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Handle when 0 trades are found in any pairs being tested.

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This commit is contained in:
creslinux 2018-07-17 08:12:21 +00:00
parent a313917347
commit baaf0a5b21
1 changed files with 25 additions and 30 deletions
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55
freqtrade/optimize/backtesting.py
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@ -89,14 +89,14 @@ class Backtesting(object):
self.np_stop: int = 6
self.np_bto: int = self.np_close # buys_triggered_on - should be close
self.np_bco: int = self.np_open # buys calculated on - open of the next candle.
#self.np_sto: int = self.np_low # stops_triggered_on - Should be low, FT uses close
#self.np_sco: int = self.np_stop # stops_calculated_on - Should be stop, FT uses close
self.np_sto: int = self.np_close # stops_triggered_on - Should be low, FT uses close
self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close
self.np_sto: int = self.np_low # stops_triggered_on - Should be low, FT uses close
self.np_sco: int = self.np_stop # stops_calculated_on - Should be stop, FT uses close
#self.np_sto: int = self.np_close # stops_triggered_on - Should be low, FT uses close
#self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close
self.use_backslap = True # Enable backslap - if false Orginal code is executed.
self.use_backslap = True # Enable backslap - if false Orginal code is executed.
self.debug = False # Main debug enable, very print heavy, enable 2 loops recommended
self.debug_timing = True # Stages within Backslap
self.debug_timing = False # Stages within Backslap
self.debug_2loops = False # Limit each pair to two loops, useful when debugging
self.debug_vector = False # Debug vector calcs
self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap
@ -294,13 +294,16 @@ class Backtesting(object):
# Switch List of Trade Dicts (bslap_results) to Dataframe
# Fill missing, calculable columns, profit, duration , abs etc.
bslap_results_df = DataFrame(bslap_results)
bslap_results_df['open_time'] = to_datetime(bslap_results_df['open_time'])
bslap_results_df['close_time'] = to_datetime(bslap_results_df['close_time'])
### don't use this, itll drop exit type field
# bslap_results_df = DataFrame(bslap_results, columns=BacktestResult._fields)
if len(bslap_results_df) > 0: # Only post process a frame if it has a record
bslap_results_df['open_time'] = to_datetime(bslap_results_df['open_time'])
bslap_results_df['close_time'] = to_datetime(bslap_results_df['close_time'])
bslap_results_df = self.vector_fill_results_table(bslap_results_df, pair)
else:
bslap_results_df = []
bslap_results_df= DataFrame.from_records(bslap_results_df, columns=BacktestResult._fields)
bslap_results_df = self.vector_fill_results_table(bslap_results_df)
return bslap_results_df
@ -370,10 +373,12 @@ class Backtesting(object):
print("Time to BackTest :", pair, round(tt, 10))
print("-----------------------")
print("trades")
return DataFrame.from_records(trades, columns=BacktestResult._fields)
####################### Original BT loop end
def vector_fill_results_table(self, bslap_results_df: DataFrame):
def vector_fill_results_table(self, bslap_results_df: DataFrame, pair: str):
"""
The Results frame contains a number of columns that are calculable
from othe columns. These are left blank till all rows are added,
@ -411,6 +416,7 @@ class Backtesting(object):
pd.set_option('max_colwidth', 40)
pd.set_option('precision', 12)
#Ony do Math on a dataframe that has an open; No result pairs contain the pair string only
# Populate duration
bslap_results_df['trade_duration'] = bslap_results_df['close_time'] - bslap_results_df['open_time']
# if debug:
@ -516,19 +522,7 @@ class Backtesting(object):
buy stop triggers and stop calculated on
# buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5 - stop 6
'''
# np_buy: int = 0
# np_open: int = 1
# np_close: int = 2
# np_sell: int = 3
# np_high: int = 4
# np_low: int = 5
# np_stop: int = 6
# np_bto: int = np_close # buys_triggered_on - should be close
# np_bco: int = np_open # buys calculated on - open of the next candle.
# #np_sto: int = np_low # stops_triggered_on - Should be low, FT uses close
# #np_sco: int = np_stop # stops_calculated_on - Should be stop, FT uses close
# np_sto: int = np_close # stops_triggered_on - Should be low, FT uses close
# np_sco: int = np_close # stops_calculated_on - Should be stop, FT uses close
#######
# Use vars set at top of backtest
@ -748,10 +742,10 @@ class Backtesting(object):
open 6am 98 3 0 0 ----- ------ ------- ----- -----
-1 means not found till end of view i.e no valid Stop found. Exclude from match.
Stop tiggering in 1, candle we bought at OPEN is valid.
Stop tiggering and closing in 96-1, the candle we bought at OPEN in, is valid.
Buys and sells are triggered at candle close
Both with action their postions at the open of the next candle Index + 1
Both will open their postions at the open of the next candle. i/e + 1 index
Stop and buy Indexes are on the view. To map to the ticker dataframe
the t_open_ind index should be summed.
@ -760,10 +754,10 @@ class Backtesting(object):
t_exit_ind : Sell found in view
t_open_ind : Where view was started on ticker_data
TODO: fix this frig for logig test,, case/switch/dictionary would be better...
TODO: fix this frig for logic test,, case/switch/dictionary would be better...
more so when later testing many options, dynamic stop / roi etc
cludge - Im setting np_t_sell_ind as 9999999999 when -1 (not found)
cludge - Im setting np_t_stop_ind as 9999999999 when -1 (not found)
cludge - Setting np_t_sell_ind as 9999999999 when -1 (not found)
cludge - Setting np_t_stop_ind as 9999999999 when -1 (not found)
'''
if debug:
@ -939,6 +933,7 @@ class Backtesting(object):
opportunity to close any more trades.
"""
# TODO :add handing here to record none closed open trades
if debug:
print(bslap_pair_results)
break