From 4b9d55dbe275a3a06ecaeb90d23dc04d442a9551 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 27 Jan 2022 18:58:51 +0100 Subject: [PATCH 1/2] Add test for backtest dataprovider (should cache the correct candle) --- tests/optimize/test_backtesting.py | 42 ++++++++++++++++++++++++++++++ 1 file changed, 42 insertions(+) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index bc408a059..3af431f87 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -21,6 +21,7 @@ from freqtrade.data.dataprovider import DataProvider from freqtrade.data.history import get_timerange from freqtrade.enums import RunMode, SellType from freqtrade.exceptions import DependencyException, OperationalException +from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.misc import get_strategy_run_id from freqtrade.optimize.backtesting import Backtesting from freqtrade.persistence import LocalTrade @@ -650,6 +651,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: timerange=timerange) processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) + result = backtesting.backtest( processed=deepcopy(processed), start_date=min_date, @@ -741,6 +743,46 @@ def test_processed(default_conf, mocker, testdatadir) -> None: assert col in cols +def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadir) -> None: + default_conf['use_sell_signal'] = False + mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) + mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001) + patch_exchange(mocker) + backtesting = Backtesting(default_conf) + backtesting._set_strategy(backtesting.strategylist[0]) + timerange = TimeRange('date', None, 1517227800, 0) + data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'], + timerange=timerange) + processed = backtesting.strategy.advise_all_indicators(data) + min_date, max_date = get_timerange(processed) + + global count + count = 0 + + def tmp_confirm_entry(pair, current_time, **kwargs): + dp = backtesting.strategy.dp + df, _ = dp.get_analyzed_dataframe(pair, backtesting.strategy.timeframe) + current_candle = df.iloc[-1].squeeze() + assert current_candle['buy'] == 1 + + candle_date = timeframe_to_next_date(backtesting.strategy.timeframe, current_candle['date']) + assert candle_date == current_time + # These asserts don't properly raise as they are nested, + # therefore we increment count and assert for that. + global count + count = count + 1 + + backtesting.strategy.confirm_trade_entry = tmp_confirm_entry + backtesting.backtest( + processed=deepcopy(processed), + start_date=min_date, + end_date=max_date, + max_open_trades=10, + position_stacking=False, + ) + assert count == 5 + + def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatadir) -> None: # While this test IS a copy of test_backtest_pricecontours, it's needed to ensure # results do not carry-over to the next run, which is not given by using parametrize. From 5d0c2bcb448259e6198f483f52c9b14fbe217ee2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 27 Jan 2022 17:09:19 +0100 Subject: [PATCH 2/2] Shift candles after pushing them to dataprovider this will ensure that the signals are not shifted in callbacks closes #6234 --- freqtrade/optimize/backtesting.py | 10 +++++++--- 1 file changed, 7 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 8e52a62fa..207fd279c 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -275,6 +275,13 @@ class Backtesting: # Trim startup period from analyzed dataframe df_analyzed = processed[pair] = pair_data = trim_dataframe( df_analyzed, self.timerange, startup_candles=self.required_startup) + # Update dataprovider cache + self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed) + + # Create a copy of the dataframe before shifting, that way the buy signal/tag + # remains on the correct candle for callbacks. + df_analyzed = df_analyzed.copy() + # To avoid using data from future, we use buy/sell signals shifted # from the previous candle df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1) @@ -282,9 +289,6 @@ class Backtesting: df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1) df_analyzed.loc[:, 'exit_tag'] = df_analyzed.loc[:, 'exit_tag'].shift(1) - # Update dataprovider cache - self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed) - df_analyzed = df_analyzed.drop(df_analyzed.head(1).index) # Convert from Pandas to list for performance reasons