adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Add strategylist option to backtesting

Browse Source
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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

26
freqtrade/optimize/backtesting.py
View File

@ -6,6 +6,7 @@ This module contains the backtesting logic
import logging
import operator
from argparse import Namespace
from copy import deepcopy
from datetime import datetime, timedelta
from typing import Any, Dict, List, NamedTuple, Optional, Tuple
@ -54,11 +55,6 @@ class Backtesting(object):
"""
def __init__(self, config: Dict[str, Any]) -> None:
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
self.config['exchange']['key'] = ''
@ -279,6 +275,19 @@ class Backtesting(object):
pairs = self.config['exchange']['pair_whitelist']
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
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'):
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) ...')
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)
# Print timeframe