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updated backtesting to allow for more data aggregation

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This commit is contained in:
Gert Wohlgemuth
2018-06-06 08:27:08 -07:00
parent ea24f00a97
commit 9379e0b15a
4 changed files with 130 additions and 58 deletions
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59
freqtrade/aws/backtesting_lambda.py
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@@ -197,11 +197,19 @@ def run_backtest(configuration, name, user, interval, fromDate, till):
def _store_aggregated_data(interval, name, result, timerange, user):
"""
stores aggregated data for ease of access, yay for dynamodb data duplication...
:param interval:
:param name:
:param result:
:param timerange:
:param user:
:return:
"""
for row in result[1][2]:
if row[1] > 0:
data = {
"id": "aggregate:{}:{}:{}:test".format(row[0].upper(), interval, timerange),
"trade": "{}.{}".format(user, name),
"pair": row[0],
"trades": row[1],
"losses": row[6],
@@ -213,19 +221,40 @@ def _store_aggregated_data(interval, name, result, timerange, user):
"ticker": interval,
"days": timerange
}
# aggregate by pair + interval + time range for each strategy
data['id'] = "aggregate:{}:{}:{}:test".format(row[0].upper(), interval, timerange)
data['trade'] = "{}.{}".format(user, name)
_submit_to_remote(data)
print(data)
try:
print(
post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
json=data))
except Exception as e:
print("submission ignored: {}".format(e))
# id: aggregate by strategy + user + range + pair
# range: ticker
# allows us to easily see on which ticker the strategy works best
data['id'] = "aggregate:ticker:{}:{}:{}:{}:test".format(user, name, row[0].upper(), timerange),
data['trade'] = "{}".format(interval)
_submit_to_remote(data)
# id: aggregate by strategy + user + ticker + pair
# range: timerange
# allows us to easily see on which time range the strategy works best
data['id'] = "aggregate:timerange:{}:{}:{}:{}:test".format(user, name, row[0].upper(), interval),
data['trade'] = "{}".format(timerange)
_submit_to_remote(data)
def _submit_to_remote(data):
try:
print(
post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
json=data))
except Exception as e:
print("submission ignored: {}".format(e))
def _store_trade_data(interval, name, result, timerange, user):
for index, row in result[0].iterrows():
data = {
_submit_to_remote({
"id": "{}.{}:{}:{}:{}:test".format(user, name, interval, timerange, row['currency'].upper()),
"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
@@ -238,15 +267,7 @@ def _store_trade_data(interval, name, result, timerange, user):
"strategy": name,
"user": user
}
print(data)
try:
print(
post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
json=data))
except Exception as e:
print("submission ignored: {}".format(e))
})
def generate_configuration(fromDate, till, name, refresh, user, remote=True):