From 6319c104fe1c51e0343c08def9f4511cc537b377 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Sep 2021 15:07:48 +0200 Subject: [PATCH] Fix unreliable backtest-result when using webserver mode --- freqtrade/data/dataprovider.py | 2 + freqtrade/optimize/backtesting.py | 50 ++++++++++++------------ freqtrade/rpc/api_server/api_backtest.py | 21 +++++----- 3 files changed, 39 insertions(+), 34 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index cdee0f078..b197c159f 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -149,6 +149,8 @@ class DataProvider: Clear pair dataframe cache. """ self.__cached_pairs = {} + self.__cached_pairs_backtesting = {} + self.__slice_index = 0 # Exchange functions diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 79c861ee8..f406f89d7 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -85,18 +85,7 @@ class Backtesting: "configuration or as cli argument `--timeframe 5m`") self.timeframe = str(self.config.get('timeframe')) self.timeframe_min = timeframe_to_minutes(self.timeframe) - # Load detail timeframe if specified - self.timeframe_detail = str(self.config.get('timeframe_detail', '')) - if self.timeframe_detail: - self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail) - if self.timeframe_min <= self.timeframe_detail_min: - raise OperationalException( - "Detail timeframe must be smaller than strategy timeframe.") - - else: - self.timeframe_detail_min = 0 - self.detail_data: Dict[str, DataFrame] = {} - + self.init_backtest_detail() self.pairlists = PairListManager(self.exchange, self.config) if 'VolumePairList' in self.pairlists.name_list: raise OperationalException("VolumePairList not allowed for backtesting.") @@ -119,14 +108,6 @@ class Backtesting: else: self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0]) - Trade.use_db = False - Trade.reset_trades() - PairLocks.timeframe = self.config['timeframe'] - PairLocks.use_db = False - PairLocks.reset_locks() - - self.wallets = Wallets(self.config, self.exchange, log=False) - self.timerange = TimeRange.parse_timerange( None if self.config.get('timerange') is None else str(self.config.get('timerange'))) @@ -135,9 +116,7 @@ class Backtesting: # Add maximum startup candle count to configuration for informative pairs support self.config['startup_candle_count'] = self.required_startup self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe) - - self.progress = BTProgress() - self.abort = False + self.init_backtest() def __del__(self): self.cleanup() @@ -147,6 +126,28 @@ class Backtesting: PairLocks.use_db = True Trade.use_db = True + def init_backtest_detail(self): + # Load detail timeframe if specified + self.timeframe_detail = str(self.config.get('timeframe_detail', '')) + if self.timeframe_detail: + self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail) + if self.timeframe_min <= self.timeframe_detail_min: + raise OperationalException( + "Detail timeframe must be smaller than strategy timeframe.") + + else: + self.timeframe_detail_min = 0 + self.detail_data: Dict[str, DataFrame] = {} + + def init_backtest(self): + + self.prepare_backtest(False) + + self.wallets = Wallets(self.config, self.exchange, log=False) + + self.progress = BTProgress() + self.abort = False + def _set_strategy(self, strategy: IStrategy): """ Load strategy into backtesting @@ -226,7 +227,8 @@ class Backtesting: Trade.reset_trades() self.rejected_trades = 0 self.dataprovider.clear_cache() - self._load_protections(self.strategy) + if enable_protections: + self._load_protections(self.strategy) def check_abort(self): """ diff --git a/freqtrade/rpc/api_server/api_backtest.py b/freqtrade/rpc/api_server/api_backtest.py index 4623c187e..32278686c 100644 --- a/freqtrade/rpc/api_server/api_backtest.py +++ b/freqtrade/rpc/api_server/api_backtest.py @@ -47,33 +47,34 @@ async def api_start_backtest(bt_settings: BacktestRequest, background_tasks: Bac not ApiServer._bt or lastconfig.get('timeframe') != strat.timeframe or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail') - or lastconfig.get('dry_run_wallet') != btconfig.get('dry_run_wallet', 0) or lastconfig.get('timerange') != btconfig['timerange'] ): from freqtrade.optimize.backtesting import Backtesting ApiServer._bt = Backtesting(btconfig) if ApiServer._bt.timeframe_detail: ApiServer._bt.load_bt_data_detail() - + else: + ApiServer._bt.config = btconfig + ApiServer._bt.init_backtest() # Only reload data if timeframe changed. if ( not ApiServer._bt_data or not ApiServer._bt_timerange - or lastconfig.get('stake_amount') != btconfig.get('stake_amount') - or lastconfig.get('enable_protections') != btconfig.get('enable_protections') - or lastconfig.get('protections') != btconfig.get('protections', []) or lastconfig.get('timeframe') != strat.timeframe ): - lastconfig['timerange'] = btconfig['timerange'] - lastconfig['protections'] = btconfig.get('protections', []) - lastconfig['enable_protections'] = btconfig.get('enable_protections') - lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet') - lastconfig['timeframe'] = strat.timeframe ApiServer._bt_data, ApiServer._bt_timerange = ApiServer._bt.load_bt_data() + lastconfig['timerange'] = btconfig['timerange'] + lastconfig['timeframe'] = strat.timeframe + + lastconfig['protections'] = btconfig.get('protections', []) + lastconfig['enable_protections'] = btconfig.get('enable_protections') + lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet') + ApiServer._bt.abort = False min_date, max_date = ApiServer._bt.backtest_one_strategy( strat, ApiServer._bt_data, ApiServer._bt_timerange) + ApiServer._bt.results = generate_backtest_stats( ApiServer._bt_data, ApiServer._bt.all_results, min_date=min_date, max_date=max_date)