Merge pull request #6172 from rokups/rk/backtest-results-caching

Backtest result reuse

docs/backtesting.md

@@ -76,6 +76,7 @@ optional arguments:
                         _today.json`
   --breakdown {day,week,month} [{day,week,month} ...]
                         Show backtesting breakdown per [day, week, month].
+  --no-cache            Do not reuse cached backtest results.
 
 Common arguments:
   -v, --verbose         Verbose mode (-vv for more, -vvv to get all messages).
@@ -457,6 +458,14 @@ freqtrade backtesting --strategy MyAwesomeStrategy --breakdown day month
 
 The output will show a table containing the realized absolute Profit (in stake currency) for the given timeperiod, as well as wins, draws and losses that materialized (closed) on this day.
 
+### Backtest result caching
+
+To save time, by default backtest will reuse a cached result when backtested strategy and config match that of previous backtest. To force a new backtest despite existing result for identical run specify `--no-cache` parameter.
+
+!!! Warning
+    Caching is automatically disabled for open-ended timeranges (`--timerange 20210101-`), as freqtrade cannot ensure reliably that the underlying data didn't change. It can also use cached results where it shouldn't if the original backtest had missing data at the end, which was fixed by downloading more data.
+    In this instance, please use `--no-cache` once to get a fresh backtest.
+
 ### Further backtest-result analysis
 
 To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file).

freqtrade/commands/arguments.py

@@ -24,7 +24,7 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
 ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
                                         "enable_protections", "dry_run_wallet", "timeframe_detail",
                                         "strategy_list", "export", "exportfilename",
-                                        "backtest_breakdown"]
+                                        "backtest_breakdown", "no_backtest_cache"]
 
 ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
                                         "position_stacking", "use_max_market_positions",

freqtrade/commands/cli_options.py

@@ -205,6 +205,11 @@ AVAILABLE_CLI_OPTIONS = {
         nargs='+',
         choices=constants.BACKTEST_BREAKDOWNS
     ),
+    "no_backtest_cache": Arg(
+        '--no-cache',
+        help='Do not reuse cached backtest results.',
+        action='store_true'
+    ),
     # Edge
     "stoploss_range": Arg(
         '--stoplosses',

freqtrade/configuration/configuration.py

@@ -276,6 +276,9 @@ class Configuration:
         self._args_to_config(config, argname='backtest_breakdown',
                              logstring='Parameter --breakdown detected ...')
 
+        self._args_to_config(config, argname='no_backtest_cache',
+                             logstring='Parameter --no-cache detected ...')
+
         self._args_to_config(config, argname='disableparamexport',
                              logstring='Parameter --disableparamexport detected: {} ...')
 

freqtrade/data/btanalysis.py

@@ -2,6 +2,7 @@
 Helpers when analyzing backtest data
 """
 import logging
+from copy import copy
 from pathlib import Path
 from typing import Any, Dict, List, Optional, Tuple, Union
 
@@ -10,7 +11,7 @@ import pandas as pd
 
 from freqtrade.constants import LAST_BT_RESULT_FN
 from freqtrade.exceptions import OperationalException
-from freqtrade.misc import json_load
+from freqtrade.misc import get_backtest_metadata_filename, json_load
 from freqtrade.persistence import LocalTrade, Trade, init_db
 
 
@@ -102,6 +103,23 @@ def get_latest_hyperopt_file(directory: Union[Path, str], predef_filename: str =
     return directory / get_latest_hyperopt_filename(directory)
 
 
+def load_backtest_metadata(filename: Union[Path, str]) -> Dict[str, Any]:
+    """
+    Read metadata dictionary from backtest results file without reading and deserializing entire
+    file.
+    :param filename: path to backtest results file.
+    :return: metadata dict or None if metadata is not present.
+    """
+    filename = get_backtest_metadata_filename(filename)
+    try:
+        with filename.open() as fp:
+            return json_load(fp)
+    except FileNotFoundError:
+        return {}
+    except Exception as e:
+        raise OperationalException('Unexpected error while loading backtest metadata.') from e
+
+
 def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
     """
     Load backtest statistics file.
@@ -118,9 +136,56 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
     with filename.open() as file:
         data = json_load(file)
 
+    # Legacy list format does not contain metadata.
+    if isinstance(data, dict):
+        data['metadata'] = load_backtest_metadata(filename)
+
     return data
 
