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Use "combined" enter_tag column

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This commit is contained in:
Matthias
2021-09-26 15:20:59 +02:00
parent 2a678bdbb4
commit 4fd00db630
6 changed files with 20 additions and 25 deletions
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3
freqtrade/enums/signaltype.py
View File

@@ -15,8 +15,7 @@ class SignalTagType(Enum):
"""
Enum for signal columns
"""
LONG_TAG = "long_tag"
SHORT_TAG = "short_tag"
ENTER_TAG = "enter_tag"
class SignalDirection(Enum):

13
freqtrade/optimize/backtesting.py
View File

@@ -46,7 +46,6 @@ ELONG_IDX = 6 # Exit long
SHORT_IDX = 7
ESHORT_IDX = 8 # Exit short
ENTER_TAG_IDX = 9
SHORT_TAG_IDX = 10
class Backtesting:
@@ -253,7 +252,7 @@ class Backtesting:
# 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', 'long_tag', 'short_tag']
'enter_short', 'exit_short', 'enter_tag']
data: Dict = {}
self.progress.init_step(BacktestState.CONVERT, len(processed))
@@ -271,8 +270,7 @@ class Backtesting:
if 'exit_long' in pair_data.columns:
pair_data.loc[:, 'exit_long'] = 0
pair_data.loc[:, 'exit_short'] = 0
pair_data.loc[:, 'long_tag'] = None
pair_data.loc[:, 'short_tag'] = None
pair_data.loc[:, 'enter_tag'] = None
df_analyzed = self.strategy.advise_exit(
self.strategy.advise_entry(pair_data, {'pair': pair}),
@@ -287,7 +285,7 @@ class Backtesting:
df_analyzed.loc[:, 'enter_short'] = df_analyzed.loc[:, 'enter_short'].shift(1)
df_analyzed.loc[:, 'exit_long'] = df_analyzed.loc[:, 'exit_long'].shift(1)
df_analyzed.loc[:, 'exit_short'] = df_analyzed.loc[:, 'exit_short'].shift(1)
df_analyzed.loc[:, 'long_tag'] = df_analyzed.loc[:, 'long_tag'].shift(1)
df_analyzed.loc[:, 'enter_tag'] = df_analyzed.loc[:, 'enter_tag'].shift(1)
# Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)
@@ -454,8 +452,7 @@ class Backtesting:
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
# Enter trade
# TODO-lev: SHORT_TAG ...
has_buy_tag = len(row) >= ENTER_TAG_IDX + 1
has_enter_tag = len(row) >= ENTER_TAG_IDX + 1
trade = LocalTrade(
pair=pair,
open_rate=row[OPEN_IDX],
@@ -465,7 +462,7 @@ class Backtesting:
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
buy_tag=row[ENTER_TAG_IDX] if has_buy_tag else None,
buy_tag=row[ENTER_TAG_IDX] if has_enter_tag else None,
exchange=self._exchange_name,
is_short=(direction == 'short'),
)

9
freqtrade/strategy/interface.py
View File

@@ -519,8 +519,7 @@ class IStrategy(ABC, HyperStrategyMixin):
dataframe[SignalType.EXIT_LONG.value] = 0
dataframe[SignalType.ENTER_SHORT.value] = 0
dataframe[SignalType.EXIT_SHORT.value] = 0
dataframe[SignalTagType.LONG_TAG.value] = None
dataframe[SignalTagType.SHORT_TAG.value] = None
dataframe[SignalTagType.ENTER_TAG.value] = None
# Other Defs in strategy that want to be called every loop here
# twitter_sell = self.watch_twitter_feed(dataframe, metadata)
@@ -690,10 +689,10 @@ class IStrategy(ABC, HyperStrategyMixin):
enter_tag_value: Optional[str] = None
if enter_long == 1 and not any([exit_long, enter_short]):
enter_signal = SignalDirection.LONG
enter_tag_value = latest.get(SignalTagType.LONG_TAG.value, None)
enter_tag_value = latest.get(SignalTagType.ENTER_TAG.value, None)
if enter_short == 1 and not any([exit_short, enter_long]):
enter_signal = SignalDirection.SHORT
enter_tag_value = latest.get(SignalTagType.SHORT_TAG.value, None)
enter_tag_value = latest.get(SignalTagType.ENTER_TAG.value, None)
timeframe_seconds = timeframe_to_seconds(timeframe)
@@ -963,7 +962,7 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
df = self.populate_buy_trend(dataframe, metadata)
if 'enter_long' not in df.columns:
df = df.rename({'buy': 'enter_long', 'buy_tag': 'long_tag'}, axis='columns')
df = df.rename({'buy': 'enter_long', 'buy_tag': 'enter_tag'}, axis='columns')
return df