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

Two fixes
This commit is contained in:
Matthias 2021-05-15 15:11:07 +02:00 committed by GitHub
commit 4f968b4a6f
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4 changed files with 33 additions and 9 deletions

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@ -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).')

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@ -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)

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@ -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)

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@ -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