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Improve backtest detail speed

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This commit is contained in:
Matthias 2023-01-05 10:14:58 +01:00
parent 5257e8b3ed
commit 92800930e9
1 changed files with 15 additions and 6 deletions
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21
freqtrade/optimize/backtesting.py
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@ -1051,7 +1051,8 @@ class Backtesting:
def backtest_loop( def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime, self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int, open_trade_count_start: int, is_first: bool = True) -> int: max_open_trades: int, open_trade_count_start: int, trade_dir: Optional[LongShort],
is_first: bool = True) -> int:
""" """
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized. NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@ -1070,7 +1071,6 @@ class Backtesting:
# max_open_trades must be respected # max_open_trades must be respected
# don't open on the last row # don't open on the last row
# We only open trades on the main candle, not on detail candles # We only open trades on the main candle, not on detail candles
trade_dir = self.check_for_trade_entry(row)
if ( if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0) (self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first and is_first
@ -1164,7 +1164,15 @@ class Backtesting:
indexes[pair] = row_index indexes[pair] = row_index
self.dataprovider._set_dataframe_max_index(row_index) self.dataprovider._set_dataframe_max_index(row_index)
current_detail_time: datetime = row[DATE_IDX].to_pydatetime() current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
if self.timeframe_detail and pair in self.detail_data: trade_dir: Optional[LongShort] = self.check_for_trade_entry(row)
if (
(trade_dir is not None or len(LocalTrade.bt_trades_open_pp[pair]) > 0)
and self.timeframe_detail and pair in self.detail_data
):
# Spread out into detail timeframe.
# Should only happen when we are either in a trade for this pair
# or when we got the signal for a new trade.
exit_candle_end = current_detail_time + timedelta(minutes=self.timeframe_min) exit_candle_end = current_detail_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[pair] detail_data = self.detail_data[pair]
@ -1176,7 +1184,7 @@ class Backtesting:
# Fall back to "regular" data if no detail data was found for this candle # Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop( open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades, row, pair, current_time, end_date, max_open_trades,
open_trade_count_start) open_trade_count_start, trade_dir)
continue continue
detail_data.loc[:, 'enter_long'] = row[LONG_IDX] detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
detail_data.loc[:, 'exit_long'] = row[ELONG_IDX] detail_data.loc[:, 'exit_long'] = row[ELONG_IDX]
@ -1189,12 +1197,13 @@ class Backtesting:
for det_row in detail_data[HEADERS].values.tolist(): for det_row in detail_data[HEADERS].values.tolist():
open_trade_count_start = self.backtest_loop( open_trade_count_start = self.backtest_loop(
det_row, pair, current_time_det, end_date, max_open_trades, det_row, pair, current_time_det, end_date, max_open_trades,
open_trade_count_start, is_first) open_trade_count_start, trade_dir, is_first)
current_time_det += timedelta(minutes=self.timeframe_detail_min) current_time_det += timedelta(minutes=self.timeframe_detail_min)
is_first = False is_first = False
else: else:
open_trade_count_start = self.backtest_loop( open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades, open_trade_count_start) row, pair, current_time, end_date, max_open_trades,
open_trade_count_start, trade_dir)
# Move time one configured time_interval ahead. # Move time one configured time_interval ahead.
self.progress.increment() self.progress.increment()