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Merge pull request #5399 from rokups/rk/fix-buy-tag-backtest

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Fix buy_tag not being saved to trade object.
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Matthias 2021-08-12 06:36:33 +02:00 committed by GitHub
commit bdbac37be7
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2 changed files with 5 additions and 7 deletions
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10
freqtrade/optimize/backtesting.py
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@ -218,7 +218,7 @@ class Backtesting:
""" """
# Every change to this headers list must evaluate further usages of the resulting tuple # Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top # and eventually change the constants for indexes at the top
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high'] headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_tag']
data: Dict = {} data: Dict = {}
self.progress.init_step(BacktestState.CONVERT, len(processed)) self.progress.init_step(BacktestState.CONVERT, len(processed))
@ -226,13 +226,10 @@ class Backtesting:
for pair, pair_data in processed.items(): for pair, pair_data in processed.items():
self.check_abort() self.check_abort()
self.progress.increment() self.progress.increment()
has_buy_tag = 'buy_tag' in pair_data
headers = headers + ['buy_tag'] if has_buy_tag else headers
if not pair_data.empty: if not pair_data.empty:
pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist
pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist
if has_buy_tag: pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist
pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist
df_analyzed = self.strategy.advise_sell( df_analyzed = self.strategy.advise_sell(
self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair}).copy() self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair}).copy()
@ -243,8 +240,7 @@ class Backtesting:
# from the previous candle # from the previous candle
df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1) df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1)
df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1) df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1)
if has_buy_tag: df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
# Update dataprovider cache # Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed) self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)

2
tests/optimize/__init__.py
View File

@ -52,4 +52,6 @@ def _build_backtest_dataframe(data):
# Ensure floats are in place # Ensure floats are in place
for column in ['open', 'high', 'low', 'close', 'volume']: for column in ['open', 'high', 'low', 'close', 'volume']:
frame[column] = frame[column].astype('float64') frame[column] = frame[column].astype('float64')
if 'buy_tag' not in columns:
frame['buy_tag'] = None
return frame return frame