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Add strategylist option to backtesting

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This commit is contained in:
Matthias 2018-07-27 23:01:52 +02:00
parent e7d0439741
commit 56046b3cb3
1 changed files with 71 additions and 55 deletions
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26
freqtrade/optimize/backtesting.py
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@ -6,6 +6,7 @@ This module contains the backtesting logic
import logging import logging
import operator import operator
from argparse import Namespace from argparse import Namespace
from copy import deepcopy
from datetime import datetime, timedelta from datetime import datetime, timedelta
from typing import Any, Dict, List, NamedTuple, Optional, Tuple from typing import Any, Dict, List, NamedTuple, Optional, Tuple
@ -54,11 +55,6 @@ class Backtesting(object):
""" """
def __init__(self, config: Dict[str, Any]) -> None: def __init__(self, config: Dict[str, Any]) -> None:
self.config = config self.config = config
self.strategy: IStrategy = StrategyResolver(self.config).strategy
self.ticker_interval = self.strategy.ticker_interval
self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe
self.advise_buy = self.strategy.advise_buy
self.advise_sell = self.strategy.advise_sell
# Reset keys for backtesting # Reset keys for backtesting
self.config['exchange']['key'] = '' self.config['exchange']['key'] = ''
@ -279,6 +275,19 @@ class Backtesting(object):
pairs = self.config['exchange']['pair_whitelist'] pairs = self.config['exchange']['pair_whitelist']
logger.info('Using stake_currency: %s ...', self.config['stake_currency']) logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount']) logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
strategylist: List[IStrategy] = []
if self.config.get('strategy_list', None):
# Force one interval
self.ticker_interval = self.config.get('ticker_interval')
for strat in self.config.get('strategy_list'):
stratconf = deepcopy(self.config)
stratconf['strategy'] = strat
s = StrategyResolver(stratconf).strategy
strategylist.append(s)
else:
# only one strategy
strategylist.append(StrategyResolver(self.config).strategy)
if self.config.get('live'): if self.config.get('live'):
logger.info('Downloading data for all pairs in whitelist ...') logger.info('Downloading data for all pairs in whitelist ...')
@ -308,6 +317,13 @@ class Backtesting(object):
logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...') logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0 max_open_trades = 0
for strat in strategylist:
self.strategy = strat
self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe
self.populate_buy_trend = self.strategy.populate_buy_trend
self.populate_sell_trend = self.strategy.populate_sell_trend
# need to reprocess data every time to populate signals
preprocessed = self.tickerdata_to_dataframe(data) preprocessed = self.tickerdata_to_dataframe(data)
# Print timeframe # Print timeframe