Merge branch 'develop' into pr/nicolaspapp/6715

.github/ISSUE_TEMPLATE/feature_request.md

@@ -24,4 +24,3 @@ Have you search for this feature before requesting it? It's highly likely that a
 ## Describe the enhancement
 
 *Explain the enhancement you would like*
-

.github/workflows/ci.yml

@@ -100,7 +100,7 @@ jobs:
 
     - name: Mypy
       run: |
-        mypy freqtrade scripts
+        mypy freqtrade scripts tests
 
     - name: Discord notification
       uses: rjstone/discord-webhook-notify@v1
@@ -157,6 +157,12 @@ jobs:
         pip install -e .
 
     - name: Tests
+      if: (runner.os != 'Linux' || matrix.python-version != '3.8')
+      run: |
+        pytest --random-order
+
+    - name: Tests (with cov)
+      if: (runner.os == 'Linux' && matrix.python-version == '3.8')
       run: |
         pytest --random-order --cov=freqtrade --cov-config=.coveragerc
 
@@ -229,7 +235,7 @@ jobs:
 
     - name: Tests
       run: |
-        pytest --random-order --cov=freqtrade --cov-config=.coveragerc
+        pytest --random-order
 
     - name: Backtesting
       run: |
@@ -249,7 +255,7 @@ jobs:
 
     - name: Mypy
       run: |
-        mypy freqtrade scripts
+        mypy freqtrade scripts tests
 
     - name: Discord notification
       uses: rjstone/discord-webhook-notify@v1
@@ -259,6 +265,21 @@ jobs:
           details: Test Failed
           webhookUrl: ${{ secrets.DISCORD_WEBHOOK }}
 
+  mypy_version_check:
+    runs-on: ubuntu-20.04
+    steps:
+    - uses: actions/checkout@v3
+
+    - name: Set up Python
+      uses: actions/setup-python@v3
+      with:
+        python-version: 3.9
+
+    - name: pre-commit dependencies
+      run: |
+        pip install pyaml
+        python build_helpers/pre_commit_update.py
+
   docs_check:
     runs-on: ubuntu-20.04
     steps:
@@ -271,7 +292,7 @@ jobs:
     - name: Set up Python
       uses: actions/setup-python@v3
       with:
-        python-version: 3.8
+        python-version: 3.9
 
     - name: Documentation build
       run: |
@@ -288,6 +309,9 @@ jobs:
           webhookUrl: ${{ secrets.DISCORD_WEBHOOK }}
 
   cleanup-prior-runs:
+    permissions:
+      actions: write  # for rokroskar/workflow-run-cleanup-action to obtain workflow name & cancel it
+      contents: read  # for rokroskar/workflow-run-cleanup-action to obtain branch
     runs-on: ubuntu-20.04
     steps:
     - name: Cleanup previous runs on this branch
@@ -298,8 +322,12 @@ jobs:
 
   # Notify only once - when CI completes (and after deploy) in case it's successfull
   notify-complete:
-    needs: [ build_linux, build_macos, build_windows, docs_check ]
+    needs: [ build_linux, build_macos, build_windows, docs_check, mypy_version_check ]
     runs-on: ubuntu-20.04
+    # Discord notification can't handle schedule events
+    if: (github.event_name != 'schedule')
+    permissions:
+      repository-projects: read  
     steps:
 
     - name: Check user permission
@@ -319,7 +347,7 @@ jobs:
           webhookUrl: ${{ secrets.DISCORD_WEBHOOK }}
 
   deploy:
-    needs: [ build_linux, build_macos, build_windows, docs_check ]
+    needs: [ build_linux, build_macos, build_windows, docs_check, mypy_version_check ]
     runs-on: ubuntu-20.04
 
     if: (github.event_name == 'push' || github.event_name == 'schedule' || github.event_name == 'release') && github.repository == 'freqtrade/freqtrade'

.github/workflows/docker_update_readme.yml

@@ -15,4 +15,3 @@ jobs:
         DOCKERHUB_USERNAME: ${{ secrets.DOCKER_USERNAME }}
         DOCKERHUB_PASSWORD: ${{ secrets.DOCKER_PASSWORD }}
         DOCKERHUB_REPOSITORY: freqtradeorg/freqtrade
-

.pre-commit-config.yaml

@@ -1,21 +1,46 @@
 # See https://pre-commit.com for more information
 # See https://pre-commit.com/hooks.html for more hooks
 repos:
--   repo: https://github.com/pycqa/flake8
-    rev: '4.0.1'
+  - repo: https://github.com/pycqa/flake8
+    rev: "4.0.1"
     hooks:
-    -   id: flake8
+      - id: flake8
         # stages: [push]
 
--   repo: https://github.com/pre-commit/mirrors-mypy
-    rev: 'v0.942'
+  - repo: https://github.com/pre-commit/mirrors-mypy
+    rev: "v0.942"
     hooks:
-    -   id: mypy
+      - id: mypy
+        exclude: build_helpers
+        additional_dependencies:
+          - types-cachetools==5.0.1
+          - types-filelock==3.2.5
+          - types-requests==2.27.20
+          - types-tabulate==0.8.7
+          - types-python-dateutil==2.8.12
         # stages: [push]
 
--   repo: https://github.com/pycqa/isort
-    rev: '5.10.1'
+  - repo: https://github.com/pycqa/isort
+    rev: "5.10.1"
     hooks:
       - id: isort
         name: isort (python)
         # stages: [push]
+
+  - repo: https://github.com/pre-commit/pre-commit-hooks
+    rev: v2.4.0
+    hooks:
+      - id: end-of-file-fixer
+        exclude: |
+            (?x)^(
+                tests/.*|
+                .*\.svg
+            )$
+      - id: mixed-line-ending
+      - id: debug-statements
+      - id: check-ast
+      - id: trailing-whitespace
+        exclude: |
+          (?x)^(
+                .*\.md
+            )$

.pylintrc

@@ -7,4 +7,3 @@ ignore=vendor
 
 [TYPECHECK]
 ignored-modules=numpy,talib,talib.abstract
-

README.md

@@ -39,6 +39,14 @@ Please read the [exchange specific notes](docs/exchanges.md) to learn about even
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](docs/exchanges.md), as well as the [trading with leverage](docs/leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

build_helpers/pre_commit_update.py

@@ -0,0 +1,42 @@
+# File used in CI to ensure pre-commit dependencies are kept uptodate.
+
+import sys
+from pathlib import Path
+
+import yaml
+
+
+pre_commit_file = Path('.pre-commit-config.yaml')
+require_dev = Path('requirements-dev.txt')
+
+with require_dev.open('r') as rfile:
+    requirements = rfile.readlines()
+
+# Extract types only
+type_reqs = [r.strip('\n') for r in requirements if r.startswith('types-')]
+
+with pre_commit_file.open('r') as file:
+    f = yaml.load(file, Loader=yaml.FullLoader)
+
+
+mypy_repo = [repo for repo in f['repos'] if repo['repo']
+             == 'https://github.com/pre-commit/mirrors-mypy']
+
+hooks = mypy_repo[0]['hooks'][0]['additional_dependencies']
+
+errors = []
+for hook in hooks:
+    if hook not in type_reqs:
+        errors.append(f"{hook} is missing in requirements-dev.txt.")
+
+for req in type_reqs:
+    if req not in hooks:
+        errors.append(f"{req} is missing in pre-config file.")
+
+
+if errors:
+    for e in errors:
+        print(e)
+    sys.exit(1)
+
+sys.exit(0)

config_examples/config_binance.example.json

@@ -90,7 +90,7 @@
     },
     "bot_name": "freqtrade",
     "initial_state": "running",
-    "force_enter_enable": false,
+    "force_entry_enable": false,
     "internals": {
         "process_throttle_secs": 5
     }

config_examples/config_full.example.json

@@ -182,6 +182,7 @@
     "disable_dataframe_checks": false,
     "strategy": "SampleStrategy",
     "strategy_path": "user_data/strategies/",
+    "recursive_strategy_search": false,
     "add_config_files": [],
     "dataformat_ohlcv": "json",
     "dataformat_trades": "jsongz"

docs/advanced-backtesting.md

@@ -0,0 +1,73 @@
+# Advanced Backtesting Analysis
+
+## Analyze the buy/entry and sell/exit tags
+
+It can be helpful to understand how a strategy behaves according to the buy/entry tags used to
+mark up different buy conditions. You might want to see more complex statistics about each buy and
+sell condition above those provided by the default backtesting output. You may also want to
+determine indicator values on the signal candle that resulted in a trade opening.
+
+!!! Note
+    The following buy reason analysis is only available for backtesting, *not hyperopt*.
+
+We need to run backtesting with the `--export` option set to `signals` to enable the exporting of
+signals **and** trades:
+
+``` bash
+freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals
+```
+
+This will tell freqtrade to output a pickled dictionary of strategy, pairs and corresponding
+DataFrame of the candles that resulted in buy signals. Depending on how many buys your strategy
+makes, this file may get quite large, so periodically check your `user_data/backtest_results`
+folder to delete old exports.
+
+To analyze the buy tags, we need to use the `buy_reasons.py` script from
+[froggleston's repo](https://github.com/froggleston/freqtrade-buyreasons). Follow the instructions
+in their README to copy the script into your `freqtrade/scripts/` folder.
+
+Before running your next backtest, make sure you either delete your old backtest results or run
+backtesting with the `--cache none` option to make sure no cached results are used.
+
+If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl` file in the
+`user_data/backtest_results` folder.
+
+Now run the `buy_reasons.py` script, supplying a few options:
+
+``` bash
+python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4
+```
+
+The `-g` option is used to specify the various tabular outputs, ranging from the simplest (0)
+to the most detailed per pair, per buy and per sell tag (4). More options are available by
+running with the `-h` option.
+
+### Tuning the buy tags and sell tags to display
+
+To show only certain buy and sell tags in the displayed output, use the following two options:
+
+```
+--enter_reason_list : Comma separated list of enter signals to analyse. Default: "all"
+--exit_reason_list : Comma separated list of exit signals to analyse. Default: "stop_loss,trailing_stop_loss"
+```
+
+For example:
+
+```bash
+python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4 --enter_reason_list "enter_tag_a,enter_tag_b" --exit_reason_list "roi,custom_exit_tag_a,stop_loss"
+```
+
+### Outputting signal candle indicators
+
+The real power of the buy_reasons.py script comes from the ability to print out the indicator
+values present on signal candles to allow fine-grained investigation and tuning of buy signal
+indicators. To print out a column for a given set of indicators, use the `--indicator-list`
+option:
+
+```bash
+python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4 --enter_reason_list "enter_tag_a,enter_tag_b" --exit_reason_list "roi,custom_exit_tag_a,stop_loss" --indicator_list "rsi,rsi_1h,bb_lowerband,ema_9,macd,macdsignal"
+```
+
+The indicators have to be present in your strategy's main DataFrame (either for your main
+timeframe or for informative timeframes) otherwise they will simply be ignored in the script
+output.

docs/backtesting.md

@@ -20,7 +20,8 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
                              [--dry-run-wallet DRY_RUN_WALLET]
                              [--timeframe-detail TIMEFRAME_DETAIL]
                              [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
-                             [--export {none,trades}] [--export-filename PATH]
+                             [--export {none,trades,signals}]
+                             [--export-filename PATH]
                              [--breakdown {day,week,month} [{day,week,month} ...]]
                              [--cache {none,day,week,month}]
 
@@ -63,18 +64,17 @@ optional arguments:
                         `30m`, `1h`, `1d`).
   --strategy-list STRATEGY_LIST [STRATEGY_LIST ...]
                         Provide a space-separated list of strategies to
-                        backtest. Please note that timeframe 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-SampleStrategy.json`
-  --export {none,trades}
+                        backtest. Please note that timeframe 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-SampleStrategy.json`
+  --export {none,trades,signals}
                         Export backtest results (default: 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`
+  --export-filename PATH, --backtest-filename PATH
+                        Use this filename for backtest results.Requires
+                        `--export` to be set as well. Example: `--export-filen
+                        ame=user_data/backtest_results/backtest_today.json`
   --breakdown {day,week,month} [{day,week,month} ...]
                         Show backtesting breakdown per [day, week, month].
   --cache {none,day,week,month}
@@ -299,6 +299,7 @@ A backtesting result will look like that:
 | Final balance          | 0.01762792 BTC      |
 | Absolute profit        | 0.00762792 BTC      |
 | Total profit %         | 76.2%               |
+| CAGR %                 | 460.87%             |
 | Trades per day         | 3.575               |
 | Avg. stake amount      | 0.001      BTC      |
 | Total trade volume     | 0.429      BTC      |
@@ -388,6 +389,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Final balance          | 0.01762792 BTC      |
 | Absolute profit        | 0.00762792 BTC      |
 | Total profit %         | 76.2%               |
+| CAGR %                 | 460.87%             |
 | Avg. stake amount      | 0.001      BTC      |
 | Total trade volume     | 0.429      BTC      |
 |                        |                     |

docs/configuration.md

@@ -11,7 +11,7 @@ Per default, the bot loads the configuration from the `config.json` file, locate
 
 You can specify a different configuration file used by the bot with the `-c/--config` command-line option.
 
-If you used the [Quick start](installation.md/#quick-start) method for installing 
+If you used the [Quick start](installation.md/#quick-start) method for installing
 the bot, the installation script should have already created the default configuration file (`config.json`) for you.
 
 If the default configuration file is not created we recommend to use `freqtrade new-config --config config.json` to generate a basic configuration file.
@@ -64,7 +64,7 @@ This is similar to using multiple `--config` parameters, but simpler in usage as
         "config-private.json"
     ]
     ```
-    
+
     ``` bash
     freqtrade trade --config user_data/config.json <...>
     ```
@@ -100,7 +100,7 @@ This is similar to using multiple `--config` parameters, but simpler in usage as
         "stake_amount": "unlimited",
     }
     ```
-    
+
     Resulting combined configuration:
 
     ``` json title="Result"
@@ -173,6 +173,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
 | `order_types` | Configure order-types depending on the action (`"entry"`, `"exit"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy).<br> **Datatype:** Dict
 | `order_time_in_force` | Configure time in force for entry and exit orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
 | `custom_price_max_distance_ratio` | Configure maximum distance ratio between current and custom entry or exit price. <br>*Defaults to `0.02` 2%).*<br> **Datatype:** Positive float
+| `recursive_strategy_search` | Set to `true` to recursively search sub-directories inside `user_data/strategies` for a strategy. <br> **Datatype:** Boolean
 | `exchange.name` | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). <br> **Datatype:** String
 | `exchange.sandbox` | Use the 'sandbox' version of the exchange, where the exchange provides a sandbox for risk-free integration. See [here](sandbox-testing.md) in more details.<br> **Datatype:** Boolean
 | `exchange.key` | API key to use for the exchange. Only required when you are in production mode.<br>**Keep it in secret, do not disclose publicly.** <br> **Datatype:** String

docs/data-analysis.md

@@ -122,5 +122,6 @@ Best avoid relative paths, since this starts at the storage location of the jupy
 
 * [Strategy debugging](strategy_analysis_example.md) - also available as Jupyter notebook (`user_data/notebooks/strategy_analysis_example.ipynb`)
 * [Plotting](plotting.md)
+* [Tag Analysis](advanced-backtesting.md)
 
 Feel free to submit an issue or Pull Request enhancing this document if you would like to share ideas on how to best analyze the data.

docs/exchanges.md

@@ -64,7 +64,10 @@ Binance supports [time_in_force](configuration.md#understand-order_time_in_force
 For Binance, please add `"BNB/<STAKE>"` to your blacklist to avoid issues.
 Accounts having BNB accounts use this to pay for fees - if your first trade happens to be on `BNB`, further trades will consume this position and make the initial BNB trade unsellable as the expected amount is not there anymore.
 
-### Binance Futures' order pricing
+### Binance Futures
+
+Binance has specific (unfortunately complex) [Futures Trading Quantitative Rules](https://www.binance.com/en/support/faq/4f462ebe6ff445d4a170be7d9e897272) which need to be followed, and which prohibit a too low stake-amount (among others) for too many orders.
+Violating these rules will result in a trading restriction.
 
 When trading on Binance Futures market, orderbook must be used because there is no price ticker data for futures.
 

docs/index.md

@@ -51,6 +51,14 @@ Please read the [exchange specific notes](exchanges.md) to learn about eventual,
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others through <img alt="ccxt" width="30px" src="assets/ccxt-logo.svg" />](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges:
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](exchanges.md), as well as the [trading with leverage](leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

docs/javascripts/config.js

@@ -9,4 +9,4 @@ window.MathJax = {
     ignoreHtmlClass: ".*|",
     processHtmlClass: "arithmatex"
   }
-};
+};

docs/requirements-docs.txt

@@ -1,5 +1,5 @@
 mkdocs==1.3.0
-mkdocs-material==8.2.9
+mkdocs-material==8.2.10
 mdx_truly_sane_lists==1.2
-pymdown-extensions==9.3
+pymdown-extensions==9.4
 jinja2==3.1.1

docs/strategy-callbacks.md

@@ -7,6 +7,7 @@ Depending on the callback used, they may be called when entering / exiting a tra
 
 Currently available callbacks:
 
+* [`bot_start()`](#bot-start)
 * [`bot_loop_start()`](#bot-loop-start)
 * [`custom_stake_amount()`](#stake-size-management)
 * [`custom_exit()`](#custom-exit-signal)
@@ -21,6 +22,29 @@ Currently available callbacks:
 !!! Tip "Callback calling sequence"
     You can find the callback calling sequence in [bot-basics](bot-basics.md#bot-execution-logic)
 
+## Bot start
+
+A simple callback which is called once when the strategy is loaded.
+This can be used to perform actions that must only be performed once and runs after dataprovider and wallet are set
+
+``` python
+import requests
+
+class AwesomeStrategy(IStrategy):
+
+    # ... populate_* methods
+
+    def bot_start(self, **kwargs) -> None:
+        """
+        Called only once after bot instantiation.
+        :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
+        """
+        if self.config['runmode'].value in ('live', 'dry_run'):
+            # Assign this to the class by using self.*
+            # can then be used by populate_* methods
+            self.cust_remote_data = requests.get('https://some_remote_source.example.com')
+
+```
 ## Bot loop start
 
 A simple callback which is called once at the start of every bot throttling iteration (roughly every 5 seconds, unless configured differently).
@@ -122,11 +146,11 @@ See [Dataframe access](strategy-advanced.md#dataframe-access) for more informati
 
 ## Custom stoploss
 
-Called for open trade every throttling iteration (roughly every 5 seconds) until a trade is closed.
+Called for open trade every iteration (roughly every 5 seconds) until a trade is closed.
 
 The usage of the custom stoploss method must be enabled by setting `use_custom_stoploss=True` on the strategy object.
 
-The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss (before this method is called for the first time for a trade).
+The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss (before this method is called for the first time for a trade), and is still mandatory.
 
 The method must return a stoploss value (float / number) as a percentage of the current price.
 E.g. If the `current_rate` is 200 USD, then returning `0.02` will set the stoploss price 2% lower, at 196 USD.
@@ -365,30 +389,30 @@ class AwesomeStrategy(IStrategy):
 
     # ... populate_* methods
 
-    def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float, 
+    def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float,
                            entry_tag: Optional[str], side: str, **kwargs) -> float:
 
         dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
                                                                 timeframe=self.timeframe)
         new_entryprice = dataframe['bollinger_10_lowerband'].iat[-1]
-        
+
         return new_entryprice
 
     def custom_exit_price(self, pair: str, trade: Trade,
                           current_time: datetime, proposed_rate: float,
-                          current_profit: float, **kwargs) -> float:
+                          current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
 
         dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
                                                                 timeframe=self.timeframe)
         new_exitprice = dataframe['bollinger_10_upperband'].iat[-1]
-        
+
         return new_exitprice
 
 ```
 
 !!! Warning
-    Modifying entry and exit prices will only work for limit orders. Depending on the price chosen, this can result in a lot of unfilled orders. By default the maximum allowed distance between the current price and the custom price is 2%, this value can be changed in config with the `custom_price_max_distance_ratio` parameter.  
-    **Example**:  
+    Modifying entry and exit prices will only work for limit orders. Depending on the price chosen, this can result in a lot of unfilled orders. By default the maximum allowed distance between the current price and the custom price is 2%, this value can be changed in config with the `custom_price_max_distance_ratio` parameter.
+    **Example**:
     If the new_entryprice is 97, the proposed_rate is 100 and the `custom_price_max_distance_ratio` is set to 2%, The retained valid custom entry price will be 98, which is 2% below the current (proposed) rate.
 