 
+def find_existing_backtest_stats(dirname: Union[Path, str],
+                                 run_ids: Dict[str, str]) -> Dict[str, Any]:
+    """
+    Find existing backtest stats that match specified run IDs and load them.
+    :param dirname: pathlib.Path object, or string pointing to the file.
+    :param run_ids: {strategy_name: id_string} dictionary.
+    :return: results dict.
+    """
+    # Copy so we can modify this dict without affecting parent scope.
+    run_ids = copy(run_ids)
+    dirname = Path(dirname)
+    results: Dict[str, Any] = {
+        'metadata': {},
+        'strategy': {},
+        'strategy_comparison': [],
+    }
+
+    # Weird glob expression here avoids including .meta.json files.
+    for filename in reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))):
+        metadata = load_backtest_metadata(filename)
+        if not metadata:
+            # Files are sorted from newest to oldest. When file without metadata is encountered it
+            # is safe to assume older files will also not have any metadata.
+            break
+
+        for strategy_name, run_id in list(run_ids.items()):
+            if metadata.get(strategy_name, {}).get('run_id') == run_id:
+                # TODO: load_backtest_stats() may load an old version of backtest which is
+                #  incompatible with current version.
+                del run_ids[strategy_name]
+                bt_data = load_backtest_stats(filename)
+                for k in ('metadata', 'strategy'):
+                    results[k][strategy_name] = bt_data[k][strategy_name]
+                comparison = bt_data['strategy_comparison']
+                for i in range(len(comparison)):
+                    if comparison[i]['key'] == strategy_name:
+                        results['strategy_comparison'].append(comparison[i])
+                        break
+        if len(run_ids) == 0:
+            break
+    return results
+
+
 def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
     """
     Load backtest data file.

freqtrade/misc.py

@@ -2,11 +2,13 @@
 Various tool function for Freqtrade and scripts
 """
 import gzip
+import hashlib
 import logging
 import re
+from copy import deepcopy
 from datetime import datetime
 from pathlib import Path
-from typing import Any, Iterator, List
+from typing import Any, Iterator, List, Union
 from typing.io import IO
 from urllib.parse import urlparse
 
@@ -228,3 +230,32 @@ def parse_db_uri_for_logging(uri: str):
         return uri
     pwd = parsed_db_uri.netloc.split(':')[1].split('@')[0]
     return parsed_db_uri.geturl().replace(f':{pwd}@', ':*****@')
+
+
+def get_strategy_run_id(strategy) -> str:
+    """
+    Generate unique identification hash for a backtest run. Identical config and strategy file will
+    always return an identical hash.
+    :param strategy: strategy object.
+    :return: hex string id.
+    """
+    digest = hashlib.sha1()
+    config = deepcopy(strategy.config)
+
+    # Options that have no impact on results of individual backtest.
+    not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
+    for k in not_important_keys:
+        if k in config:
+            del config[k]
+
+    digest.update(rapidjson.dumps(config, default=str,
+                                  number_mode=rapidjson.NM_NATIVE).encode('utf-8'))
+    with open(strategy.__file__, 'rb') as fp:
+        digest.update(fp.read())
+    return digest.hexdigest().lower()
+
+
+def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
+    """Return metadata filename for specified backtest results file."""
+    filename = Path(filename)
+    return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

freqtrade/optimize/backtesting.py

@@ -14,12 +14,13 @@ from pandas import DataFrame
 from freqtrade.configuration import TimeRange, validate_config_consistency
 from freqtrade.constants import DATETIME_PRINT_FORMAT
 from freqtrade.data import history
-from freqtrade.data.btanalysis import trade_list_to_dataframe
+from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
 from freqtrade.data.converter import trim_dataframe, trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.enums import BacktestState, SellType
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
+from freqtrade.misc import get_strategy_run_id
 from freqtrade.mixins import LoggingMixin
 from freqtrade.optimize.bt_progress import BTProgress
 from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
@@ -60,7 +61,7 @@ class Backtesting:
 
         LoggingMixin.show_output = False
         self.config = config
-        self.results: Optional[Dict[str, Any]] = None
+        self.results: Dict[str, Any] = {}
 
         config['dry_run'] = True
         self.strategylist: List[IStrategy] = []
@@ -727,6 +728,7 @@ class Backtesting:
         )
         backtest_end_time = datetime.now(timezone.utc)
         results.update({
+            'run_id': get_strategy_run_id(strat),
             'backtest_start_time': int(backtest_start_time.timestamp()),
             'backtest_end_time': int(backtest_end_time.timestamp()),
         })
@@ -745,15 +747,52 @@ class Backtesting:
         self.load_bt_data_detail()
         logger.info("Dataload complete. Calculating indicators")
 
