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Merge branch 'develop' into skopt

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This commit is contained in:
Janne Sinivirta
2018-07-02 11:27:27 +03:00
parent a58d51ded0 5e4a6ba7ba
commit aec3f582e1
29 changed files with 1485 additions and 424 deletions
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24
freqtrade/optimize/backtesting.py
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@@ -14,6 +14,7 @@ from pandas import DataFrame
from tabulate import tabulate
import freqtrade.optimize as optimize
from freqtrade import constants, DependencyException
from freqtrade.exchange import Exchange
from freqtrade.analyze import Analyze
from freqtrade.arguments import Arguments
@@ -37,6 +38,8 @@ class BacktestResult(NamedTuple):
close_index: int
trade_duration: float
open_at_end: bool
open_rate: float
close_rate: float
class Backtesting(object):
@@ -115,11 +118,10 @@ class Backtesting(object):
def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
records = [(trade_entry.pair, trade_entry.profit_percent,
trade_entry.open_time.timestamp(),
trade_entry.close_time.timestamp(),
trade_entry.open_index - 1, trade_entry.trade_duration)
for index, trade_entry in results.iterrows()]
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
t.open_rate, t.close_rate, t.open_at_end)
for index, t in results.iterrows()]
if records:
logger.info('Dumping backtest results to %s', recordfilename)
@@ -158,7 +160,9 @@ class Backtesting(object):
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=False
open_at_end=False,
open_rate=buy_row.close,
close_rate=sell_row.close
)
if partial_ticker:
# no sell condition found - trade stil open at end of backtest period
@@ -171,7 +175,9 @@ class Backtesting(object):
trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index,
close_index=sell_row.Index,
open_at_end=True
open_at_end=True,
open_rate=buy_row.close,
close_rate=sell_row.close
)
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs)
@@ -341,6 +347,10 @@ def setup_configuration(args: Namespace) -> Dict[str, Any]:
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
if config['stake_amount'] == constants.UNLIMITED_STAKE_AMOUNT:
raise DependencyException('stake amount could not be "%s" for backtesting' %
constants.UNLIMITED_STAKE_AMOUNT)
return config