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Merge pull request #3803 from freqtrade/bt_params

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Backtesting - handle mdifferent max_open_trades per strategy
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Matthias 2020-09-26 15:25:34 +02:00 committed by GitHub
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4 changed files with 107 additions and 81 deletions
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25
freqtrade/optimize/backtesting.py
View File

@ -380,12 +380,6 @@ class Backtesting:
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
max_open_trades = self.config['max_open_trades']
else:
logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
position_stacking = self.config.get('position_stacking', False)
data, timerange = self.load_bt_data()
@ -395,6 +389,15 @@ class Backtesting:
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
self._set_strategy(strat)
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
# Must come from strategy config, as the strategy may modify this setting.
max_open_trades = self.strategy.config['max_open_trades']
else:
logger.info(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
# need to reprocess data every time to populate signals
preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
@ -407,7 +410,7 @@ class Backtesting:
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(max_date - min_date).days} days)..')
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
results = self.backtest(
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
@ -415,9 +418,13 @@ class Backtesting:
max_open_trades=max_open_trades,
position_stacking=position_stacking,
)
all_results[self.strategy.get_strategy_name()] = {
'results': results,
'config': self.strategy.config,
}
stats = generate_backtest_stats(data, all_results, min_date=min_date, max_date=max_date)
stats = generate_backtest_stats(self.config, data, all_results,
min_date=min_date, max_date=max_date)
if self.config.get('export', False):
store_backtest_stats(self.config['exportfilename'], stats)

43
freqtrade/optimize/optimize_reports.py
View File

@ -1,7 +1,7 @@
import logging
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, List
from typing import Any, Dict, List, Union
from arrow import Arrow
from pandas import DataFrame
@ -143,19 +143,18 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List
return tabular_data
def generate_strategy_metrics(stake_currency: str, max_open_trades: int,
all_results: Dict) -> List[Dict]:
def generate_strategy_metrics(all_results: Dict) -> List[Dict]:
"""
Generate summary per strategy
:param stake_currency: stake-currency - used to correctly name headers
:param max_open_trades: Maximum allowed open trades used for backtest
:param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
:return: List of Dicts containing the metrics per Strategy
"""
tabular_data = []
for strategy, results in all_results.items():
tabular_data.append(_generate_result_line(results, max_open_trades, strategy))
tabular_data.append(_generate_result_line(
results['results'], results['config']['max_open_trades'], strategy)
)
return tabular_data
@ -219,25 +218,29 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
}
def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame],
def generate_backtest_stats(btdata: Dict[str, DataFrame],
all_results: Dict[str, Dict[str, Union[DataFrame, Dict]]],
min_date: Arrow, max_date: Arrow
) -> Dict[str, Any]:
"""
:param config: Configuration object used for backtest
:param btdata: Backtest data
:param all_results: backtest result - dictionary with { Strategy: results}.
:param all_results: backtest result - dictionary in the form:
{ Strategy: {'results: results, 'config: config}}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:return:
Dictionary containing results per strategy and a stratgy summary.
"""
stake_currency = config['stake_currency']
max_open_trades = config['max_open_trades']
result: Dict[str, Any] = {'strategy': {}}
market_change = calculate_market_change(btdata, 'close')
for strategy, results in all_results.items():
for strategy, content in all_results.items():
results: Dict[str, DataFrame] = content['results']
if not isinstance(results, DataFrame):
continue
config = content['config']
max_open_trades = config['max_open_trades']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
max_open_trades=max_open_trades,
@ -277,6 +280,16 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'max_open_trades': (config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe': config['timeframe'],
# Parameters relevant for backtesting
'stoploss': config['stoploss'],
'trailing_stop': config.get('trailing_stop', False),
'trailing_stop_positive': config.get('trailing_stop_positive'),
'trailing_stop_positive_offset': config.get('trailing_stop_positive_offset', 0.0),
'trailing_only_offset_is_reached': config.get('trailing_only_offset_is_reached', False),
'minimal_roi': config['minimal_roi'],
'use_sell_signal': config['ask_strategy']['use_sell_signal'],
'sell_profit_only': config['ask_strategy']['sell_profit_only'],
'ignore_roi_if_buy_signal': config['ask_strategy']['ignore_roi_if_buy_signal'],
**daily_stats,
}
result['strategy'][strategy] = strat_stats
@ -300,9 +313,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'drawdown_end_ts': 0,
})
strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
max_open_trades=max_open_trades,
all_results=all_results)
strategy_results = generate_strategy_metrics(all_results=all_results)
result['strategy_comparison'] = strategy_results

4
tests/optimize/test_backtesting.py
View File

@ -14,7 +14,7 @@ from freqtrade.commands.optimize_commands import (setup_optimize_configuration,
start_backtesting)
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.data.btanalysis import evaluate_result_multi
from freqtrade.data.btanalysis import BT_DATA_COLUMNS, evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
@ -694,7 +694,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
patch_exchange(mocker)
backtestmock = MagicMock()
backtestmock = MagicMock(return_value=pd.DataFrame(columns=BT_DATA_COLUMNS + ['profit_abs']))
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)

48
tests/optimize/test_optimize_reports.py
View File

@ -5,7 +5,6 @@ from pathlib import Path
import pandas as pd
import pytest
from arrow import Arrow
from freqtrade.configuration import TimeRange
from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.data import history
@ -22,11 +21,12 @@ from freqtrade.optimize.optimize_reports import (generate_backtest_stats,
text_table_bt_results,
text_table_sell_reason,
text_table_strategy)
from freqtrade.resolvers.strategy_resolver import StrategyResolver
from freqtrade.strategy.interface import SellType
from tests.data.test_history import _backup_file, _clean_test_file
def test_text_table_bt_results(default_conf, mocker):
def test_text_table_bt_results():
results = pd.DataFrame(
{
@ -57,7 +57,11 @@ def test_text_table_bt_results(default_conf, mocker):
def test_generate_backtest_stats(default_conf, testdatadir):
results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
default_conf.update({'strategy': 'DefaultStrategy'})
StrategyResolver.load_strategy(default_conf)
results = {'DefStrat': {
'results': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC", "UNITTEST/BTC"],
"profit_percent": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
@ -75,14 +79,16 @@ def test_generate_backtest_stats(default_conf, testdatadir):
"open_at_end": [False, False, False, True],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
})}
}),
'config': default_conf}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
btdata = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
stats = generate_backtest_stats(default_conf, btdata, results, min_date, max_date)
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
@ -90,11 +96,12 @@ def test_generate_backtest_stats(default_conf, testdatadir):
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['backtest_start'] == min_date.datetime
assert strat_stats['backtest_end'] == max_date.datetime
assert strat_stats['total_trades'] == len(results['DefStrat'])
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
results = {'DefStrat': pd.DataFrame(
results = {'DefStrat': {
'results': pd.DataFrame(
{"pair": ["UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC"],
"profit_percent": [0.003312, 0.010801, -0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, -0.000014, 0.000003],
@ -112,7 +119,9 @@ def test_generate_backtest_stats(default_conf, testdatadir):
"open_at_end": [False, False, False, True],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
})}
}),
'config': default_conf}
}
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['drawdown_start'] == Arrow.fromtimestamp(0).datetime
@ -165,7 +174,7 @@ def test_store_backtest_stats(testdatadir, mocker):
assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))
def test_generate_pair_metrics(default_conf, mocker):
def test_generate_pair_metrics():
results = pd.DataFrame(
{
@ -213,7 +222,7 @@ def test_generate_daily_stats(testdatadir):
assert res['losing_days'] == 0
def test_text_table_sell_reason(default_conf):
def test_text_table_sell_reason():
results = pd.DataFrame(
{
@ -245,7 +254,7 @@ def test_text_table_sell_reason(default_conf):
stake_currency='BTC') == result_str
def test_generate_sell_reason_stats(default_conf):
def test_generate_sell_reason_stats():
results = pd.DataFrame(
{
@ -280,9 +289,10 @@ def test_generate_sell_reason_stats(default_conf):
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)
def test_text_table_strategy(default_conf, mocker):
def test_text_table_strategy(default_conf):
default_conf['max_open_trades'] = 2
results = {}
results['TestStrategy1'] = pd.DataFrame(
results['TestStrategy1'] = {'results': pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
@ -293,8 +303,8 @@ def test_text_table_strategy(default_conf, mocker):
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
results['TestStrategy2'] = pd.DataFrame(
), 'config': default_conf}
results['TestStrategy2'] = {'results': pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'profit_percent': [0.4, 0.2, 0.3],
@ -305,7 +315,7 @@ def test_text_table_strategy(default_conf, mocker):
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
), 'config': default_conf}
result_str = (
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot'
@ -318,14 +328,12 @@ def test_text_table_strategy(default_conf, mocker):
' 45.00 | 0:20:00 | 3 | 0 | 0 |'
)
strategy_results = generate_strategy_metrics(stake_currency='BTC',
max_open_trades=2,
all_results=results)
strategy_results = generate_strategy_metrics(all_results=results)
assert text_table_strategy(strategy_results, 'BTC') == result_str
def test_generate_edge_table(edge_conf, mocker):
def test_generate_edge_table():
results = {}
results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)