 !!! Warning "Backtesting"
@@ -418,7 +442,7 @@ The function must return either `True` (cancel order) or `False` (keep order ali
 
 ``` python
 from datetime import datetime, timedelta
-from freqtrade.persistence import Trade
+from freqtrade.persistence import Trade, Order
 
 class AwesomeStrategy(IStrategy):
 
@@ -430,7 +454,7 @@ class AwesomeStrategy(IStrategy):
         'exit': 60 * 25
     }
 
-    def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, 
+    def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order',
                             current_time: datetime, **kwargs) -> bool:
         if trade.open_rate > 100 and trade.open_date_utc < current_time - timedelta(minutes=5):
             return True
@@ -441,7 +465,7 @@ class AwesomeStrategy(IStrategy):
         return False
 
 
-    def check_exit_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_exit_timeout(self, pair: str, trade: Trade, order: 'Order',
                            current_time: datetime, **kwargs) -> bool:
         if trade.open_rate > 100 and trade.open_date_utc < current_time - timedelta(minutes=5):
             return True
@@ -459,7 +483,7 @@ class AwesomeStrategy(IStrategy):
 
 ``` python
 from datetime import datetime
-from freqtrade.persistence import Trade
+from freqtrade.persistence import Trade, Order
 
 class AwesomeStrategy(IStrategy):
 
@@ -471,22 +495,22 @@ class AwesomeStrategy(IStrategy):
         'exit': 60 * 25
     }
 
-    def check_entry_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order',
                             current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['bids'][0][0]
         # Cancel buy order if price is more than 2% above the order.
-        if current_price > order['price'] * 1.02:
+        if current_price > order.price * 1.02:
             return True
         return False
 
 
-    def check_exit_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order',
                            current_time: datetime, **kwargs) -> bool:
         ob = self.dp.orderbook(pair, 1)
         current_price = ob['asks'][0][0]
         # Cancel sell order if price is more than 2% below the order.
-        if current_price < order['price'] * 0.98:
+        if current_price < order.price * 0.98:
             return True
         return False
 ```
@@ -508,7 +532,7 @@ class AwesomeStrategy(IStrategy):
     # ... populate_* methods
 
     def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
-                            time_in_force: str, current_time: datetime, entry_tag: Optional[str], 
+                            time_in_force: str, current_time: datetime, entry_tag: Optional[str],
                             side: str, **kwargs) -> bool:
         """
         Called right before placing a entry order.
@@ -616,35 +640,35 @@ from freqtrade.persistence import Trade
 
 
 class DigDeeperStrategy(IStrategy):
-    
+
     position_adjustment_enable = True
-    
+
     # Attempts to handle large drops with DCA. High stoploss is required.
     stoploss = -0.30
-    
+
     # ... populate_* methods
-    
+
     # Example specific variables
     max_entry_position_adjustment = 3
     # This number is explained a bit further down
     max_dca_multiplier = 5.5
-    
+
     # This is called when placing the initial order (opening trade)
     def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
                             proposed_stake: float, min_stake: float, max_stake: float,
                             entry_tag: Optional[str], side: str, **kwargs) -> float:
-        
+
         # We need to leave most of the funds for possible further DCA orders
         # This also applies to fixed stakes
         return proposed_stake / self.max_dca_multiplier
-        
+
     def adjust_trade_position(self, trade: Trade, current_time: datetime,
                               current_rate: float, current_profit: float, min_stake: float,
                               max_stake: float, **kwargs):
         """
         Custom trade adjustment logic, returning the stake amount that a trade should be increased.
         This means extra buy orders with additional fees.
- 
+
         :param trade: trade object.
         :param current_time: datetime object, containing the current datetime
         :param current_rate: Current buy rate.
@@ -654,7 +678,7 @@ class DigDeeperStrategy(IStrategy):
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
         :return float: Stake amount to adjust your trade
         """
-        
+
         if current_profit > -0.05:
             return None
 

docs/strategy_analysis_example.md

@@ -93,7 +93,7 @@ from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats
 
 # if backtest_dir points to a directory, it'll automatically load the last backtest file.
 backtest_dir = config["user_data_dir"] / "backtest_results"
-# backtest_dir can also point to a specific file 
+# backtest_dir can also point to a specific file
 # backtest_dir = config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json"
 ```
 

docs/strategy_migration.md

@@ -183,11 +183,11 @@ class AwesomeStrategy(IStrategy):
 
 ``` python hl_lines="2 6"
 class AwesomeStrategy(IStrategy):
-    def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, 
+    def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order', 
                             current_time: datetime, **kwargs) -> bool:
         return False
 
-    def check_exit_timeout(self, pair: str, trade: 'Trade', order: dict, 
+    def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order', 
                             current_time: datetime, **kwargs) -> bool:
         return False 
 ```

environment.yml

@@ -32,6 +32,7 @@ dependencies:
     - prompt-toolkit
     - schedule
     - python-dateutil
+    - joblib
 
 
     # ============================
@@ -54,7 +55,6 @@ dependencies:
     - scikit-learn
     - filelock
     - scikit-optimize
-    - joblib
     - progressbar2
     # ============================
     # 4/4 req plot

freqtrade.service

@@ -11,4 +11,3 @@ Restart=on-failure
 
 [Install]
 WantedBy=default.target
-

freqtrade.service.watchdog

@@ -27,4 +27,3 @@ WatchdogSec=20
 
 [Install]
 WantedBy=default.target
-

freqtrade/commands/arguments.py

@@ -12,7 +12,7 @@ from freqtrade.constants import DEFAULT_CONFIG
 
 ARGS_COMMON = ["verbosity", "logfile", "version", "config", "datadir", "user_data_dir"]
 
-ARGS_STRATEGY = ["strategy", "strategy_path"]
+ARGS_STRATEGY = ["strategy", "strategy_path", "recursive_strategy_search"]
 
 ARGS_TRADE = ["db_url", "sd_notify", "dry_run", "dry_run_wallet", "fee"]
 
@@ -37,7 +37,8 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
 
 ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
 
-ARGS_LIST_STRATEGIES = ["strategy_path", "print_one_column", "print_colorized"]
+ARGS_LIST_STRATEGIES = ["strategy_path", "print_one_column", "print_colorized",
+                        "recursive_strategy_search"]
 
 ARGS_LIST_HYPEROPTS = ["hyperopt_path", "print_one_column", "print_colorized"]
 

freqtrade/commands/cli_options.py

@@ -83,6 +83,11 @@ AVAILABLE_CLI_OPTIONS = {
         help='Reset sample files to their original state.',
         action='store_true',
     ),
+    "recursive_strategy_search": Arg(
+        '--recursive-strategy-search',
+        help='Recursively search for a strategy in the strategies folder.',
+        action='store_true',
+    ),
     # Main options
     "strategy": Arg(
         '-s', '--strategy',

freqtrade/commands/list_commands.py

@@ -41,7 +41,7 @@ def start_list_exchanges(args: Dict[str, Any]) -> None:
         print(tabulate(exchanges, headers=['Exchange name', 'Valid', 'reason']))
 
 
-def _print_objs_tabular(objs: List, print_colorized: bool) -> None:
+def _print_objs_tabular(objs: List, print_colorized: bool, base_dir: Path) -> None:
     if print_colorized:
         colorama_init(autoreset=True)
         red = Fore.RED
@@ -55,7 +55,7 @@ def _print_objs_tabular(objs: List, print_colorized: bool) -> None:
     names = [s['name'] for s in objs]
     objs_to_print = [{
         'name': s['name'] if s['name'] else "--",
-        'location': s['location'].name,
+        'location': s['location'].relative_to(base_dir),
         'status': (red + "LOAD FAILED" + reset if s['class'] is None
                    else "OK" if names.count(s['name']) == 1
                    else yellow + "DUPLICATE NAME" + reset)
@@ -77,7 +77,8 @@ def start_list_strategies(args: Dict[str, Any]) -> None:
     config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
 
     directory = Path(config.get('strategy_path', config['user_data_dir'] / USERPATH_STRATEGIES))
-    strategy_objs = StrategyResolver.search_all_objects(directory, not args['print_one_column'])
+    strategy_objs = StrategyResolver.search_all_objects(
+        directory, not args['print_one_column'], config.get('recursive_strategy_search', False))
     # Sort alphabetically
     strategy_objs = sorted(strategy_objs, key=lambda x: x['name'])
     for obj in strategy_objs:
@@ -89,7 +90,7 @@ def start_list_strategies(args: Dict[str, Any]) -> None:
     if args['print_one_column']:
         print('\n'.join([s['name'] for s in strategy_objs]))
     else:
-        _print_objs_tabular(strategy_objs, config.get('print_colorized', False))
+        _print_objs_tabular(strategy_objs, config.get('print_colorized', False), directory)
 
 
 def start_list_timeframes(args: Dict[str, Any]) -> None:

freqtrade/configuration/configuration.py

@@ -248,6 +248,12 @@ class Configuration:
         self._args_to_config(config, argname='strategy_list',
                              logstring='Using strategy list of {} strategies', logfun=len)
 
+        self._args_to_config(
+            config,
+            argname='recursive_strategy_search',
+            logstring='Recursively searching for a strategy in the strategies folder.',
+        )
+
         self._args_to_config(config, argname='timeframe',
                              logstring='Overriding timeframe with Command line argument')
 

freqtrade/constants.py

@@ -14,7 +14,7 @@ PROCESS_THROTTLE_SECS = 5  # sec
 HYPEROPT_EPOCH = 100  # epochs
 RETRY_TIMEOUT = 30  # sec
 TIMEOUT_UNITS = ['minutes', 'seconds']
-EXPORT_OPTIONS = ['none', 'trades']
+EXPORT_OPTIONS = ['none', 'trades', 'signals']
 DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
 DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
 UNLIMITED_STAKE_AMOUNT = 'unlimited'

freqtrade/data/btanalysis.py

@@ -12,7 +12,8 @@ import pandas as pd
 
 from freqtrade.constants import LAST_BT_RESULT_FN
 from freqtrade.exceptions import OperationalException
-from freqtrade.misc import get_backtest_metadata_filename, json_load
+from freqtrade.misc import json_load
+from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
 from freqtrade.persistence import LocalTrade, Trade, init_db
 
 
@@ -149,7 +150,14 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
     return data
 
 
-def _load_and_merge_backtest_result(strategy_name: str, filename: Path, results: Dict[str, Any]):
+def load_and_merge_backtest_result(strategy_name: str, filename: Path, results: Dict[str, Any]):
+    """
+    Load one strategy from multi-strategy result
+    and merge it with results
+    :param strategy_name: Name of the strategy contained in the result
+    :param filename: Backtest-result-filename to load
+    :param results: dict to merge the result to.
+    """
     bt_data = load_backtest_stats(filename)
     for k in ('metadata', 'strategy'):
         results[k][strategy_name] = bt_data[k][strategy_name]
@@ -160,6 +168,30 @@ def _load_and_merge_backtest_result(strategy_name: str, filename: Path, results:
             break
 
 
+def _get_backtest_files(dirname: Path) -> List[Path]:
+    return list(reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))))
+
+
+def get_backtest_resultlist(dirname: Path):
+    """
+    Get list of backtest results read from metadata files
+    """
+    results = []
+    for filename in _get_backtest_files(dirname):
+        metadata = load_backtest_metadata(filename)
+        if not metadata:
+            continue
+        for s, v in metadata.items():
+            results.append({
+                'filename': filename.name,
+                'strategy': s,
+                'run_id': v['run_id'],
+                'backtest_start_time': v['backtest_start_time'],
+
+            })
+    return results
+
+
 def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
                                  min_backtest_date: datetime = None) -> Dict[str, Any]:
     """
@@ -179,7 +211,7 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
     }
 
     # Weird glob expression here avoids including .meta.json files.
-    for filename in reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))):
+    for filename in _get_backtest_files(dirname):
         metadata = load_backtest_metadata(filename)
         if not metadata:
             # Files are sorted from newest to oldest. When file without metadata is encountered it
@@ -202,7 +234,7 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
 
             if strategy_metadata['run_id'] == run_id:
                 del run_ids[strategy_name]
-                _load_and_merge_backtest_result(strategy_name, filename, results)
+                load_and_merge_backtest_result(strategy_name, filename, results)
 
         if len(run_ids) == 0:
             break
@@ -541,3 +573,14 @@ def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[f
     csum_max = csum_df['sum'].max() + starting_balance
 
     return csum_min, csum_max
+
+
+def calculate_cagr(days_passed: int, starting_balance: float, final_balance: float) -> float:
+    """
+    Calculate CAGR
+    :param days_passed: Days passed between start and ending balance
+    :param starting_balance: Starting balance
+    :param final_balance: Final balance to calculate CAGR against
+    :return: CAGR
+    """
+    return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1

freqtrade/exchange/exchange.py

@@ -9,6 +9,7 @@ import logging
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from math import ceil
+from threading import Lock
 from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
 
 import arrow
@@ -64,6 +65,7 @@ class Exchange:
         "ohlcv_params": {},
         "ohlcv_candle_limit": 500,
         "ohlcv_partial_candle": True,
+        "ohlcv_require_since": False,
         # Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
         "ohlcv_volume_currency": "base",  # "base" or "quote"
         "tickers_have_quoteVolume": True,
@@ -95,6 +97,9 @@ class Exchange:
         self._markets: Dict = {}
         self._trading_fees: Dict[str, Any] = {}
         self._leverage_tiers: Dict[str, List[Dict]] = {}
+        # Lock event loop. This is necessary to avoid race-conditions when using force* commands
+        # Due to funding fee fetching.
+        self._loop_lock = Lock()
         self.loop = asyncio.new_event_loop()
         asyncio.set_event_loop(self.loop)
         self._config: Dict = {}
@@ -166,7 +171,7 @@ class Exchange:
         self._api_async = self._init_ccxt(
             exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
 
-        logger.info('Using Exchange "%s"', self.name)
+        logger.info(f'Using Exchange "{self.name}"')
 
         if validate:
             # Check if timeframe is available
@@ -368,6 +373,9 @@ class Exchange:
         return (
             market.get('quote', None) is not None
             and market.get('base', None) is not None
+            and (self.precisionMode != TICK_SIZE
+                 # Too low precision will falsify calculations
+                 or market.get('precision', {}).get('price', None) > 1e-11)
             and ((self.trading_mode == TradingMode.SPOT and self.market_is_spot(market))
                  or (self.trading_mode == TradingMode.MARGIN and self.market_is_margin(market))
                  or (self.trading_mode == TradingMode.FUTURES and self.market_is_future(market)))
@@ -551,7 +559,7 @@ class Exchange:
             # Therefore we also show that.
             raise OperationalException(
                 f"The ccxt library does not provide the list of timeframes "
-                f"for the exchange \"{self.name}\" and this exchange "
+                f"for the exchange {self.name} and this exchange "
                 f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
 
         if timeframe and (timeframe not in self.timeframes):
@@ -651,7 +659,7 @@ class Exchange:
         Re-implementation of ccxt internal methods - ensuring we can test the result is correct
         based on our definitions.
         """
-        if self.markets[pair]['precision']['amount']:
+        if self.markets[pair]['precision']['amount'] is not None:
             amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
                                                 precision=self.markets[pair]['precision']['amount'],
                                                 counting_mode=self.precisionMode,
@@ -781,7 +789,9 @@ class Exchange:
                              rate: float, leverage: float, params: Dict = {},
                              stop_loss: bool = False) -> Dict[str, Any]:
         order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
-        _amount = self.amount_to_precision(pair, amount)
+        # Rounding here must respect to contract sizes
+        _amount = self._contracts_to_amount(
+            pair, self.amount_to_precision(pair, self._amount_to_contracts(pair, amount)))
         dry_order: Dict[str, Any] = {
             'id': order_id,
             'symbol': pair,
@@ -1710,7 +1720,8 @@ class Exchange:
     def _build_coroutine(self, pair: str, timeframe: str, candle_type: CandleType,
                          since_ms: Optional[int]) -> Coroutine:
 
-        if not since_ms and self.required_candle_call_count > 1:
+        if (not since_ms
+                and (self._ft_has["ohlcv_require_since"] or self.required_candle_call_count > 1)):
             # Multiple calls for one pair - to get more history
             one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
             move_to = one_call * self.required_candle_call_count
@@ -1770,7 +1781,8 @@ class Exchange:
             async def gather_stuff():
                 return await asyncio.gather(*input_coro, return_exceptions=True)
 
-            results = self.loop.run_until_complete(gather_stuff())
+            with self._loop_lock:
+                results = self.loop.run_until_complete(gather_stuff())
 
             for res in results:
                 if isinstance(res, Exception):
@@ -1829,17 +1841,18 @@ class Exchange:
                 pair, timeframe, since_ms, s
             )
             params = deepcopy(self._ft_has.get('ohlcv_params', {}))
+            candle_limit = self.ohlcv_candle_limit(timeframe)
             if candle_type != CandleType.SPOT:
                 params.update({'price': candle_type})
             if candle_type != CandleType.FUNDING_RATE:
                 data = await self._api_async.fetch_ohlcv(
                     pair, timeframe=timeframe, since=since_ms,
-                    limit=self.ohlcv_candle_limit(timeframe), params=params)
+                    limit=candle_limit, params=params)
             else:
                 # Funding rate
                 data = await self._api_async.fetch_funding_rate_history(
                     pair, since=since_ms,
-                    limit=self.ohlcv_candle_limit(timeframe))
+                    limit=candle_limit)
                 # Convert funding rate to candle pattern
                 data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
             # Some exchanges sort OHLCV in ASC order and others in DESC.
@@ -2026,9 +2039,10 @@ class Exchange:
         if not self.exchange_has("fetchTrades"):
             raise OperationalException("This exchange does not support downloading Trades.")
 
