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Add required_startup to backtesting

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This commit is contained in:
Matthias 2019-10-20 13:56:01 +02:00
parent 9e7e051eb4
commit 9c7696a8ce
1 changed files with 28 additions and 5 deletions
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33
freqtrade/optimize/backtesting.py
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@ -15,7 +15,7 @@ from freqtrade import OperationalException
from freqtrade.configuration import TimeRange from freqtrade.configuration import TimeRange
from freqtrade.data import history from freqtrade.data import history
from freqtrade.data.dataprovider import DataProvider from freqtrade.data.dataprovider import DataProvider
from freqtrade.exchange import timeframe_to_minutes from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import file_dump_json from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
from freqtrade.resolvers import ExchangeResolver, StrategyResolver from freqtrade.resolvers import ExchangeResolver, StrategyResolver
@ -90,6 +90,9 @@ class Backtesting:
self.ticker_interval = str(self.config.get('ticker_interval')) self.ticker_interval = str(self.config.get('ticker_interval'))
self.ticker_interval_mins = timeframe_to_minutes(self.ticker_interval) self.ticker_interval_mins = timeframe_to_minutes(self.ticker_interval)
# Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
self.required_startup_s = self.required_startup * timeframe_to_seconds(self.ticker_interval)
# Load one (first) strategy # Load one (first) strategy
self._set_strategy(self.strategylist[0]) self._set_strategy(self.strategylist[0])
@ -418,11 +421,19 @@ class Backtesting:
timerange = TimeRange.parse_timerange(None if self.config.get( timerange = TimeRange.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange'))) 'timerange') is None else str(self.config.get('timerange')))
logger.info('Using indicator startup period: %s ...', self.required_startup)
# Timerange_startup is timerange - startup-candles
timerange_startup = deepcopy(timerange)
timerange_startup.subtract_start(self.required_startup_s)
data = history.load_data( data = history.load_data(
datadir=Path(self.config['datadir']), datadir=Path(self.config['datadir']),
pairs=pairs, pairs=pairs,
ticker_interval=self.ticker_interval, ticker_interval=self.ticker_interval,
timerange=timerange, timerange=timerange,
startup_candles=self.required_startup
) )
if not data: if not data:
@ -439,11 +450,14 @@ class Backtesting:
min_date, max_date = history.get_timeframe(data) min_date, max_date = history.get_timeframe(data)
logger.info( logger.info(
'Backtesting with data from %s up to %s (%s days)..', 'Loading backtest data from %s up to %s (%s days)..',
min_date.isoformat(), min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days
max_date.isoformat(),
(max_date - min_date).days
) )
if not timerange_startup.starttype:
# If no startts was defined, we need to move the backtesting start
logger.info("Moving start-date by %s candles.", self.required_startup)
timerange.startts = min_date.timestamp + self.required_startup_s
timerange.starttype = 'date'
for strat in self.strategylist: for strat in self.strategylist:
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
@ -452,6 +466,15 @@ class Backtesting:
# need to reprocess data every time to populate signals # need to reprocess data every time to populate signals
preprocessed = self.strategy.tickerdata_to_dataframe(data) preprocessed = self.strategy.tickerdata_to_dataframe(data)
# Trim startup period from analyzed dataframe
for pair, df in preprocessed.items():
preprocessed[pair] = history.trim_dataframe(df, timerange)
min_date, max_date = history.get_timeframe(preprocessed)
logger.info(
'Backtesting with data from %s up to %s (%s days)..',
min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days
)
# Execute backtest and print results # Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest( all_results[self.strategy.get_strategy_name()] = self.backtest(
{ {