From 52502193c43a4c060c755dc13095ad4e7fbf1ba1 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 7 Oct 2020 20:59:05 +0200 Subject: [PATCH] Backtesting should not double-loop for sell signals --- freqtrade/optimize/backtesting.py | 182 +++++++++++++++--------------- 1 file changed, 89 insertions(+), 93 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index afdb4fc37..c29240994 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -4,6 +4,7 @@ This module contains the backtesting logic """ import logging +from collections import defaultdict from copy import deepcopy from datetime import datetime, timedelta from typing import Any, Dict, List, NamedTuple, Optional, Tuple @@ -215,72 +216,29 @@ class Backtesting: else: return sell_row.open - def _get_sell_trade_entry( - self, pair: str, buy_row: DataFrame, - partial_ohlcv: List, trade_count_lock: Dict, - stake_amount: float, max_open_trades: int) -> Optional[BacktestResult]: + def _get_sell_trade_entry(self, trade: Trade, sell_row: DataFrame) -> Optional[BacktestResult]: - trade = Trade( - pair=pair, - open_rate=buy_row.open, - open_date=buy_row.date, - stake_amount=stake_amount, - amount=round(stake_amount / buy_row.open, 8), - fee_open=self.fee, - fee_close=self.fee, - is_open=True, - ) - logger.debug(f"{pair} - Backtesting emulates creation of new trade: {trade}.") - # calculate win/lose forwards from buy point - for sell_row in partial_ohlcv: - if max_open_trades > 0: - # Increase trade_count_lock for every iteration - trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1 + sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, sell_row.buy, + sell_row.sell, low=sell_row.low, high=sell_row.high) + if sell.sell_flag: + logger.debug(f"Fund sell signal {sell.sell_flag}") + trade_dur = int((sell_row.date - trade.open_date).total_seconds() // 60) + closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) - sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, sell_row.buy, - sell_row.sell, low=sell_row.low, high=sell_row.high) - if sell.sell_flag: - trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60) - closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) - - return BacktestResult(pair=pair, - profit_percent=trade.calc_profit_ratio(rate=closerate), - profit_abs=trade.calc_profit(rate=closerate), - open_date=buy_row.date, - open_rate=buy_row.open, - open_fee=self.fee, - close_date=sell_row.date, - close_rate=closerate, - close_fee=self.fee, - amount=trade.amount, - trade_duration=trade_dur, - open_at_end=False, - sell_reason=sell.sell_type - ) - if partial_ohlcv: - # no sell condition found - trade stil open at end of backtest period - sell_row = partial_ohlcv[-1] - bt_res = BacktestResult(pair=pair, - profit_percent=trade.calc_profit_ratio(rate=sell_row.open), - profit_abs=trade.calc_profit(rate=sell_row.open), - open_date=buy_row.date, - open_rate=buy_row.open, - open_fee=self.fee, - close_date=sell_row.date, - close_rate=sell_row.open, - close_fee=self.fee, - amount=trade.amount, - trade_duration=int(( - sell_row.date - buy_row.date).total_seconds() // 60), - open_at_end=True, - sell_reason=SellType.FORCE_SELL - ) - logger.debug(f"{pair} - Force selling still open trade, " - f"profit percent: {bt_res.profit_percent}, " - f"profit abs: {bt_res.profit_abs}") - - return bt_res - return None + return BacktestResult(pair=trade.pair, + profit_percent=trade.calc_profit_ratio(rate=closerate), + profit_abs=trade.calc_profit(rate=closerate), + open_date=trade.open_date, + open_rate=trade.open_rate, + open_fee=self.fee, + close_date=sell_row.date, + close_rate=closerate, + close_fee=self.fee, + amount=trade.amount, + trade_duration=trade_dur, + open_at_end=False, + sell_reason=sell.sell_type + ) def backtest(self, processed: Dict, stake_amount: float, start_date: arrow.Arrow, end_date: arrow.Arrow, @@ -305,19 +263,21 @@ class Backtesting: f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}" ) trades = [] - trade_count_lock: