Merge pull request #4926 from rokups/rk/misc-fixes

Two fixes
2021-05-15 15:11:07 +02:00 · 2021-05-15 15:11:07 +02:00 · 4f968b4a6f
commit 4f968b4a6f
parent e1447f955c 2d5f465f1b
4 changed files with 33 additions and 9 deletions
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@ -9,7 +9,7 @@ from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from typing import Any, Dict, List, Optional, Tuple

-from pandas import DataFrame, NaT
+from pandas import DataFrame

 from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
 from freqtrade.constants import DATETIME_PRINT_FORMAT
@ -115,8 +115,6 @@ class Backtesting:

        # Get maximum required startup period
        self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
-        # Load one (first) strategy
-        self._set_strategy(self.strategylist[0])

    def __del__(self):
        LoggingMixin.show_output = True
@ -457,13 +455,21 @@ class Backtesting:
        preprocessed = self.strategy.ohlcvdata_to_dataframe(data)

        # Trim startup period from analyzed dataframe
-        for pair, df in preprocessed.items():
-            preprocessed[pair] = trim_dataframe(df, timerange,
-                                                startup_candles=self.required_startup)
-        min_date, max_date = history.get_timerange(preprocessed)
-        if min_date is NaT or max_date is NaT:
+        for pair in list(preprocessed):
+            df = preprocessed[pair]
+            df = trim_dataframe(df, timerange, startup_candles=self.required_startup)
+            if len(df) > 0:
+                preprocessed[pair] = df
+            else:
+                logger.warning(f'{pair} has no data left after adjusting for startup candles, '
+                               f'skipping.')
+                del preprocessed[pair]
+
+        if not preprocessed:
            raise OperationalException(
                "No data left after adjusting for startup candles.")
+
+        min_date, max_date = history.get_timerange(preprocessed)
        logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
                    f'({(max_date - min_date).days} days).')
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@ -79,6 +79,7 @@ class Hyperopt:
            self.custom_hyperopt = HyperOptAuto(self.config)
        else:
            self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config)
+        self.backtesting._set_strategy(self.backtesting.strategylist[0])
        self.custom_hyperopt.strategy = self.backtesting.strategy

        self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(self.config)
--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@ -493,6 +493,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
    patch_exchange(mocker)
    frame = _build_backtest_dataframe(data.data)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_buy = lambda a, m: frame
    backtesting.strategy.advise_sell = lambda a, m: frame
    caplog.set_level(logging.DEBUG)
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@ -83,6 +83,7 @@ def simple_backtest(config, contour, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    config['timeframe'] = '1m'
    backtesting = Backtesting(config)
+    backtesting._set_strategy(backtesting.strategylist[0])

    data = load_data_test(contour, testdatadir)
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
@ -106,6 +107,7 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
    data = trim_dictlist(data, -201)
    patch_exchange(mocker)
    backtesting = Backtesting(conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    return {
@ -285,6 +287,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
    patch_exchange(mocker)
    get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.config == default_conf
    assert backtesting.timeframe == '5m'
    assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
@ -315,11 +318,13 @@ def test_data_with_fee(default_conf, mocker, testdatadir) -> None:

    fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.fee == 0.1234
    assert fee_mock.call_count == 0

    default_conf['fee'] = 0.0
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.fee == 0.0
    assert fee_mock.call_count == 0

@ -330,6 +335,7 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
    data = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
                             fill_up_missing=True)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    assert len(processed['UNITTEST/BTC']) == 102

@ -361,6 +367,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
    default_conf['timerange'] = '-1510694220'

    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.bot_loop_start = MagicMock()
    backtesting.start()
    # check the logs, that will contain the backtest result
@ -393,6 +400,7 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
    default_conf['timerange'] = '20180101-20180102'

    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    with pytest.raises(OperationalException, match='No data found. Terminating.'):
        backtesting.start()

@ -465,6 +473,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
    default_conf['stake_amount'] = 'unlimited'
    default_conf['max_open_trades'] = 2
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    pair = 'UNITTEST/BTC'
    row = [
        pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
@ -508,6 +517,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    pair = 'UNITTEST/BTC'
    timerange = TimeRange('date', None, 1517227800, 0)
    data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
@ -570,6 +580,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])

    # Run a backtesting for an exiting 1min timeframe
    timerange = TimeRange.parse_timerange('1510688220-1510700340')
@ -591,6 +602,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
 def test_processed(default_conf, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])

    dict_of_tickerrows = load_data_test('raise', testdatadir)
    dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows)
@ -661,6 +673,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):

    backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_buy = fun  # Override
    backtesting.strategy.advise_sell = fun  # Override
    result = backtesting.backtest(**backtest_conf)
@ -676,6 +689,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):

    backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_buy = fun  # Override
    backtesting.strategy.advise_sell = fun  # Override
    result = backtesting.backtest(**backtest_conf)
@ -689,6 +703,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
                                        pair='UNITTEST/BTC', datadir=testdatadir)
    default_conf['timeframe'] = '1m'
    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_buy = _trend_alternate  # Override
    backtesting.strategy.advise_sell = _trend_alternate  # Override
    result = backtesting.backtest(**backtest_conf)
@ -731,6 +746,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
    default_conf['timeframe'] = '5m'

    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_buy = _trend_alternate_hold  # Override
    backtesting.strategy.advise_sell = _trend_alternate_hold  # Override