-        for strat in self.strategylist:
-            min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
-        if len(self.strategylist) > 0:
+        run_ids = {
+            strategy.get_strategy_name(): get_strategy_run_id(strategy)
+            for strategy in self.strategylist
+        }
 
-            self.results = generate_backtest_stats(data, self.all_results,
-                                                   min_date=min_date, max_date=max_date)
+        # Load previous result that will be updated incrementally.
+        # This can be circumvented in certain instances in combination with downloading more data
+        if self.timerange.stopts == 0 or datetime.fromtimestamp(
+           self.timerange.stopts, tz=timezone.utc) > datetime.now(tz=timezone.utc):
+            self.config['no_backtest_cache'] = True
+            logger.warning('Backtest result caching disabled due to use of open-ended timerange.')
+
+        if not self.config.get('no_backtest_cache', False):
+            self.results = find_existing_backtest_stats(
+                self.config['user_data_dir'] / 'backtest_results', run_ids)
+
+        for strat in self.strategylist:
+            if self.results and strat.get_strategy_name() in self.results['strategy']:
+                # When previous result hash matches - reuse that result and skip backtesting.
+                logger.info(f'Reusing result of previous backtest for {strat.get_strategy_name()}')
+                continue
+            min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
+
+        # Update old results with new ones.
+        if len(self.all_results) > 0:
+            results = generate_backtest_stats(
+                data, self.all_results, min_date=min_date, max_date=max_date)
+            if self.results:
+                self.results['metadata'].update(results['metadata'])
+                self.results['strategy'].update(results['strategy'])
+                self.results['strategy_comparison'].extend(results['strategy_comparison'])
+            else:
+                self.results = results
 
             if self.config.get('export', 'none') == 'trades':
                 store_backtest_stats(self.config['exportfilename'], self.results)
 
+        # Results may be mixed up now. Sort them so they follow --strategy-list order.
+        if 'strategy_list' in self.config and len(self.results) > 0:
+            self.results['strategy_comparison'] = sorted(
+                self.results['strategy_comparison'],
+                key=lambda c: self.config['strategy_list'].index(c['key']))
+            self.results['strategy'] = dict(
+                sorted(self.results['strategy'].items(),
+                       key=lambda kv: self.config['strategy_list'].index(kv[0])))
+
+        if len(self.strategylist) > 0:
             # Show backtest results
             show_backtest_results(self.config, self.results)

freqtrade/optimize/edge_cli.py

@@ -34,7 +34,7 @@ class EdgeCli:
         self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
         self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
         self.strategy = StrategyResolver.load_strategy(self.config)
-        self.strategy.dp = DataProvider(config, None)
+        self.strategy.dp = DataProvider(config, self.exchange)
 
         validate_config_consistency(self.config)
 

freqtrade/optimize/optimize_reports.py

@@ -11,7 +11,8 @@ from tabulate import tabulate
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
 from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
                                        calculate_max_drawdown)
-from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
+from freqtrade.misc import (decimals_per_coin, file_dump_json, get_backtest_metadata_filename,
+                            round_coin_value)
 
 
 logger = logging.getLogger(__name__)
@@ -33,6 +34,11 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
             recordfilename.parent,
             f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}'
         ).with_suffix(recordfilename.suffix)
+
+    # Store metadata separately.
+    file_dump_json(get_backtest_metadata_filename(filename), stats['metadata'])
+    del stats['metadata']
+
     file_dump_json(filename, stats)
 
     latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
@@ -509,16 +515,25 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
     :param max_date: Backtest end date
     :return: Dictionary containing results per strategy and a strategy summary.
     """
-    result: Dict[str, Any] = {'strategy': {}}
+    result: Dict[str, Any] = {
+        'metadata': {},
+        'strategy': {},
+        'strategy_comparison': [],
+    }
     market_change = calculate_market_change(btdata, 'close')
+    metadata = {}
     pairlist = list(btdata.keys())
     for strategy, content in all_results.items():
         strat_stats = generate_strategy_stats(pairlist, strategy, content,
                                               min_date, max_date, market_change=market_change)
+        metadata[strategy] = {
+            'run_id': content['run_id']
+        }
         result['strategy'][strategy] = strat_stats
 
     strategy_results = generate_strategy_comparison(bt_stats=result['strategy'])
 
