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Merge branch 'develop' into strategy_version

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Matthias 2019-08-28 19:29:53 +02:00
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10
docs/backtesting.md
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@ -79,18 +79,18 @@ freqtrade backtesting --datadir user_data/data/bittrex-20180101
#### With a (custom) strategy file
```bash
freqtrade -s TestStrategy backtesting
freqtrade -s SampleStrategy backtesting
```
Where `-s TestStrategy` refers to the class name within the strategy file `test_strategy.py` found in the `freqtrade/user_data/strategies` directory.
Where `-s SampleStrategy` refers to the class name within the strategy file `sample_strategy.py` found in the `freqtrade/user_data/strategies` directory.
#### Comparing multiple Strategies
```bash
freqtrade backtesting --strategy-list TestStrategy1 AwesomeStrategy --ticker-interval 5m
freqtrade backtesting --strategy-list SampleStrategy1 AwesomeStrategy --ticker-interval 5m
```
Where `TestStrategy1` and `AwesomeStrategy` refer to class names of strategies.
Where `SampleStrategy1` and `AwesomeStrategy` refer to class names of strategies.
#### Exporting trades to file
@ -103,7 +103,7 @@ The exported trades can be used for [further analysis](#further-backtest-result-
#### Exporting trades to file specifying a custom filename
```bash
freqtrade backtesting --export trades --export-filename=backtest_teststrategy.json
freqtrade backtesting --export trades --export-filename=backtest_samplestrategy.json
```
#### Running backtest with smaller testset

9
docs/configuration.md
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@ -61,8 +61,9 @@ Mandatory parameters are marked as **Required**.
| `order_time_in_force` | None | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy).
| `exchange.name` | | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
| `exchange.sandbox` | false | Use the 'sandbox' version of the exchange, where the exchange provides a sandbox for risk-free integration. See [here](sandbox-testing.md) in more details.
| `exchange.key` | '' | API key to use for the exchange. Only required when you are in production mode.
| `exchange.secret` | '' | API secret to use for the exchange. Only required when you are in production mode.
| `exchange.key` | '' | API key to use for the exchange. Only required when you are in production mode. ***Keep it in secrete, do not disclose publicly.***
| `exchange.secret` | '' | API secret to use for the exchange. Only required when you are in production mode. ***Keep it in secrete, do not disclose publicly.***
| `exchange.password` | '' | API password to use for the exchange. Only required when you are in production mode and for exchanges that use password for API requests. ***Keep it in secrete, do not disclose publicly.***
| `exchange.pair_whitelist` | [] | List of pairs to use by the bot for trading and to check for potential trades during backtesting. Can be overriden by dynamic pairlists (see [below](#dynamic-pairlists)).
| `exchange.pair_blacklist` | [] | List of pairs the bot must absolutely avoid for trading and backtesting. Can be overriden by dynamic pairlists (see [below](#dynamic-pairlists)).
| `exchange.ccxt_config` | None | Additional CCXT parameters passed to the regular ccxt instance. Parameters may differ from exchange to exchange and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation)
@ -76,8 +77,8 @@ Mandatory parameters are marked as **Required**.
| `pairlist.method` | StaticPairList | Use static or dynamic volume-based pairlist. [More information below](#dynamic-pairlists).
| `pairlist.config` | None | Additional configuration for dynamic pairlists. [More information below](#dynamic-pairlists).
| `telegram.enabled` | true | **Required.** Enable or not the usage of Telegram.
| `telegram.token` | token | Your Telegram bot token. Only required if `telegram.enabled` is `true`.
| `telegram.chat_id` | chat_id | Your personal Telegram account id. Only required if `telegram.enabled` is `true`.
| `telegram.token` | token | Your Telegram bot token. Only required if `telegram.enabled` is `true`. ***Keep it in secrete, do not disclose publicly.***
| `telegram.chat_id` | chat_id | Your personal Telegram account id. Only required if `telegram.enabled` is `true`. ***Keep it in secrete, do not disclose publicly.***
| `webhook.enabled` | false | Enable usage of Webhook notifications
| `webhook.url` | false | URL for the webhook. Only required if `webhook.enabled` is `true`. See the [webhook documentation](webhook-config.md) for more details.
| `webhook.webhookbuy` | false | Payload to send on buy. Only required if `webhook.enabled` is `true`. See the [webhook documentationV](webhook-config.md) for more details.