-        return self.loop.run_until_complete(
-            self._async_get_trade_history(pair=pair, since=since,
-                                          until=until, from_id=from_id))
+        with self._loop_lock:
+            return self.loop.run_until_complete(
+                self._async_get_trade_history(pair=pair, since=since,
+                                              until=until, from_id=from_id))
 
     @retrier
     def _get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:
@@ -2137,8 +2151,8 @@ class Exchange:
     def parse_leverage_tier(self, tier) -> Dict:
         info = tier.get('info', {})
         return {
-            'min': tier['notionalFloor'],
-            'max': tier['notionalCap'],
+            'min': tier['minNotional'],
+            'max': tier['maxNotional'],
             'mmr': tier['maintenanceMarginRate'],
             'lev': tier['maxLeverage'],
             'maintAmt': float(info['cum']) if 'cum' in info else None,

freqtrade/exchange/ftx.py

@@ -20,6 +20,7 @@ class Ftx(Exchange):
     _ft_has: Dict = {
         "stoploss_on_exchange": True,
         "ohlcv_candle_limit": 1500,
+        "ohlcv_require_since": True,
         "ohlcv_volume_currency": "quote",
         "mark_ohlcv_price": "index",
         "mark_ohlcv_timeframe": "1h",

freqtrade/freqtradebot.py

@@ -122,6 +122,8 @@ class FreqtradeBot(LoggingMixin):
                     self._schedule.every().day.at(t).do(update)
         self.last_process = datetime(1970, 1, 1, tzinfo=timezone.utc)
 
+        self.strategy.bot_start()
+
     def notify_status(self, msg: str) -> None:
         """
         Public method for users of this class (worker, etc.) to send notifications
@@ -585,7 +587,6 @@ class FreqtradeBot(LoggingMixin):
         Executes a limit buy for the given pair
         :param pair: pair for which we want to create a LIMIT_BUY
         :param stake_amount: amount of stake-currency for the pair
-        :param leverage: amount of leverage applied to this trade
         :return: True if a buy order is created, false if it fails.
         """
         time_in_force = self.strategy.order_time_in_force['entry']
@@ -664,16 +665,6 @@ class FreqtradeBot(LoggingMixin):
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        # TODO: this might be unnecessary, as we're calling it in update_trade_state.
-        isolated_liq = self.exchange.get_liquidation_price(
-            leverage=leverage,
-            pair=pair,
-            amount=amount,
-            open_rate=enter_limit_filled_price,
-            is_short=is_short
-        )
-        interest_rate = self.exchange.get_interest_rate()
-
         # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
         fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
         base_currency = self.exchange.get_pair_base_currency(pair)
@@ -702,8 +693,6 @@ class FreqtradeBot(LoggingMixin):
                 timeframe=timeframe_to_minutes(self.config['timeframe']),
                 leverage=leverage,
                 is_short=is_short,
-                interest_rate=interest_rate,
-                liquidation_price=isolated_liq,
                 trading_mode=self.trading_mode,
                 funding_fees=funding_fees
             )
@@ -1373,7 +1362,8 @@ class FreqtradeBot(LoggingMixin):
                                                   default_retval=proposed_limit_rate)(
             pair=trade.pair, trade=trade,
             current_time=datetime.now(timezone.utc),
-            proposed_rate=proposed_limit_rate, current_profit=current_profit)
+            proposed_rate=proposed_limit_rate, current_profit=current_profit,
+            exit_tag=exit_check.exit_reason)
 
         limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
 

freqtrade/misc.py

@@ -2,13 +2,11 @@
 Various tool function for Freqtrade and scripts
 """
 import gzip
-import hashlib
 import logging
 import re
-from copy import deepcopy
 from datetime import datetime
 from pathlib import Path
-from typing import Any, Iterator, List, Union
+from typing import Any, Iterator, List
 from typing.io import IO
 from urllib.parse import urlparse
 
@@ -86,6 +84,22 @@ def file_dump_json(filename: Path, data: Any, is_zip: bool = False, log: bool =
     logger.debug(f'done json to "{filename}"')
 
 
+def file_dump_joblib(filename: Path, data: Any, log: bool = True) -> None:
+    """
+    Dump object data into a file
+    :param filename: file to create
+    :param data: Object data to save
+    :return:
+    """
+    import joblib
+
+    if log:
+        logger.info(f'dumping joblib to "{filename}"')
+    with open(filename, 'wb') as fp:
+        joblib.dump(data, fp)
+    logger.debug(f'done joblib dump to "{filename}"')
+
+
 def json_load(datafile: IO) -> Any:
     """
     load data with rapidjson
@@ -235,34 +249,3 @@ def parse_db_uri_for_logging(uri: str):
         return uri
     pwd = parsed_db_uri.netloc.split(':')[1].split('@')[0]
     return parsed_db_uri.geturl().replace(f':{pwd}@', ':*****@')
-
-
-def get_strategy_run_id(strategy) -> str:
-    """
-    Generate unique identification hash for a backtest run. Identical config and strategy file will
-    always return an identical hash.
-    :param strategy: strategy object.
-    :return: hex string id.
-    """
-    digest = hashlib.sha1()
-    config = deepcopy(strategy.config)
-
-    # Options that have no impact on results of individual backtest.
-    not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
-    for k in not_important_keys:
-        if k in config:
-            del config[k]
-
-    # Explicitly allow NaN values (e.g. max_open_trades).
-    # as it does not matter for getting the hash.
-    digest.update(rapidjson.dumps(config, default=str,
-                                  number_mode=rapidjson.NM_NAN).encode('utf-8'))
-    with open(strategy.__file__, 'rb') as fp:
-        digest.update(fp.read())
-    return digest.hexdigest().lower()
-
-
-def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
-    """Return metadata filename for specified backtest results file."""
-    filename = Path(filename)
-    return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

freqtrade/optimize/backtest_caching.py

@@ -0,0 +1,40 @@
+import hashlib
+from copy import deepcopy
+from pathlib import Path
+from typing import Union
+
+import rapidjson
+
+
+def get_strategy_run_id(strategy) -> str:
+    """
+    Generate unique identification hash for a backtest run. Identical config and strategy file will
+    always return an identical hash.
+    :param strategy: strategy object.
+    :return: hex string id.
+    """
+    digest = hashlib.sha1()
+    config = deepcopy(strategy.config)
+
+    # Options that have no impact on results of individual backtest.
+    not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
+    for k in not_important_keys:
+        if k in config:
+            del config[k]
+
+    # Explicitly allow NaN values (e.g. max_open_trades).
+    # as it does not matter for getting the hash.
+    digest.update(rapidjson.dumps(config, default=str,
+                                  number_mode=rapidjson.NM_NAN).encode('utf-8'))
+    # Include _ft_params_from_file - so changing parameter files cause cache eviction
+    digest.update(rapidjson.dumps(
+        strategy._ft_params_from_file, default=str, number_mode=rapidjson.NM_NAN).encode('utf-8'))
+    with open(strategy.__file__, 'rb') as fp:
+        digest.update(fp.read())
+    return digest.hexdigest().lower()
+
+
+def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
+    """Return metadata filename for specified backtest results file."""
+    filename = Path(filename)
+    return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

freqtrade/optimize/backtesting.py

@@ -9,6 +9,7 @@ from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from typing import Any, Dict, List, Optional, Tuple
 
+import pandas as pd
 from numpy import nan
 from pandas import DataFrame
 
@@ -19,13 +20,15 @@ from freqtrade.data import history
 from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
 from freqtrade.data.converter import trim_dataframe, trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
-from freqtrade.enums import BacktestState, CandleType, ExitCheckTuple, ExitType, TradingMode
+from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
+                             TradingMode)
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
-from freqtrade.misc import get_strategy_run_id
 from freqtrade.mixins import LoggingMixin
+from freqtrade.optimize.backtest_caching import get_strategy_run_id
 from freqtrade.optimize.bt_progress import BTProgress
 from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
+                                                 store_backtest_signal_candles,
                                                  store_backtest_stats)
 from freqtrade.persistence import LocalTrade, Order, PairLocks, Trade
 from freqtrade.plugins.pairlistmanager import PairListManager
@@ -51,6 +54,11 @@ ESHORT_IDX = 8  # Exit short
 ENTER_TAG_IDX = 9
 EXIT_TAG_IDX = 10
 
+# Every change to this headers list must evaluate further usages of the resulting tuple
+# and eventually change the constants for indexes at the top
+HEADERS = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
+           'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
+
 
 class Backtesting:
     """
@@ -73,6 +81,8 @@ class Backtesting:
         self.run_ids: Dict[str, str] = {}
         self.strategylist: List[IStrategy] = []
         self.all_results: Dict[str, Dict] = {}
+        self.processed_dfs: Dict[str, Dict] = {}
+
         self._exchange_name = self.config['exchange']['name']
         self.exchange = ExchangeResolver.load_exchange(self._exchange_name, self.config)
         self.dataprovider = DataProvider(self.config, self.exchange)
@@ -174,9 +184,10 @@ class Backtesting:
         # Attach Wallets to Strategy baseclass
         strategy.wallets = self.wallets
         # Set stoploss_on_exchange to false for backtesting,
-        # since a "perfect" stoploss-sell is assumed anyway
+        # since a "perfect" stoploss-exit is assumed anyway
         # And the regular "stoploss" function would not apply to that case
         self.strategy.order_types['stoploss_on_exchange'] = False
+        self.strategy.bot_start()
 
     def _load_protections(self, strategy: IStrategy):
         if self.config.get('enable_protections', False):
@@ -259,10 +270,18 @@ class Backtesting:
                 candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
             )
             # Combine data to avoid combining the data per trade.
+            unavailable_pairs = []
             for pair in self.pairlists.whitelist:
+                if pair not in self.exchange._leverage_tiers:
+                    unavailable_pairs.append(pair)
+                    continue
                 self.futures_data[pair] = funding_rates_dict[pair].merge(
                     mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
 
+            if unavailable_pairs:
+                raise OperationalException(
+                        f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. "
+                        "It is therefore impossible to backtest with this pair at the moment.")
         else:
             self.futures_data = {}
 
@@ -300,10 +319,7 @@ class Backtesting:
         :param processed: a processed dictionary with format {pair, data}, which gets cleared to
         optimize memory usage!
         """
-        # Every change to this headers list must evaluate further usages of the resulting tuple
-        # and eventually change the constants for indexes at the top
-        headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
-                   'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
+
         data: Dict = {}
         self.progress.init_step(BacktestState.CONVERT, len(processed))
 
@@ -315,7 +331,7 @@ class Backtesting:
 
             if not pair_data.empty:
                 # Cleanup from prior runs
-                pair_data.drop(headers[5:] + ['buy', 'sell'], axis=1, errors='ignore')
+                pair_data.drop(HEADERS[5:] + ['buy', 'sell'], axis=1, errors='ignore')
 
             df_analyzed = self.strategy.advise_exit(
                 self.strategy.advise_entry(pair_data, {'pair': pair}),
@@ -328,13 +344,13 @@ class Backtesting:
             self.dataprovider._set_cached_df(
                 pair, self.timeframe, df_analyzed, self.config['candle_type_def'])
 
-            # Create a copy of the dataframe before shifting, that way the buy signal/tag
+            # Create a copy of the dataframe before shifting, that way the entry signal/tag
             # remains on the correct candle for callbacks.
             df_analyzed = df_analyzed.copy()
 
-            # To avoid using data from future, we use buy/sell signals shifted
+            # To avoid using data from future, we use entry/exit signals shifted
             # from the previous candle
-            for col in headers[5:]:
+            for col in HEADERS[5:]:
                 tag_col = col in ('enter_tag', 'exit_tag')
                 if col in df_analyzed.columns:
                     df_analyzed.loc[:, col] = df_analyzed.loc[:, col].replace(
@@ -346,27 +362,27 @@ class Backtesting:
 
             # Convert from Pandas to list for performance reasons
             # (Looping Pandas is slow.)
-            data[pair] = df_analyzed[headers].values.tolist() if not df_analyzed.empty else []
+            data[pair] = df_analyzed[HEADERS].values.tolist() if not df_analyzed.empty else []
         return data
 
-    def _get_close_rate(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
+    def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                         trade_dur: int) -> float:
         """
         Get close rate for backtesting result
         """
         # Special handling if high or low hit STOP_LOSS or ROI
-        if sell.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
-            return self._get_close_rate_for_stoploss(row, trade, sell, trade_dur)
-        elif sell.exit_type == (ExitType.ROI):
-            return self._get_close_rate_for_roi(row, trade, sell, trade_dur)
+        if exit.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
+            return self._get_close_rate_for_stoploss(row, trade, exit, trade_dur)
+        elif exit.exit_type == (ExitType.ROI):
+            return self._get_close_rate_for_roi(row, trade, exit, trade_dur)
         else:
             return row[OPEN_IDX]
 
-    def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
+    def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                                      trade_dur: int) -> float:
         # our stoploss was already lower than candle high,
         # possibly due to a cancelled trade exit.
-        # sell at open price.
+        # exit at open price.
         is_short = trade.is_short or False
         leverage = trade.leverage or 1.0
         side_1 = -1 if is_short else 1
@@ -380,7 +396,7 @@ class Backtesting:
         # Special case: trailing triggers within same candle as trade opened. Assume most
         # pessimistic price movement, which is moving just enough to arm stoploss and
         # immediately going down to stop price.
-        if sell.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
+        if exit.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
             if (
                 not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
                 and self.strategy.trailing_only_offset_is_reached
@@ -399,7 +415,7 @@ class Backtesting:
                 else:
                     assert stop_rate < row[HIGH_IDX]
 
-            # Limit lower-end to candle low to avoid sells below the low.
+            # Limit lower-end to candle low to avoid exits below the low.
             # This still remains "worst case" - but "worst realistic case".
             if is_short:
                 return min(row[HIGH_IDX], stop_rate)
@@ -409,7 +425,7 @@ class Backtesting:
         # Set close_rate to stoploss
         return trade.stop_loss
 
-    def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
+    def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
                                 trade_dur: int) -> float:
         is_short = trade.is_short or False
         leverage = trade.leverage or 1.0
@@ -434,7 +450,7 @@ class Backtesting:
                     and roi_entry % self.timeframe_min == 0
                     and is_new_roi):
                 # new ROI entry came into effect.
-                # use Open rate if open_rate > calculated sell rate
+                # use Open rate if open_rate > calculated exit rate
                 return row[OPEN_IDX]
 
             if (trade_dur == 0 and (
@@ -457,11 +473,11 @@ class Backtesting:
                 # ROI on opening candles with custom pricing can only
                 # trigger if the entry was at Open or lower wick.
                 # details: https: // github.com/freqtrade/freqtrade/issues/6261
-                # If open_rate is < open, only allow sells below the close on red candles.
+                # If open_rate is < open, only allow exits below the close on red candles.
                 raise ValueError("Opening candle ROI on red candles.")
 
             # Use the maximum between close_rate and low as we
-            # cannot sell outside of a candle.
+            # cannot exit outside of a candle.
             # Applies when a new ROI setting comes in place and the whole candle is above that.
             return min(max(close_rate, row[LOW_IDX]), row[HIGH_IDX])
 
@@ -496,7 +512,7 @@ class Backtesting:
         """ Rate is within candle, therefore filled"""
         return row[LOW_IDX] <= rate <= row[HIGH_IDX]
 
-    def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
+    def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
                                          row: Tuple) -> Optional[LocalTrade]:
 
         # Check if we need to adjust our current positions
@@ -508,34 +524,35 @@ class Backtesting:
             if check_adjust_entry:
                 trade = self._get_adjust_trade_entry_for_candle(trade, row)
 
-        sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
+        exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
         enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
-        exit_ = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
-        sell = self.strategy.should_exit(
-            trade, row[OPEN_IDX], sell_candle_time,  # type: ignore
-            enter=enter, exit_=exit_,
+        exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
+        exit_ = self.strategy.should_exit(
+            trade, row[OPEN_IDX], exit_candle_time,  # type: ignore
+            enter=enter, exit_=exit_sig,
             low=row[LOW_IDX], high=row[HIGH_IDX]
         )
 
-        if sell.exit_flag:
-            trade.close_date = sell_candle_time
+        if exit_.exit_flag:
+            trade.close_date = exit_candle_time
 
             trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
             try:
-                closerate = self._get_close_rate(row, trade, sell, trade_dur)
+                closerate = self._get_close_rate(row, trade, exit_, trade_dur)
             except ValueError:
                 return None
             # call the custom exit price,with default value as previous closerate
             current_profit = trade.calc_profit_ratio(closerate)
             order_type = self.strategy.order_types['exit']
-            if sell.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
-                # Custom exit pricing only for sell-signals
+            if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
+                # Custom exit pricing only for exit-signals
                 if order_type == 'limit':
                     closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
                                                       default_retval=closerate)(
                         pair=trade.pair, trade=trade,
-                        current_time=sell_candle_time,
-                        proposed_rate=closerate, current_profit=current_profit)
+                        current_time=exit_candle_time,
+                        proposed_rate=closerate, current_profit=current_profit,
+                        exit_tag=exit_.exit_reason)
                     # We can't place orders lower than current low.
                     # freqtrade does not support this in live, and the order would fill immediately
                     if trade.is_short:
@@ -549,12 +566,12 @@ class Backtesting:
                     pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
                     rate=closerate,
                     time_in_force=time_in_force,
-                    sell_reason=sell.exit_reason,  # deprecated
-                    exit_reason=sell.exit_reason,
-                    current_time=sell_candle_time):
+                    sell_reason=exit_.exit_reason,  # deprecated
+                    exit_reason=exit_.exit_reason,
+                    current_time=exit_candle_time):
                 return None
 
-            trade.exit_reason = sell.exit_reason
+            trade.exit_reason = exit_.exit_reason
 
             # Checks and adds an exit tag, after checking that the length of the
             # row has the length for an exit tag column
@@ -562,6 +579,7 @@ class Backtesting:
                 len(row) > EXIT_TAG_IDX
                 and row[EXIT_TAG_IDX] is not None
                 and len(row[EXIT_TAG_IDX]) > 0
+                and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
             ):
                 trade.exit_reason = row[EXIT_TAG_IDX]
 
@@ -569,8 +587,8 @@ class Backtesting:
             order = Order(
                 id=self.order_id_counter,
                 ft_trade_id=trade.id,
-                order_date=sell_candle_time,
-                order_update_date=sell_candle_time,
+                order_date=exit_candle_time,
+                order_update_date=exit_candle_time,
                 ft_is_open=True,
                 ft_pair=trade.pair,
                 order_id=str(self.order_id_counter),
@@ -591,8 +609,8 @@ class Backtesting:
 
         return None
 
-    def _get_sell_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
-        sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
+    def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
+        exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
 
         if self.trading_mode == TradingMode.FUTURES:
             trade.funding_fees = self.exchange.calculate_funding_fees(
@@ -600,37 +618,35 @@ class Backtesting:
                 amount=trade.amount,
                 is_short=trade.is_short,
                 open_date=trade.open_date_utc,
-                close_date=sell_candle_time,
+                close_date=exit_candle_time,
             )
 
         if self.timeframe_detail and trade.pair in self.detail_data:
-            sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
+            exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)
 
             detail_data = self.detail_data[trade.pair]
             detail_data = detail_data.loc[
-                (detail_data['date'] >= sell_candle_time) &
-                (detail_data['date'] < sell_candle_end)
+                (detail_data['date'] >= exit_candle_time) &
+                (detail_data['date'] < exit_candle_end)
             ].copy()
             if len(detail_data) == 0:
                 # Fall back to "regular" data if no detail data was found for this candle
-                return self._get_sell_trade_entry_for_candle(trade, row)
+                return self._get_exit_trade_entry_for_candle(trade, row)
             detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
             detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
             detail_data.loc[:, 'enter_short'] = row[SHORT_IDX]
             detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
             detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
             detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
-            headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
-                       'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
-            for det_row in detail_data[headers].values.tolist():
-                res = self._get_sell_trade_entry_for_candle(trade, det_row)
+            for det_row in detail_data[HEADERS].values.tolist():
+                res = self._get_exit_trade_entry_for_candle(trade, det_row)
                 if res:
                     return res
 
             return None
 
         else:
-            return self._get_sell_trade_entry_for_candle(trade, row)
+            return self._get_exit_trade_entry_for_candle(trade, row)
 
     def get_valid_price_and_stake(
         self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
@@ -645,7 +661,7 @@ class Backtesting:
                 proposed_rate=propose_rate, entry_tag=entry_tag,
                 side=direction,
             )  # default value is the open rate
-            # We can't place orders higher than current high (otherwise it'd be a stop limit buy)
+            # We can't place orders higher than current high (otherwise it'd be a stop limit entry)
             # which freqtrade does not support in live.
             if direction == "short":
                 propose_rate = max(propose_rate, row[LOW_IDX])
@@ -809,13 +825,13 @@ class Backtesting:
             if len(open_trades[pair]) > 0:
                 for trade in open_trades[pair]:
                     if trade.open_order_id and trade.nr_of_successful_entries == 0:
-                        # Ignore trade if buy-order did not fill yet
+                        # Ignore trade if entry-order did not fill yet
                         continue
-                    sell_row = data[pair][-1]
+                    exit_row = data[pair][-1]
 
-                    trade.close_date = sell_row[DATE_IDX].to_pydatetime()
+                    trade.close_date = exit_row[DATE_IDX].to_pydatetime()
                     trade.exit_reason = ExitType.FORCE_EXIT.value
-                    trade.close(sell_row[OPEN_IDX], show_msg=False)
+                    trade.close(exit_row[OPEN_IDX], show_msg=False)
                     LocalTrade.close_bt_trade(trade)
                     # Deepcopy object to have wallets update correctly
                     trade1 = deepcopy(trade)
@@ -865,7 +881,7 @@ class Backtesting:
                         # Remove trade due to entry timeout expiration.
                         return True
                     else:
-                        # Close additional buy order
+                        # Close additional entry order
                         del trade.orders[trade.orders.index(order)]
                 if order.side == trade.exit_side:
                     self.timedout_exit_orders += 1
@@ -878,7 +894,7 @@ class Backtesting:
             self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
         try:
             # Row is treated as "current incomplete candle".
-            # Buy / sell signals are shifted by 1 to compensate for this.
+            # entry / exit signals are shifted by 1 to compensate for this.
             row = data[pair][row_index]
         except IndexError:
             # missing Data for one pair at the end.
@@ -943,14 +959,14 @@ class Backtesting:
                 self.dataprovider._set_dataframe_max_index(row_index)
 
                 for t in list(open_trades[pair]):
-                    # 1. Cancel expired buy/sell orders.
+                    # 1. Cancel expired entry/exit orders.
                     if self.check_order_cancel(t, current_time):
-                        # Close trade due to buy timeout expiration.
+                        # Close trade due to entry timeout expiration.
                         open_trade_count -= 1
                         open_trades[pair].remove(t)
                         self.wallets.update()
 
-                # 2. Process buys.
+                # 2. Process entries.
                 # without positionstacking, we can only have one open trade per pair.
                 # max_open_trades must be respected
                 # don't open on the last row
@@ -966,7 +982,7 @@ class Backtesting:
                     if trade:
                         # TODO: hacky workaround to avoid opening > max_open_trades
                         # This emulates previous behavior - not sure if this is correct
-                        # Prevents buying if the trade-slot was freed in this candle
+                        # Prevents entering if the trade-slot was freed in this candle
                         open_trade_count_start += 1
                         open_trade_count += 1
                         # logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
@@ -981,18 +997,18 @@ class Backtesting:
                         LocalTrade.add_bt_trade(trade)
                         self.wallets.update()
 
-                    # 4. Create sell orders (if any)
+                    # 4. Create exit orders (if any)
                     if not trade.open_order_id:
-                        self._get_sell_trade_entry(trade, row)  # Place sell order if necessary
+                        self._get_exit_trade_entry(trade, row)  # Place exit order if necessary
 
-                    # 5. Process sell orders.
+                    # 5. Process exit orders.
                     order = trade.select_order(trade.exit_side, is_open=True)
                     if order and self._get_order_filled(order.price, row):
                         trade.open_order_id = None
                         trade.close_date = current_time
                         trade.close(order.price, show_msg=False)
 
-                        # logger.debug(f"{pair} - Backtesting sell {trade}")
+                        # logger.debug(f"{pair} - Backtesting exit {trade}")
                         open_trade_count -= 1
                         open_trades[pair].remove(trade)
                         LocalTrade.close_bt_trade(trade)
@@ -1048,7 +1064,7 @@ class Backtesting:
                 "No data left after adjusting for startup candles.")
 
