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Merge branch 'feat/objectify-ccxt' into cxxt_obj_sellfix

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Matthias Voppichler
2018-04-21 22:39:22 +02:00
parent 573b6b8e15 23e989d31f
commit a140748b5a
28 changed files with 254 additions and 406 deletions
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28
freqtrade/optimize/backtesting.py
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@@ -3,6 +3,7 @@
"""
This module contains the backtesting logic
"""
import logging
from argparse import Namespace
from typing import Dict, Tuple, Any, List, Optional
@@ -15,11 +16,13 @@ from freqtrade import exchange
from freqtrade.analyze import Analyze
from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.logger import Logger
from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
class Backtesting(object):
"""
Backtesting class, this class contains all the logic to run a backtest
@@ -29,10 +32,6 @@ class Backtesting(object):
backtesting.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
# Init the logger
self.logging = Logger(name=__name__, level=config['loglevel'])
self.logger = self.logging.get_logger()
self.config = config
self.analyze = None
self.ticker_interval = None
@@ -208,7 +207,7 @@ class Backtesting(object):
# For now export inside backtest(), maybe change so that backtest()
# returns a tuple like: (dataframe, records, logs, etc)
if record and record.find('trades') >= 0:
self.logger.info('Dumping backtest results')
logger.info('Dumping backtest results')
file_dump_json('backtest-result.json', records)
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
return DataFrame.from_records(trades, columns=labels)
@@ -220,15 +219,15 @@ class Backtesting(object):
"""
data = {}
pairs = self.config['exchange']['pair_whitelist']
self.logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
self.logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
if self.config.get('live'):
self.logger.info('Downloading data for all pairs in whitelist ...')
logger.info('Downloading data for all pairs in whitelist ...')
for pair in pairs:
data[pair] = exchange.get_ticker_history(pair, self.ticker_interval)
else:
self.logger.info('Using local backtesting data (using whitelist in given config) ...')
logger.info('Using local backtesting data (using whitelist in given config) ...')
timerange = Arguments.parse_timerange(self.config.get('timerange'))
data = optimize.load_data(
@@ -243,14 +242,14 @@ class Backtesting(object):
if self.config.get('realistic_simulation', False):
max_open_trades = self.config['max_open_trades']
else:
self.logger.info('Ignoring max_open_trades (realistic_simulation not set) ...')
logger.info('Ignoring max_open_trades (realistic_simulation not set) ...')
max_open_trades = 0
preprocessed = self.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = self.get_timeframe(preprocessed)
self.logger.info(
logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),
max_date.isoformat(),
@@ -271,9 +270,7 @@ class Backtesting(object):
'record': self.config.get('export')
}
)
self.logging.set_format('%(message)s')
self.logger.info(
logger.info(
'\n==================================== '
'BACKTESTING REPORT'
' ====================================\n'
@@ -309,7 +306,6 @@ def start(args: Namespace) -> None:
"""
# Initialize logger
logger = Logger(name=__name__).get_logger()
logger.info('Starting freqtrade in Backtesting mode')
# Initialize configuration