2
docs/data-analysis.md
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@ -139,7 +139,7 @@ You can override strategy settings as demonstrated below.
# Define some constants
ticker_interval = "5m"
# Name of the strategy class
strategy_name = 'TestStrategy'
strategy_name = 'SampleStrategy'
# Path to user data
user_data_dir = 'user_data'
# Location of the strategy

2
docs/requirements-docs.txt
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@ -1 +1 @@
mkdocs-material==4.4.0
mkdocs-material==4.4.1

15
docs/strategy-customization.md
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@ -24,7 +24,7 @@ strategy file will be updated on Github. Put your custom strategy file
into the directory `user_data/strategies`.
Best copy the test-strategy and modify this copy to avoid having bot-updates override your changes.
`cp user_data/strategies/test_strategy.py user_data/strategies/awesome-strategy.py`
`cp user_data/strategies/sample_strategy.py user_data/strategies/awesome-strategy.py`
### Anatomy of a strategy
@ -36,8 +36,8 @@ A strategy file contains all the information needed to build a good strategy:
- Minimal ROI recommended
- Stoploss strongly recommended
The bot includes a sample strategy called `TestStrategy` you can update: `user_data/strategies/test_strategy.py`.
You can test it with the parameter: `--strategy TestStrategy`
The bot also include a sample strategy called `SampleStrategy` you can update: `user_data/strategies/sample_strategy.py`.
You can test it with the parameter: `--strategy SampleStrategy`
Additionally, there is an attribute called `INTERFACE_VERSION`, which defines the version of the strategy interface the bot should use.
The current version is 2 - which is also the default when it's not set explicitly in the strategy.
@ -48,7 +48,7 @@ Future versions will require this to be set.
freqtrade --strategy AwesomeStrategy
```
**For the following section we will use the [user_data/strategies/test_strategy.py](https://github.com/freqtrade/freqtrade/blob/develop/user_data/strategies/test_strategy.py)
**For the following section we will use the [user_data/strategies/sample_strategy.py](https://github.com/freqtrade/freqtrade/blob/develop/user_data/strategies/sample_strategy.py)
file as reference.**
!!! Note Strategies and Backtesting
@ -114,9 +114,8 @@ def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame
return dataframe
```
!!! Note "Want more indicator examples?"
Look into the [user_data/strategies/test_strategy.py](https://github.com/freqtrade/freqtrade/blob/develop/user_data/strategies/test_strategy.py).<br/>
Look into the [user_data/strategies/sample_strategy.py](https://github.com/freqtrade/freqtrade/blob/develop/user_data/strategies/sample_strategy.py).
Then uncomment indicators you need.
### Buy signal rules
@ -127,7 +126,7 @@ It's important to always return the dataframe without removing/modifying the col
This will method will also define a new column, `"buy"`, which needs to contain 1 for buys, and 0 for "no action".
Sample from `user_data/strategies/test_strategy.py`:
Sample from `user_data/strategies/sample_strategy.py`:
```python
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@ -157,7 +156,7 @@ It's important to always return the dataframe without removing/modifying the col
This will method will also define a new column, `"sell"`, which needs to contain 1 for sells, and 0 for "no action".
Sample from `user_data/strategies/test_strategy.py`:
Sample from `user_data/strategies/sample_strategy.py`:
```python
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

18
freqtrade/exchange/exchange.py
View File

@ -14,6 +14,7 @@ from typing import Any, Dict, List, Optional, Tuple
import arrow
import ccxt
import ccxt.async_support as ccxt_async
from ccxt.base.decimal_to_precision import ROUND_UP, ROUND_DOWN
from pandas import DataFrame
from freqtrade import (DependencyException, InvalidOrderException,
@ -808,11 +809,9 @@ def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
"""
if not date:
date = datetime.now(timezone.utc)
timeframe_secs = timeframe_to_seconds(timeframe)
# Get offset based on timerame_secs
offset = date.timestamp() % timeframe_secs
# Subtract seconds passed since last offset
new_timestamp = date.timestamp() - offset
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
ROUND_DOWN) // 1000
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
@ -823,9 +822,8 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
:param date: date to use. Defaults to utcnow()
:returns: date of next candle (with utc timezone)
"""
prevdate = timeframe_to_prev_date(timeframe, date)
timeframe_secs = timeframe_to_seconds(timeframe)
# Add one interval to previous candle
new_timestamp = prevdate.timestamp() + timeframe_secs
if not date:
date = datetime.now(timezone.utc)
new_timestamp = ccxt.Exchange.round_timeframe(timeframe, date.timestamp() * 1000,
ROUND_UP) // 1000
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)

12
freqtrade/optimize/backtesting.py
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@ -81,6 +81,12 @@ class Backtesting(object):
# No strategy list specified, only one strategy
self.strategylist.append(StrategyResolver(self.config).strategy)
if "ticker_interval" not in self.config:
raise OperationalException("Ticker-interval needs to be set in either configuration "
"or as cli argument `--ticker-interval 5m`")
self.ticker_interval = str(self.config.get('ticker_interval'))
self.ticker_interval_mins = timeframe_to_minutes(self.ticker_interval)
# Load one (first) strategy
self._set_strategy(self.strategylist[0])
@ -89,12 +95,6 @@ class Backtesting(object):
Load strategy into backtesting
"""
self.strategy = strategy
if "ticker_interval" not in self.config:
raise OperationalException("Ticker-interval needs to be set in either configuration "
"or as cli argument `--ticker-interval 5m`")
self.ticker_interval = self.config.get('ticker_interval')
self.ticker_interval_mins = timeframe_to_minutes(self.ticker_interval)
self.advise_buy = strategy.advise_buy
self.advise_sell = strategy.advise_sell
# Set stoploss_on_exchange to false for backtesting,

4
freqtrade/tests/exchange/test_exchange.py
View File

@ -1531,7 +1531,7 @@ def test_timeframe_to_prev_date():
assert timeframe_to_prev_date(interval, date) == result
date = datetime.now(tz=timezone.utc)
assert timeframe_to_prev_date("5m", date) < date
assert timeframe_to_prev_date("5m") < date
def test_timeframe_to_next_date():
@ -1556,4 +1556,4 @@ def test_timeframe_to_next_date():
assert timeframe_to_next_date(interval, date) == result
date = datetime.now(tz=timezone.utc)
assert timeframe_to_next_date("5m", date) > date
assert timeframe_to_next_date("5m") > date

6
freqtrade/tests/optimize/test_backtesting.py
View File

@ -330,7 +330,7 @@ def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> No
patch_exchange(mocker)
del default_conf['ticker_interval']
default_conf['strategy_list'] = ['DefaultStrategy',
'TestStrategy']
'SampleStrategy']
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
with pytest.raises(OperationalException):
@ -877,7 +877,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog):
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategy',
'SampleStrategy',
]
args = get_args(args)
start_backtesting(args)
@ -898,7 +898,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog):
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategy',
'Running backtesting for Strategy SampleStrategy',
]
for line in exists:

2
freqtrade/tests/optimize/test_hyperopt.py
View File

@ -254,7 +254,7 @@ def test_start_failure(mocker, default_conf, caplog) -> None:
args = [
'--config', 'config.json',
'--strategy', 'TestStrategy',
'--strategy', 'SampleStrategy',
'hyperopt',
'--epochs', '5'
]

2
freqtrade/tests/strategy/legacy_strategy.py
View File

@ -15,7 +15,7 @@ class TestStrategyLegacy(IStrategy):
"""
This is a test strategy using the legacy function headers, which will be
removed in a future update.
Please do not use this as a template, but refer to user_data/strategy/TestStrategy.py
Please do not use this as a template, but refer to user_data/strategy/sample_strategy.py
for a uptodate version of this template.
"""

12
freqtrade/tests/strategy/test_strategy.py
View File

@ -61,27 +61,27 @@ def test_search_strategy():
def test_load_strategy(default_conf, result):
default_conf.update({'strategy': 'TestStrategy'})
default_conf.update({'strategy': 'SampleStrategy'})
resolver = StrategyResolver(default_conf)
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
def test_load_strategy_base64(result, caplog, default_conf):
with open("user_data/strategies/test_strategy.py", "rb") as file:
with open("user_data/strategies/sample_strategy.py", "rb") as file:
encoded_string = urlsafe_b64encode(file.read()).decode("utf-8")
default_conf.update({'strategy': 'TestStrategy:{}'.format(encoded_string)})
default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)})
resolver = StrategyResolver(default_conf)
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
# Make sure strategy was loaded from base64 (using temp directory)!!
assert log_has_re(r"Using resolved strategy TestStrategy from '"
+ tempfile.gettempdir() + r"/.*/TestStrategy\.py'\.\.\.", caplog)
assert log_has_re(r"Using resolved strategy SampleStrategy from '"
+ tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog)
def test_load_strategy_invalid_directory(result, caplog, default_conf):
resolver = StrategyResolver(default_conf)
extra_dir = Path.cwd() / 'some/path'
resolver._load_strategy('TestStrategy', config=default_conf, extra_dir=extra_dir)
resolver._load_strategy('SampleStrategy', config=default_conf, extra_dir=extra_dir)
assert log_has_re(r'Path .*' + r'some.*path.*' + r'.* does not exist', caplog)

2
freqtrade/tests/test_arguments.py
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@ -102,7 +102,7 @@ def test_parse_args_backtesting_custom() -> None:
'--refresh-pairs-cached',
'--strategy-list',
'DefaultStrategy',
'TestStrategy'
'SampleStrategy'
]
call_args = Arguments(args, '').get_parsed_arg()
assert call_args.config == ['test_conf.json']

2
requirements-common.txt
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@ -1,6 +1,6 @@
# requirements without requirements installable via conda
# mainly used for Raspberry pi installs
ccxt==1.18.1068
ccxt==1.18.1085
SQLAlchemy==1.3.7
python-telegram-bot==11.1.0
arrow==0.14.5

2
requirements-dev.txt
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@ -7,7 +7,7 @@ flake8==3.7.8
flake8-type-annotations==0.1.0
flake8-tidy-imports==2.0.0
mypy==0.720
pytest==5.1.0
pytest==5.1.1
pytest-asyncio==0.10.0
pytest-cov==2.7.1
pytest-mock==1.10.4

2
requirements.txt
View File

@ -2,5 +2,5 @@
-r requirements-common.txt
numpy==1.17.0
pandas==0.25.0
pandas==0.25.1
scipy==1.3.1

2
setup.py
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@ -45,7 +45,7 @@ setup(name='freqtrade',
tests_require=['pytest', 'pytest-mock', 'pytest-cov'],
install_requires=[
# from requirements-common.txt
'ccxt>=1.18',
'ccxt>=1.18.1080',
'SQLAlchemy',
'python-telegram-bot',
'arrow',

2
user_data/notebooks/strategy_analysis_example.ipynb
View File

@ -52,7 +52,7 @@
"# Define some constants\n",
"ticker_interval = \"5m\"\n",
"# Name of the strategy class\n",
"strategy_name = 'TestStrategy'\n",
"strategy_name = 'SampleStrategy'\n",
"# Path to user data\n",
"user_data_dir = 'user_data'\n",
"# Location of the strategy\n",

5
user_data/strategies/test_strategy.py → user_data/strategies/sample_strategy.py
View File

@ -11,10 +11,9 @@ import numpy # noqa
# This class is a sample. Feel free to customize it.
class TestStrategy(IStrategy):
__test__ = False # pytest expects to find tests here because of the name
class SampleStrategy(IStrategy):
"""
This is a test strategy to inspire you.
This is a sample strategy to inspire you.
More information in https://github.com/freqtrade/freqtrade/blob/develop/docs/bot-optimization.md
You can: