Merge pull request #7981 from freqtrade/backtest_detail_speed
Improve backtest detail speed
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commit
811f13e09a
@ -1051,7 +1051,8 @@ class Backtesting:
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def backtest_loop(
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self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
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max_open_trades: int, open_trade_count_start: int, is_first: bool = True) -> int:
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max_open_trades: int, open_trade_count_start: int, trade_dir: Optional[LongShort],
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is_first: bool = True) -> int:
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"""
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NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
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@ -1070,7 +1071,6 @@ class Backtesting:
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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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# We only open trades on the main candle, not on detail candles
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trade_dir = self.check_for_trade_entry(row)
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if (
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(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
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and is_first
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@ -1164,7 +1164,15 @@ class Backtesting:
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indexes[pair] = row_index
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self.dataprovider._set_dataframe_max_index(row_index)
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current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
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if self.timeframe_detail and pair in self.detail_data:
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trade_dir: Optional[LongShort] = self.check_for_trade_entry(row)
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if (
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(trade_dir is not None or len(LocalTrade.bt_trades_open_pp[pair]) > 0)
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and self.timeframe_detail and pair in self.detail_data
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):
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# Spread out into detail timeframe.
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# Should only happen when we are either in a trade for this pair
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# or when we got the signal for a new trade.
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exit_candle_end = current_detail_time + timedelta(minutes=self.timeframe_min)
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detail_data = self.detail_data[pair]
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@ -1176,7 +1184,7 @@ class Backtesting:
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# Fall back to "regular" data if no detail data was found for this candle
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades,
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open_trade_count_start)
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open_trade_count_start, trade_dir)
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continue
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detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
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detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
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@ -1189,12 +1197,13 @@ class Backtesting:
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for det_row in detail_data[HEADERS].values.tolist():
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open_trade_count_start = self.backtest_loop(
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det_row, pair, current_time_det, end_date, max_open_trades,
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open_trade_count_start, is_first)
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open_trade_count_start, trade_dir, is_first)
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current_time_det += timedelta(minutes=self.timeframe_detail_min)
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is_first = False
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else:
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
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row, pair, current_time, end_date, max_open_trades,
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open_trade_count_start, trade_dir)
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# Move time one configured time_interval ahead.
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self.progress.increment()
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