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Added an option to enable compound gains

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This commit is contained in:
Gianluca Puglia 2019-02-16 15:19:12 +01:00
parent e0c420b93f
commit 942c78e509
3 changed files with 33 additions and 1 deletions
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1
config.json.example
View File

@ -5,6 +5,7 @@
"fiat_display_currency": "USD",
"ticker_interval" : "5m",
"dry_run": false,
"compound": false,
"trailing_stop": false,
"unfilledtimeout": {
"buy": 10,

1
config_full.json.example
View File

@ -4,6 +4,7 @@
"stake_amount": 0.05,
"fiat_display_currency": "USD",
"dry_run": false,
"compound": false,
"ticker_interval": "5m",
"trailing_stop": false,
"trailing_stop_positive": 0.005,

32
freqtrade/optimize/backtesting.py
View File

@ -43,6 +43,7 @@ class BacktestResult(NamedTuple):
open_at_end: bool
open_rate: float
close_rate: float
amount: float
sell_reason: SellType
@ -205,11 +206,16 @@ class Backtesting(object):
stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0)
if args['compound']:
stake_amount /= (max_open_trades - (trade_count_lock[buy_row.date] - 1))
amount = stake_amount / buy_row.open
trade = Trade(
open_rate=buy_row.open,
open_date=buy_row.date,
stake_amount=stake_amount,
amount=stake_amount / buy_row.open,
amount=amount,
fee_open=self.fee,
fee_close=self.fee
)
@ -254,6 +260,7 @@ class Backtesting(object):
open_at_end=False,
open_rate=buy_row.open,
close_rate=closerate,
amount=amount,
sell_reason=sell.sell_type
)
if partial_ticker:
@ -271,6 +278,7 @@ class Backtesting(object):
open_at_end=True,
open_rate=buy_row.open,
close_rate=sell_row.open,
amount=amount,
sell_reason=SellType.FORCE_SELL
)
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
@ -294,6 +302,7 @@ class Backtesting(object):
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
compound = args['compound']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
position_stacking = args.get('position_stacking', False)
@ -322,11 +331,25 @@ class Backtesting(object):
pairs.append(pair)
lock_pair_until: Dict = {}
locked_stakes: Dict = {}
tmp = start_date + timedelta(minutes=self.ticker_interval_mins)
index = 0
# Loop timerange and test per pair
while tmp < end_date:
# print(f"time: {tmp}")
if compound:
# We need to free locked stakes for all pairs before the main cycle
for i, pair in enumerate(ticker):
try:
row = ticker[pair][index]
except IndexError:
continue
if pair in locked_stakes and row.date > lock_pair_until[pair]:
args['stake_amount'] += locked_stakes[pair]
del locked_stakes[pair]
for i, pair in enumerate(ticker):
try:
row = ticker[pair][index]
@ -353,6 +376,12 @@ class Backtesting(object):
if trade_entry:
lock_pair_until[pair] = trade_entry.close_time
if compound:
stake_amount = trade_entry.open_rate * trade_entry.amount
locked_stakes[pair] = stake_amount + trade_entry.profit_abs
args['stake_amount'] -= stake_amount
trades.append(trade_entry)
else:
# Set lock_pair_until to end of testing period if trade could not be closed
@ -429,6 +458,7 @@ class Backtesting(object):
'position_stacking': self.config.get('position_stacking', False),
'start_date': min_date,
'end_date': max_date,
'compound': self.config.get('compound', False),
}
)