_sto + 1]),
|
||||
"is less than", str.format('{0:.17f}', np_t_stop_pri))
|
||||
|
||||
print("A stoploss exit will be calculated at rate:",
|
||||
str.format('{0:.17f}', bslap.iloc[df_stop_index][np_sco + 1]))
|
||||
|
||||
print("\nHINT, STOPs should exit in-candle, i.e", df_stop_index,
|
||||
": As live STOPs are not linked to O-C times")
|
||||
|
||||
st_is = df_stop_index - 1 # Print stop index start, line before
|
||||
st_if = df_stop_index + 2 # Print stop index finish, line after
|
||||
print(bslap.iloc[st_is:st_if], "\n")
|
||||
|
||||
# Sell
|
||||
if np_t_sell_ind < 0:
|
||||
print("DATAFRAME DEBUG =================== SELL ", pair)
|
||||
print("No SELLS were found till the end of ticker data file\n")
|
||||
else:
|
||||
print("DATAFRAME DEBUG =================== SELL ", pair)
|
||||
print("Numpy View SELL Index is:", np_t_sell_ind, "View starts at index", t_open_ind)
|
||||
df_sell_index = (t_open_ind + np_t_sell_ind)
|
||||
|
||||
print("DataFrame SELL Index is:", df_sell_index, "displaying DF \n")
|
||||
print("First Sell Index after Trade open is in candle", df_sell_index)
|
||||
print("HINT, if exit is SELL (not stop) trade should use OPEN price from next candle",
|
||||
df_sell_index + 1)
|
||||
sl_is = df_sell_index - 1 # Print sell index start, line before
|
||||
sl_if = df_sell_index + 3 # Print sell index finish, line after
|
||||
print(bslap.iloc[sl_is:sl_if], "\n")
|
||||
|
||||
# Chosen Exit (stop or sell)
|
||||
|
||||
print("DATAFRAME DEBUG =================== EXIT ", pair)
|
||||
print("Exit type is :", t_exit_type)
|
||||
print("trade exit price field is", np_t_exit_pri, "\n")
|
||||
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("6-depra", str.format('{0:.17f}', t_t))
|
||||
st = s()
|
||||
|
||||
## use numpy view "np_t_open_v" for speed. Columns are
|
||||
# buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5
|
||||
# exception is 6 which is use the stop value.
|
||||
|
|
@ -804,43 +573,19 @@ class Edge():
|
|||
if t_exit_type == SellType.NONE:
|
||||
np_trade_exit_price = 0
|
||||
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("7-numpy", str.format('{0:.17f}', t_t))
|
||||
st = s()
|
||||
|
||||
if debug:
|
||||
print("//////////////////////////////////////////////")
|
||||
print("+++++++++++++++++++++++++++++++++ Trade Enter ")
|
||||
print("np_trade Enter Price is ", str.format('{0:.17f}', np_trade_enter_price))
|
||||
print("--------------------------------- Trade Exit ")
|
||||
print("Trade Exit Type is ", t_exit_type)
|
||||
print("np_trade Exit Price is", str.format('{0:.17f}', np_trade_exit_price))
|
||||
print("//////////////////////////////////////////////")
|
||||
|
||||
else: # no buys were found, step 0 returned -1
|
||||
# Gracefully exit the loop
|
||||
t_exit_last == -1
|
||||
if debug:
|
||||
print("\n(E) No buys were found in remaining ticker file. Exiting", pair)
|
||||
|
||||
# Loop control - catch no closed trades.
|
||||
if debug:
|
||||
print("---------------------------------------- end of loop", loop,
|
||||
" Dataframe Exit Index is: ", t_exit_ind)
|
||||
print("Exit Index Last, Exit Index Now Are: ", t_exit_last, t_exit_ind)
|
||||
|
||||
if t_exit_last >= t_exit_ind or t_exit_last == -1:
|
||||
"""
|
||||
Break loop and go on to next pair.
|
||||
|
||||
|
||||
When last trade exit equals index of last exit, there is no
|
||||
opportunity to close any more trades.
|
||||
"""
|
||||
# TODO :add handing here to record none closed open trades
|
||||
|
||||
if debug:
|
||||
print(bslap_pair_results)
|
||||
break
|
||||
else:
|
||||
"""
|
||||
|
|
@ -880,10 +625,6 @@ class Edge():
|
|||
if t_exit_type is SellType.STOP_LOSS:
|
||||
stop_stops_count = stop_stops_count + 1
|
||||
|
||||
if debug:
|
||||
print("The trade dict is: \n", bslap_result)
|
||||
print("Trades dicts in list after append are: \n ", bslap_pair_results)
|
||||
|
||||
"""
|
||||
Loop back to start. t_exit_last becomes where loop
|
||||
will seek to open new trades from.
|
||||
|
|
@ -891,23 +632,16 @@ class Edge():
|
|||
"""
|
||||
t_exit_last = t_exit_ind + 1
|
||||
|
||||
if debug_timing:
|
||||
t_t = f(st)
|
||||
print("8+trade", str.format('{0:.17f}', t_t))
|
||||
|
||||
# Send back List of trade dicts
|
||||
return bslap_pair_results
|
||||
|
||||
def stake_amount(self, pair: str) -> str:
|
||||
info = [x for x in self._cached_pairs if x[0] == pair][0]
|
||||
stoploss = info[1]
|
||||
|
||||
allowed_capital_at_risk = round(self._total_capital * self._allowed_risk, 5)
|
||||
position_size = abs(round((allowed_capital_at_risk / stoploss), 5))
|
||||
return position_size
|
||||
|
||||
return (allowed_dollars_at_risk / symbol_strategy_stop_loss)
|
||||
|
||||
|
||||
def stoploss(self, pair: str) -> float:
|
||||
info = [x for x in self._cached_pairs if x[0] == pair][0]
|
||||
return info[1]
|
||||
Loading…
Reference in New Issue