         # Use preprocessed_tmp for date generation (the trimmed dataframe).
-        # Backtesting will re-trim the dataframes after buy/sell signal generation.
+        # Backtesting will re-trim the dataframes after entry/exit signal generation.
         min_date, max_date = history.get_timerange(preprocessed_tmp)
         logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
                     f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
@@ -1070,8 +1086,31 @@ class Backtesting:
         })
         self.all_results[self.strategy.get_strategy_name()] = results
 
+        if (self.config.get('export', 'none') == 'signals' and
+                self.dataprovider.runmode == RunMode.BACKTEST):
+            self._generate_trade_signal_candles(preprocessed_tmp, results)
+
         return min_date, max_date
 
+    def _generate_trade_signal_candles(self, preprocessed_df, bt_results):
+        signal_candles_only = {}
+        for pair in preprocessed_df.keys():
+            signal_candles_only_df = DataFrame()
+
+            pairdf = preprocessed_df[pair]
+            resdf = bt_results['results']
+            pairresults = resdf.loc[(resdf["pair"] == pair)]
+
+            if pairdf.shape[0] > 0:
+                for t, v in pairresults.open_date.items():
+                    allinds = pairdf.loc[(pairdf['date'] < v)]
+                    signal_inds = allinds.iloc[[-1]]
+                    signal_candles_only_df = pd.concat([signal_candles_only_df, signal_inds])
+
+                signal_candles_only[pair] = signal_candles_only_df
+
+        self.processed_dfs[self.strategy.get_strategy_name()] = signal_candles_only
+
     def _get_min_cached_backtest_date(self):
         min_backtest_date = None
         backtest_cache_age = self.config.get('backtest_cache', constants.BACKTEST_CACHE_DEFAULT)
@@ -1130,9 +1169,13 @@ class Backtesting:
             else:
                 self.results = results
 
-            if self.config.get('export', 'none') == 'trades':
+            if self.config.get('export', 'none') in ('trades', 'signals'):
                 store_backtest_stats(self.config['exportfilename'], self.results)
 
+            if (self.config.get('export', 'none') == 'signals' and
+                    self.dataprovider.runmode == RunMode.BACKTEST):
+                store_backtest_signal_candles(self.config['exportfilename'], self.processed_dfs)
+
         # Results may be mixed up now. Sort them so they follow --strategy-list order.
         if 'strategy_list' in self.config and len(self.results) > 0:
             self.results['strategy_comparison'] = sorted(

freqtrade/optimize/edge_cli.py

@@ -44,6 +44,7 @@ class EdgeCli:
 
         self.edge._timerange = TimeRange.parse_timerange(None if self.config.get(
             'timerange') is None else str(self.config.get('timerange')))
+        self.strategy.bot_start()
 
     def start(self) -> None:
         result = self.edge.calculate(self.config['exchange']['pair_whitelist'])

freqtrade/optimize/hyperopt.py

@@ -10,7 +10,7 @@ import warnings
 from datetime import datetime, timezone
 from math import ceil
 from pathlib import Path
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List, Optional, Tuple
 
 import progressbar
 import rapidjson
@@ -290,7 +290,7 @@ class Hyperopt:
             self.assign_params(params_dict, 'protection')
 
         if HyperoptTools.has_space(self.config, 'roi'):
-            self.backtesting.strategy.minimal_roi = (  # type: ignore
+            self.backtesting.strategy.minimal_roi = (
                 self.custom_hyperopt.generate_roi_table(params_dict))
 
         if HyperoptTools.has_space(self.config, 'stoploss'):
@@ -409,6 +409,51 @@ class Hyperopt:
         # Store non-trimmed data - will be trimmed after signal generation.
         dump(preprocessed, self.data_pickle_file)
 
+    def get_asked_points(self, n_points: int) -> Tuple[List[List[Any]], List[bool]]:
+        """
+        Enforce points returned from `self.opt.ask` have not been already evaluated
+
+        Steps:
+        1. Try to get points using `self.opt.ask` first
+        2. Discard the points that have already been evaluated
+        3. Retry using `self.opt.ask` up to 3 times
+        4. If still some points are missing in respect to `n_points`, random sample some points
+        5. Repeat until at least `n_points` points in the `asked_non_tried` list
+        6. Return a list with length truncated at `n_points`
+        """
+        def unique_list(a_list):
+            new_list = []
+            for item in a_list:
+                if item not in new_list:
+                    new_list.append(item)
+            return new_list
+        i = 0
+        asked_non_tried: List[List[Any]] = []
+        is_random: List[bool] = []
+        while i < 5 and len(asked_non_tried) < n_points:
+            if i < 3:
+                self.opt.cache_ = {}
+                asked = unique_list(self.opt.ask(n_points=n_points * 5))
+                is_random = [False for _ in range(len(asked))]
+            else:
+                asked = unique_list(self.opt.space.rvs(n_samples=n_points * 5))
+                is_random = [True for _ in range(len(asked))]
+            is_random += [rand for x, rand in zip(asked, is_random)
+                          if x not in self.opt.Xi
+                          and x not in asked_non_tried]
+            asked_non_tried += [x for x in asked
+                                if x not in self.opt.Xi
+                                and x not in asked_non_tried]
+            i += 1
+
+        if asked_non_tried:
+            return (
+                asked_non_tried[:min(len(asked_non_tried), n_points)],
+                is_random[:min(len(asked_non_tried), n_points)]
+            )
+        else:
+            return self.opt.ask(n_points=n_points), [False for _ in range(n_points)]
+
     def start(self) -> None:
         self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None))
         logger.info(f"Using optimizer random state: {self.random_state}")
@@ -420,9 +465,10 @@ class Hyperopt:
 
         # We don't need exchange instance anymore while running hyperopt
         self.backtesting.exchange.close()
-        self.backtesting.exchange._api = None  # type: ignore
-        self.backtesting.exchange._api_async = None  # type: ignore
+        self.backtesting.exchange._api = None
+        self.backtesting.exchange._api_async = None
         self.backtesting.exchange.loop = None  # type: ignore
+        self.backtesting.exchange._loop_lock = None  # type: ignore
         # self.backtesting.exchange = None  # type: ignore
         self.backtesting.pairlists = None  # type: ignore
 
@@ -473,7 +519,7 @@ class Hyperopt:
                         n_rest = (i + 1) * jobs - self.total_epochs
                         current_jobs = jobs - n_rest if n_rest > 0 else jobs
 
-                        asked = self.opt.ask(n_points=current_jobs)
+                        asked, is_random = self.get_asked_points(n_points=current_jobs)
                         f_val = self.run_optimizer_parallel(parallel, asked, i)
                         self.opt.tell(asked, [v['loss'] for v in f_val])
 
@@ -492,6 +538,7 @@ class Hyperopt:
                             # evaluations can take different time. Here they are aligned in the
                             # order they will be shown to the user.
                             val['is_best'] = is_best
+                            val['is_random'] = is_random[j]
                             self.print_results(val)
 
                             if is_best:

freqtrade/optimize/hyperopt_tools.py

@@ -41,7 +41,8 @@ class HyperoptTools():
         """
         from freqtrade.resolvers.strategy_resolver import StrategyResolver
         directory = Path(config.get('strategy_path', config['user_data_dir'] / USERPATH_STRATEGIES))
-        strategy_objs = StrategyResolver.search_all_objects(directory, False)
+        strategy_objs = StrategyResolver.search_all_objects(
+            directory, False, config.get('recursive_strategy_search', False))
         strategies = [s for s in strategy_objs if s['name'] == strategy_name]
         if strategies:
             strategy = strategies[0]
@@ -310,6 +311,8 @@ class HyperoptTools():
         if not has_drawdown:
             # Ensure compatibility with older versions of hyperopt results
             trials['results_metrics.max_drawdown_account'] = None
+        if 'is_random' not in trials.columns:
+            trials['is_random'] = False
 
         # New mode, using backtest result for metrics
         trials['results_metrics.winsdrawslosses'] = trials.apply(
@@ -322,12 +325,12 @@ class HyperoptTools():
                          'results_metrics.profit_total', 'results_metrics.holding_avg',
                          'results_metrics.max_drawdown',
                          'results_metrics.max_drawdown_account', 'results_metrics.max_drawdown_abs',
-                         'loss', 'is_initial_point', 'is_best']]
+                         'loss', 'is_initial_point', 'is_random', 'is_best']]
 
         trials.columns = [
             'Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
             'Total profit', 'Profit', 'Avg duration', 'max_drawdown', 'max_drawdown_account',
-            'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best'
+            'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_random', 'is_best'
             ]
 
         return trials
@@ -349,9 +352,11 @@ class HyperoptTools():
         trials = HyperoptTools.prepare_trials_columns(trials, has_account_drawdown)
 
         trials['is_profit'] = False
-        trials.loc[trials['is_initial_point'], 'Best'] = '*     '
+        trials.loc[trials['is_initial_point'] | trials['is_random'], 'Best'] = '*     '
         trials.loc[trials['is_best'], 'Best'] = 'Best'
-        trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best'
+        trials.loc[
+            (trials['is_initial_point'] | trials['is_random']) & trials['is_best'],
+            'Best'] = '* Best'
         trials.loc[trials['Total profit'] > 0, 'is_profit'] = True
         trials['Trades'] = trials['Trades'].astype(str)
         # perc_multi = 1 if legacy_mode else 100
@@ -407,7 +412,7 @@ class HyperoptTools():
                         trials.iat[i, j] = "{}{}{}".format(Style.BRIGHT,
                                                            str(trials.loc[i][j]), Style.RESET_ALL)
 
-        trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit'])
+        trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit', 'is_random'])
         if remove_header > 0:
             table = tabulate.tabulate(
                 trials.to_dict(orient='list'), tablefmt='orgtbl',

freqtrade/optimize/optimize_reports.py

@@ -9,10 +9,10 @@ from pandas import DataFrame, to_datetime
 from tabulate import tabulate
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
-from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
+from freqtrade.data.btanalysis import (calculate_cagr, calculate_csum, calculate_market_change,
                                        calculate_max_drawdown)
-from freqtrade.misc import (decimals_per_coin, file_dump_json, get_backtest_metadata_filename,
-                            round_coin_value)
+from freqtrade.misc import decimals_per_coin, file_dump_joblib, file_dump_json, round_coin_value
+from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
 
 
 logger = logging.getLogger(__name__)
@@ -45,6 +45,29 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
     file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
 
 
+def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]) -> Path:
+    """
+    Stores backtest trade signal candles
+    :param recordfilename: Path object, which can either be a filename or a directory.
+        Filenames will be appended with a timestamp right before the suffix
+        while for directories, <directory>/backtest-result-<datetime>_signals.pkl will be used
+        as filename
+    :param stats: Dict containing the backtesting signal candles
+    """
+    if recordfilename.is_dir():
+        filename = (recordfilename /
+                    f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl')
+    else:
+        filename = Path.joinpath(
+            recordfilename.parent,
+            f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl'
+        )
+
+    file_dump_joblib(filename, candles)
+
+    return filename
+
+
 def _get_line_floatfmt(stake_currency: str) -> List[str]:
     """
     Generate floatformat (goes in line with _generate_result_line())
@@ -241,7 +264,7 @@ def generate_edge_table(results: dict) -> str:
 
     # Ignore type as floatfmt does allow tuples but mypy does not know that
     return tabulate(tabular_data, headers=headers,
-                    floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")  # type: ignore
+                    floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")
 
 
 def _get_resample_from_period(period: str) -> str:
@@ -423,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
         'profit_total_abs': results['profit_abs'].sum(),
         'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
         'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
+        'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
         'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
         'backtest_start_ts': int(min_date.timestamp() * 1000),
         'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -727,6 +751,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
                                                   strat_results['stake_currency'])),
             ('Total profit %', f"{strat_results['profit_total']:.2%}"),
+            ('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
             ('Trades per day', strat_results['trades_per_day']),
             ('Avg. daily profit %',
              f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),

freqtrade/persistence/models.py

@@ -429,12 +429,10 @@ class LocalTrade():
 
     def __repr__(self):
         open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
-        leverage = self.leverage or 1.0
-        is_short = self.is_short or False
 
         return (
             f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
-            f'is_short={is_short}, leverage={leverage}, '
+            f'is_short={self.is_short or False}, leverage={self.leverage or 1.0}, '
             f'open_rate={self.open_rate:.8f}, open_since={open_since})'
         )
 

freqtrade/plot/plotting.py

@@ -632,6 +632,7 @@ def load_and_plot_trades(config: Dict[str, Any]):
 
     exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
     IStrategy.dp = DataProvider(config, exchange)
+    strategy.bot_start()
     plot_elements = init_plotscript(config, list(exchange.markets), strategy.startup_candle_count)
     timerange = plot_elements['timerange']
     trades = plot_elements['trades']

freqtrade/resolvers/hyperopt_resolver.py

@@ -23,7 +23,7 @@ class HyperOptLossResolver(IResolver):
     object_type = IHyperOptLoss
     object_type_str = "HyperoptLoss"
     user_subdir = USERPATH_HYPEROPTS
-    initial_search_path = Path(__file__).parent.parent.joinpath('optimize').resolve()
+    initial_search_path = Path(__file__).parent.parent.joinpath('optimize/hyperopt_loss').resolve()
 
     @staticmethod
     def load_hyperoptloss(config: Dict) -> IHyperOptLoss:

freqtrade/resolvers/iresolver.py

@@ -44,7 +44,7 @@ class IResolver:
 
     @classmethod
     def build_search_paths(cls, config: Dict[str, Any], user_subdir: Optional[str] = None,
-                           extra_dir: Optional[str] = None) -> List[Path]:
+                           extra_dirs: List[str] = []) -> List[Path]:
 
         abs_paths: List[Path] = []
         if cls.initial_search_path:
@@ -53,9 +53,9 @@ class IResolver:
         if user_subdir:
             abs_paths.insert(0, config['user_data_dir'].joinpath(user_subdir))
 
-        if extra_dir:
-            # Add extra directory to the top of the search paths
-            abs_paths.insert(0, Path(extra_dir).resolve())
+        # Add extra directory to the top of the search paths
+        for dir in extra_dirs:
+            abs_paths.insert(0, Path(dir).resolve())
 
         return abs_paths
 
@@ -164,9 +164,13 @@ class IResolver:
         :return: Object instance or None
         """
 
+        extra_dirs: List[str] = []
+        if extra_dir:
+            extra_dirs.append(extra_dir)
+
         abs_paths = cls.build_search_paths(config,
                                            user_subdir=cls.user_subdir,
-                                           extra_dir=extra_dir)
+                                           extra_dirs=extra_dirs)
 
         found_object = cls._load_object(paths=abs_paths, object_name=object_name,
                                         kwargs=kwargs)
@@ -178,18 +182,25 @@ class IResolver:
         )
 
     @classmethod
-    def search_all_objects(cls, directory: Path,
-                           enum_failed: bool) -> List[Dict[str, Any]]:
+    def search_all_objects(cls, directory: Path, enum_failed: bool,
+                           recursive: bool = False) -> List[Dict[str, Any]]:
         """
         Searches a directory for valid objects
         :param directory: Path to search
         :param enum_failed: If True, will return None for modules which fail.
             Otherwise, failing modules are skipped.
+        :param recursive: Recursively walk directory tree searching for strategies
         :return: List of dicts containing 'name', 'class' and 'location' entries
         """
         logger.debug(f"Searching for {cls.object_type.__name__} '{directory}'")
         objects = []
         for entry in directory.iterdir():
+            if (
+                recursive and entry.is_dir()
+                and not entry.name.startswith('__')
+                and not entry.name.startswith('.')
+            ):
+                objects.extend(cls.search_all_objects(entry, enum_failed, recursive=recursive))
             # Only consider python files
             if entry.suffix != '.py':
                 logger.debug('Ignoring %s', entry)

freqtrade/resolvers/strategy_resolver.py

@@ -7,8 +7,9 @@ import logging
 import tempfile
 from base64 import urlsafe_b64decode
 from inspect import getfullargspec
+from os import walk
 from pathlib import Path
-from typing import Any, Dict, Optional
+from typing import Any, Dict, List, Optional
 
 from freqtrade.configuration.config_validation import validate_migrated_strategy_settings
 from freqtrade.constants import REQUIRED_ORDERTIF, REQUIRED_ORDERTYPES, USERPATH_STRATEGIES
@@ -216,15 +217,19 @@ class StrategyResolver(IResolver):
                 raise OperationalException(
                     "`populate_exit_trend` or `populate_sell_trend` must be implemented.")
 
-            strategy._populate_fun_len = len(getfullargspec(strategy.populate_indicators).args)
-            strategy._buy_fun_len = len(getfullargspec(strategy.populate_buy_trend).args)
-            strategy._sell_fun_len = len(getfullargspec(strategy.populate_sell_trend).args)
+            _populate_fun_len = len(getfullargspec(strategy.populate_indicators).args)
+            _buy_fun_len = len(getfullargspec(strategy.populate_buy_trend).args)
+            _sell_fun_len = len(getfullargspec(strategy.populate_sell_trend).args)
             if any(x == 2 for x in [
-                strategy._populate_fun_len,
-                strategy._buy_fun_len,
-                strategy._sell_fun_len
+                _populate_fun_len,
+                _buy_fun_len,
+                _sell_fun_len
             ]):
-                strategy.INTERFACE_VERSION = 1
+                raise OperationalException(
+                    "Strategy Interface v1 is no longer supported. "
+                    "Please update your strategy to implement "
+                    "`populate_indicators`, `populate_entry_trend` and `populate_exit_trend` "
+                    "with the metadata argument. ")
         return strategy
 
     @staticmethod
@@ -237,10 +242,19 @@ class StrategyResolver(IResolver):
         :param extra_dir: additional directory to search for the given strategy
         :return: Strategy instance or None
         """
+        if config.get('recursive_strategy_search', False):
+            extra_dirs: List[str] = [
+                path[0] for path in walk(f"{config['user_data_dir']}/{USERPATH_STRATEGIES}")
+            ]  # sub-directories
+        else:
+            extra_dirs = []
+
+        if extra_dir:
+            extra_dirs.append(extra_dir)
 
         abs_paths = StrategyResolver.build_search_paths(config,
                                                         user_subdir=USERPATH_STRATEGIES,
-                                                        extra_dir=extra_dir)
+                                                        extra_dirs=extra_dirs)
 
         if ":" in strategy_name:
             logger.info("loading base64 encoded strategy")

freqtrade/rpc/api_server/api_backtest.py

@@ -1,13 +1,16 @@
 import asyncio
 import logging
 from copy import deepcopy
+from typing import Any, Dict, List
 
 from fastapi import APIRouter, BackgroundTasks, Depends
 
 from freqtrade.configuration.config_validation import validate_config_consistency
+from freqtrade.data.btanalysis import get_backtest_resultlist, load_and_merge_backtest_result
 from freqtrade.enums import BacktestState
 from freqtrade.exceptions import DependencyException
-from freqtrade.rpc.api_server.api_schemas import BacktestRequest, BacktestResponse
+from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestRequest,
+                                                  BacktestResponse)
 from freqtrade.rpc.api_server.deps import get_config, is_webserver_mode
 from freqtrade.rpc.api_server.webserver import ApiServer
 from freqtrade.rpc.rpc import RPCException
@@ -200,3 +203,30 @@ def api_backtest_abort(ws_mode=Depends(is_webserver_mode)):
         "progress": 0,
         "status_msg": "Backtest ended",
     }
+
+
+@router.get('/backtest/history', response_model=List[BacktestHistoryEntry], tags=['webserver', 'backtest'])
+def api_backtest_history(config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
+    # Get backtest result history, read from metadata files
+    return get_backtest_resultlist(config['user_data_dir'] / 'backtest_results')
+
+
+@router.get('/backtest/history/result', response_model=BacktestResponse, tags=['webserver', 'backtest'])
+def api_backtest_history_result(filename: str, strategy: str, config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
+    # Get backtest result history, read from metadata files
+    fn = config['user_data_dir'] / 'backtest_results' / filename
+    results: Dict[str, Any] = {
+        'metadata': {},
+        'strategy': {},
+        'strategy_comparison': [],
+    }
+
+    load_and_merge_backtest_result(strategy, fn, results)
+    return {
+        "status": "ended",
+        "running": False,
+        "step": "",
+        "progress": 1,
+        "status_msg": "Historic result",
+        "backtest_result": results,
+    }

freqtrade/rpc/api_server/api_schemas.py

@@ -421,6 +421,13 @@ class BacktestResponse(BaseModel):
     backtest_result: Optional[Dict[str, Any]]
 
 
+class BacktestHistoryEntry(BaseModel):
+    filename: str
+    strategy: str
+    run_id: str
+    backtest_start_time: int
+
+
 class SysInfo(BaseModel):
     cpu_pct: List[float]
     ram_pct: float

freqtrade/rpc/api_server/api_v1.py

@@ -35,7 +35,8 @@ logger = logging.getLogger(__name__)
 # 1.13: forcebuy supports stake_amount
 # versions 2.xx -> futures/short branch
 # 2.14: Add entry/exit orders to trade response
-API_VERSION = 2.14
+# 2.15: Add backtest history endpoints
+API_VERSION = 2.15
 
 # Public API, requires no auth.
 router_public = APIRouter()
@@ -252,7 +253,8 @@ def list_strategies(config=Depends(get_config)):
     directory = Path(config.get(
         'strategy_path', config['user_data_dir'] / USERPATH_STRATEGIES))
     from freqtrade.resolvers.strategy_resolver import StrategyResolver
-    strategies = StrategyResolver.search_all_objects(directory, False)
+    strategies = StrategyResolver.search_all_objects(
+        directory, False, config.get('recursive_strategy_search', False))
     strategies = sorted(strategies, key=lambda x: x['name'])
 
     return {'strategies': [x['name'] for x in strategies]}

freqtrade/rpc/api_server/webserver.py

@@ -2,7 +2,7 @@ import logging
 from ipaddress import IPv4Address
 from typing import Any, Dict
 
-import rapidjson
+import orjson
 import uvicorn
 from fastapi import Depends, FastAPI
 from fastapi.middleware.cors import CORSMiddleware
@@ -24,7 +24,7 @@ class FTJSONResponse(JSONResponse):
         Use rapidjson for responses
         Handles NaN and Inf / -Inf in a javascript way by default.
         """
-        return rapidjson.dumps(content).encode("utf-8")
+        return orjson.dumps(content, option=orjson.OPT_SERIALIZE_NUMPY)
 
 
 class ApiServer(RPCHandler):

freqtrade/rpc/telegram.py

@@ -387,7 +387,7 @@ class Telegram(RPCHandler):
         else:
             return "\N{CROSS MARK}"
 
-    def _prepare_entry_details(self, filled_orders: List, base_currency: str, is_open: bool):
+    def _prepare_entry_details(self, filled_orders: List, quote_currency: str, is_open: bool):
         """
         Prepare details of trade with entry adjustment enabled
         """
@@ -405,7 +405,7 @@ class Telegram(RPCHandler):
             if x == 0:
                 lines.append(f"*Entry #{x+1}:*")
                 lines.append(
-                    f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {base_currency})")
+                    f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
                 lines.append(f"*Average Entry Price:* {cur_entry_average}")
             else:
                 sumA = 0
@@ -429,7 +429,7 @@ class Telegram(RPCHandler):
                     lines.append("({})".format(cur_entry_datetime
                                                .humanize(granularity=["day", "hour", "minute"])))
                 lines.append(
-                    f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {base_currency})")
+                    f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
                 lines.append(f"*Average Entry Price:* {cur_entry_average} "
                              f"({price_to_1st_entry:.2%} from 1st entry rate)")
                 lines.append(f"*Order filled at:* {order['order_filled_date']}")
@@ -472,7 +472,7 @@ class Telegram(RPCHandler):
                     "*Current Pair:* {pair}",
                     "*Direction:* " + ("`Short`" if r.get('is_short') else "`Long`"),
                     "*Leverage:* `{leverage}`" if r.get('leverage') else "",
-                    "*Amount:* `{amount} ({stake_amount} {base_currency})`",
+                    "*Amount:* `{amount} ({stake_amount} {quote_currency})`",
                     "*Enter Tag:* `{enter_tag}`" if r['enter_tag'] else "",
                     "*Exit Reason:* `{exit_reason}`" if r['exit_reason'] else "",
                 ]
@@ -943,7 +943,7 @@ class Telegram(RPCHandler):
         else:
             fiat_currency = self._config.get('fiat_display_currency', '')
             try:
-                statlist, head, fiat_profit_sum = self._rpc._rpc_status_table(
+                statlist, _, _ = self._rpc._rpc_status_table(
                     self._config['stake_currency'], fiat_currency)
             except RPCException:
                 self._send_msg(msg='No open trade found.')

freqtrade/strategy/informative_decorator.py

@@ -23,7 +23,7 @@ class InformativeData:
 def informative(timeframe: str, asset: str = '',
                 fmt: Optional[Union[str, Callable[[Any], str]]] = None,
                 *,
-                candle_type: Optional[CandleType] = None,
+                candle_type: Optional[Union[CandleType, str]] = None,
                 ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
     """
     A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to

freqtrade/strategy/interface.py

@@ -3,7 +3,6 @@ IStrategy interface
 This module defines the interface to apply for strategies
 """
 import logging
-import warnings
 from abc import ABC, abstractmethod
 from datetime import datetime, timedelta, timezone
 from typing import Dict, List, Optional, Tuple, Union
@@ -44,14 +43,11 @@ class IStrategy(ABC, HyperStrategyMixin):
     """
     # Strategy interface version
     # Default to version 2
-    # Version 1 is the initial interface without metadata dict
+    # Version 1 is the initial interface without metadata dict - deprecated and no longer supported.
     # Version 2 populate_* include metadata dict
     # Version 3 - First version with short and leverage support
     INTERFACE_VERSION: int = 3
 
-    _populate_fun_len: int = 0
-    _buy_fun_len: int = 0
-    _sell_fun_len: int = 0
     _ft_params_from_file: Dict
     # associated minimal roi
     minimal_roi: Dict = {}
@@ -114,7 +110,7 @@ class IStrategy(ABC, HyperStrategyMixin):
     # Class level variables (intentional) containing
     # the dataprovider (dp) (access to other candles, historic data, ...)
     # and wallets - access to the current balance.
-    dp: Optional[DataProvider]
+    dp: DataProvider
     wallets: Optional[Wallets] = None
     # Filled from configuration
     stake_currency: str
@@ -197,6 +193,13 @@ class IStrategy(ABC, HyperStrategyMixin):
         """
         return self.populate_sell_trend(dataframe, metadata)
 
+    def bot_start(self, **kwargs) -> None:
+        """
+        Called only once after bot instantiation.
+        :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
+        """
+        pass
+
     def bot_loop_start(self, **kwargs) -> None:
         """
         Called at the start of the bot iteration (one loop).
@@ -206,18 +209,18 @@ class IStrategy(ABC, HyperStrategyMixin):
         """
         pass
 
-    def check_buy_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_buy_timeout(self, pair: str, trade: Trade, order: Order,
                           current_time: datetime, **kwargs) -> bool:
         """
         DEPRECATED: Please use `check_entry_timeout` instead.
         """
         return False
 
-    def check_entry_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_entry_timeout(self, pair: str, trade: Trade, order: Order,
                             current_time: datetime, **kwargs) -> bool:
         """
         Check entry timeout function callback.
-        This method can be used to override the enter-timeout.
+        This method can be used to override the entry-timeout.
         It is called whenever a limit entry order has been created,
         and is not yet fully filled.
         Configuration options in `unfilledtimeout` will be verified before this,
@@ -225,8 +228,8 @@ class IStrategy(ABC, HyperStrategyMixin):
 
         When not implemented by a strategy, this simply returns False.
         :param pair: Pair the trade is for
-        :param trade: trade object.
-        :param order: Order dictionary as returned from CCXT.
+        :param trade: Trade object.
+        :param order: Order object.
         :param current_time: datetime object, containing the current datetime
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
         :return bool: When True is returned, then the entry order is cancelled.
@@ -234,30 +237,30 @@ class IStrategy(ABC, HyperStrategyMixin):
         return self.check_buy_timeout(
             pair=pair, trade=trade, order=order, current_time=current_time)
 
-    def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_sell_timeout(self, pair: str, trade: Trade, order: Order,
                            current_time: datetime, **kwargs) -> bool:
         """
         DEPRECATED: Please use `check_exit_timeout` instead.
         """
         return False
 
-    def check_exit_timeout(self, pair: str, trade: Trade, order: dict,
+    def check_exit_timeout(self, pair: str, trade: Trade, order: Order,
                            current_time: datetime, **kwargs) -> bool:
         """
-        Check sell timeout function callback.
+        Check exit timeout function callback.
         This method can be used to override the exit-timeout.
-        It is called whenever a (long) limit sell order or (short) limit buy
-        has been created, and is not yet fully filled.
+        It is called whenever a limit exit order has been created,
+        and is not yet fully filled.
         Configuration options in `unfilledtimeout` will be verified before this,
         so ensure to set these timeouts high enough.
 
         When not implemented by a strategy, this simply returns False.
         :param pair: Pair the trade is for
-        :param trade: trade object.
-        :param order: Order dictionary as returned from CCXT.
+        :param trade: Trade object.
+        :param order: Order object
         :param current_time: datetime object, containing the current datetime
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
-        :return bool: When True is returned, then the (long)sell/(short)buy-order is cancelled.
+        :return bool: When True is returned, then the exit-order is cancelled.
         """
         return self.check_sell_timeout(
             pair=pair, trade=trade, order=order, current_time=current_time)
@@ -359,7 +362,7 @@ class IStrategy(ABC, HyperStrategyMixin):
 
     def custom_exit_price(self, pair: str, trade: Trade,
                           current_time: datetime, proposed_rate: float,
-                          current_profit: float, **kwargs) -> float:
+                          current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
         """
         Custom exit price logic, returning the new exit price.
 
@@ -372,6 +375,7 @@ class IStrategy(ABC, HyperStrategyMixin):
         :param current_time: datetime object, containing the current datetime
         :param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
         :param current_profit: Current profit (as ratio), calculated based on current_rate.
+        :param exit_tag: Exit reason.
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
         :return float: New exit price value if provided
         """
@@ -1090,12 +1094,7 @@ class IStrategy(ABC, HyperStrategyMixin):
             dataframe = _create_and_merge_informative_pair(
                 self, dataframe, metadata, inf_data, populate_fn)
 
-        if self._populate_fun_len == 2:
-            warnings.warn("deprecated - check out the Sample strategy to see "
-                          "the current function headers!", DeprecationWarning)
-            return self.populate_indicators(dataframe)  # type: ignore
-        else:
-            return self.populate_indicators(dataframe, metadata)
+        return self.populate_indicators(dataframe, metadata)
 
     def advise_entry(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         """
@@ -1109,12 +1108,7 @@ class IStrategy(ABC, HyperStrategyMixin):
 
         logger.debug(f"Populating enter signals for pair {metadata.get('pair')}.")
 
-        if self._buy_fun_len == 2:
-            warnings.warn("deprecated - check out the Sample strategy to see "
-                          "the current function headers!", DeprecationWarning)
-            df = self.populate_buy_trend(dataframe)  # type: ignore
-        else:
-            df = self.populate_entry_trend(dataframe, metadata)
+        df = self.populate_entry_trend(dataframe, metadata)
         if 'enter_long' not in df.columns:
             df = df.rename({'buy': 'enter_long', 'buy_tag': 'enter_tag'}, axis='columns')
 
@@ -1129,14 +1123,8 @@ class IStrategy(ABC, HyperStrategyMixin):
             currently traded pair
         :return: DataFrame with exit column
         """
-
         logger.debug(f"Populating exit signals for pair {metadata.get('pair')}.")
-        if self._sell_fun_len == 2:
-            warnings.warn("deprecated - check out the Sample strategy to see "
-                          "the current function headers!", DeprecationWarning)
-            df = self.populate_sell_trend(dataframe)  # type: ignore
-        else:
-            df = self.populate_exit_trend(dataframe, metadata)
+        df = self.populate_exit_trend(dataframe, metadata)
         if 'exit_long' not in df.columns:
             df = df.rename({'sell': 'exit_long'}, axis='columns')
         return df

freqtrade/strategy/strategy_helper.py

@@ -56,12 +56,18 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
 
     # Combine the 2 dataframes
     # all indicators on the informative sample MUST be calculated before this point
-    dataframe = pd.merge(dataframe, informative, left_on='date',
-                         right_on=date_merge, how='left')
+    if ffill:
+        # https://pandas.pydata.org/docs/user_guide/merging.html#timeseries-friendly-merging
+        # merge_ordered - ffill method is 2.5x faster than seperate ffill()
+        dataframe = pd.merge_ordered(dataframe, informative, fill_method="ffill", left_on='date',
+                                     right_on=date_merge, how='left')
+    else:
+        dataframe = pd.merge(dataframe, informative, left_on='date',
+                             right_on=date_merge, how='left')
     dataframe = dataframe.drop(date_merge, axis=1)
 
-    if ffill:
-        dataframe = dataframe.ffill()
+    # if ffill:
+    #     dataframe = dataframe.ffill()
 
     return dataframe
 

freqtrade/templates/subtemplates/strategy_methods_advanced.j2

@@ -32,7 +32,7 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
 
 def custom_exit_price(self, pair: str, trade: 'Trade',
                       current_time: 'datetime', proposed_rate: float,
-                      current_profit: float, **kwargs) -> float:
+                      current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
     """
     Custom exit price logic, returning the new exit price.
 
@@ -45,6 +45,7 @@ def custom_exit_price(self, pair: str, trade: 'Trade',
     :param current_time: datetime object, containing the current datetime
     :param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
     :param current_profit: Current profit (as ratio), calculated based on current_rate.
+    :param exit_tag: Exit reason.
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
     :return float: New exit price value if provided
     """
@@ -170,7 +171,8 @@ def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount:
     """
     return True
 
-def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
+def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order',
+                        current_time: datetime, **kwargs) -> bool:
     """
     Check entry timeout function callback.
     This method can be used to override the entry-timeout.
@@ -183,14 +185,16 @@ def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs)
 
     When not implemented by a strategy, this simply returns False.
     :param pair: Pair the trade is for
-    :param trade: trade object.
-    :param order: Order dictionary as returned from CCXT.
+    :param trade: Trade object.
+    :param order: Order object.
+    :param current_time: datetime object, containing the current datetime
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
-    :return bool: When True is returned, then the buy-order is cancelled.
+    :return bool: When True is returned, then the entry order is cancelled.
     """
     return False
 
-def check_exit_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
+def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order',
+                       current_time: datetime, **kwargs) -> bool:
     """
     Check exit timeout function callback.
     This method can be used to override the exit-timeout.
@@ -203,8 +207,9 @@ def check_exit_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -
 
     When not implemented by a strategy, this simply returns False.
     :param pair: Pair the trade is for
-    :param trade: trade object.
-    :param order: Order dictionary as returned from CCXT.
+    :param trade: Trade object.
+    :param order: Order object.
+    :param current_time: datetime object, containing the current datetime
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
     :return bool: When True is returned, then the exit-order is cancelled.
     """

mkdocs.yml

@@ -29,6 +29,7 @@ nav:
     - Data Analysis:
         - Jupyter Notebooks: data-analysis.md
         - Strategy analysis: strategy_analysis_example.md
+        - Backtest analysis: advanced-backtesting.md
     - Advanced Topics:
         - Advanced Post-installation Tasks: advanced-setup.md
         - Edge Positioning: edge.md

pyproject.toml

@@ -23,7 +23,7 @@ exclude = '''
 line_length = 100
 multi_line_output=0
 lines_after_imports=2
-skip_glob = ["**/.env*", "**/env/*", "**/.venv/*", "**/docs/*"]
+skip_glob = ["**/.env*", "**/env/*", "**/.venv/*", "**/docs/*", "**/user_data/*"]
 
 [tool.pytest.ini_options]
 asyncio_mode = "auto"

requirements-dev.txt

@@ -9,7 +9,7 @@ flake8==4.0.1
 flake8-tidy-imports==4.6.0
 mypy==0.942
 pre-commit==2.18.1
-pytest==7.1.1
+pytest==7.1.2
 pytest-asyncio==0.18.3
 pytest-cov==3.0.0
 pytest-mock==3.7.0
@@ -19,13 +19,11 @@ isort==5.10.1
 time-machine==2.6.0
 
 # Convert jupyter notebooks to markdown documents
-nbconvert==6.4.5
+nbconvert==6.5.0
 
 # mypy types
-types-cachetools==5.0.0
+types-cachetools==5.0.1
 types-filelock==3.2.5
-types-requests==2.27.16
-types-tabulate==0.8.6
-
-# Extensions to datetime library
-types-python-dateutil==2.8.10
+types-requests==2.27.20
+types-tabulate==0.8.7
+types-python-dateutil==2.8.12

requirements-hyperopt.txt

@@ -6,5 +6,4 @@ scipy==1.8.0
 scikit-learn==1.0.2
 scikit-optimize==0.9.0
 filelock==3.6.0
-joblib==1.1.0
 progressbar2==4.0.0

requirements-plot.txt

@@ -2,4 +2,3 @@
 -r requirements.txt
 
 plotly==5.7.0
-

requirements.txt

@@ -2,7 +2,7 @@ numpy==1.22.3
 pandas==1.4.2
 pandas-ta==0.3.14b
 
-ccxt==1.78.62
+ccxt==1.80.61
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==36.0.2
 aiohttp==3.8.1
@@ -20,18 +20,21 @@ pycoingecko==2.2.0
 jinja2==3.1.1
 tables==3.7.0
 blosc==1.10.6
+joblib==1.1.0
 
 # find first, C search in arrays
 py_find_1st==1.1.5
 
 # Load ticker files 30% faster
 python-rapidjson==1.6
+# Properly format api responses
+orjson==3.6.8
 
 # Notify systemd
 sdnotify==0.3.2
 
 # API Server
-fastapi==0.75.1
+fastapi==0.75.2
 uvicorn==0.17.6
 pyjwt==2.3.0
 aiofiles==0.8.0

setup.cfg

@@ -52,6 +52,11 @@ exclude =
 
 [mypy]
 ignore_missing_imports = True
+warn_unused_ignores = True
+exclude = (?x)(
+    ^build_helpers\.py$
+    )
+
 
 [mypy-tests.*]
 ignore_errors = True

setup.py

@@ -42,7 +42,7 @@ setup(
     ],
     install_requires=[
         # from requirements.txt
-        'ccxt>=1.77.29',
+        'ccxt>=1.79.69',
         'SQLAlchemy',
         'python-telegram-bot>=13.4',
         'arrow>=0.17.0',
@@ -57,6 +57,7 @@ setup(
         'pycoingecko',
         'py_find_1st',
         'python-rapidjson',
+        'orjson',
         'sdnotify',
         'colorama',
         'jinja2',

setup.sh

@@ -90,7 +90,7 @@ function updateenv() {
     echo "pip install completed"
     echo
     if [[ $dev =~ ^[Yy]$ ]]; then
-        ${PYTHON} -m pre-commit install
+        ${PYTHON} -m pre_commit install
         if [ $? -ne 0 ]; then
             echo "Failed installing pre-commit"
             exit 1

tests/commands/test_commands.py

@@ -847,7 +847,7 @@ def test_start_convert_trades(mocker, caplog):
     assert convert_mock.call_count == 1
 
 
-def test_start_list_strategies(mocker, caplog, capsys):
+def test_start_list_strategies(capsys):
 
     args = [
         "list-strategies",
@@ -859,8 +859,8 @@ def test_start_list_strategies(mocker, caplog, capsys):
     # pargs['config'] = None
     start_list_strategies(pargs)
     captured = capsys.readouterr()
-    assert "TestStrategyLegacyV1" in captured.out
-    assert "legacy_strategy_v1.py" not in captured.out
+    assert "StrategyTestV2" in captured.out
+    assert "strategy_test_v2.py" not in captured.out
     assert CURRENT_TEST_STRATEGY in captured.out
 
     # Test regular output
@@ -874,8 +874,8 @@ def test_start_list_strategies(mocker, caplog, capsys):
     # pargs['config'] = None
     start_list_strategies(pargs)
     captured = capsys.readouterr()
-    assert "TestStrategyLegacyV1" in captured.out
-    assert "legacy_strategy_v1.py" in captured.out
+    assert "StrategyTestV2" in captured.out
+    assert "strategy_test_v2.py" in captured.out
     assert CURRENT_TEST_STRATEGY in captured.out
 
     # Test color output
@@ -888,10 +888,30 @@ def test_start_list_strategies(mocker, caplog, capsys):
     # pargs['config'] = None
     start_list_strategies(pargs)
     captured = capsys.readouterr()
-    assert "TestStrategyLegacyV1" in captured.out
-    assert "legacy_strategy_v1.py" in captured.out
+    assert "StrategyTestV2" in captured.out
+    assert "strategy_test_v2.py" in captured.out
     assert CURRENT_TEST_STRATEGY in captured.out
     assert "LOAD FAILED" in captured.out
+    # Recursive
+    assert "TestStrategyNoImplements" not in captured.out
+
+    # Test recursive
+    args = [
+        "list-strategies",
+        "--strategy-path",
+        str(Path(__file__).parent.parent / "strategy" / "strats"),
+        '--no-color',
+        '--recursive-strategy-search'
+    ]
+    pargs = get_args(args)
+    # pargs['config'] = None
+    start_list_strategies(pargs)
+    captured = capsys.readouterr()
+    assert "StrategyTestV2" in captured.out
+    assert "strategy_test_v2.py" in captured.out
+    assert "StrategyTestV2" in captured.out
+    assert "TestStrategyNoImplements" in captured.out
+    assert str(Path("broken_strats/broken_futures_strategies.py")) in captured.out
 
 
 def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys):
@@ -1429,7 +1449,7 @@ def test_backtesting_show(mocker, testdatadir, capsys):
     args = [
         "backtesting-show",
         "--export-filename",
-        f"{testdatadir / 'backtest-result_new.json'}",
+        f"{testdatadir / 'backtest_results/backtest-result_new.json'}",
         "--show-pair-list"
     ]
     pargs = get_args(args)

tests/conftest.py

@@ -1632,40 +1632,6 @@ def limit_buy_order(limit_buy_order_open):
     return order
 
 
-@pytest.fixture(scope='function')
-def market_buy_order():
-    return {
-        'id': 'mocked_market_buy',
-        'type': 'market',
-        'side': 'buy',
-        'symbol': 'mocked',
-        'timestamp': arrow.utcnow().int_timestamp * 1000,
-        'datetime': arrow.utcnow().isoformat(),
-        'price': 0.00004099,
-        'amount': 91.99181073,
-        'filled': 91.99181073,
-        'remaining': 0.0,
-        'status': 'closed'
-    }
-
-
-@pytest.fixture
-def market_sell_order():
-    return {
-        'id': 'mocked_limit_sell',
-        'type': 'market',
-        'side': 'sell',
-        'symbol': 'mocked',
-        'timestamp': arrow.utcnow().int_timestamp * 1000,
-        'datetime': arrow.utcnow().isoformat(),
-        'price': 0.00004173,
-        'amount': 91.99181073,
-        'filled': 91.99181073,
-        'remaining': 0.0,
-        'status': 'closed'
-    }
-
-
 @pytest.fixture
 def limit_buy_order_old():
     return {
@@ -2672,6 +2638,7 @@ def saved_hyperopt_results():
             'total_profit': -0.00125625,
             'current_epoch': 1,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': True,
 
         }, {
@@ -2688,6 +2655,7 @@ def saved_hyperopt_results():
             'total_profit': 6.185e-05,
             'current_epoch': 2,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 14.241196856510731,
@@ -2698,6 +2666,7 @@ def saved_hyperopt_results():
             'total_profit': -0.13639474,
             'current_epoch': 3,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 100000,
@@ -2705,7 +2674,7 @@ def saved_hyperopt_results():
             'params_details': {'buy': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.411946348378729, 215: 0.2052334363683207, 891: 0.06264755784937427, 2293: 0}, 'stoploss': {'stoploss': -0.11818343570194478}},  # noqa: E501
             'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit': 0.0, 'holding_avg': timedelta()},  # noqa: E501
             'results_explanation': '     0 trades. Avg profit    nan%. Total profit  0.00000000 BTC (   0.00Σ%). Avg duration   nan min.',  # noqa: E501
-            'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_best': False
+            'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_random': False, 'is_best': False  # noqa: E501
         }, {
             'loss': 0.22195522184191518,
             'params_dict': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 1269, 'roi_t2': 601, 'roi_t3': 444, 'roi_p1': 0.07280999507931168, 'roi_p2': 0.08946698095898986, 'roi_p3': 0.1454876733325284, 'stoploss': -0.18181041180901014},   # noqa: E501
@@ -2715,6 +2684,7 @@ def saved_hyperopt_results():
             'total_profit': -0.002480140000000001,
             'current_epoch': 5,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': True
         }, {
             'loss': 0.545315889154162,
@@ -2725,6 +2695,7 @@ def saved_hyperopt_results():
             'total_profit': -0.0041773,
             'current_epoch': 6,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 4.713497421432944,
@@ -2737,6 +2708,7 @@ def saved_hyperopt_results():
             'total_profit': -0.06339929,
             'current_epoch': 7,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 20.0,  # noqa: E501
@@ -2747,6 +2719,7 @@ def saved_hyperopt_results():
             'total_profit': 0.0,
             'current_epoch': 8,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 2.4731817780991223,
@@ -2757,6 +2730,7 @@ def saved_hyperopt_results():
             'total_profit': -0.044050070000000004,  # noqa: E501
             'current_epoch': 9,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': -0.2604606005845212,  # noqa: E501
@@ -2767,6 +2741,7 @@ def saved_hyperopt_results():
             'total_profit': 0.00021629,
             'current_epoch': 10,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': True
         }, {
             'loss': 4.876465945994304,  # noqa: E501
@@ -2778,6 +2753,7 @@ def saved_hyperopt_results():
             'total_profit': -0.07436117,
             'current_epoch': 11,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
         }, {
             'loss': 100000,
@@ -2788,6 +2764,7 @@ def saved_hyperopt_results():
             'total_profit': 0,
             'current_epoch': 12,
             'is_initial_point': True,
+            'is_random': False,
             'is_best': False
             }
     ]
@@ -2935,14 +2912,6 @@ def limit_order(limit_buy_order_usdt, limit_sell_order_usdt):
     }
 
 
-@pytest.fixture(scope='function')
-def market_order(market_buy_order_usdt, market_sell_order_usdt):
-    return {
-        'buy': market_buy_order_usdt,
-        'sell': market_sell_order_usdt
-    }
-
-
 @pytest.fixture(scope='function')
 def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
     return {

tests/data/test_btanalysis.py

@@ -8,13 +8,13 @@ from pandas import DataFrame, DateOffset, Timestamp, to_datetime
 
 from freqtrade.configuration import TimeRange
 from freqtrade.constants import LAST_BT_RESULT_FN
-from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_csum,
-                                       calculate_market_change, calculate_max_drawdown,
-                                       calculate_underwater, combine_dataframes_with_mean,
-                                       create_cum_profit, extract_trades_of_period,
-                                       get_latest_backtest_filename, get_latest_hyperopt_file,
-                                       load_backtest_data, load_backtest_metadata, load_trades,
-                                       load_trades_from_db)
+from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_cagr,
+                                       calculate_csum, calculate_market_change,
+                                       calculate_max_drawdown, calculate_underwater,
+                                       combine_dataframes_with_mean, create_cum_profit,
+                                       extract_trades_of_period, get_latest_backtest_filename,
+                                       get_latest_hyperopt_file, load_backtest_data,
+                                       load_backtest_metadata, load_trades, load_trades_from_db)
 from freqtrade.data.history import load_data, load_pair_history
 from freqtrade.exceptions import OperationalException
 from tests.conftest import CURRENT_TEST_STRATEGY, create_mock_trades
@@ -27,18 +27,19 @@ def test_get_latest_backtest_filename(testdatadir, mocker):
 
     with pytest.raises(ValueError,
                        match=r"Directory .* does not seem to contain .*"):
-        get_latest_backtest_filename(testdatadir.parent)
+        get_latest_backtest_filename(testdatadir)
 
-    res = get_latest_backtest_filename(testdatadir)
+    testdir_bt = testdatadir / "backtest_results"
+    res = get_latest_backtest_filename(testdir_bt)
     assert res == 'backtest-result_new.json'
 
-    res = get_latest_backtest_filename(str(testdatadir))
+    res = get_latest_backtest_filename(str(testdir_bt))
     assert res == 'backtest-result_new.json'
 
     mocker.patch("freqtrade.data.btanalysis.json_load", return_value={})
 
     with pytest.raises(ValueError, match=r"Invalid '.last_result.json' format."):
-        get_latest_backtest_filename(testdatadir)
+        get_latest_backtest_filename(testdir_bt)
 
 
 def test_get_latest_hyperopt_file(testdatadir):
@@ -81,7 +82,7 @@ def test_load_backtest_data_old_format(testdatadir, mocker):
 
 def test_load_backtest_data_new_format(testdatadir):
 
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     assert isinstance(bt_data, DataFrame)
     assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
@@ -92,19 +93,19 @@ def test_load_backtest_data_new_format(testdatadir):
     assert bt_data.equals(bt_data2)
 
     # Test loading from folder (must yield same result)
-    bt_data3 = load_backtest_data(testdatadir)
+    bt_data3 = load_backtest_data(testdatadir / "backtest_results")
     assert bt_data.equals(bt_data3)
 
     with pytest.raises(ValueError, match=r"File .* does not exist\."):
         load_backtest_data(str("filename") + "nofile")
 
     with pytest.raises(ValueError, match=r"Unknown dataformat."):
-        load_backtest_data(testdatadir / LAST_BT_RESULT_FN)
+        load_backtest_data(testdatadir / "backtest_results" / LAST_BT_RESULT_FN)
 
 
 def test_load_backtest_data_multi(testdatadir):
 
-    filename = testdatadir / "backtest-result_multistrat.json"
+    filename = testdatadir / "backtest_results/backtest-result_multistrat.json"
     for strategy in ('StrategyTestV2', 'TestStrategy'):
         bt_data = load_backtest_data(filename, strategy=strategy)
         assert isinstance(bt_data, DataFrame)
@@ -182,7 +183,7 @@ def test_extract_trades_of_period(testdatadir):
 
 
 def test_analyze_trade_parallelism(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
 
     res = analyze_trade_parallelism(bt_data, "5m")
@@ -256,7 +257,7 @@ def test_combine_dataframes_with_mean_no_data(testdatadir):
 
 
 def test_create_cum_profit(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
 
@@ -272,7 +273,7 @@ def test_create_cum_profit(testdatadir):
 
 
 def test_create_cum_profit1(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     # Move close-time to "off" the candle, to make sure the logic still works
     bt_data.loc[:, 'close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(seconds=20)
@@ -294,7 +295,7 @@ def test_create_cum_profit1(testdatadir):
 
 
 def test_calculate_max_drawdown(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     _, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
         bt_data, value_col="profit_abs")
@@ -318,7 +319,7 @@ def test_calculate_max_drawdown(testdatadir):
 
 
 def test_calculate_csum(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     csum_min, csum_max = calculate_csum(bt_data)
 
@@ -335,6 +336,19 @@ def test_calculate_csum(testdatadir):
         csum_min, csum_max = calculate_csum(DataFrame())
 
 
+@pytest.mark.parametrize('start,end,days, expected', [
+    (64900, 176000, 3 * 365, 0.3945),
+    (64900, 176000, 365, 1.7119),
+    (1000, 1000, 365, 0.0),
+    (1000, 1500, 365, 0.5),
+    (1000, 1500, 100, 3.3927),  # sub year
+    (0.01000000, 0.01762792, 120, 4.6087),  # sub year BTC values
+])
+def test_calculate_cagr(start, end, days, expected):
+
+    assert round(calculate_cagr(days, start, end), 4) == expected
+
+
 def test_calculate_max_drawdown2():
     values = [0.011580, 0.010048, 0.011340, 0.012161, 0.010416, 0.010009, 0.020024,
               -0.024662, -0.022350, 0.020496, -0.029859, -0.030511, 0.010041, 0.010872,

tests/edge/test_edge.py

@@ -8,7 +8,7 @@ from unittest.mock import MagicMock
 import arrow
 import numpy as np
 import pytest
-from pandas import DataFrame, to_datetime
+from pandas import DataFrame
 
 from freqtrade.data.converter import ohlcv_to_dataframe
 from freqtrade.edge import Edge, PairInfo
@@ -30,49 +30,6 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
 tests_start_time = arrow.get(2018, 10, 3)
 timeframe_in_minute = 60
 
-# Helpers for this test file
-
-
-def _validate_ohlc(buy_ohlc_sell_matrice):
-    for index, ohlc in enumerate(buy_ohlc_sell_matrice):
-        # if not high < open < low or not high < close < low
-        if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
-            raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
-    return True
-
-
-def _build_dataframe(buy_ohlc_sell_matrice):
-    _validate_ohlc(buy_ohlc_sell_matrice)
-    data = []
-    for ohlc in buy_ohlc_sell_matrice:
-        d = {
-            'date': tests_start_time.shift(
-                minutes=(
-                    ohlc[0] *
-                    timeframe_in_minute)).int_timestamp *
-            1000,
-            'buy': ohlc[1],
-            'open': ohlc[2],
-            'high': ohlc[3],
-            'low': ohlc[4],
-            'close': ohlc[5],
-            'sell': ohlc[6]}
-        data.append(d)
-
-    frame = DataFrame(data)
-    frame['date'] = to_datetime(frame['date'],
-                                unit='ms',
-                                utc=True,
-                                infer_datetime_format=True)
-
-    return frame
-
-
-def _time_on_candle(number):
-    return np.datetime64(tests_start_time.shift(
-        minutes=(number * timeframe_in_minute)).int_timestamp * 1000, 'ms')
-
-
 # End helper functions
 # Open trade should be removed from the end
 tc0 = BTContainer(data=[

tests/exchange/test_binance.py

@@ -169,90 +169,90 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
         'ADA/BUSD': [
             {
                 "tier": 1,
-                "notionalFloor": 0,
-                "notionalCap": 100000,
+                "minNotional": 0,
+                "maxNotional": 100000,
                 "maintenanceMarginRate": 0.025,
                 "maxLeverage": 20,
                 "info": {
                     "bracket": "1",
                     "initialLeverage": "20",
-                    "notionalCap": "100000",
-                    "notionalFloor": "0",
+                    "maxNotional": "100000",
+                    "minNotional": "0",
                     "maintMarginRatio": "0.025",
                     "cum": "0.0"
                 }
             },
             {
                 "tier": 2,
-                "notionalFloor": 100000,
-                "notionalCap": 500000,
+                "minNotional": 100000,
+                "maxNotional": 500000,
                 "maintenanceMarginRate": 0.05,
                 "maxLeverage": 10,
                 "info": {
                     "bracket": "2",
                     "initialLeverage": "10",
-                    "notionalCap": "500000",
-                    "notionalFloor": "100000",
+                    "maxNotional": "500000",
+                    "minNotional": "100000",
                     "maintMarginRatio": "0.05",
                     "cum": "2500.0"
                 }
             },
             {
                 "tier": 3,
-                "notionalFloor": 500000,
-                "notionalCap": 1000000,
+                "minNotional": 500000,
+                "maxNotional": 1000000,
                 "maintenanceMarginRate": 0.1,
                 "maxLeverage": 5,
                 "info": {
                     "bracket": "3",
                     "initialLeverage": "5",
-                    "notionalCap": "1000000",
-                    "notionalFloor": "500000",
+                    "maxNotional": "1000000",
+                    "minNotional": "500000",
                     "maintMarginRatio": "0.1",
                     "cum": "27500.0"
                 }
             },
             {
                 "tier": 4,
-                "notionalFloor": 1000000,
-                "notionalCap": 2000000,
+                "minNotional": 1000000,
+                "maxNotional": 2000000,
                 "maintenanceMarginRate": 0.15,
                 "maxLeverage": 3,
                 "info": {
                     "bracket": "4",
                     "initialLeverage": "3",
-                    "notionalCap": "2000000",
-                    "notionalFloor": "1000000",
+                    "maxNotional": "2000000",
+                    "minNotional": "1000000",
                     "maintMarginRatio": "0.15",
                     "cum": "77500.0"
                 }
             },
             {
                 "tier": 5,
-                "notionalFloor": 2000000,
-                "notionalCap": 5000000,
+                "minNotional": 2000000,
+                "maxNotional": 5000000,
                 "maintenanceMarginRate": 0.25,
                 "maxLeverage": 2,
                 "info": {
                     "bracket": "5",
                     "initialLeverage": "2",
-                    "notionalCap": "5000000",
-                    "notionalFloor": "2000000",
+                    "maxNotional": "5000000",
+                    "minNotional": "2000000",
                     "maintMarginRatio": "0.25",
                     "cum": "277500.0"
                 }
             },
             {
                 "tier": 6,
-                "notionalFloor": 5000000,
-                "notionalCap": 30000000,
+                "minNotional": 5000000,
+                "maxNotional": 30000000,
                 "maintenanceMarginRate": 0.5,
                 "maxLeverage": 1,
                 "info": {
                     "bracket": "6",
                     "initialLeverage": "1",
-                    "notionalCap": "30000000",
-                    "notionalFloor": "5000000",
+                    "maxNotional": "30000000",
+                    "minNotional": "5000000",
                     "maintMarginRatio": "0.5",
                     "cum": "1527500.0"
                 }
@@ -261,105 +261,105 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
         "ZEC/USDT": [
             {
                 "tier": 1,
-                "notionalFloor": 0,
-                "notionalCap": 50000,
+                "minNotional": 0,
+                "maxNotional": 50000,
                 "maintenanceMarginRate": 0.01,
                 "maxLeverage": 50,
                 "info": {
                     "bracket": "1",
                     "initialLeverage": "50",
-                    "notionalCap": "50000",
-                    "notionalFloor": "0",
+                    "maxNotional": "50000",
+                    "minNotional": "0",
                     "maintMarginRatio": "0.01",
                     "cum": "0.0"
                 }
             },
             {
                 "tier": 2,
-                "notionalFloor": 50000,
-                "notionalCap": 150000,
+                "minNotional": 50000,
+                "maxNotional": 150000,
                 "maintenanceMarginRate": 0.025,
                 "maxLeverage": 20,
                 "info": {
                     "bracket": "2",
                     "initialLeverage": "20",
-                    "notionalCap": "150000",
-                    "notionalFloor": "50000",
+                    "maxNotional": "150000",
+                    "minNotional": "50000",
                     "maintMarginRatio": "0.025",
                     "cum": "750.0"
                 }
             },
             {
                 "tier": 3,
-                "notionalFloor": 150000,
-                "notionalCap": 250000,
+                "minNotional": 150000,
+                "maxNotional": 250000,
                 "maintenanceMarginRate": 0.05,
                 "maxLeverage": 10,
                 "info": {
                     "bracket": "3",
                     "initialLeverage": "10",
-                    "notionalCap": "250000",
-                    "notionalFloor": "150000",
+                    "maxNotional": "250000",
+                    "minNotional": "150000",
                     "maintMarginRatio": "0.05",
                     "cum": "4500.0"
                 }
             },
             {
                 "tier": 4,
-                "notionalFloor": 250000,
-                "notionalCap": 500000,
+                "minNotional": 250000,
+                "maxNotional": 500000,
                 "maintenanceMarginRate": 0.1,
                 "maxLeverage": 5,
                 "info": {
                     "bracket": "4",
                     "initialLeverage": "5",
-                    "notionalCap": "500000",
-                    "notionalFloor": "250000",
+                    "maxNotional": "500000",
+                    "minNotional": "250000",
                     "maintMarginRatio": "0.1",
                     "cum": "17000.0"
                 }
             },
             {
                 "tier": 5,
-                "notionalFloor": 500000,
-                "notionalCap": 1000000,
+                "minNotional": 500000,
+                "maxNotional": 1000000,
                 "maintenanceMarginRate": 0.125,
                 "maxLeverage": 4,
                 "info": {
                     "bracket": "5",
                     "initialLeverage": "4",
-                    "notionalCap": "1000000",
-                    "notionalFloor": "500000",
+                    "maxNotional": "1000000",
+                    "minNotional": "500000",
                     "maintMarginRatio": "0.125",
                     "cum": "29500.0"
                 }
             },
             {
                 "tier": 6,
-                "notionalFloor": 1000000,
-                "notionalCap": 2000000,
+                "minNotional": 1000000,
+                "maxNotional": 2000000,
                 "maintenanceMarginRate": 0.25,
                 "maxLeverage": 2,
                 "info": {
                     "bracket": "6",
                     "initialLeverage": "2",
-                    "notionalCap": "2000000",
-                    "notionalFloor": "1000000",
+                    "maxNotional": "2000000",
+                    "minNotional": "1000000",
                     "maintMarginRatio": "0.25",
                     "cum": "154500.0"
                 }
             },
             {
                 "tier": 7,
-                "notionalFloor": 2000000,
-                "notionalCap": 30000000,
+                "minNotional": 2000000,
+                "maxNotional": 30000000,
                 "maintenanceMarginRate": 0.5,
                 "maxLeverage": 1,
                 "info": {
                     "bracket": "7",
                     "initialLeverage": "1",
-                    "notionalCap": "30000000",
-                    "notionalFloor": "2000000",
+                    "maxNotional": "30000000",
+                    "minNotional": "2000000",
                     "maintMarginRatio": "0.5",
                     "cum": "654500.0"
                 }

