adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Extract backtesting of one strategy

Browse Source
This commit is contained in:
Matthias 2020-09-18 07:44:11 +02:00
parent 6d1fba1409
commit 9d4cdcad10
1 changed files with 48 additions and 45 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

43
freqtrade/optimize/backtesting.py
View File

@ -76,6 +76,8 @@ class Backtesting:
# Reset keys for backtesting
remove_credentials(self.config)
self.strategylist: List[IStrategy] = []
self.all_results: Dict[str, Dict] = {}
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
dataprovider = DataProvider(self.config, self.exchange)
@ -424,22 +426,7 @@ class Backtesting:
return DataFrame.from_records(trades, columns=BacktestResult._fields)
def start(self) -> None:
"""
Run backtesting end-to-end
:return: None
"""
data: Dict[str, Any] = {}
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
position_stacking = self.config.get('position_stacking', False)
data, timerange = self.load_bt_data()
all_results = {}
for strat in self.strategylist:
def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange):
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
self._set_strategy(strat)
@ -463,23 +450,39 @@ class Backtesting:
logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(max_date - min_date).days} days)..')
# Execute backtest and print results
# Execute backtest and store results
results = self.backtest(
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date.datetime,
end_date=max_date.datetime,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
position_stacking=self.config.get('position_stacking', False),
enable_protections=self.config.get('enable_protections', False),
)
all_results[self.strategy.get_strategy_name()] = {
self.all_results[self.strategy.get_strategy_name()] = {
'results': results,
'config': self.strategy.config,
'locks': PairLocks.locks,
}
return min_date, max_date
stats = generate_backtest_stats(data, all_results, min_date=min_date, max_date=max_date)
def start(self) -> None:
"""
Run backtesting end-to-end
:return: None
"""
data: Dict[str, Any] = {}
data, timerange = self.load_bt_data()
min_date = None
max_date = None
for strat in self.strategylist:
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
stats = generate_backtest_stats(data, self.all_results,
min_date=min_date, max_date=max_date)
if self.config.get('export', False):
store_backtest_stats(self.config['exportfilename'], stats)