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Allow "detailed" backtesting timeframe to look into the candle

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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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54
freqtrade/optimize/backtesting.py
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@@ -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: