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orehunt 2020-10-24 18:11:24 +02:00
parent 8828c43518
commit bc143a5b68
4 changed files with 5 additions and 16 deletions
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2
freqtrade/optimize/backtesting.py
View File

@ -298,7 +298,7 @@ class Backtesting:
:param position_stacking: do we allow position stacking? :param position_stacking: do we allow position stacking?
:return: DataFrame with trades (results of backtesting) :return: DataFrame with trades (results of backtesting)
""" """
logger.debug(f"Run backtest, stake_amount: {stake_amount}, " logger.debug(f"Run backtest, "
f"start_date: {start_date}, end_date: {end_date}, " f"start_date: {start_date}, end_date: {end_date}, "
f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}" f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}"
) )

8
freqtrade/strategy/interface.py
View File

@ -267,7 +267,7 @@ class IStrategy(ABC):
""" """
return [] return []
def get_stake_amount(self, pair: str, date: datetime) -> float: def get_stake_amount(self, pair: str, date: Optional[datetime] = None) -> float:
""" Called when placing a buy order """ Called when placing a buy order
:param pair: Pair that's about to be bought. :param pair: Pair that's about to be bought.
:param date: date of the trade (should be the latest candle for live run mode). :param date: date of the trade (should be the latest candle for live run mode).
@ -436,13 +436,13 @@ class IStrategy(ABC):
:param pair: pair in format ANT/BTC :param pair: pair in format ANT/BTC
:param timeframe: timeframe to use :param timeframe: timeframe to use
:param dataframe: Analyzed dataframe to get signal from. :param dataframe: Analyzed dataframe to get signal from.
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal :return: (Buy, Sell, Date) A tuple indicating buy/sell signal for the latest date
""" """
if not isinstance(dataframe, DataFrame) or dataframe.empty: if not isinstance(dataframe, DataFrame) or dataframe.empty:
logger.warning(f'Empty candle (OHLCV) data for pair {pair}') logger.warning(f'Empty candle (OHLCV) data for pair {pair}')
return False, False return False, False
latest_date = dataframe['date'].max() latest_date: datetime = dataframe['date'].max()
latest = dataframe.loc[dataframe['date'] == latest_date].iloc[-1] latest = dataframe.loc[dataframe['date'] == latest_date].iloc[-1]
# Explicitly convert to arrow object to ensure the below comparison does not fail # Explicitly convert to arrow object to ensure the below comparison does not fail
latest_date = arrow.get(latest_date) latest_date = arrow.get(latest_date)
@ -459,7 +459,7 @@ class IStrategy(ABC):
(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1 (buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
logger.debug('trigger: %s (pair=%s) buy=%s sell=%s', logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'], pair, str(buy), str(sell)) latest['date'], pair, str(buy), str(sell))
return buy, sell return buy, sell
def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool, def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,

1
tests/optimize/test_backtest_detail.py
View File

@ -384,7 +384,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
min_date, max_date = get_timerange({pair: frame}) min_date, max_date = get_timerange({pair: frame})
results = backtesting.backtest( results = backtesting.backtest(
processed=data_processed, processed=data_processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date, start_date=min_date,
end_date=max_date, end_date=max_date,
max_open_trades=10, max_open_trades=10,

10
tests/optimize/test_backtesting.py
View File

@ -90,7 +90,6 @@ def simple_backtest(config, contour, num_results, mocker, testdatadir) -> None:
assert isinstance(processed, dict) assert isinstance(processed, dict)
results = backtesting.backtest( results = backtesting.backtest(
processed=processed, processed=processed,
stake_amount=config['stake_amount'],
start_date=min_date, start_date=min_date,
end_date=max_date, end_date=max_date,
max_open_trades=1, max_open_trades=1,
@ -110,7 +109,6 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
min_date, max_date = get_timerange(processed) min_date, max_date = get_timerange(processed)
return { return {
'processed': processed, 'processed': processed,
'stake_amount': conf['stake_amount'],
'start_date': min_date, 'start_date': min_date,
'end_date': max_date, 'end_date': max_date,
'max_open_trades': 10, 'max_open_trades': 10,
@ -353,7 +351,6 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
# check the logs, that will contain the backtest result # check the logs, that will contain the backtest result
exists = [ exists = [
'Using stake_currency: BTC ...', 'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Backtesting with data from 2017-11-14 21:17:00 ' 'Backtesting with data from 2017-11-14 21:17:00 '
'up to 2017-11-14 22:59:00 (0 days)..' 'up to 2017-11-14 22:59:00 (0 days)..'
] ]
@ -452,7 +449,6 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
min_date, max_date = get_timerange(processed) min_date, max_date = get_timerange(processed)
results = backtesting.backtest( results = backtesting.backtest(
processed=processed, processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date, start_date=min_date,
end_date=max_date, end_date=max_date,
max_open_trades=10, max_open_trades=10,
@ -507,7 +503,6 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
min_date, max_date = get_timerange(processed) min_date, max_date = get_timerange(processed)
results = backtesting.backtest( results = backtesting.backtest(
processed=processed, processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date, start_date=min_date,
end_date=max_date, end_date=max_date,
max_open_trades=1, max_open_trades=1,
@ -623,7 +618,6 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
min_date, max_date = get_timerange(processed) min_date, max_date = get_timerange(processed)
backtest_conf = { backtest_conf = {
'processed': processed, 'processed': processed,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date, 'start_date': min_date,
'end_date': max_date, 'end_date': max_date,
'max_open_trades': 3, 'max_open_trades': 3,
@ -639,7 +633,6 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtest_conf = { backtest_conf = {
'processed': processed, 'processed': processed,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date, 'start_date': min_date,
'end_date': max_date, 'end_date': max_date,
'max_open_trades': 1, 'max_open_trades': 1,
@ -678,7 +671,6 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
'Parameter --timerange detected: 1510694220-1510700340 ...', 'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...', f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...', 'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14 20:57:00 ' 'Loading data from 2017-11-14 20:57:00 '
'up to 2017-11-14 22:58:00 (0 days)..', 'up to 2017-11-14 22:58:00 (0 days)..',
'Backtesting with data from 2017-11-14 21:17:00 ' 'Backtesting with data from 2017-11-14 21:17:00 '
@ -742,7 +734,6 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'Parameter --timerange detected: 1510694220-1510700340 ...', 'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...', f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...', 'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14 20:57:00 ' 'Loading data from 2017-11-14 20:57:00 '
'up to 2017-11-14 22:58:00 (0 days)..', 'up to 2017-11-14 22:58:00 (0 days)..',
'Backtesting with data from 2017-11-14 21:17:00 ' 'Backtesting with data from 2017-11-14 21:17:00 '
@ -821,7 +812,6 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'Parameter --timerange detected: 1510694220-1510700340 ...', 'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...', f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...', 'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14 20:57:00 ' 'Loading data from 2017-11-14 20:57:00 '
'up to 2017-11-14 22:58:00 (0 days)..', 'up to 2017-11-14 22:58:00 (0 days)..',
'Backtesting with data from 2017-11-14 21:17:00 ' 'Backtesting with data from 2017-11-14 21:17:00 '