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Allow "detailed" backtesting timeframe to look into the candle

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This commit is contained in:
Matthias 2021-08-09 15:45:02 +02:00
parent 123971d271
commit 88172fab82
4 changed files with 58 additions and 5 deletions
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2
freqtrade/commands/arguments.py
View File

@ -22,7 +22,7 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
"max_open_trades", "stake_amount", "fee", "pairs"]
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet",
"enable_protections", "dry_run_wallet", "detail_timeframe",
"strategy_list", "export", "exportfilename"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",

4
freqtrade/commands/cli_options.py
View File

@ -135,6 +135,10 @@ AVAILABLE_CLI_OPTIONS = {
help='Override the value of the `stake_amount` configuration setting.',
),
# Backtesting
"detail_timeframe": Arg(
'--timeframe-detail',
help='Specify detail timeframe for backtesting (`1m`, `5m`, `30m`, `1h`, `1d`).',
),
"position_stacking": Arg(
'--eps', '--enable-position-stacking',
help='Allow buying the same pair multiple times (position stacking).',

3
freqtrade/configuration/configuration.py
View File

@ -242,6 +242,9 @@ class Configuration:
except ValueError:
pass
self._args_to_config(config, argname='detail_timeframe',
logstring='Parameter --detail-timeframe detected, '
'using {} for intra-candle backtesting')
self._args_to_config(config, argname='stake_amount',
logstring='Parameter --stake-amount detected, '
'overriding stake_amount to: {} ...')

54
freqtrade/optimize/backtesting.py
View File

@ -86,6 +86,16 @@ 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('detail_timeframe', ''))
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.pairlists = PairListManager(self.exchange, self.config)
if 'VolumePairList' in self.pairlists.name_list:
@ -158,7 +168,7 @@ class Backtesting:
conf['protections'] = strategy.protections
self.protections = ProtectionManager(self.config, strategy.protections)
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]:
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange, Dict[str, DataFrame]]:
"""
Loads backtest data and returns the data combined with the timerange
as tuple.
@ -174,6 +184,18 @@ class Backtesting:
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
)
if self.timeframe_detail:
detail_data = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.timeframe_detail,
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
)
else:
detail_data = None
min_date, max_date = history.get_timerange(data)
@ -186,7 +208,7 @@ class Backtesting:
self.required_startup, min_date)
self.progress.set_new_value(1)
return data, self.timerange
return data, self.timerange, detail_data
def prepare_backtest(self, enable_protections):
"""
@ -318,7 +340,8 @@ class Backtesting:
else:
return sell_row[OPEN_IDX]
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
sell_candle_time, sell_row[BUY_IDX],
@ -346,6 +369,29 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
if self.timeframe_detail:
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
detail_data = detail_data.loc[
(detail_data['date'] >= sell_candle_time) &
(detail_data['date'] < sell_candle_end)
]
detail_data['buy'] = sell_row[BUY_IDX]
detail_data['sell'] = sell_row[SELL_IDX]
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
for det_row in detail_data[headers].values.tolist():
res = self._get_sell_trade_entry_for_candle(trade, det_row)
if res:
return res
return None
else:
return self._get_sell_trade_entry_for_candle(trade, sell_row)
def _enter_trade(self, pair: str, row: List) -> Optional[LocalTrade]:
try:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
@ -591,7 +637,7 @@ class Backtesting:
"""
data: Dict[str, Any] = {}
data, timerange = self.load_bt_data()
data, timerange, self.detail_data = self.load_bt_data()
logger.info("Dataload complete. Calculating indicators")
for strat in self.strategylist: