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updated requested changes in PR #6545

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மனோஜ்குமார் பழனிச்சாமி
2022-03-28 20:36:58 +05:30
parent 389ae969fc
commit bd00f6de17
9 changed files with 118 additions and 141 deletions
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39
freqtrade/optimize/backtesting.py
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@@ -383,8 +383,7 @@ class Backtesting:
def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
) -> LocalTrade:
current_entry_rate = current_exit_rate = row[OPEN_IDX]
current_rate = current_entry_rate
current_rate = row[OPEN_IDX]
current_profit = trade.calc_profit_ratio(current_rate)
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, current_rate, -0.1)
@@ -393,7 +392,7 @@ class Backtesting:
default_retval=None)(
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=current_rate,
current_profit=current_profit, min_stake=min_stake, max_stake=max_stake,
current_entry_rate=current_entry_rate, current_exit_rate=current_exit_rate)
current_entry_rate=current_rate, current_exit_rate=current_rate)
# Check if we should increase our position
if stake_amount is not None and stake_amount > 0.0:
@@ -403,9 +402,8 @@ class Backtesting:
return pos_trade
if stake_amount is not None and stake_amount < 0.0:
amount = -stake_amount / current_rate
amount = abs(stake_amount) / current_rate
if amount > trade.amount:
logger.info(f"Amount is higher than available. {amount} > {trade.amount}")
return trade
pos_trade = self._exit_trade(trade, row, current_rate, amount)
if pos_trade is not None:
@@ -441,29 +439,29 @@ class Backtesting:
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
close_rate = self._get_close_rate(sell_row, trade, sell, trade_dur)
except ValueError:
return None
# call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate)
# call the custom exit price,with default value as previous close_rate
current_profit = trade.calc_profit_ratio(close_rate)
order_type = self.strategy.order_types['sell']
if sell.sell_type in (SellType.SELL_SIGNAL, SellType.CUSTOM_SELL):
# Custom exit pricing only for sell-signals
if order_type == 'limit':
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=closerate)(
close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=close_rate)(
pair=trade.pair, trade=trade,
current_time=sell_candle_time,
proposed_rate=closerate, current_profit=current_profit)
proposed_rate=close_rate, current_profit=current_profit)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
closerate = max(closerate, sell_row[LOW_IDX])
close_rate = max(close_rate, sell_row[LOW_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
rate=close_rate,
time_in_force=time_in_force,
sell_reason=sell.sell_reason,
current_time=sell_candle_time):
@@ -480,15 +478,16 @@ class Backtesting:
):
trade.sell_reason = sell_row[EXIT_TAG_IDX]
return self._exit_trade(trade, sell_row, closerate)
return self._exit_trade(trade, sell_row, close_rate)
return None
def _exit_trade(self, trade: LocalTrade, sell_row: Tuple,
closerate: float, amount: float = None) -> Optional[LocalTrade]:
close_rate: float, amount: float = None) -> Optional[LocalTrade]:
self.order_id_counter += 1
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
order_type = self.strategy.order_types['sell']
amount = amount or trade.amount
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
@@ -502,12 +501,12 @@ class Backtesting:
side="sell",
order_type=order_type,
status="open",
price=closerate,
average=closerate,
amount=amount or trade.amount,
price=close_rate,
average=close_rate,
amount=amount,
filled=0,
remaining=trade.amount,
cost=trade.amount * closerate,
remaining=amount,
cost=amount * close_rate,
)
trade.orders.append(order)
return trade