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

Extract backtest strategy setting

Browse Source
This commit is contained in:
Matthias 2018-07-28 06:54:33 +02:00
parent 9a42aac0f2
commit 65aaa3dffd
1 changed files with 21 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

30
freqtrade/optimize/backtesting.py
View File

@ -65,6 +65,16 @@ class Backtesting(object):
self.exchange = Exchange(self.config) self.exchange = Exchange(self.config)
self.fee = self.exchange.get_fee() self.fee = self.exchange.get_fee()
def set_strategy(self, strategy):
"""
Load strategy into backtesting
"""
self.strategy = strategy
self.ticker_interval = self.config.get('ticker_interval')
self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe
self.populate_buy_trend = strategy.populate_buy_trend
self.populate_sell_trend = strategy.populate_sell_trend
@staticmethod @staticmethod
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
""" """
@ -288,6 +298,7 @@ class Backtesting(object):
else: else:
# only one strategy # only one strategy
strategylist.append(StrategyResolver(self.config).strategy) strategylist.append(StrategyResolver(self.config).strategy)
self.set_strategy(strategylist[0])
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 ...')
@ -316,12 +327,11 @@ class Backtesting(object):
else: else:
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
all_results = {}
for strat in strategylist: for strat in strategylist:
self.strategy = strat logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe self.set_strategy(strat)
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 # need to reprocess data every time to populate signals
preprocessed = self.tickerdata_to_dataframe(data) preprocessed = self.tickerdata_to_dataframe(data)
@ -336,7 +346,7 @@ class Backtesting(object):
) )
# Execute backtest and print results # Execute backtest and print results
results = self.backtest( all_results[self.strategy.get_strategy_name()] = self.backtest(
{ {
'stake_amount': self.config.get('stake_amount'), 'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed, 'processed': preprocessed,
@ -345,14 +355,16 @@ class Backtesting(object):
} }
) )
for strategy, results in all_results.items():
if self.config.get('export', False): if self.config.get('export', False):
self._store_backtest_result(self.config.get('exportfilename'), results) self._store_backtest_result(self.config.get('exportfilename'), results)
logger.info("\nResult for strategy %s", strategy)
logger.info( logger.info(
'\n' + '=' * 49 + '\n' +
' BACKTESTING REPORT ' + ' BACKTESTING REPORT '.center(119, '=') +
'=' * 50 + '\n' '\n%s',
'%s',
self._generate_text_table( self._generate_text_table(
data, data,
results results