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Merge pull request #1002 from xmatthias/test/use_open_backtest

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Use open-rates for backtesting
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Janne Sinivirta 2018-07-10 09:20:32 +03:00 committed by GitHub
commit b4be3c2499
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2 changed files with 20 additions and 20 deletions
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20
freqtrade/optimize/backtesting.py
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@ -134,7 +134,7 @@ class Backtesting(object):
stake_amount = args['stake_amount'] stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0) max_open_trades = args.get('max_open_trades', 0)
trade = Trade( trade = Trade(
open_rate=buy_row.close, open_rate=buy_row.open,
open_date=buy_row.date, open_date=buy_row.date,
stake_amount=stake_amount, stake_amount=stake_amount,
amount=stake_amount / buy_row.open, amount=stake_amount / buy_row.open,
@ -149,35 +149,35 @@ class Backtesting(object):
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1 trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
buy_signal = sell_row.buy buy_signal = sell_row.buy
if self.analyze.should_sell(trade, sell_row.close, sell_row.date, buy_signal, if self.analyze.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell): sell_row.sell):
return BacktestResult(pair=pair, return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.close), profit_percent=trade.calc_profit_percent(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.close), profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date, open_time=buy_row.date,
close_time=sell_row.date, close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60, trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index, open_index=buy_row.Index,
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=False, open_at_end=False,
open_rate=buy_row.close, open_rate=buy_row.open,
close_rate=sell_row.close close_rate=sell_row.open
) )
if partial_ticker: if partial_ticker:
# no sell condition found - trade stil open at end of backtest period # no sell condition found - trade stil open at end of backtest period
sell_row = partial_ticker[-1] sell_row = partial_ticker[-1]
btr = BacktestResult(pair=pair, btr = BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.close), profit_percent=trade.calc_profit_percent(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.close), profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date, open_time=buy_row.date,
close_time=sell_row.date, close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60, trade_duration=(sell_row.date - buy_row.date).seconds // 60,
open_index=buy_row.Index, open_index=buy_row.Index,
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=True, open_at_end=True,
open_rate=buy_row.close, open_rate=buy_row.open,
close_rate=sell_row.close close_rate=sell_row.open
) )
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair, logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs) btr.profit_percent, btr.profit_abs)

20
freqtrade/tests/optimize/test_backtesting.py
View File

@ -502,28 +502,28 @@ def test_backtest(default_conf, fee, mocker) -> None:
expected = pd.DataFrame( expected = pd.DataFrame(
{'pair': [pair, pair], {'pair': [pair, pair],
'profit_percent': [0.00148826, 0.00075313], 'profit_percent': [0.00029975, 0.00056708],
'profit_abs': [1.49e-06, 7.6e-07], 'profit_abs': [1.49e-06, 7.6e-07],
'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime, 'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime], Arrow(2018, 1, 30, 3, 30, 0).datetime],
'close_time': [Arrow(2018, 1, 29, 23, 15, 0).datetime, 'close_time': [Arrow(2018, 1, 29, 22, 40, 0).datetime,
Arrow(2018, 1, 30, 4, 20, 0).datetime], Arrow(2018, 1, 30, 4, 20, 0).datetime],
'open_index': [77, 183], 'open_index': [77, 183],
'close_index': [132, 193], 'close_index': [125, 193],
'trade_duration': [275, 50], 'trade_duration': [240, 50],
'open_at_end': [False, False], 'open_at_end': [False, False],
'open_rate': [0.10432, 0.103364], 'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104999, 0.10396]}) 'close_rate': [0.105, 0.10359999]})
pd.testing.assert_frame_equal(results, expected) pd.testing.assert_frame_equal(results, expected)
data_pair = data_processed[pair] data_pair = data_processed[pair]
for _, t in results.iterrows(): for _, t in results.iterrows():
ln = data_pair.loc[data_pair["date"] == t["open_time"]] ln = data_pair.loc[data_pair["date"] == t["open_time"]]
# Check open trade # Check open trade rate alignes to open rate
assert ln is not None assert ln is not None
assert round(ln.iloc[0]["close"], 6) == round(t["open_rate"], 6) assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
# check close trade # check close trade rate alignes to close rate
ln = data_pair.loc[data_pair["date"] == t["close_time"]] ln = data_pair.loc[data_pair["date"] == t["close_time"]]
assert round(ln.iloc[0]["close"], 6) == round(t["close_rate"], 6) assert round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6)
def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None: def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None: