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Merge with develop

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This commit is contained in:
Anton
2018-06-08 00:29:44 +03:00
parent 12d8a8b1a3 d23bcc435a
commit b4138f29c8
49 changed files with 788 additions and 516 deletions
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51
freqtrade/optimize/__init__.py
View File

@@ -9,39 +9,40 @@ import arrow
from freqtrade import misc, constants
from freqtrade.exchange import get_ticker_history
from freqtrade.arguments import TimeRange
from user_data.hyperopt_conf import hyperopt_optimize_conf
logger = logging.getLogger(__name__)
def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -> List[Dict]:
def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
if not tickerlist:
return tickerlist
stype, start, stop = timerange
start_index = 0
stop_index = len(tickerlist)
if stype[0] == 'line':
stop_index = start
if stype[0] == 'index':
start_index = start
elif stype[0] == 'date':
while start_index < len(tickerlist) and tickerlist[start_index][0] < start * 1000:
if timerange.starttype == 'line':
stop_index = timerange.startts
if timerange.starttype == 'index':
start_index = timerange.startts
elif timerange.starttype == 'date':
while (start_index < len(tickerlist) and
tickerlist[start_index][0] < timerange.startts * 1000):
start_index += 1
if stype[1] == 'line':
start_index = len(tickerlist) + stop
if stype[1] == 'index':
stop_index = stop
elif stype[1] == 'date':
while stop_index > 0 and tickerlist[stop_index-1][0] > stop * 1000:
if timerange.stoptype == 'line':
start_index = len(tickerlist) + timerange.stopts
if timerange.stoptype == 'index':
stop_index = timerange.stopts
elif timerange.stoptype == 'date':
while (stop_index > 0 and
tickerlist[stop_index-1][0] > timerange.stopts * 1000):
stop_index -= 1
if start_index > stop_index:
raise ValueError(f'The timerange [{start},{stop}] is incorrect')
raise ValueError(f'The timerange [{timerange.startts},{timerange.stopts}] is incorrect')
return tickerlist[start_index:stop_index]
@@ -49,7 +50,7 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -
def load_tickerdata_file(
datadir: str, pair: str,
ticker_interval: str,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Optional[List[Dict]]:
timerange: Optional[TimeRange] = None) -> Optional[List[Dict]]:
"""
Load a pair from file,
:return dict OR empty if unsuccesful
@@ -84,7 +85,7 @@ def load_data(datadir: str,
ticker_interval: str,
pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Dict[str, List]:
timerange: TimeRange = TimeRange()) -> Dict[str, List]:
"""
Loads ticker history data for the given parameters
:return: dict
@@ -124,7 +125,7 @@ def make_testdata_path(datadir: str) -> str:
def download_pairs(datadir, pairs: List[str],
ticker_interval: str,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> bool:
timerange: TimeRange = TimeRange()) -> bool:
"""For each pairs passed in parameters, download the ticker intervals"""
for pair in pairs:
try:
@@ -144,7 +145,7 @@ def download_pairs(datadir, pairs: List[str],
def load_cached_data_for_updating(filename: str,
tick_interval: str,
timerange: Optional[Tuple[Tuple, int, int]]) -> Tuple[
timerange: Optional[TimeRange]) -> Tuple[
List[Any],
Optional[int]]:
"""
@@ -155,10 +156,10 @@ def load_cached_data_for_updating(filename: str,
# user sets timerange, so find the start time
if timerange:
if timerange[0][0] == 'date':
since_ms = timerange[1] * 1000
elif timerange[0][1] == 'line':
num_minutes = timerange[2] * constants.TICKER_INTERVAL_MINUTES[tick_interval]
if timerange.starttype == 'date':
since_ms = timerange.startts * 1000
elif timerange.stoptype == 'line':
num_minutes = timerange.stopts * constants.TICKER_INTERVAL_MINUTES[tick_interval]
since_ms = arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000
# read the cached file
@@ -188,7 +189,7 @@ def load_cached_data_for_updating(filename: str,
def download_backtesting_testdata(datadir: str,
pair: str,
tick_interval: str = '5m',
timerange: Optional[Tuple[Tuple, int, int]] = None) -> None:
timerange: Optional[TimeRange] = None) -> None:
"""
Download the latest ticker intervals from the exchange for the pairs passed in parameters

20
freqtrade/optimize/backtesting.py
View File

@@ -154,13 +154,22 @@ class Backtesting(object):
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
record = args.get('record', None)
recordfilename = args.get('recordfn', 'backtest-result.json')
records = []
trades = []
trade_count_lock: Dict = {}
for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
ticker_data = self.populate_sell_trend(self.populate_buy_trend(pair_data))[headers]
ticker_data = self.populate_sell_trend(
self.populate_buy_trend(pair_data))[headers].copy()
# to avoid using data from future, we buy/sell with signal from previous candle
ticker_data.loc[:, 'buy'] = ticker_data['buy'].shift(1)
ticker_data.loc[:, 'sell'] = ticker_data['sell'].shift(1)
ticker_data.drop(ticker_data.head(1).index, inplace=True)
ticker = [x for x in ticker_data.itertuples()]
lock_pair_until = None
@@ -196,8 +205,8 @@ class Backtesting(object):
# For now export inside backtest(), maybe change so that backtest()
# returns a tuple like: (dataframe, records, logs, etc)
if record and record.find('trades') >= 0:
logger.info('Dumping backtest results')
file_dump_json('backtest-result.json', records)
logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
return DataFrame.from_records(trades, columns=labels)
@@ -220,7 +229,7 @@ class Backtesting(object):
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = optimize.load_data( # type: ignore # timerange will be refactored
data = optimize.load_data(
self.config['datadir'],
pairs=pairs,
ticker_interval=self.ticker_interval,
@@ -257,7 +266,8 @@ class Backtesting(object):
'realistic': self.config.get('realistic_simulation', False),
'sell_profit_only': sell_profit_only,
'use_sell_signal': use_sell_signal,
'record': self.config.get('export')
'record': self.config.get('export'),
'recordfn': self.config.get('exportfilename'),
}
)
logger.info(

2
freqtrade/optimize/hyperopt.py
View File

@@ -497,7 +497,7 @@ class Hyperopt(Backtesting):
def start(self) -> None:
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = load_data( # type: ignore # timerange will be refactored
data = load_data(
datadir=str(self.config.get('datadir')),
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,