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Merge pull request #4594 from rextea/add_confirm_exit_enter_tade_to_backtesting

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Add confirm_trade_exit and confirm_trade_entry to backtesting
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Matthias 2021-03-25 20:26:56 +01:00 committed by GitHub
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2 changed files with 21 additions and 1 deletions
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1
docs/bot-basics.md
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@ -53,6 +53,7 @@ This loop will be repeated again and again until the bot is stopped.
* Calls `bot_loop_start()` once. * Calls `bot_loop_start()` once.
* Calculate indicators (calls `populate_indicators()` once per pair). * Calculate indicators (calls `populate_indicators()` once per pair).
* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair) * Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair)
* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy)
* Loops per candle simulating entry and exit points. * Loops per candle simulating entry and exit points.
* Generate backtest report output * Generate backtest report output

21
freqtrade/optimize/backtesting.py
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@ -252,12 +252,22 @@ class Backtesting:
sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
sell_row[DATE_IDX], sell_row[BUY_IDX], sell_row[SELL_IDX], sell_row[DATE_IDX], sell_row[BUY_IDX], sell_row[SELL_IDX],
low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX])
if sell.sell_flag:
if sell.sell_flag:
trade.close_date = sell_row[DATE_IDX] trade.close_date = sell_row[DATE_IDX]
trade.sell_reason = sell.sell_type.value trade.sell_reason = sell.sell_type.value
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
time_in_force=time_in_force,
sell_reason=sell.sell_type.value):
return None
trade.close(closerate, show_msg=False) trade.close(closerate, show_msg=False)
return trade return trade
@ -271,6 +281,15 @@ class Backtesting:
except DependencyException: except DependencyException:
return None return None
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05)
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX],
time_in_force=time_in_force):
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount): if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
# Enter trade # Enter trade
trade = LocalTrade( trade = LocalTrade(