tests/exchange/test_ccxt_compat.py

@@ -369,25 +369,25 @@ class TestCCXTExchange():
             pair_tiers = leverage_tiers[futures_pair]
             assert len(pair_tiers) > 0
             oldLeverage = float('inf')
-            oldMaintenanceMarginRate = oldNotionalFloor = oldNotionalCap = -1
+            oldMaintenanceMarginRate = oldminNotional = oldmaxNotional = -1
             for tier in pair_tiers:
                 for key in [
                     'maintenanceMarginRate',
-                    'notionalFloor',
-                    'notionalCap',
+                    'minNotional',
+                    'maxNotional',
                     'maxLeverage'
                 ]:
                     assert key in tier
                     assert tier[key] >= 0.0
-                assert tier['notionalCap'] > tier['notionalFloor']
+                assert tier['maxNotional'] > tier['minNotional']
                 assert tier['maxLeverage'] <= oldLeverage
                 assert tier['maintenanceMarginRate'] >= oldMaintenanceMarginRate
-                assert tier['notionalFloor'] > oldNotionalFloor
-                assert tier['notionalCap'] > oldNotionalCap
+                assert tier['minNotional'] > oldminNotional
+                assert tier['maxNotional'] > oldmaxNotional
                 oldLeverage = tier['maxLeverage']
                 oldMaintenanceMarginRate = tier['maintenanceMarginRate']
-                oldNotionalFloor = tier['notionalFloor']
-                oldNotionalCap = tier['notionalCap']
+                oldminNotional = tier['minNotional']
+                oldmaxNotional = tier['maxNotional']
 
     def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
         futures, futures_name = exchange_futures

tests/exchange/test_exchange.py

@@ -231,6 +231,10 @@ def test_validate_order_time_in_force(default_conf, mocker, caplog):
     (2.34559, 2, 3, 1, 2.345, 'spot'),
     (2.9999, 2, 3, 1, 2.999, 'spot'),
     (2.9909, 2, 3, 1, 2.990, 'spot'),
+    (2.9909, 2, 0, 1, 2, 'spot'),
+    (29991.5555, 2, 0, 1, 29991, 'spot'),
+    (29991.5555, 2, -1, 1, 29990, 'spot'),
+    (29991.5555, 2, -2, 1, 29900, 'spot'),
     # Tests for Tick-size
     (2.34559, 4, 0.0001, 1, 2.3455, 'spot'),
     (2.34559, 4, 0.00001, 1, 2.34559, 'spot'),
@@ -905,7 +909,7 @@ def test_validate_timeframes_emulated_ohlcv_1(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
     with pytest.raises(OperationalException,
                        match=r'The ccxt library does not provide the list of timeframes '
-                             r'for the exchange ".*" and this exchange '
+                             r'for the exchange .* and this exchange '
                              r'is therefore not supported. *'):
         Exchange(default_conf)
 
@@ -926,7 +930,7 @@ def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker):
     mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
     with pytest.raises(OperationalException,
                        match=r'The ccxt library does not provide the list of timeframes '
-                             r'for the exchange ".*" and this exchange '
+                             r'for the exchange .* and this exchange '
                              r'is therefore not supported. *'):
         Exchange(default_conf)
 
@@ -4503,8 +4507,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
         'ADA/USDT:USDT': [
             {
                 'tier': 1,
-                'notionalFloor': 0,
-                'notionalCap': 500,
+                'minNotional': 0,
+                'maxNotional': 500,
                 'maintenanceMarginRate': 0.02,
                 'maxLeverage': 75,
                 'info': {
@@ -4544,8 +4548,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
         'ADA/USDT:USDT': [
             {
                 'tier': 1,
-                'notionalFloor': 0,
-                'notionalCap': 500,
+                'minNotional': 0,
+                'maxNotional': 500,
                 'maintenanceMarginRate': 0.02,
                 'maxLeverage': 75,
                 'info': {
@@ -4580,15 +4584,15 @@ def test_parse_leverage_tier(mocker, default_conf):
 
     tier = {
         "tier": 1,
-        "notionalFloor": 0,
-        "notionalCap": 100000,
+        "minNotional": 0,
+        "maxNotional": 100000,
         "maintenanceMarginRate": 0.025,
         "maxLeverage": 20,
         "info": {
             "bracket": "1",
             "initialLeverage": "20",
-            "notionalCap": "100000",
-            "notionalFloor": "0",
+            "maxNotional": "100000",
+            "minNotional": "0",
             "maintMarginRatio": "0.025",
             "cum": "0.0"
         }
@@ -4604,8 +4608,8 @@ def test_parse_leverage_tier(mocker, default_conf):
 
     tier2 = {
         'tier': 1,
-        'notionalFloor': 0,
-        'notionalCap': 2000,
+        'minNotional': 0,
+        'maxNotional': 2000,
         'maintenanceMarginRate': 0.01,
         'maxLeverage': 75,
         'info': {

tests/exchange/test_okx.py

@@ -19,8 +19,8 @@ def test_get_maintenance_ratio_and_amt_okx(
             'ETH/USDT:USDT': [
                 {
                     'tier': 1,
-                    'notionalFloor': 0,
-                    'notionalCap': 2000,
+                    'minNotional': 0,
+                    'maxNotional': 2000,
                     'maintenanceMarginRate': 0.01,
                     'maxLeverage': 75,
                     'info': {
@@ -39,8 +39,8 @@ def test_get_maintenance_ratio_and_amt_okx(
                 },
                 {
                     'tier': 2,
-                    'notionalFloor': 2001,
-                    'notionalCap': 4000,
+                    'minNotional': 2001,
+                    'maxNotional': 4000,
                     'maintenanceMarginRate': 0.015,
                     'maxLeverage': 50,
                     'info': {
@@ -59,8 +59,8 @@ def test_get_maintenance_ratio_and_amt_okx(
                 },
                 {
                     'tier': 3,
-                    'notionalFloor': 4001,
-                    'notionalCap': 8000,
+                    'minNotional': 4001,
+                    'maxNotional': 8000,
                     'maintenanceMarginRate': 0.02,
                     'maxLeverage': 20,
                     'info': {
@@ -81,8 +81,8 @@ def test_get_maintenance_ratio_and_amt_okx(
             'ADA/USDT:USDT': [
                 {
                     'tier': 1,
-                    'notionalFloor': 0,
-                    'notionalCap': 500,
+                    'minNotional': 0,
+                    'maxNotional': 500,
                     'maintenanceMarginRate': 0.02,
                     'maxLeverage': 75,
                     'info': {
@@ -101,8 +101,8 @@ def test_get_maintenance_ratio_and_amt_okx(
                 },
                 {
                     'tier': 2,
-                    'notionalFloor': 501,
-                    'notionalCap': 1000,
+                    'minNotional': 501,
+                    'maxNotional': 1000,
                     'maintenanceMarginRate': 0.025,
                     'maxLeverage': 50,
                     'info': {
@@ -121,8 +121,8 @@ def test_get_maintenance_ratio_and_amt_okx(
                 },
                 {
                     'tier': 3,
-                    'notionalFloor': 1001,
-                    'notionalCap': 2000,
+                    'minNotional': 1001,
+                    'maxNotional': 2000,
                     'maintenanceMarginRate': 0.03,
                     'maxLeverage': 20,
                     'info': {
@@ -180,8 +180,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
         [
             {
                 'tier': 1,
-                'notionalFloor': 0,
-                'notionalCap': 500,
+                'minNotional': 0,
+                'maxNotional': 500,
                 'maintenanceMarginRate': 0.02,
                 'maxLeverage': 75,
                 'info': {
@@ -200,8 +200,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
             },
             {
                 'tier': 2,
-                'notionalFloor': 501,
-                'notionalCap': 1000,
+                'minNotional': 501,
+                'maxNotional': 1000,
                 'maintenanceMarginRate': 0.025,
                 'maxLeverage': 50,
                 'info': {
@@ -220,8 +220,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
             },
             {
                 'tier': 3,
-                'notionalFloor': 1001,
-                'notionalCap': 2000,
+                'minNotional': 1001,
+                'maxNotional': 2000,
                 'maintenanceMarginRate': 0.03,
                 'maxLeverage': 20,
                 'info': {
@@ -242,8 +242,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
         [
             {
                 'tier': 1,
-                'notionalFloor': 0,
-                'notionalCap': 2000,
+                'minNotional': 0,
+                'maxNotional': 2000,
                 'maintenanceMarginRate': 0.01,
                 'maxLeverage': 75,
                 'info': {
@@ -262,8 +262,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
             },
             {
                 'tier': 2,
-                'notionalFloor': 2001,
-                'notionalCap': 4000,
+                'minNotional': 2001,
+                'maxNotional': 4000,
                 'maintenanceMarginRate': 0.015,
                 'maxLeverage': 50,
                 'info': {
@@ -282,8 +282,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
             },
             {
                 'tier': 3,
-                'notionalFloor': 4001,
-                'notionalCap': 8000,
+                'minNotional': 4001,
+                'maxNotional': 8000,
                 'maintenanceMarginRate': 0.02,
                 'maxLeverage': 20,
                 'info': {

tests/optimize/test_backtesting.py

@@ -22,7 +22,7 @@ from freqtrade.data.history import get_timerange
 from freqtrade.enums import ExitType, RunMode
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange.exchange import timeframe_to_next_date
-from freqtrade.misc import get_strategy_run_id
+from freqtrade.optimize.backtest_caching import get_strategy_run_id
 from freqtrade.optimize.backtesting import Backtesting
 from freqtrade.persistence import LocalTrade
 from freqtrade.resolvers import StrategyResolver
@@ -312,6 +312,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
     get_fee.assert_called()
     assert backtesting.fee == 0.5
     assert not backtesting.strategy.order_types["stoploss_on_exchange"]
+    assert backtesting.strategy.bot_started is True
 
 
 def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
@@ -384,14 +385,16 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
     mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
     mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
     sbs = mocker.patch('freqtrade.optimize.backtesting.store_backtest_stats')
+    sbc = mocker.patch('freqtrade.optimize.backtesting.store_backtest_signal_candles')
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                  PropertyMock(return_value=['UNITTEST/BTC']))
 
     default_conf['timeframe'] = '1m'
     default_conf['datadir'] = testdatadir
-    default_conf['export'] = 'trades'
+    default_conf['export'] = 'signals'
     default_conf['exportfilename'] = 'export.txt'
     default_conf['timerange'] = '-1510694220'
+    default_conf['runmode'] = RunMode.BACKTEST
 
     backtesting = Backtesting(default_conf)
     backtesting._set_strategy(backtesting.strategylist[0])
@@ -407,6 +410,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
     assert backtesting.strategy.dp._pairlists is not None
     assert backtesting.strategy.bot_loop_start.call_count == 1
     assert sbs.call_count == 1
+    assert sbc.call_count == 1
 
 
 def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) -> None:
@@ -497,7 +501,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
     Backtesting(default_conf)
 
     # Multiple strategies
-    default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY, 'TestStrategyLegacyV1']
+    default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY, 'StrategyTestV2']
     with pytest.raises(OperationalException,
                        match='PrecisionFilter not allowed for backtesting multiple strategies.'):
         Backtesting(default_conf)
@@ -711,7 +715,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
     )
 
     # No data available.
-    res = backtesting._get_sell_trade_entry(trade, row_sell)
+    res = backtesting._get_exit_trade_entry(trade, row_sell)
     assert res is not None
     assert res.exit_reason == ExitType.ROI.value
     assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@@ -724,13 +728,13 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
         [], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
                      'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
 
-    res = backtesting._get_sell_trade_entry(trade, row)
+    res = backtesting._get_exit_trade_entry(trade, row)
     assert res is None
 
     # Assign backtest-detail data
     backtesting.detail_data[pair] = row_detail
 
-    res = backtesting._get_sell_trade_entry(trade, row_sell)
+    res = backtesting._get_exit_trade_entry(trade, row_sell)
     assert res is not None
     assert res.exit_reason == ExitType.ROI.value
     # Sell at minute 3 (not available above!)
@@ -1195,7 +1199,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         '--disable-max-market-positions',
         '--strategy-list',
         CURRENT_TEST_STRATEGY,
-        'TestStrategyLegacyV1',
+        'StrategyTestV2',
     ]
     args = get_args(args)
     start_backtesting(args)
@@ -1218,14 +1222,13 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'up to 2017-11-14 22:58:00 (0 days).',
         'Parameter --enable-position-stacking detected ...',
         f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
-        'Running backtesting for Strategy TestStrategyLegacyV1',
+        'Running backtesting for Strategy StrategyTestV2',
     ]
 
     for line in exists:
         assert log_has(line, caplog)
 
 
-@pytest.mark.filterwarnings("ignore:deprecated")
 def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys):
     default_conf.update({
         "use_exit_signal": True,
@@ -1307,7 +1310,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
         '--breakdown', 'day',
         '--strategy-list',
         CURRENT_TEST_STRATEGY,
-        'TestStrategyLegacyV1',
+        'StrategyTestV2',
     ]
     args = get_args(args)
     start_backtesting(args)
@@ -1324,7 +1327,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
         'up to 2017-11-14 22:58:00 (0 days).',
         'Parameter --enable-position-stacking detected ...',
         f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
-        'Running backtesting for Strategy TestStrategyLegacyV1',
+        'Running backtesting for Strategy StrategyTestV2',
     ]
 
     for line in exists:
@@ -1339,6 +1342,39 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
     assert 'STRATEGY SUMMARY' in captured.out
 
 
+@pytest.mark.filterwarnings("ignore:deprecated")
+def test_backtest_start_futures_noliq(default_conf_usdt, mocker,
+                                      caplog, testdatadir, capsys):
+    # Tests detail-data loading
+    default_conf_usdt.update({
+        "trading_mode": "futures",
+        "margin_mode": "isolated",
+        "use_exit_signal": True,
+        "exit_profit_only": False,
+        "exit_profit_offset": 0.0,
+        "ignore_roi_if_entry_signal": False,
+        "strategy": CURRENT_TEST_STRATEGY,
+    })
+    patch_exchange(mocker)
+
+    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
+                 PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
+    # mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
+
+    patched_configuration_load_config_file(mocker, default_conf_usdt)
+
+    args = [
+        'backtesting',
+        '--config', 'config.json',
+        '--datadir', str(testdatadir),
+        '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
+        '--timeframe', '1h',
+    ]
+    args = get_args(args)
+    with pytest.raises(OperationalException, match=r"Pairs .* got no leverage tiers available\."):
+        start_backtesting(args)
+
+
 @pytest.mark.filterwarnings("ignore:deprecated")
 def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
                                        caplog, testdatadir, capsys):
@@ -1589,7 +1625,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         min_backtest_date = now - timedelta(weeks=4)
     load_backtest_metadata = MagicMock(return_value={
         'StrategyTestV2': {'run_id': '1', 'backtest_start_time': now.timestamp()},
-        'TestStrategyLegacyV1': {'run_id': run_id, 'backtest_start_time': start_time.timestamp()}
+        'StrategyTestV3': {'run_id': run_id, 'backtest_start_time': start_time.timestamp()}
     })
     load_backtest_stats = MagicMock(side_effect=[
         {
@@ -1598,9 +1634,9 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
             'strategy_comparison': [{'key': 'StrategyTestV2'}]
         },
         {
-            'metadata': {'TestStrategyLegacyV1': {'run_id': '2'}},
-            'strategy': {'TestStrategyLegacyV1': {}},
-            'strategy_comparison': [{'key': 'TestStrategyLegacyV1'}]
+            'metadata': {'StrategyTestV3': {'run_id': '2'}},
+            'strategy': {'StrategyTestV3': {}},
+            'strategy_comparison': [{'key': 'StrategyTestV3'}]
         }
     ])
     mocker.patch('pathlib.Path.glob', return_value=[
@@ -1624,7 +1660,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         '--cache', cache,
         '--strategy-list',
         'StrategyTestV2',
-        'TestStrategyLegacyV1',
+        'StrategyTestV3',
     ]
     args = get_args(args)
     start_backtesting(args)
@@ -1646,7 +1682,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         assert backtestmock.call_count == 2
         exists = [
             'Running backtesting for Strategy StrategyTestV2',
-            'Running backtesting for Strategy TestStrategyLegacyV1',
+            'Running backtesting for Strategy StrategyTestV3',
             'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
             'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
         ]
@@ -1654,12 +1690,12 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
         assert backtestmock.call_count == 0
         exists = [
             'Reusing result of previous backtest for StrategyTestV2',
-            'Reusing result of previous backtest for TestStrategyLegacyV1',
+            'Reusing result of previous backtest for StrategyTestV3',
         ]
     else:
         exists = [
             'Reusing result of previous backtest for StrategyTestV2',
-            'Running backtesting for Strategy TestStrategyLegacyV1',
+            'Running backtesting for Strategy StrategyTestV3',
             'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
             'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
         ]

tests/optimize/test_edge_cli.py

@@ -94,6 +94,7 @@ def test_edge_init(mocker, edge_conf) -> None:
     assert edge_cli.config == edge_conf
     assert edge_cli.config['stake_amount'] == 'unlimited'
     assert callable(edge_cli.edge.calculate)
+    assert edge_cli.strategy.bot_started is True
 
 
 def test_edge_init_fee(mocker, edge_conf) -> None:

tests/optimize/test_hyperopt.py

@@ -41,6 +41,7 @@ def generate_result_metrics():
         'max_drawdown_abs': 0.001,
         'loss': 0.001,
         'is_initial_point': 0.001,
+        'is_random': False,
         'is_best': 1,
     }
 
@@ -247,6 +248,7 @@ def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
             'total_profit': 0,
             'current_epoch': 2,  # This starts from 1 (in a human-friendly manner)
             'is_initial_point': False,
+            'is_random': False,
             'is_best': True
         }
     )

tests/optimize/test_hyperoptloss.py

@@ -4,7 +4,7 @@ from unittest.mock import MagicMock
 import pytest
 
 from freqtrade.exceptions import OperationalException
-from freqtrade.optimize.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
+from freqtrade.optimize.hyperopt_loss.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
 from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver
 
 

tests/optimize/test_optimize_reports.py

@@ -2,6 +2,7 @@ import re
 from datetime import timedelta
 from pathlib import Path
 
+import joblib
 import pandas as pd
 import pytest
 from arrow import Arrow
@@ -19,6 +20,7 @@ from freqtrade.optimize.optimize_reports import (_get_resample_from_period, gene
                                                  generate_periodic_breakdown_stats,
                                                  generate_strategy_comparison,
                                                  generate_trading_stats, show_sorted_pairlist,
+                                                 store_backtest_signal_candles,
                                                  store_backtest_stats, text_table_bt_results,
                                                  text_table_exit_reason, text_table_strategy)
 from freqtrade.resolvers.strategy_resolver import StrategyResolver
@@ -201,6 +203,62 @@ def test_store_backtest_stats(testdatadir, mocker):
     assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))
 
