timeperiod argument to backtesting and hyperopt

freqtrade/misc.py

@@ -183,6 +183,13 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
         action='store_true',
         dest='refresh_pairs',
     )
+    backtesting_cmd.add_argument(
+        '-tp', '--timeperiod',
+        help='Use the last N ticks of data.',
+        default=None,
+        type=int,
+        dest='timeperiod',
+    )
 
     # Add hyperopt subcommand
     hyperopt_cmd = subparsers.add_parser('hyperopt', help='hyperopt module')
@@ -209,6 +216,13 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
         type=int,
         metavar='INT',
     )
+    hyperopt_cmd.add_argument(
+        '-tp', '--timeperiod',
+        help='Use the last N ticks of data.',
+        default=None,
+        type=int,
+        dest='timeperiod',
+    )
 
 
 # Required json-schema for user specified config

freqtrade/optimize/__init__.py

@@ -12,6 +12,13 @@ from freqtrade.analyze import populate_indicators, parse_ticker_dataframe
 logger = logging.getLogger(__name__)
 
 
+def trim_tickerlist(dl, num):
+    new = {}
+    for pair, pair_data in dl.items():
+        new[pair] = pair_data[num:]
+    return new
+
+
 def load_tickerdata_file(datadir, pair, ticker_interval):
     """
     Load a pair from file,
@@ -61,7 +68,9 @@ def load_data(datadir: str, ticker_interval: int = 5, pairs: Optional[List[str]]
     return result
 
 
-def tickerdata_to_dataframe(data):
+def tickerdata_to_dataframe(data, timeperiod=None):
+    if timeperiod:
+        data = trim_tickerlist(data, timeperiod)
     preprocessed = preprocess(data)
     return preprocessed
 

freqtrade/optimize/backtesting.py

@@ -176,7 +176,7 @@ def start(args):
     from freqtrade import main
     main._CONF = config
 
-    preprocessed = optimize.tickerdata_to_dataframe(data)
+    preprocessed = optimize.tickerdata_to_dataframe(data, timeperiod=args.timeperiod)
     # Print timeframe
     min_date, max_date = get_timeframe(preprocessed)
     logger.info('Measuring data from %s up to %s ...', min_date.isoformat(), max_date.isoformat())

freqtrade/optimize/hyperopt.py

@@ -231,7 +231,7 @@ def start(args):
     config = load_config(args.config)
     pairs = config['exchange']['pair_whitelist']
     data = optimize.load_data(args.datadir, pairs=pairs, ticker_interval=args.ticker_interval)
-    PROCESSED = optimize.tickerdata_to_dataframe(data)
+    PROCESSED = optimize.tickerdata_to_dataframe(data, timeperiod=args.timeperiod)
 
     if args.mongodb:
         logger.info('Using mongodb ...')

freqtrade/tests/optimize/test_backtesting.py

@@ -6,7 +6,7 @@ import pandas as pd
 from unittest.mock import MagicMock
 from freqtrade import exchange, optimize
 from freqtrade.exchange import Bittrex
-from freqtrade.optimize import preprocess
+from freqtrade.optimize import preprocess, trim_tickerlist
 from freqtrade.optimize.backtesting import backtest, generate_text_table, get_timeframe
 import freqtrade.optimize.backtesting as backtesting
 
@@ -59,16 +59,9 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
     assert not results.empty
 
 
-def trim_dictlist(dl, num):
-    new = {}
-    for pair, pair_data in dl.items():
-        new[pair] = pair_data[num:]
-    return new
-
-
 def load_data_test(what):
     data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
-    data = trim_dictlist(data, -100)
+    data = trim_tickerlist(data, -100)
     pair = data['BTC_UNITEST']
     datalen = len(pair)
     # Depending on the what parameter we now adjust the
@@ -152,7 +145,7 @@ def test_backtest_pricecontours(default_conf, mocker):
 def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False):
     tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1)
     pairdata = {'BTC_UNITEST': tickerdata}
-    return trim_dictlist(pairdata, -100)
+    return trim_tickerlist(pairdata, -100)
 
 
 def test_backtest_start(default_conf, mocker, caplog):
@@ -166,6 +159,7 @@ def test_backtest_start(default_conf, mocker, caplog):
     args.level = 10
     args.live = False
     args.datadir = None
+    args.timeperiod = None  # needed due to MagicMock malleability
     backtesting.start(args)
     # check the logs, that will contain the backtest result
     exists = ['Using max_open_trades: 1 ...',

freqtrade/tests/optimize/test_hyperopt.py

@@ -37,7 +37,7 @@ def create_trials(mocker):
 
 def test_start_calls_fmin(mocker):
     mocker.patch('freqtrade.optimize.hyperopt.Trials', return_value=create_trials(mocker))
-    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
     mocker.patch('freqtrade.optimize.load_data')
     mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
 
@@ -50,7 +50,7 @@ def test_start_calls_fmin(mocker):
 def test_start_uses_mongotrials(mocker):
     mock_mongotrials = mocker.patch('freqtrade.optimize.hyperopt.MongoTrials',
                                     return_value=create_trials(mocker))
-    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
     mocker.patch('freqtrade.optimize.load_data')
     mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
 
@@ -104,7 +104,7 @@ def test_fmin_best_results(mocker, caplog):
     }
 
     mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
-    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
     mocker.patch('freqtrade.optimize.load_data')
     mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result)
 
@@ -126,7 +126,7 @@ def test_fmin_best_results(mocker, caplog):
 
 def test_fmin_throw_value_error(mocker, caplog):
     mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
-    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
     mocker.patch('freqtrade.optimize.load_data')
     mocker.patch('freqtrade.optimize.hyperopt.fmin', side_effect=ValueError())
 

freqtrade/tests/optimize/test_optimize.py

@@ -174,3 +174,10 @@ def test_load_tickerdata_file():
     assert not load_tickerdata_file(None, 'BTC_UNITEST', 7)
     tickerdata = load_tickerdata_file(None, 'BTC_UNITEST', 1)
     assert _btc_unittest_length == len(tickerdata)
+
+
+def test_tickerdata_to_dataframe():
+    tick = load_tickerdata_file(None, 'BTC_UNITEST', 1)
+    tickerlist = {'BTC_UNITEST': tick}
+    data = optimize.tickerdata_to_dataframe(tickerlist, timeperiod=-100)
+    assert 100 == len(data['BTC_UNITEST'])