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Merge pull request #5924 from freqtrade/feat/leverage

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call leverage methods
This commit is contained in:
Matthias
2021-11-21 19:30:27 +01:00
committed by GitHub
parent 63d94aa585 fb519a5b39
commit aad37bb8f3
10 changed files with 145 additions and 59 deletions
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25
freqtrade/optimize/backtesting.py
View File

@@ -368,6 +368,10 @@ class Backtesting:
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
# TODO-lev: add interest / funding fees to trade object ->
# Must be done either here, or one level higher ->
# (if we don't want to do it at "detail" level)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
enter = sell_row[SHORT_IDX] if trade.is_short else sell_row[LONG_IDX]
exit_ = sell_row[ESHORT_IDX] if trade.is_short else sell_row[ELONG_IDX]
@@ -443,13 +447,13 @@ class Backtesting:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return None
current_time = row[DATE_IDX].to_pydatetime()
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
pair=pair, current_time=current_time, current_rate=row[OPEN_IDX],
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
side=direction)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
@@ -457,12 +461,24 @@ class Backtesting:
if not stake_amount:
return None
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=current_time,
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX],
time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime(),
time_in_force=time_in_force, current_time=current_time,
side=direction):
return None
@@ -472,7 +488,7 @@ class Backtesting:
trade = LocalTrade(
pair=pair,
open_rate=row[OPEN_IDX],
open_date=row[DATE_IDX].to_pydatetime(),
open_date=current_time,
stake_amount=stake_amount,
amount=round(stake_amount / row[OPEN_IDX], 8),
fee_open=self.fee,
@@ -481,6 +497,7 @@ class Backtesting:
buy_tag=row[ENTER_TAG_IDX] if has_enter_tag else None,
exchange=self._exchange_name,
is_short=(direction == 'short'),
leverage=leverage,
)
return trade
return None

37
freqtrade/optimize/optimize_reports.py
View File

@@ -415,20 +415,20 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
return {}
config = content['config']
max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
starting_balance = config['dry_run_wallet']
start_balance = config['dry_run_wallet']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
starting_balance=starting_balance,
starting_balance=start_balance,
results=results, skip_nan=False)
buy_tag_results = generate_tag_metrics("buy_tag", starting_balance=starting_balance,
buy_tag_results = generate_tag_metrics("buy_tag", starting_balance=start_balance,
results=results, skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
results=results)
left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
starting_balance=starting_balance,
starting_balance=start_balance,
results=results.loc[results['is_open']],
skip_nan=True)
daily_stats = generate_daily_stats(results)
@@ -454,12 +454,18 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
# 'days_breakdown_stats': days_breakdown_stats,
'total_trades': len(results),
'trade_count_long': len(results.loc[~results['is_short']]),
'trade_count_short': len(results.loc[results['is_short']]),
'total_volume': float(results['stake_amount'].sum()),
'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_median': results['profit_ratio'].median() if len(results) > 0 else 0,
'profit_total': results['profit_abs'].sum() / starting_balance,
'profit_total': results['profit_abs'].sum() / start_balance,
'profit_total_long': results.loc[~results['is_short'], 'profit_abs'].sum() / start_balance,
'profit_total_short': results.loc[results['is_short'], 'profit_abs'].sum() / start_balance,
'profit_total_abs': results['profit_abs'].sum(),
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
'backtest_start_ts': int(min_date.timestamp() * 1000),
'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -475,8 +481,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'stake_amount': config['stake_amount'],
'stake_currency': config['stake_currency'],
'stake_currency_decimals': decimals_per_coin(config['stake_currency']),
'starting_balance': starting_balance,
'dry_run_wallet': starting_balance,
'starting_balance': start_balance,
'dry_run_wallet': start_balance,
'final_balance': content['final_balance'],
'rejected_signals': content['rejected_signals'],
'max_open_trades': max_open_trades,
@@ -520,7 +526,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'max_drawdown_high': high_val,
})
csum_min, csum_max = calculate_csum(results, starting_balance)
csum_min, csum_max = calculate_csum(results, start_balance)
strat_stats.update({
'csum_min': csum_min,
'csum_max': csum_max
@@ -709,6 +715,19 @@ def text_table_add_metrics(strat_results: Dict) -> str:
best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio'])
short_metrics = [
('', ''), # Empty line to improve readability
('Long / Short',
f"{strat_results.get('trade_count_long', 'total_trades')} / "
f"{strat_results.get('trade_count_short', 0)}"),
('Total profit Long %', f"{strat_results['profit_total_long']:.2%}"),
('Total profit Short %', f"{strat_results['profit_total_short']:.2%}"),
('Absolute profit Long', round_coin_value(strat_results['profit_total_long_abs'],
strat_results['stake_currency'])),
('Absolute profit Short', round_coin_value(strat_results['profit_total_short_abs'],
strat_results['stake_currency'])),
] if strat_results.get('trade_count_short', 0) > 0 else []
# Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
# command stores these results and newer version of freqtrade must be able to handle old
# results with missing new fields.
@@ -719,6 +738,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('', ''), # Empty line to improve readability
('Total/Daily Avg Trades',
f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"),
('Starting balance', round_coin_value(strat_results['starting_balance'],
strat_results['stake_currency'])),
('Final balance', round_coin_value(strat_results['final_balance'],
@@ -733,6 +753,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
strat_results['stake_currency'])),
*short_metrics,
('', ''), # Empty line to improve readability
('Best Pair', f"{strat_results['best_pair']['key']} "
f"{strat_results['best_pair']['profit_sum']:.2%}"),