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

updated backtesting

Browse Source
This commit is contained in:
Kavinkumar 2022-03-02 13:05:00 +05:30
parent e7bd3c6d80
commit a031216ecc
3 changed files with 59 additions and 36 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/freqtradebot.py
View File

@ -492,7 +492,7 @@ class FreqtradeBot(LoggingMixin):
logger.info('Remaining amount would be too small')
return
if amount > trade.amount:
logger.info("Amount is higher than available.")
logger.info(f"Amount is higher than available. {amount} > {trade.amount}")
return
self.execute_trade_exit(trade, current_rate, sell_reason=SellCheckTuple(
sell_type=SellType.CUSTOM_SELL), sub_trade_amt=amount)

80
freqtrade/optimize/backtesting.py
View File

@ -383,13 +383,13 @@ class Backtesting:
def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
) -> LocalTrade:
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1)
current_rate = row[OPEN_IDX]
current_profit = trade.calc_profit_ratio(current_rate)
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, current_rate, -0.1)
max_stake = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=current_rate,
current_profit=current_profit, min_stake=min_stake, max_stake=max_stake)
# Check if we should increase our position
@ -398,6 +398,16 @@ class Backtesting:
if pos_trade is not None:
self.wallets.update()
return pos_trade
if stake_amount is not None and stake_amount < 0.0:
amount = -stake_amount / current_rate
logger.info("partial_sell_bt")
if amount > trade.amount:
logger.info(f"Amount is higher than available. {amount} > {trade.amount}")
return trade
pos_trade = self._exit_trade(trade, row, current_rate, amount)
if pos_trade is not None:
self.wallets.update()
return pos_trade
return trade
@ -416,7 +426,6 @@ class Backtesting:
check_adjust_buy = (count_of_buys <= self.strategy.max_entry_position_adjustment)
if check_adjust_buy:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore
sell_candle_time, sell_row[BUY_IDX],
@ -467,31 +476,44 @@ class Backtesting:
):
trade.sell_reason = sell_row[EXIT_TAG_IDX]
self.order_id_counter += 1
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
ft_is_open=True,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
symbol=trade.pair,
ft_order_side="sell",
side="sell",
order_type=order_type,
status="open",
price=closerate,
average=closerate,
amount=trade.amount,
filled=0,
remaining=trade.amount,
cost=trade.amount * closerate,
)
trade.orders.append(order)
return trade
return self._exit_trade(trade, sell_row, closerate)
return None
def _exit_trade(self, trade: LocalTrade,sell_row: Tuple,
closerate: float, amount: float = None) -> Optional[LocalTrade]:
self.order_id_counter += 1
if amount:
a = trade.select_filled_orders('buy')[-1].safe_filled
logger.info(f'{closerate}, {amount}, {a}, selling'+'\n'*3)
else:
logger.info(f'{closerate}, {amount}, {trade.open_rate}, selling'+'\n'*3)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
order_type = self.strategy.order_types['sell']
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
ft_is_open=True,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
symbol=trade.pair,
ft_order_side="sell",
side="sell",
order_type=order_type,
status="open",
price=closerate,
average=closerate,
amount=amount or trade.amount,
filled=0,
remaining=trade.amount,
cost=trade.amount * closerate,
)
trade.orders.append(order)
if amount:
trade.process_sell_sub_trade(order, is_non_bt = False)
trade.recalc_trade_from_orders()
return trade
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
if self.timeframe_detail and trade.pair in self.detail_data:

13
freqtrade/persistence/models.py
View File

@ -516,26 +516,26 @@ class LocalTrade():
raise ValueError(f'Unknown order type: {order.order_type}')
Trade.commit()
def process_sell_sub_trade(self, order: Order, is_closed: bool = True) -> None:
def process_sell_sub_trade(self, order: Order, is_closed: bool = True, is_non_bt: bool = True) -> None:
orders = (self.select_filled_orders('buy'))
if len(orders) < 1:
# Todo /test_freqtradebot.py::test_execute_trade_exit_market_order
self.close(order.safe_price)
Trade.commit()
if is_non_bt: Trade.commit()
logger.info("*:"*500)
return
logger.info('debug')
for o in orders:logger.info(o.to_json())
logger.info(order.to_json())
sell_amount = order.filled if is_closed else order.amount
sell_amount = order.safe_filled
sell_rate = order.safe_price
sell_stake_amount = sell_rate * sell_amount * (1 - self.fee_close)
if is_closed:
if sell_amount >= self.amount:
# Todo tests/rpc/test_rpc.py::test_rpc_trade_statistics
self.close(sell_rate)
Trade.commit()
if is_non_bt: Trade.commit()
return
profit = 0.0
idx = -1
@ -559,12 +559,12 @@ class LocalTrade():
b_order2.average = (b_order2.average * amount2 - profit) / amount2
b_order2.order_update_date = datetime.now(timezone.utc)
self.update_order(b_order2)
Order.query.session.commit()
if is_non_bt: Order.query.session.commit()
self.recalc_trade_from_orders()
self.close_profit_abs = profit
self.close_profit = sell_stake_amount / (sell_stake_amount - profit) - 1
Trade.commit()
if is_non_bt: Trade.commit()
def calc_profit2(self, open_rate: float, close_rate: float,
amount: float) -> float:
@ -706,6 +706,7 @@ class LocalTrade():
def recalc_trade_from_orders(self):
if len(self.select_filled_orders('buy')) < 2:
# Just in case, still recalc open trade value
# needs to remove
self.recalc_open_trade_value()
return
total_amount = 0.0