diff --git a/docs/backtesting.md b/docs/backtesting.md index 7fc0366e6..8b12b04e8 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -51,6 +51,11 @@ python3 ./freqtrade/main.py backtesting --realistic-simulation --live python3 ./freqtrade/main.py backtesting --datadir freqtrade/tests/testdata-20180101 ``` +**Exporting trades to file** +```bash +freqtrade backtesting --export trades +``` + **Running backtest with smaller testset** Use the `--timerange` argument to change how much of the testset you want to use. The last N ticks/timeframes will be used. diff --git a/freqtrade/misc.py b/freqtrade/misc.py index f307405f0..5fe253fe5 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -183,6 +183,14 @@ def backtesting_options(parser: argparse.ArgumentParser) -> None: action='store_true', dest='refresh_pairs', ) + parser.add_argument( + '--export', + help='Export backtest results, argument are: trades\ + Example --export=trades', + type=str, + default=None, + dest='export', + ) parser.add_argument( '--timerange', help='Specify what timerange of data to use.', diff --git a/freqtrade/optimize/__init__.py b/freqtrade/optimize/__init__.py index 40269db46..43cb1465a 100644 --- a/freqtrade/optimize/__init__.py +++ b/freqtrade/optimize/__init__.py @@ -8,6 +8,7 @@ from pandas import DataFrame from freqtrade.exchange import get_ticker_history from freqtrade.optimize.hyperopt_conf import hyperopt_optimize_conf from freqtrade.analyze import populate_indicators, parse_ticker_dataframe +from freqtrade import misc logger = logging.getLogger(__name__) @@ -149,7 +150,6 @@ def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) -> logger.debug("New End: {}".format(data[-1:][0]['T'])) data = sorted(data, key=lambda data: data['T']) - with open(filename, "wt") as fp: - json.dump(data, fp) + misc.file_dump_json(filename, data) return True diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 4f3d4bb24..599c3e5d8 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -66,17 +66,60 @@ def generate_text_table( return tabulate(tabular_data, headers=headers, floatfmt=floatfmt) -def backtest(stake_amount: float, processed: Dict[str, DataFrame], - max_open_trades: int = 0, realistic: bool = True, sell_profit_only: bool = False, - stoploss: int = -1.00, use_sell_signal: bool = False) -> DataFrame: +def get_trade_entry(pair, row, ticker, trade_count_lock, args): + stake_amount = args['stake_amount'] + max_open_trades = args.get('max_open_trades', 0) + sell_profit_only = args.get('sell_profit_only', False) + stoploss = args.get('stoploss', -1) + use_sell_signal = args.get('use_sell_signal', False) + trade = Trade(open_rate=row.close, + open_date=row.date, + stake_amount=stake_amount, + amount=stake_amount / row.open, + fee=exchange.get_fee() + ) + + # calculate win/lose forwards from buy point + sell_subset = ticker[row.Index + 1:][['close', 'date', 'sell']] + for row2 in sell_subset.itertuples(index=True): + if max_open_trades > 0: + # Increase trade_count_lock for every iteration + trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1 + + current_profit_percent = trade.calc_profit_percent(rate=row2.close) + if (sell_profit_only and current_profit_percent < 0): + continue + if min_roi_reached(trade, row2.close, row2.date) or \ + (row2.sell == 1 and use_sell_signal) or \ + current_profit_percent <= stoploss: + current_profit_btc = trade.calc_profit(rate=row2.close) + return row2, (pair, + current_profit_percent, + current_profit_btc, + row2.Index - row.Index, + current_profit_btc > 0, + current_profit_btc < 0 + ) + + +def backtest(args) -> DataFrame: """ Implements backtesting functionality - :param stake_amount: btc amount to use for each trade - :param processed: a processed dictionary with format {pair, data} - :param max_open_trades: maximum number of concurrent trades (default: 0, disabled) - :param realistic: do we try to simulate realistic trades? (default: True) + :param args: a dict containing: + stake_amount: btc amount to use for each trade + processed: a processed dictionary with format {pair, data} + max_open_trades: maximum number of concurrent trades (default: 0, disabled) + realistic: do we try to simulate realistic trades? (default: True) + sell_profit_only: sell if profit only + use_sell_signal: act on sell-signal + stoploss: use stoploss :return: DataFrame """ + processed = args['processed'] + max_open_trades = args.get('max_open_trades', 0) + realistic = args.get('realistic', True) + record = args.get('record', None) + records = [] trades = [] trade_count_lock: dict = {} exchange._API = Bittrex({'key': '', 'secret': ''}) @@ -99,41 +142,25 @@ def backtest(stake_amount: float, processed: Dict[str, DataFrame], # Increase lock trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1 - trade = Trade( - open_rate=row.close, - open_date=row.date, - stake_amount=stake_amount, - amount=stake_amount / row.open, - fee=exchange.get_fee() - ) - - # calculate win/lose forwards from buy point - sell_subset = ticker[row.Index + 1:][['close', 'date', 'sell']] - for row2 in sell_subset.itertuples(index=True): - if max_open_trades > 0: - # Increase trade_count_lock for every iteration - trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1 - - current_profit_percent = trade.calc_profit_percent(rate=row2.close) - if (sell_profit_only and current_profit_percent < 0): - continue - if min_roi_reached(trade, row2.close, row2.date) or \ - (row2.sell == 1 and use_sell_signal) or \ - current_profit_percent <= stoploss: - current_profit_btc = trade.calc_profit(rate=row2.close) - lock_pair_until = row2.Index - - trades.append( - ( - pair, - current_profit_percent, - current_profit_btc, - row2.Index - row.Index, - current_profit_btc > 0, - current_profit_btc < 0 - ) - ) - break + ret = get_trade_entry(pair, row, ticker, + trade_count_lock, args) + if ret: + row2, trade_entry = ret + lock_pair_until = row2.Index + trades.append(trade_entry) + if record: + # Note, need to be json.dump friendly + # record a tuple of pair, current_profit_percent, + # entry-date, duration + records.append((pair, trade_entry[1], + row.date.strftime('%s'), + row2.date.strftime('%s'), + row.Index, trade_entry[3])) + # For now export inside backtest(), maybe change so that backtest() + # returns a tuple like: (dataframe, records, logs, etc) + if record and record.find('trades') >= 0: + logger.info('Dumping backtest results') + misc.file_dump_json('backtest-result.json', records) labels = ['currency', 'profit_percent', 'profit_BTC', 'duration', 'profit', 'loss'] return DataFrame.from_records(trades, columns=labels) @@ -180,17 +207,18 @@ def start(args): # Print timeframe min_date, max_date = get_timeframe(preprocessed) logger.info('Measuring data from %s up to %s ...', min_date.isoformat(), max_date.isoformat()) - # Execute backtest and print results - results = backtest( - stake_amount=config['stake_amount'], - processed=preprocessed, - max_open_trades=max_open_trades, - realistic=args.realistic_simulation, - sell_profit_only=config.get('experimental', {}).get('sell_profit_only', False), - stoploss=config.get('stoploss'), - use_sell_signal=config.get('experimental', {}).get('use_sell_signal', False) - ) + sell_profit_only = config.get('experimental', {}).get('sell_profit_only', False) + use_sell_signal = config.get('experimental', {}).get('use_sell_signal', False) + results = backtest({'stake_amount': config['stake_amount'], + 'processed': preprocessed, + 'max_open_trades': max_open_trades, + 'realistic': args.realistic_simulation, + 'sell_profit_only': sell_profit_only, + 'use_sell_signal': use_sell_signal, + 'stoploss': config.get('stoploss'), + 'record': args.export + }) logger.info( '\n==================================== BACKTESTING REPORT ====================================\n%s', # noqa generate_text_table(data, results, config['stake_currency'], args.ticker_interval) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index b98646090..b9780c13a 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -164,7 +164,9 @@ def optimizer(params): from freqtrade.optimize import backtesting backtesting.populate_buy_trend = buy_strategy_generator(params) - results = backtest(OPTIMIZE_CONFIG['stake_amount'], PROCESSED, stoploss=params['stoploss']) + results = backtest({'stake_amount': OPTIMIZE_CONFIG['stake_amount'], + 'processed': PROCESSED, + 'stoploss': params['stoploss']}) result_explanation = format_results(results) total_profit = results.profit_percent.sum() diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 12e701a1c..0fdc734f4 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -241,20 +241,27 @@ def _daily(bot: Bot, update: Update) -> None: .order_by(Trade.close_date)\ .all() curdayprofit = sum(trade.calc_profit() for trade in trades) - profit_days[profitday] = format(curdayprofit, '.8f') + profit_days[profitday] = { + 'amount': format(curdayprofit, '.8f'), + 'trades': len(trades) + } stats = [ [ key, - '{value:.8f} {symbol}'.format(value=float(value), symbol=_CONF['stake_currency']), + '{value:.8f} {symbol}'.format( + value=float(value['amount']), + symbol=_CONF['stake_currency'] + ), '{value:.3f} {symbol}'.format( value=_FIAT_CONVERT.convert_amount( - value, + value['amount'], _CONF['stake_currency'], _CONF['fiat_display_currency'] ), symbol=_CONF['fiat_display_currency'] - ) + ), + '{value} trade{s}'.format(value=value['trades'], s='' if value['trades'] < 2 else 's'), ] for key, value in profit_days.items() ] @@ -262,7 +269,8 @@ def _daily(bot: Bot, update: Update) -> None: headers=[ 'Day', 'Profit {}'.format(_CONF['stake_currency']), - 'Profit {}'.format(_CONF['fiat_display_currency']) + 'Profit {}'.format(_CONF['fiat_display_currency']), + '# Trades' ], tablefmt='simple') diff --git a/freqtrade/tests/optimize/test_backtesting.py b/freqtrade/tests/optimize/test_backtesting.py index c570801c5..2872df83f 100644 --- a/freqtrade/tests/optimize/test_backtesting.py +++ b/freqtrade/tests/optimize/test_backtesting.py @@ -51,8 +51,10 @@ def test_backtest(default_conf, mocker): data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH']) data = trim_dictlist(data, -200) - results = backtest(default_conf['stake_amount'], - optimize.preprocess(data), 10, True) + results = backtest({'stake_amount': default_conf['stake_amount'], + 'processed': optimize.preprocess(data), + 'max_open_trades': 10, + 'realistic': True}) assert not results.empty @@ -63,8 +65,10 @@ def test_backtest_1min_ticker_interval(default_conf, mocker): # Run a backtesting for an exiting 5min ticker_interval data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST']) data = trim_dictlist(data, -200) - results = backtest(default_conf['stake_amount'], - optimize.preprocess(data), 1, True) + results = backtest({'stake_amount': default_conf['stake_amount'], + 'processed': optimize.preprocess(data), + 'max_open_trades': 1, + 'realistic': True}) assert not results.empty @@ -115,7 +119,10 @@ def simple_backtest(config, contour, num_results): data = load_data_test(contour) processed = optimize.preprocess(data) assert isinstance(processed, dict) - results = backtest(config['stake_amount'], processed, 1, True) + results = backtest({'stake_amount': config['stake_amount'], + 'processed': processed, + 'max_open_trades': 1, + 'realistic': True}) # results :: assert len(results) == num_results @@ -128,8 +135,10 @@ def test_backtest2(default_conf, mocker): mocker.patch.dict('freqtrade.main._CONF', default_conf) data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH']) data = trim_dictlist(data, -200) - results = backtest(default_conf['stake_amount'], - optimize.preprocess(data), 10, True) + results = backtest({'stake_amount': default_conf['stake_amount'], + 'processed': optimize.preprocess(data), + 'max_open_trades': 10, + 'realistic': True}) assert not results.empty @@ -169,6 +178,7 @@ def test_backtest_start(default_conf, mocker, caplog): args.level = 10 args.live = False args.datadir = None + args.export = None args.timerange = '-100' # needed due to MagicMock malleability backtesting.start(args) # check the logs, that will contain the backtest result diff --git a/freqtrade/tests/rpc/test_rpc_telegram.py b/freqtrade/tests/rpc/test_rpc_telegram.py index 992693248..f1ac53f5e 100644 --- a/freqtrade/tests/rpc/test_rpc_telegram.py +++ b/freqtrade/tests/rpc/test_rpc_telegram.py @@ -448,6 +448,28 @@ def test_daily_handle( assert str(datetime.utcnow().date()) in msg_mock.call_args_list[0][0][0] assert str(' 0.00006217 BTC') in msg_mock.call_args_list[0][0][0] assert str(' 0.933 USD') in msg_mock.call_args_list[0][0][0] + assert str(' 1 trade') in msg_mock.call_args_list[0][0][0] + assert str(' 0 trade') in msg_mock.call_args_list[0][0][0] + + # Reset msg_mock + msg_mock.reset_mock() + # Add two other trades + create_trade(0.001) + create_trade(0.001) + + trades = Trade.query.all() + for trade in trades: + trade.update(limit_buy_order) + trade.update(limit_sell_order) + trade.close_date = datetime.utcnow() + trade.is_open = False + + update.message.text = '/daily 1' + + _daily(bot=MagicMock(), update=update) + assert str(' 0.00018651 BTC') in msg_mock.call_args_list[0][0][0] + assert str(' 2.798 USD') in msg_mock.call_args_list[0][0][0] + assert str(' 3 trades') in msg_mock.call_args_list[0][0][0] # Try invalid data msg_mock.reset_mock() diff --git a/freqtrade/tests/test_misc.py b/freqtrade/tests/test_misc.py index 74f611f5f..fb768b89c 100644 --- a/freqtrade/tests/test_misc.py +++ b/freqtrade/tests/test_misc.py @@ -5,10 +5,11 @@ import time from copy import deepcopy import pytest +from unittest.mock import MagicMock from jsonschema import ValidationError from freqtrade.misc import (common_args_parser, load_config, parse_args, - throttle, parse_timerange) + throttle, file_dump_json, parse_timerange) def test_throttle(): @@ -133,6 +134,14 @@ def test_parse_args_hyperopt_custom(mocker): assert call_args.func is not None +def test_file_dump_json(default_conf, mocker): + file_open = mocker.patch('freqtrade.misc.open', MagicMock()) + json_dump = mocker.patch('json.dump', MagicMock()) + file_dump_json('somefile', [1, 2, 3]) + assert file_open.call_count == 1 + assert json_dump.call_count == 1 + + def test_parse_timerange_incorrect(): assert ((None, 'line'), None, -200) == parse_timerange('-200') assert (('line', None), 200, None) == parse_timerange('200-')