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Fix slow backtest due to protections

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This commit is contained in:
Matthias 2020-11-27 17:38:15 +01:00
parent 75a5161650
commit bb51da8297
1 changed files with 13 additions and 10 deletions
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23
freqtrade/optimize/backtesting.py
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@ -173,6 +173,17 @@ class Backtesting:
return data, timerange return data, timerange
def prepare_backtest(self, enable_protections):
"""
Backtesting setup method - called once for every call to "backtest()".
"""
PairLocks.use_db = False
Trade.use_db = False
if enable_protections:
# Reset persisted data - used for protections only
PairLocks.reset_locks()
Trade.reset_trades()
def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]: def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
""" """
Helper function to convert a processed dataframes into lists for performance reasons. Helper function to convert a processed dataframes into lists for performance reasons.
@ -328,13 +339,7 @@ class Backtesting:
f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}" f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}"
) )
trades = [] trades = []
PairLocks.use_db = False self.prepare_backtest(enable_protections)
Trade.use_db = False
if enable_protections:
# Reset persisted data - used for protections only
PairLocks.reset_locks()
Trade.reset_trades()
# Use dict of lists with data for performance # Use dict of lists with data for performance
# (looping lists is a lot faster than pandas DataFrames) # (looping lists is a lot faster than pandas DataFrames)
@ -351,9 +356,6 @@ class Backtesting:
while tmp <= end_date: while tmp <= end_date:
open_trade_count_start = open_trade_count open_trade_count_start = open_trade_count
if enable_protections:
self.protections.global_stop(tmp)
for i, pair in enumerate(data): for i, pair in enumerate(data):
if pair not in indexes: if pair not in indexes:
indexes[pair] = 0 indexes[pair] = 0
@ -410,6 +412,7 @@ class Backtesting:
trades.append(trade_entry) trades.append(trade_entry)
if enable_protections: if enable_protections:
self.protections.stop_per_pair(pair, row[DATE_IDX]) self.protections.stop_per_pair(pair, row[DATE_IDX])
self.protections.global_stop(tmp)
# Move time one configured time_interval ahead. # Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.timeframe_min) tmp += timedelta(minutes=self.timeframe_min)