Merge pull request #131 from gcarq/feature/backtesting-max-open-trades

implement trade count lock for backtesting
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Janne Sinivirta 2017-11-23 16:16:43 +02:00 committed by GitHub
commit aacd7d8987
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5 changed files with 48 additions and 10 deletions

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@ -79,6 +79,7 @@ def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
return dataframe return dataframe
def populate_sell_trend(dataframe: DataFrame) -> DataFrame: def populate_sell_trend(dataframe: DataFrame) -> DataFrame:
""" """
Based on TA indicators, populates the sell signal for the given dataframe Based on TA indicators, populates the sell signal for the given dataframe

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@ -146,6 +146,12 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
type=int, type=int,
metavar='INT', metavar='INT',
) )
backtest.add_argument(
'--limit-max-trades',
help='uses max_open_trades from config to simulate real world limitations',
action='store_true',
dest='limit_max_trades',
)
def start_backtesting(args) -> None: def start_backtesting(args) -> None:
@ -161,6 +167,7 @@ def start_backtesting(args) -> None:
'BACKTEST_LIVE': 'true' if args.live else '', 'BACKTEST_LIVE': 'true' if args.live else '',
'BACKTEST_CONFIG': args.config, 'BACKTEST_CONFIG': args.config,
'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval), 'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval),
'BACKTEST_LIMIT_MAX_TRADES': 'true' if args.limit_max_trades else '',
}) })
path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py') path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py')
pytest.main(['-s', path]) pytest.main(['-s', path])

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@ -54,6 +54,7 @@ def default_conf():
@pytest.fixture(scope="module") @pytest.fixture(scope="module")
def backtest_conf(): def backtest_conf():
return { return {
"max_open_trades": 3,
"stake_currency": "BTC", "stake_currency": "BTC",
"stake_amount": 0.01, "stake_amount": 0.01,
"minimal_roi": { "minimal_roi": {

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@ -83,24 +83,46 @@ def generate_text_table(data: Dict[str, Dict], results: DataFrame, stake_currenc
return tabulate(tabular_data, headers=headers) return tabulate(tabular_data, headers=headers)
def backtest(backtest_conf, processed, mocker): def backtest(config: Dict, processed, mocker, max_open_trades=0):
"""
Implements backtesting functionality
:param config: config to use
:param processed: a processed dictionary with format {pair, data}
:param mocker: mocker instance
:param max_open_trades: maximum number of concurrent trades (default: 0, disabled)
:return: DataFrame
"""
trades = [] trades = []
trade_count_lock = {}
exchange._API = Bittrex({'key': '', 'secret': ''}) exchange._API = Bittrex({'key': '', 'secret': ''})
mocker.patch.dict('freqtrade.main._CONF', backtest_conf) mocker.patch.dict('freqtrade.main._CONF', config)
for pair, pair_data in processed.items(): for pair, pair_data in processed.items():
pair_data['buy'] = 0 pair_data['buy'], pair_data['sell'] = 0, 0
pair_data['sell'] = 0
ticker = populate_sell_trend(populate_buy_trend(pair_data)) ticker = populate_sell_trend(populate_buy_trend(pair_data))
# for each buy point # for each buy point
for row in ticker[ticker.buy == 1].itertuples(index=True): for row in ticker[ticker.buy == 1].itertuples(index=True):
if max_open_trades > 0:
# Check if max_open_trades has already been reached for the given date
if not trade_count_lock.get(row.date, 0) < max_open_trades:
continue
if max_open_trades > 0:
# Increase lock
trade_count_lock[row.date] = trade_count_lock.get(row.date, 0) + 1
trade = Trade( trade = Trade(
open_rate=row.close, open_rate=row.close,
open_date=row.date, open_date=row.date,
amount=backtest_conf['stake_amount'], amount=config['stake_amount'],
fee=exchange.get_fee() * 2 fee=exchange.get_fee() * 2
) )
# calculate win/lose forwards from buy point # calculate win/lose forwards from buy point
for row2 in ticker[row.Index:].itertuples(index=True): for row2 in ticker[row.Index + 1:].itertuples(index=True):
if max_open_trades > 0:
# Increase trade_count_lock for every iteration
trade_count_lock[row2.date] = trade_count_lock.get(row2.date, 0) + 1
if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1: if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
current_profit = trade.calc_profit(row2.close) current_profit = trade.calc_profit(row2.close)
@ -110,6 +132,13 @@ def backtest(backtest_conf, processed, mocker):
return DataFrame.from_records(trades, columns=labels) return DataFrame.from_records(trades, columns=labels)
def get_max_open_trades(config):
if not os.environ.get('BACKTEST_LIMIT_MAX_TRADES'):
return 0
print('Using max_open_trades: {} ...'.format(config['max_open_trades']))
return config['max_open_trades']
@pytest.mark.skipif(not os.environ.get('BACKTEST'), reason="BACKTEST not set") @pytest.mark.skipif(not os.environ.get('BACKTEST'), reason="BACKTEST not set")
def test_backtest(backtest_conf, mocker): def test_backtest(backtest_conf, mocker):
print('') print('')
@ -147,8 +176,6 @@ def test_backtest(backtest_conf, mocker):
)) ))
# Execute backtest and print results # Execute backtest and print results
results = backtest(config, preprocess(data), mocker) results = backtest(config, preprocess(data), mocker, get_max_open_trades(config))
print('====================== BACKTESTING REPORT ======================================\n\n' print('====================== BACKTESTING REPORT ======================================\n\n')
'NOTE: This Report doesn\'t respect the limits of max_open_trades, \n'
' so the projected values should be taken with a grain of salt.\n')
print(generate_text_table(data, results, config['stake_currency'])) print(generate_text_table(data, results, config['stake_currency']))

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@ -109,6 +109,7 @@ def test_start_backtesting(mocker):
live=True, live=True,
loglevel=20, loglevel=20,
ticker_interval=1, ticker_interval=1,
limit_max_trades=True,
) )
start_backtesting(args) start_backtesting(args)
assert env_mock == { assert env_mock == {
@ -116,6 +117,7 @@ def test_start_backtesting(mocker):
'BACKTEST_LIVE': 'true', 'BACKTEST_LIVE': 'true',
'BACKTEST_CONFIG': 'config.json', 'BACKTEST_CONFIG': 'config.json',
'BACKTEST_TICKER_INTERVAL': '1', 'BACKTEST_TICKER_INTERVAL': '1',
'BACKTEST_LIMIT_MAX_TRADES': 'true',
} }
assert pytest_mock.call_count == 1 assert pytest_mock.call_count == 1