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

Fix exit_reason assignment in backtesting

Browse Source
This commit is contained in:
Matthias 2022-05-15 17:41:50 +02:00
parent a8f064a8cb
commit a0b25938f4
1 changed files with 14 additions and 14 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

28
freqtrade/optimize/backtesting.py
View File

@ -535,6 +535,7 @@ class Backtesting:
if exit_.exit_flag:
trade.close_date = exit_candle_time
exit_reason = exit_.exit_reason
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
@ -545,6 +546,15 @@ class Backtesting:
current_profit = trade.calc_profit_ratio(closerate)
order_type = self.strategy.order_types['exit']
if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
# Checks and adds an exit tag, after checking that the length of the
# row has the length for an exit tag column
if(
len(row) > EXIT_TAG_IDX
and row[EXIT_TAG_IDX] is not None
and len(row[EXIT_TAG_IDX]) > 0
and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
):
exit_reason = row[EXIT_TAG_IDX]
# Custom exit pricing only for exit-signals
if order_type == 'limit':
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
@ -552,7 +562,7 @@ class Backtesting:
pair=trade.pair, trade=trade,
current_time=exit_candle_time,
proposed_rate=closerate, current_profit=current_profit,
exit_tag=exit_.exit_reason)
exit_tag=exit_reason)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
if trade.is_short:
@ -566,22 +576,12 @@ class Backtesting:
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
time_in_force=time_in_force,
sell_reason=exit_.exit_reason, # deprecated
exit_reason=exit_.exit_reason,
sell_reason=exit_reason, # deprecated
exit_reason=exit_reason,
current_time=exit_candle_time):
return None
trade.exit_reason = exit_.exit_reason
# Checks and adds an exit tag, after checking that the length of the
# row has the length for an exit tag column
if(
len(row) > EXIT_TAG_IDX
and row[EXIT_TAG_IDX] is not None
and len(row[EXIT_TAG_IDX]) > 0
and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
):
trade.exit_reason = row[EXIT_TAG_IDX]
trade.exit_reason = exit_reason
self.order_id_counter += 1
order = Order(