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Added stop_stops

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stop_stops is an int value
when number of stops in a pair reached the int the pair is stopped
trading.

This allows backtest to align with my pre_trade_mgt that does the same
in dry and live operations
This commit is contained in:
creslinux 2018-07-17 11:22:38 +00:00
parent ed4bf32f2a
commit 8cea0517eb
1 changed files with 25 additions and 7 deletions
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32
freqtrade/optimize/backtesting.py
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@ -95,14 +95,16 @@ class Backtesting(object):
#self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close
self.use_backslap = True # Enable backslap - if false Orginal code is executed.
self.debug = True # Main debug enable, very print heavy, enable 2 loops recommended
self.debug = False # Main debug enable, very print heavy, enable 2 loops recommended
self.debug_timing = False # Stages within Backslap
self.debug_2loops = False # Limit each pair to two loops, useful when debugging
self.debug_vector = True # Debug vector calcs
self.debug_vector = False # Debug vector calcs
self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap
self.backslap_show_trades = False # prints trades in addition to summary report
self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt
self.backslap_show_trades = True # prints trades in addition to summary report
self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt
self.stop_stops: int = 9999 # stop back testing any pair with this many stops, set to 999999 to not hit
@staticmethod
@ -389,7 +391,6 @@ class Backtesting(object):
- Profit
- trade duration
- profit abs
:param bslap_results Dataframe
:return: bslap_results Dataframe
"""
@ -443,14 +444,19 @@ class Backtesting(object):
return bslap_results_df
def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int):
def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int, stop_stops: int, stop_stops_count: int):
import utils_find_1st as utf1st
"""
The purpose of this def is to return the next "buy" = 1
after t_exit_ind.
This function will also check is the stop limit for the pair has been reached.
if stop_stops is the limit and stop_stops_count it the number of times the stop has been hit.
t_exit_ind is the index the last trade exited on
or 0 if first time around this loop.
stop_stops i
"""
# Timers, to be called if in debug
def s():
@ -478,6 +484,10 @@ class Backtesting(object):
if t_open_ind == np_buy_arr_len -1 : # If buy found on last candle ignore, there is no OPEN in next to use
t_open_ind = -1 # -1 ends the loop
if stop_stops_count >= stop_stops: # if maximum number of stops allowed in a pair is hit, exit loop
t_open_ind = -1 # -1 ends the loop
print("Max stop limit ", stop_stops, "reached. Moving to next pair")
return t_open_ind
def backslap_pair(self, ticker_data, pair):
@ -564,6 +574,9 @@ class Backtesting(object):
t_exit_ind = 0 # Start loop from first index
t_exit_last = 0 # To test for exit
stop_stops = self.stop_stops # Int of stops within a pair to stop trading a pair at
stop_stops_count = 0 # stop counter per pair
st = s() # Start timer for processing dataframe
if debug:
print('Processing:', pair)
@ -604,11 +617,13 @@ class Backtesting(object):
Requires: np_buy_arr - a 1D array of the 'buy' column. To find next "1"
Required: t_exit_ind - Either 0, first loop. Or The index we last exited on
Requires: np_buy_arr_len - length of pair array.
Requires: stops_stops - number of stops allowed before stop trading a pair
Requires: stop_stop_counts - count of stops hit in the pair
Provides: The next "buy" index after t_exit_ind
If -1 is returned no buy has been found in remainder of array, skip to exit loop
'''
t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len)
t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len, stop_stops, stop_stops_count)
if debug:
print("\n(0) numpy debug \nnp_get_t_open, has returned the next valid buy index as", t_open_ind)
@ -971,6 +986,9 @@ class Backtesting(object):
# append the dict to the list and print list
bslap_pair_results.append(bslap_result)
if t_exit_type is "stop":
stop_stops_count = stop_stops_count + 1
if debug:
print("The trade dict is: \n", bslap_result)
print("Trades dicts in list after append are: \n ", bslap_pair_results)