Dict = {} # Use dict of lists with data for performance # (looping lists is a lot faster than pandas DataFrames) data: Dict = self._get_ohlcv_as_lists(processed) - lock_pair_until: Dict = {} # Indexes per pair, so some pairs are allowed to have a missing start. indexes: Dict = {} tmp = start_date + timedelta(minutes=self.timeframe_min) + open_trades: Dict[str, List] = defaultdict(list) + open_trade_count = 0 + # Loop timerange and get candle for each pair at that point in time - while tmp < end_date: + while tmp <= end_date: + open_trade_count_start = open_trade_count for i, pair in enumerate(data): if pair not in indexes: @@ -336,37 +296,73 @@ class Backtesting: indexes[pair] += 1 - if row.buy == 0 or row.sell == 1: - continue # skip rows where no buy signal or that would immediately sell off + # without positionstacking, we can only have one open trade per pair. + # max_open_trades must be respected + # don't open on the last row + if ((position_stacking or len(open_trades[pair]) == 0) + and max_open_trades > 0 and open_trade_count_start < max_open_trades + and tmp != end_date + and row.buy == 1 and row.sell != 1): + # Enter trade + trade = Trade( + pair=pair, + open_rate=row.open, + open_date=row.date, + stake_amount=stake_amount, + amount=round(stake_amount / row.open, 8), + fee_open=self.fee, + fee_close=self.fee, + is_open=True, + ) + # TODO: hacky workaround to avoid opening > max_open_trades + # This emulates previous behaviour - not sure if this is correct + # Prevents buying if the trade-slot was freed in this candle + open_trade_count_start += 1 + open_trade_count += 1 + logger.debug(f"{pair} - Backtesting emulates creation of new trade: {trade}.") + open_trades[pair].append(trade) - if (not position_stacking and pair in lock_pair_until - and row.date <= lock_pair_until[pair]): - # without positionstacking, we can only have one open trade per pair. - continue + for trade in open_trades[pair]: + # logger.debug(f"{pair} - Checking for sells for {trade} at {row.date}") - 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 - trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 - - # since indexes has been incremented before, we need to go one step back to - # also check the buying candle for sell conditions. - trade_entry = self._get_sell_trade_entry(pair, row, data[pair][indexes[pair]-1:], - trade_count_lock, stake_amount, - max_open_trades) - - if trade_entry: - logger.debug(f"{pair} - Locking pair till " - f"close_date={trade_entry.close_date}") - lock_pair_until[pair] = trade_entry.close_date - trades.append(trade_entry) - else: - # Set lock_pair_until to end of testing period if trade could not be closed - lock_pair_until[pair] = end_date.datetime + # since indexes has been incremented before, we need to go one step back to + # also check the buying candle for sell conditions. + trade_entry = self._get_sell_trade_entry(trade, row) + # Sell occured + if trade_entry: + logger.debug(f"{pair} - Backtesting sell {trade}") + open_trade_count -= 1 + open_trades[pair].remove(trade) + trades.append(trade_entry) # Move time one configured time_interval ahead. tmp += timedelta(minutes=self.timeframe_min) + + # Handle trades that were left open + for pair in open_trades.keys(): + if len(open_trades[pair]) == 0: + continue + else: + for trade in open_trades[pair]: + sell_row = data[pair][-1] + trade_entry = BacktestResult(pair=trade.pair, + profit_percent=trade.calc_profit_ratio( + rate=sell_row.open), + profit_abs=trade.calc_profit(rate=sell_row.open), + open_date=trade.open_date, + open_rate=trade.open_rate, + open_fee=self.fee, + close_date=sell_row.date, + close_rate=sell_row.open, + close_fee=self.fee, + amount=trade.amount, + trade_duration=int(( + sell_row.date - trade.open_date).total_seconds() // 60), + open_at_end=True, + sell_reason=SellType.FORCE_SELL + ) + trades.append(trade_entry) + return DataFrame.from_records(trades, columns=BacktestResult._fields) def start(self) -> None: