From 4a707d74524b5f6dc72005951d893fefede68492 Mon Sep 17 00:00:00 2001 From: gcarq Date: Thu, 23 Nov 2017 00:25:06 +0100 Subject: [PATCH] add --limit-max-trades --- freqtrade/misc.py | 7 +++++ freqtrade/tests/test_backtesting.py | 47 +++++++++++++++++++---------- freqtrade/tests/test_misc.py | 2 ++ 3 files changed, 40 insertions(+), 16 deletions(-) diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 2bd983137..0140c5c16 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -150,6 +150,12 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None: type=int, metavar='INT', ) + backtest.add_argument( + '--limit-max-trades', + help='uses max_open_trades from config to simulate real world limitations', + action='store_true', + dest='limit_max_trades', + ) def start_backtesting(args) -> None: @@ -165,6 +171,7 @@ def start_backtesting(args) -> None: 'BACKTEST_LIVE': 'true' if args.live else '', 'BACKTEST_CONFIG': args.config, 'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval), + 'BACKTEST_LIMIT_MAX_TRADES': 'true' if args.limit_max_trades else '', }) path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py') pytest.main(['-s', path]) diff --git a/freqtrade/tests/test_backtesting.py b/freqtrade/tests/test_backtesting.py index ed58c59dc..2e2c195c4 100644 --- a/freqtrade/tests/test_backtesting.py +++ b/freqtrade/tests/test_backtesting.py @@ -83,33 +83,45 @@ def generate_text_table(data: Dict[str, Dict], results: DataFrame, stake_currenc return tabulate(tabular_data, headers=headers) -def backtest(backtest_conf, processed, mocker): +def backtest(config: Dict, processed, mocker, max_open_trades=0): + """ + Implements backtesting functionality + :param config: config to use + :param processed: a processed dictionary with format {pair, data} + :param mocker: mocker instance + :param max_open_trades: maximum number of concurrent trades (default: 0, disabled) + :return: DataFrame + """ trades = [] trade_count_lock = {} exchange._API = Bittrex({'key': '', 'secret': ''}) - mocker.patch.dict('freqtrade.main._CONF', backtest_conf) + mocker.patch.dict('freqtrade.main._CONF', config) for pair, pair_data in processed.items(): pair_data['buy'], pair_data['sell'] = 0, 0 ticker = populate_sell_trend(populate_buy_trend(pair_data)) # for each buy point for row in ticker[ticker.buy == 1].itertuples(index=True): - # Check if max_open_trades has already been reached for the given date - if not trade_count_lock.get(row.date, 0) < backtest_conf['max_open_trades']: - continue + if max_open_trades > 0: + # Check if max_open_trades has already been reached for the given date + if not trade_count_lock.get(row.date, 0) < max_open_trades: + continue + + if max_open_trades > 0: + # Increase lock + trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 - # Increase lock - trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 trade = Trade( open_rate=row.close, open_date=row.date, - amount=backtest_conf['stake_amount'], + amount=config['stake_amount'], fee=exchange.get_fee() * 2 ) # calculate win/lose forwards from buy point for row2 in ticker[row.Index + 1:].itertuples(index=True): - # Increase trade_count_lock for every iteration - trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1 + if max_open_trades > 0: + # Increase trade_count_lock for every iteration + trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1 if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1: current_profit = trade.calc_profit(row2.close) @@ -120,6 +132,13 @@ def backtest(backtest_conf, processed, mocker): return DataFrame.from_records(trades, columns=labels) +def get_max_open_trades(config): + if not os.environ.get('BACKTEST_LIMIT_MAX_TRADES'): + return 0 + print('Using max_open_trades: {} ...'.format(config['max_open_trades'])) + return config['max_open_trades'] + + @pytest.mark.skipif(not os.environ.get('BACKTEST'), reason="BACKTEST not set") def test_backtest(backtest_conf, mocker): print('') @@ -150,8 +169,6 @@ def test_backtest(backtest_conf, mocker): config['stake_currency'], config['stake_amount'] )) - print('Using max_open_trades: {} ...'.format(config['max_open_trades'])) - # Print timeframe min_date, max_date = get_timeframe(data) print('Measuring data from {} up to {} ...'.format( @@ -159,8 +176,6 @@ def test_backtest(backtest_conf, mocker): )) # Execute backtest and print results - results = backtest(config, preprocess(data), mocker) - print('====================== BACKTESTING REPORT ======================================\n\n' - 'NOTE: This Report doesn\'t respect the limits of max_open_trades, \n' - ' so the projected values should be taken with a grain of salt.\n') + results = backtest(config, preprocess(data), mocker, get_max_open_trades(config)) + print('====================== BACKTESTING REPORT ======================================\n\n') print(generate_text_table(data, results, config['stake_currency'])) diff --git a/freqtrade/tests/test_misc.py b/freqtrade/tests/test_misc.py index 78507f226..8d373c1d7 100644 --- a/freqtrade/tests/test_misc.py +++ b/freqtrade/tests/test_misc.py @@ -109,6 +109,7 @@ def test_start_backtesting(mocker): live=True, loglevel=20, ticker_interval=1, + limit_max_trades=True, ) start_backtesting(args) assert env_mock == { @@ -116,6 +117,7 @@ def test_start_backtesting(mocker): 'BACKTEST_LIVE': 'true', 'BACKTEST_CONFIG': 'config.json', 'BACKTEST_TICKER_INTERVAL': '1', + 'BACKTEST_LIMIT_MAX_TRADES': 'true', } assert pytest_mock.call_count == 1