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Fixed max_open_trades update from hyperopt

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Fixed max_open_trades update from hyperopt + removed max_open_trades as a param to backtesting + refactoring
This commit is contained in:
Antonio Della Fortuna
2023-01-08 12:39:39 +01:00
parent 8c3ac56bc5
commit 464cb4761c
7 changed files with 132 additions and 52 deletions
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26
freqtrade/optimize/backtesting.py
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@@ -920,8 +920,9 @@ class Backtesting:
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
def trade_slot_available(self, open_trade_count: int) -> bool:
# Always allow trades when max_open_trades is enabled.
max_open_trades = self.config['max_open_trades']
if max_open_trades <= 0 or open_trade_count < max_open_trades:
return True
# Rejected trade
@@ -1051,7 +1052,6 @@ class Backtesting:
def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int,
open_trade_count_start: int, is_first: bool = True) -> int:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@@ -1075,7 +1075,7 @@ class Backtesting:
if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first
and self.trade_slot_available(max_open_trades, open_trade_count_start)
and self.trade_slot_available(open_trade_count_start)
and current_time != end_date
and trade_dir is not None
and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
@@ -1122,8 +1122,7 @@ class Backtesting:
return open_trade_count_start
def backtest(self, processed: Dict,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0) -> Dict[str, Any]:
start_date: datetime, end_date: datetime) -> Dict[str, Any]:
"""
Implement backtesting functionality
@@ -1135,7 +1134,6 @@ class Backtesting:
optimize memory usage!
:param start_date: backtesting timerange start datetime
:param end_date: backtesting timerange end datetime
:param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
:return: DataFrame with trades (results of backtesting)
"""
self.prepare_backtest(self.enable_protections)
@@ -1176,7 +1174,7 @@ class Backtesting:
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades,
row, pair, current_time, end_date,
open_trade_count_start)
continue
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
@@ -1189,13 +1187,13 @@ class Backtesting:
current_time_det = current_time
for det_row in detail_data[HEADERS].values.tolist():
open_trade_count_start = self.backtest_loop(
det_row, pair, current_time_det, end_date, max_open_trades,
det_row, pair, current_time_det, end_date,
open_trade_count_start, is_first)
current_time_det += timedelta(minutes=self.timeframe_detail_min)
is_first = False
else:
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
row, pair, current_time, end_date, open_trade_count_start)
# Move time one configured time_interval ahead.
self.progress.increment()
@@ -1227,14 +1225,11 @@ class Backtesting:
self._set_strategy(strat)
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
# Must come from strategy config, as the strategy may modify this setting.
max_open_trades = self.strategy.config['max_open_trades'] \
if self.strategy.config['max_open_trades'] != float('inf') else -1
else:
if not self.config.get('use_max_market_positions', True):
logger.info(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
self.strategy.max_open_trades = -1
self.config.update({'max_open_trades': float('inf')})
# need to reprocess data every time to populate signals
preprocessed = self.strategy.advise_all_indicators(data)
@@ -1257,7 +1252,6 @@ class Backtesting:
processed=preprocessed,
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
)
backtest_end_time = datetime.now(timezone.utc)
results.update({