 
+def test_store_backtest_candles(testdatadir, mocker):
+
+    dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_joblib')
+
+    candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
+
+    # mock directory exporting
+    store_backtest_signal_candles(testdatadir, candle_dict)
+
+    assert dump_mock.call_count == 1
+    assert isinstance(dump_mock.call_args_list[0][0][0], Path)
+    assert str(dump_mock.call_args_list[0][0][0]).endswith(str('_signals.pkl'))
+
+    dump_mock.reset_mock()
+    # mock file exporting
+    filename = Path(testdatadir / 'testresult')
+    store_backtest_signal_candles(filename, candle_dict)
+    assert dump_mock.call_count == 1
+    assert isinstance(dump_mock.call_args_list[0][0][0], Path)
+    # result will be testdatadir / testresult-<timestamp>_signals.pkl
+    assert str(dump_mock.call_args_list[0][0][0]).endswith(str('_signals.pkl'))
+    dump_mock.reset_mock()
+
+
+def test_write_read_backtest_candles(tmpdir):
+
+    candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
+
+    # test directory exporting
+    stored_file = store_backtest_signal_candles(Path(tmpdir), candle_dict)
+    scp = open(stored_file, "rb")
+    pickled_signal_candles = joblib.load(scp)
+    scp.close()
+
+    assert pickled_signal_candles.keys() == candle_dict.keys()
+    assert pickled_signal_candles['DefStrat'].keys() == pickled_signal_candles['DefStrat'].keys()
+    assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
+        .equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
+
+    _clean_test_file(stored_file)
+
+    # test file exporting
+    filename = Path(tmpdir / 'testresult')
+    stored_file = store_backtest_signal_candles(filename, candle_dict)
+    scp = open(stored_file, "rb")
+    pickled_signal_candles = joblib.load(scp)
+    scp.close()
+
+    assert pickled_signal_candles.keys() == candle_dict.keys()
+    assert pickled_signal_candles['DefStrat'].keys() == pickled_signal_candles['DefStrat'].keys()
+    assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
+        .equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
+
+    _clean_test_file(stored_file)
+
+
 def test_generate_pair_metrics():
 
     results = pd.DataFrame(
@@ -228,7 +286,7 @@ def test_generate_pair_metrics():
 
 def test_generate_daily_stats(testdatadir):
 
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     res = generate_daily_stats(bt_data)
     assert isinstance(res, dict)
@@ -248,7 +306,7 @@ def test_generate_daily_stats(testdatadir):
 
 
 def test_generate_trading_stats(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     res = generate_trading_stats(bt_data)
     assert isinstance(res, dict)
@@ -332,7 +390,7 @@ def test_generate_sell_reason_stats():
 
 
 def test_text_table_strategy(testdatadir):
-    filename = testdatadir / "backtest-result_multistrat.json"
+    filename = testdatadir / "backtest_results/backtest-result_multistrat.json"
     bt_res_data = load_backtest_stats(filename)
 
     bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
@@ -364,7 +422,7 @@ def test_generate_edge_table():
 
 
 def test_generate_periodic_breakdown_stats(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename).to_dict(orient='records')
 
     res = generate_periodic_breakdown_stats(bt_data, 'day')
@@ -392,7 +450,7 @@ def test__get_resample_from_period():
 
 
 def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_stats(filename)
     default_conf['backtest_show_pair_list'] = True
 

tests/rpc/test_rpc_apiserver.py

@@ -13,7 +13,6 @@ import uvicorn
 from fastapi import FastAPI
 from fastapi.exceptions import HTTPException
 from fastapi.testclient import TestClient
-from numpy import isnan
 from requests.auth import _basic_auth_str
 
 from freqtrade.__init__ import __version__
@@ -985,7 +984,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets, is_short,
     assert_response(rc)
     resp_values = rc.json()
     assert len(resp_values) == 4
-    assert isnan(resp_values[0]['profit_abs'])
+    assert resp_values[0]['profit_abs'] is None
 
 
 def test_api_version(botclient):
@@ -1389,7 +1388,6 @@ def test_api_strategies(botclient):
         'StrategyTestV2',
         'StrategyTestV3',
         'StrategyTestV3Futures',
-        'TestStrategyLegacyV1',
     ]}
 
 
@@ -1581,6 +1579,38 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
     assert result['status_msg'] == 'Backtest reset'
 
 
+def test_api_backtest_history(botclient, mocker, testdatadir):
+    ftbot, client = botclient
+    mocker.patch('freqtrade.data.btanalysis._get_backtest_files',
+                 return_value=[
+                     testdatadir / 'backtest_results/backtest-result_multistrat.json',
+                     testdatadir / 'backtest_results/backtest-result_new.json'
+                     ])
+
+    rc = client_get(client, f"{BASE_URI}/backtest/history")
+    assert_response(rc, 502)
+    ftbot.config['user_data_dir'] = testdatadir
+    ftbot.config['runmode'] = RunMode.WEBSERVER
+
+    rc = client_get(client, f"{BASE_URI}/backtest/history")
+    assert_response(rc)
+    result = rc.json()
+    assert len(result) == 3
+    fn = result[0]['filename']
+    assert fn == "backtest-result_multistrat.json"
+    strategy = result[0]['strategy']
+    rc = client_get(client, f"{BASE_URI}/backtest/history/result?filename={fn}&strategy={strategy}")
+    assert_response(rc)
+    result2 = rc.json()
+    assert result2
+    assert result2['status'] == 'ended'
+    assert not result2['running']
+    assert result2['progress'] == 1
+    # Only one strategy loaded - even though we use multiresult
+    assert len(result2['backtest_result']['strategy']) == 1
+    assert result2['backtest_result']['strategy'][strategy]
+
+
 def test_health(botclient):
     ftbot, client = botclient
 

tests/strategy/strats/broken_strats/legacy_strategy_v1.py

@@ -0,0 +1,30 @@
+# type: ignore
+from pandas import DataFrame
+
+from freqtrade.strategy import IStrategy
+
+
+# Dummy strategy - no longer loads but raises an exception.
+class TestStrategyLegacyV1(IStrategy):
+
+    minimal_roi = {
+        "40": 0.0,
+        "30": 0.01,
+        "20": 0.02,
+        "0": 0.04
+    }
+    stoploss = -0.10
+
+    timeframe = '5m'
+
+    def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
+
+        return dataframe
+
+    def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
+
+        return dataframe
+
+    def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
+
+        return dataframe

tests/strategy/strats/legacy_strategy_v1.py

@@ -1,85 +0,0 @@
-
-# --- Do not remove these libs ---
-# Add your lib to import here
-import talib.abstract as ta
-from pandas import DataFrame
-
-from freqtrade.strategy import IStrategy
-
-
-# --------------------------------
-
-# This class is a sample. Feel free to customize it.
-class TestStrategyLegacyV1(IStrategy):
-    """
-    This is a test strategy using the legacy function headers, which will be
-    removed in a future update.
-    Please do not use this as a template, but refer to user_data/strategy/sample_strategy.py
-    for a uptodate version of this template.
-    """
-
-    # Minimal ROI designed for the strategy.
-    # This attribute will be overridden if the config file contains "minimal_roi"
-    minimal_roi = {
-        "40": 0.0,
-        "30": 0.01,
-        "20": 0.02,
-        "0": 0.04
-    }
-
-    # Optimal stoploss designed for the strategy
-    # This attribute will be overridden if the config file contains "stoploss"
-    stoploss = -0.10
-
-    timeframe = '5m'
-
-    def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
-        """
-        Adds several different TA indicators to the given DataFrame
-
-        Performance Note: For the best performance be frugal on the number of indicators
-        you are using. Let uncomment only the indicator you are using in your strategies
-        or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
-        """
-
-        # Momentum Indicator
-        # ------------------------------------
-
-        # ADX
-        dataframe['adx'] = ta.ADX(dataframe)
-
-        # TEMA - Triple Exponential Moving Average
-        dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
-
-        return dataframe
-
-    def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
-        """
-        Based on TA indicators, populates the buy signal for the given dataframe
-        :param dataframe: DataFrame
-        :return: DataFrame with buy column
-        """
-        dataframe.loc[
-            (
-                (dataframe['adx'] > 30) &
-                (dataframe['tema'] > dataframe['tema'].shift(1)) &
-                (dataframe['volume'] > 0)
-            ),
-            'buy'] = 1
-
-        return dataframe
-
-    def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
-        """
-        Based on TA indicators, populates the sell signal for the given dataframe
-        :param dataframe: DataFrame
-        :return: DataFrame with buy column
-        """
-        dataframe.loc[
-            (
-                (dataframe['adx'] > 70) &
-                (dataframe['tema'] < dataframe['tema'].shift(1)) &
-                (dataframe['volume'] > 0)
-            ),
-            'sell'] = 1
-        return dataframe

tests/strategy/strats/strategy_test_v2.py

@@ -56,19 +56,6 @@ class StrategyTestV2(IStrategy):
     # By default this strategy does not use Position Adjustments
     position_adjustment_enable = False
 
-    def informative_pairs(self):
-        """
-        Define additional, informative pair/interval combinations to be cached from the exchange.
-        These pair/interval combinations are non-tradeable, unless they are part
-        of the whitelist as well.
-        For more information, please consult the documentation
-        :return: List of tuples in the format (pair, interval)
-            Sample: return [("ETH/USDT", "5m"),
-                            ("BTC/USDT", "15m"),
-                            ]
-        """
-        return []
-
     def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         """
         Adds several different TA indicators to the given DataFrame

tests/strategy/strats/strategy_test_v3.py

@@ -82,6 +82,11 @@ class StrategyTestV3(IStrategy):
     #         })
     #     return prot
 
+    bot_started = False
+
+    def bot_start(self):
+        self.bot_started = True
+
     def informative_pairs(self):
 
         return []

tests/strategy/test_interface.py

@@ -686,7 +686,7 @@ def test_is_pair_locked(default_conf):
 
 
 def test_is_informative_pairs_callback(default_conf):
-    default_conf.update({'strategy': 'TestStrategyLegacyV1'})
+    default_conf.update({'strategy': 'StrategyTestV2'})
     strategy = StrategyResolver.load_strategy(default_conf)
     # Should return empty
     # Uses fallback to base implementation

tests/strategy/test_strategy_helpers.py

@@ -68,6 +68,21 @@ def test_merge_informative_pair():
     assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
     assert result.iloc[8]['date_1h'] == result.iloc[4]['date']
 
+    informative = generate_test_data('1h', 40)
+    result = merge_informative_pair(data, informative, '15m', '1h', ffill=False)
+    # First 3 rows are empty
+    assert result.iloc[0]['date_1h'] is pd.NaT
+    assert result.iloc[1]['date_1h'] is pd.NaT
+    assert result.iloc[2]['date_1h'] is pd.NaT
+    # Next 4 rows contain the starting date (0:00)
+    assert result.iloc[3]['date_1h'] == result.iloc[0]['date']
+    assert result.iloc[4]['date_1h'] is pd.NaT
+    assert result.iloc[5]['date_1h'] is pd.NaT
+    assert result.iloc[6]['date_1h'] is pd.NaT
+    # Next 4 rows contain the next Hourly date original date row 4
+    assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
+    assert result.iloc[8]['date_1h'] is pd.NaT
+
 
 def test_merge_informative_pair_same():
     data = generate_test_data('15m', 40)

tests/strategy/test_strategy_loading.py

@@ -1,6 +1,5 @@
 # pragma pylint: disable=missing-docstring, protected-access, C0103
 import logging
-import warnings
 from base64 import urlsafe_b64encode
 from pathlib import Path
 
@@ -35,7 +34,7 @@ def test_search_all_strategies_no_failed():
     directory = Path(__file__).parent / "strats"
     strategies = StrategyResolver.search_all_objects(directory, enum_failed=False)
     assert isinstance(strategies, list)
-    assert len(strategies) == 6
+    assert len(strategies) == 5
     assert isinstance(strategies[0], dict)
 
 
@@ -43,10 +42,10 @@ def test_search_all_strategies_with_failed():
     directory = Path(__file__).parent / "strats"
     strategies = StrategyResolver.search_all_objects(directory, enum_failed=True)
     assert isinstance(strategies, list)
-    assert len(strategies) == 7
+    assert len(strategies) == 6
     # with enum_failed=True search_all_objects() shall find 2 good strategies
     # and 1 which fails to load
-    assert len([x for x in strategies if x['class'] is not None]) == 6
+    assert len([x for x in strategies if x['class'] is not None]) == 5
     assert len([x for x in strategies if x['class'] is None]) == 1
 
 
@@ -100,7 +99,7 @@ def test_load_strategy_noname(default_conf):
 
 
 @pytest.mark.filterwarnings("ignore:deprecated")
-@pytest.mark.parametrize('strategy_name', ['StrategyTestV2', 'TestStrategyLegacyV1'])
+@pytest.mark.parametrize('strategy_name', ['StrategyTestV2'])
 def test_strategy_pre_v3(result, default_conf, strategy_name):
     default_conf.update({'strategy': strategy_name})
 
@@ -346,40 +345,6 @@ def test_strategy_override_use_exit_profit_only(caplog, default_conf):
     assert log_has("Override strategy 'exit_profit_only' with value in config file: True.", caplog)
 
 
-@pytest.mark.filterwarnings("ignore:deprecated")
-def test_deprecate_populate_indicators(result, default_conf):
-    default_location = Path(__file__).parent / "strats"
-    default_conf.update({'strategy': 'TestStrategyLegacyV1',
-                         'strategy_path': default_location})
-    strategy = StrategyResolver.load_strategy(default_conf)
-    with warnings.catch_warnings(record=True) as w:
-        # Cause all warnings to always be triggered.
-        warnings.simplefilter("always")
-        indicators = strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
-        assert len(w) == 1
-        assert issubclass(w[-1].category, DeprecationWarning)
-        assert "deprecated - check out the Sample strategy to see the current function headers!" \
-            in str(w[-1].message)
-
-    with warnings.catch_warnings(record=True) as w:
-        # Cause all warnings to always be triggered.
-        warnings.simplefilter("always")
-        strategy.advise_entry(indicators, {'pair': 'ETH/BTC'})
-        assert len(w) == 1
-        assert issubclass(w[-1].category, DeprecationWarning)
-        assert "deprecated - check out the Sample strategy to see the current function headers!" \
-            in str(w[-1].message)
-
-    with warnings.catch_warnings(record=True) as w:
-        # Cause all warnings to always be triggered.
-        warnings.simplefilter("always")
-        strategy.advise_exit(indicators, {'pair': 'ETH_BTC'})
-        assert len(w) == 1
-        assert issubclass(w[-1].category, DeprecationWarning)
-        assert "deprecated - check out the Sample strategy to see the current function headers!" \
-            in str(w[-1].message)
-
-
 @pytest.mark.filterwarnings("ignore:deprecated")
 def test_missing_implements(default_conf, caplog):
 
@@ -438,33 +403,14 @@ def test_missing_implements(default_conf, caplog):
         StrategyResolver.load_strategy(default_conf)
 
 
-@pytest.mark.filterwarnings("ignore:deprecated")
-def test_call_deprecated_function(result, default_conf, caplog):
-    default_location = Path(__file__).parent / "strats"
+def test_call_deprecated_function(default_conf):
+    default_location = Path(__file__).parent / "strats/broken_strats/"
     del default_conf['timeframe']
     default_conf.update({'strategy': 'TestStrategyLegacyV1',
                          'strategy_path': default_location})
-    strategy = StrategyResolver.load_strategy(default_conf)
-    metadata = {'pair': 'ETH/BTC'}
-
-    # Make sure we are using a legacy function
-    assert strategy._populate_fun_len == 2
-    assert strategy._buy_fun_len == 2
-    assert strategy._sell_fun_len == 2
-    assert strategy.INTERFACE_VERSION == 1
-    assert strategy.timeframe == '5m'
-
-    indicator_df = strategy.advise_indicators(result, metadata=metadata)
-    assert isinstance(indicator_df, DataFrame)
-    assert 'adx' in indicator_df.columns
-
-    enterdf = strategy.advise_entry(result, metadata=metadata)
-    assert isinstance(enterdf, DataFrame)
-    assert 'enter_long' in enterdf.columns
-
-    exitdf = strategy.advise_exit(result, metadata=metadata)
-    assert isinstance(exitdf, DataFrame)
-    assert 'exit_long' in exitdf
+    with pytest.raises(OperationalException,
+                       match=r"Strategy Interface v1 is no longer supported.*"):
+        StrategyResolver.load_strategy(default_conf)
 
 
 def test_strategy_interface_versioning(result, default_conf):
@@ -472,10 +418,6 @@ def test_strategy_interface_versioning(result, default_conf):
     strategy = StrategyResolver.load_strategy(default_conf)
     metadata = {'pair': 'ETH/BTC'}
 
-    # Make sure we are using a legacy function
-    assert strategy._populate_fun_len == 3
-    assert strategy._buy_fun_len == 3
-    assert strategy._sell_fun_len == 3
     assert strategy.INTERFACE_VERSION == 2
 
     indicator_df = strategy.advise_indicators(result, metadata=metadata)

tests/test_freqtradebot.py

@@ -717,12 +717,12 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
     (True, 'spot', 'gateio', None, 0.0, None),
     (False, 'spot', 'okx', None, 0.0, None),
     (True, 'spot', 'okx', None, 0.0, None),
-    (True, 'futures', 'binance', 'isolated', 0.0, 11.89108910891089),
-    (False, 'futures', 'binance', 'isolated', 0.0, 8.070707070707071),
+    (True, 'futures', 'binance', 'isolated', 0.0, 11.88151815181518),
+    (False, 'futures', 'binance', 'isolated', 0.0, 8.080471380471382),
     (True, 'futures', 'gateio', 'isolated', 0.0, 11.87413417771621),
     (False, 'futures', 'gateio', 'isolated', 0.0, 8.085708510208207),
-    (True, 'futures', 'binance', 'isolated', 0.05, 11.796534653465345),
-    (False, 'futures', 'binance', 'isolated', 0.05, 8.167171717171717),
+    (True, 'futures', 'binance', 'isolated', 0.05, 11.7874422442244),
+    (False, 'futures', 'binance', 'isolated', 0.05, 8.17644781144781),
     (True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
     (False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
     (True, 'futures', 'okx', 'isolated', 0.0, 11.87413417771621),
@@ -845,6 +845,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     assert trade.open_order_id is None
     assert trade.open_rate == 10
     assert trade.stake_amount == round(order['price'] * order['filled'] / leverage, 8)
+    assert pytest.approx(trade.liquidation_price) == liq_price
 
     # In case of rejected or expired order and partially filled
     order['status'] = 'expired'
@@ -932,8 +933,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     assert trade.open_rate_requested == 10
 
     # In case of custom entry price not float type
-    freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
-    freqtrade.exchange.name = exchange_name
     order['status'] = 'open'
     order['id'] = '5568'
     freqtrade.strategy.custom_entry_price = lambda **kwargs: "string price"
@@ -946,7 +945,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
     trade.is_short = is_short
     assert trade
     assert trade.open_rate_requested == 10
-    assert trade.liquidation_price == liq_price
 
     # In case of too high stake amount
 
@@ -3221,7 +3219,7 @@ def test_execute_trade_exit_custom_exit_price(
     freqtrade.execute_trade_exit(
         trade=trade,
         limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
-        exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)
+        exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL, exit_reason='foo')
     )
 
     # Sell price must be different to default bid price
@@ -3249,8 +3247,8 @@ def test_execute_trade_exit_custom_exit_price(
         'profit_ratio': profit_ratio,
         'stake_currency': 'USDT',
         'fiat_currency': 'USD',
-        'sell_reason': ExitType.EXIT_SIGNAL.value,
-        'exit_reason': ExitType.EXIT_SIGNAL.value,
+        'sell_reason': 'foo',
+        'exit_reason': 'foo',
         'open_date': ANY,
         'close_date': ANY,
         'close_rate': ANY,

tests/test_plotting.py

@@ -157,7 +157,7 @@ def test_plot_trades(testdatadir, caplog):
     assert fig == fig1
     assert log_has("No trades found.", caplog)
     pair = "ADA/BTC"
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     trades = load_backtest_data(filename)
     trades = trades.loc[trades['pair'] == pair]
 
@@ -298,7 +298,7 @@ def test_generate_plot_file(mocker, caplog):
 
 
 def test_add_profit(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     bt_data = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
 
@@ -318,7 +318,7 @@ def test_add_profit(testdatadir):
 
 
 def test_generate_profit_graph(testdatadir):
-    filename = testdatadir / "backtest-result_new.json"
+    filename = testdatadir / "backtest_results/backtest-result_new.json"
     trades = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
     pairs = ["TRX/BTC", "XLM/BTC"]
@@ -466,7 +466,7 @@ def test_plot_profit(default_conf, mocker, testdatadir):
                        match=r"No trades found, cannot generate Profit-plot.*"):
         plot_profit(default_conf)
 
-    default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
+    default_conf['exportfilename'] = testdatadir / "backtest_results/backtest-result_new.json"
 
     plot_profit(default_conf)
 

tests/testdata/backtest_results/backtest-result_multistrat.meta.json

@@ -0,0 +1,10 @@
+{
+    "StrategyTestV2": {
+        "run_id": "430d0271075ef327edbb23088f4db4ebe51a3dbf",
+        "backtest_start_time": 1648904006
+    },
+    "TestStrategy": {
+        "run_id": "110d0271075ef327edbb23085102b4ebe51a3d55",
+        "backtest_start_time": 1648904006
+    }
+}