adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Make changes to backtesting to incorporate protections

This commit is contained in:
Matthias 2020-11-16 20:17:47 +01:00
parent 98c88fa58e
commit b606936eb7
1 changed files with 18 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

20
freqtrade/optimize/backtesting.py
View File

@ -21,7 +21,8 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
store_backtest_stats)
from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.persistence import Trade
from freqtrade.persistence import PairLocks, Trade
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
@ -115,6 +116,11 @@ class Backtesting:
else:
self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
Trade.use_db = False
PairLocks.timeframe = self.config['timeframe']
PairLocks.use_db = False
self.protections = ProtectionManager(self.config)
# Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
# Load one (first) strategy
@ -235,6 +241,10 @@ class Backtesting:
trade_dur = int((sell_row[DATE_IDX] - trade.open_date).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
trade.close_date = sell_row[DATE_IDX]
trade.sell_reason = sell.sell_type
trade.close(closerate)
return BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate),
@ -261,6 +271,7 @@ class Backtesting:
if len(open_trades[pair]) > 0:
for trade in open_trades[pair]:
sell_row = data[pair][-1]
trade_entry = BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio(
rate=sell_row[OPEN_IDX]),
@ -320,6 +331,8 @@ class Backtesting:
while tmp <= end_date:
open_trade_count_start = open_trade_count
self.protections.global_stop(tmp)
for i, pair in enumerate(data):
if pair not in indexes:
indexes[pair] = 0
@ -342,7 +355,8 @@ class Backtesting:
if ((position_stacking or len(open_trades[pair]) == 0)
and (max_open_trades <= 0 or open_trade_count_start < max_open_trades)
and tmp != end_date
and row[BUY_IDX] == 1 and row[SELL_IDX] != 1):
and row[BUY_IDX] == 1 and row[SELL_IDX] != 1
and not PairLocks.is_pair_locked(pair, row[DATE_IDX])):
# Enter trade
trade = Trade(
pair=pair,
@ -361,6 +375,7 @@ class Backtesting:
open_trade_count += 1
# logger.debug(f"{pair} - Backtesting emulates creation of new trade: {trade}.")
open_trades[pair].append(trade)
Trade.trades.append(trade)
for trade in open_trades[pair]:
# since indexes has been incremented before, we need to go one step back to
@ -372,6 +387,7 @@ class Backtesting:
open_trade_count -= 1
open_trades[pair].remove(trade)
trades.append(trade_entry)
self.protections.stop_per_pair(pair, row[DATE_IDX])
# Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.timeframe_min)