Initial support for backtesting with short
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Matthias
parent
3e8164bfca
commit
7373b39015
@ -37,13 +37,16 @@ logger = logging.getLogger(__name__)
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# Indexes for backtest tuples
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DATE_IDX = 0
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BUY_IDX = 1
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OPEN_IDX = 2
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CLOSE_IDX = 3
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SELL_IDX = 4
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LOW_IDX = 5
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HIGH_IDX = 6
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BUY_TAG_IDX = 7
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OPEN_IDX = 1
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HIGH_IDX = 2
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LOW_IDX = 3
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CLOSE_IDX = 4
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BUY_IDX = 5
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SELL_IDX = 6
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SHORT_IDX = 7
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ESHORT_IDX = 8
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BUY_TAG_IDX = 9
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SHORT_TAG_IDX = 10
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class Backtesting:
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@ -215,7 +218,8 @@ class Backtesting:
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"""
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# Every change to this headers list must evaluate further usages of the resulting tuple
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# and eventually change the constants for indexes at the top
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headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
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headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
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'enter_short', 'exit_short']
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data: Dict = {}
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self.progress.init_step(BacktestState.CONVERT, len(processed))
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@ -223,13 +227,21 @@ class Backtesting:
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for pair, pair_data in processed.items():
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self.check_abort()
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self.progress.increment()
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has_buy_tag = 'buy_tag' in pair_data
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headers = headers + ['buy_tag'] if has_buy_tag else headers
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has_buy_tag = 'long_tag' in pair_data
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has_short_tag = 'short_tag' in pair_data
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headers = headers + ['long_tag'] if has_buy_tag else headers
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headers = headers + ['short_tag'] if has_short_tag else headers
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if not pair_data.empty:
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pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist
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pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist
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# Cleanup from prior runs
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pair_data.loc[:, 'buy'] = 0 # TODO: Should be renamed to enter_long
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pair_data.loc[:, 'enter_short'] = 0
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pair_data.loc[:, 'sell'] = 0 # TODO: should be renamed to exit_long
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pair_data.loc[:, 'exit_short'] = 0
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# pair_data.loc[:, 'sell'] = 0
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if has_buy_tag:
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pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist
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pair_data.loc[:, 'long_tag'] = None # cleanup if buy_tag is exist
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if has_short_tag:
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pair_data.loc[:, 'short_tag'] = None # cleanup if short_tag is exist
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df_analyzed = self.strategy.advise_sell(
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self.strategy.advise_buy(pair_data, {'pair': pair}),
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@ -240,10 +252,12 @@ class Backtesting:
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startup_candles=self.required_startup)
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# To avoid using data from future, we use buy/sell signals shifted
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# from the previous candle
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df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1)
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df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1)
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df_analyzed.loc[:, 'enter_long'] = df_analyzed.loc[:, 'enter_long'].shift(1)
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df_analyzed.loc[:, 'enter_short'] = df_analyzed.loc[:, 'enter_short'].shift(1)
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df_analyzed.loc[:, 'exit_long'] = df_analyzed.loc[:, 'exit_long'].shift(1)
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df_analyzed.loc[:, 'exit_short'] = df_analyzed.loc[:, 'exit_short'].shift(1)
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if has_buy_tag:
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df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
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df_analyzed.loc[:, 'long_tag'] = df_analyzed.loc[:, 'long_tag'].shift(1)
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df_analyzed.drop(df_analyzed.head(1).index, inplace=True)
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@ -322,7 +336,7 @@ class Backtesting:
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return sell_row[OPEN_IDX]
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def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
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# TODO: short exits
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sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
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sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX],
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sell_row[SELL_IDX],
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@ -349,7 +363,7 @@ class Backtesting:
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return None
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def _enter_trade(self, pair: str, row: List) -> Optional[LocalTrade]:
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def _enter_trade(self, pair: str, row: List, direction: str) -> Optional[LocalTrade]:
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try:
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stake_amount = self.wallets.get_trade_stake_amount(pair, None)
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except DependencyException:
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@ -389,6 +403,7 @@ class Backtesting:
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is_open=True,
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buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
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exchange=self._exchange_name,
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is_short=(direction == 'short'),
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)
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return trade
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return None
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@ -422,6 +437,20 @@ class Backtesting:
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self.rejected_trades += 1
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return False
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def check_for_trade_entry(self, row) -> Optional[str]:
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enter_long = row[BUY_IDX] == 1
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exit_long = row[SELL_IDX] == 1
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enter_short = row[SHORT_IDX] == 1
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exit_short = row[ESHORT_IDX] == 1
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if enter_long == 1 and not any([exit_long, enter_short]):
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# Long
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return 'long'
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if enter_short == 1 and not any([exit_short, enter_long]):
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# Short
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return 'short'
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return None
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def backtest(self, processed: Dict,
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start_date: datetime, end_date: datetime,
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max_open_trades: int = 0, position_stacking: bool = False,
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@ -482,15 +511,15 @@ class Backtesting:
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# without positionstacking, we can only have one open trade per pair.
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# max_open_trades must be respected
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# don't open on the last row
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trade_dir = self.check_for_trade_entry(row)
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if (
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(position_stacking or len(open_trades[pair]) == 0)
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and self.trade_slot_available(max_open_trades, open_trade_count_start)
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and tmp != end_date
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and row[BUY_IDX] == 1
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and row[SELL_IDX] != 1
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and trade_dir is not None
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and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
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):
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trade = self._enter_trade(pair, row)
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trade = self._enter_trade(pair, row, trade_dir)
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if trade:
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# TODO: hacky workaround to avoid opening > max_open_trades
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# This emulates previous behaviour - not sure if this is correct
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