+    result['metadata'] = metadata
     result['strategy_comparison'] = strategy_results
 
     return result

tests/optimize/test_backtesting.py

@@ -1239,3 +1239,86 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
     assert 'BACKTESTING REPORT' in captured.out
     assert 'SELL REASON STATS' in captured.out
     assert 'LEFT OPEN TRADES REPORT' in captured.out
+
+
+@pytest.mark.filterwarnings("ignore:deprecated")
+def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testdatadir):
+
+    default_conf.update({
+        "use_sell_signal": True,
+        "sell_profit_only": False,
+        "sell_profit_offset": 0.0,
+        "ignore_roi_if_buy_signal": False,
+    })
+    patch_exchange(mocker)
+    backtestmock = MagicMock(return_value={
+        'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
+        'config': default_conf,
+        'locks': [],
+        'rejected_signals': 20,
+        'final_balance': 1000,
+    })
+    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
+                 PropertyMock(return_value=['UNITTEST/BTC']))
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
+    mocker.patch('freqtrade.optimize.backtesting.show_backtest_results', MagicMock())
+
+    load_backtest_metadata = MagicMock(return_value={
+        'StrategyTestV2': {'run_id': '1'},
+        'TestStrategyLegacyV1': {'run_id': 'changed'}
+    })
+    load_backtest_stats = MagicMock(side_effect=[
+        {
+            'metadata': {'StrategyTestV2': {'run_id': '1'}},
+            'strategy': {'StrategyTestV2': {}},
+            'strategy_comparison': [{'key': 'StrategyTestV2'}]
+        },
+        {
+            'metadata': {'TestStrategyLegacyV1': {'run_id': '2'}},
+            'strategy': {'TestStrategyLegacyV1': {}},
+            'strategy_comparison': [{'key': 'TestStrategyLegacyV1'}]
+        }
+    ])
+    mocker.patch('pathlib.Path.glob', return_value=['not important'])
+    mocker.patch.multiple('freqtrade.data.btanalysis',
+                          load_backtest_metadata=load_backtest_metadata,
+                          load_backtest_stats=load_backtest_stats)
+    mocker.patch('freqtrade.optimize.backtesting.get_strategy_run_id', side_effect=['1', '2', '2'])
+
+    patched_configuration_load_config_file(mocker, default_conf)
+
+    args = [
+        'backtesting',
+        '--config', 'config.json',
+        '--datadir', str(testdatadir),
+        '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
+        '--timeframe', '1m',
+        '--timerange', '1510694220-1510700340',
+        '--enable-position-stacking',
+        '--disable-max-market-positions',
+        '--strategy-list',
+        'StrategyTestV2',
+        'TestStrategyLegacyV1',
+    ]
+    args = get_args(args)
+    start_backtesting(args)
+    # 1 backtest, 1 loaded from cache
+    assert backtestmock.call_count == 1
+
+    # check the logs, that will contain the backtest result
+    exists = [
+        'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
+        'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
+        'Parameter --timerange detected: 1510694220-1510700340 ...',
+        f'Using data directory: {testdatadir} ...',
+        'Loading data from 2017-11-14 20:57:00 '
+        'up to 2017-11-14 22:58:00 (0 days).',
+        'Backtesting with data from 2017-11-14 21:17:00 '
+        'up to 2017-11-14 22:58:00 (0 days).',
+        'Parameter --enable-position-stacking detected ...',
+        'Reusing result of previous backtest for StrategyTestV2',
+        'Running backtesting for Strategy TestStrategyLegacyV1',
+    ]
+
+    for line in exists:
+        assert log_has(line, caplog)

tests/optimize/test_optimize_reports.py

@@ -84,6 +84,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
+        'run_id': '123',
         }
         }
     timerange = TimeRange.parse_timerange('1510688220-1510700340')
@@ -132,6 +133,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
         'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
+        'run_id': '124',
         }
     }
 
@@ -178,16 +180,16 @@ def test_store_backtest_stats(testdatadir, mocker):
 
     dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_json')
 
-    store_backtest_stats(testdatadir, {})
+    store_backtest_stats(testdatadir, {'metadata': {}})
 
-    assert dump_mock.call_count == 2
+    assert dump_mock.call_count == 3
     assert isinstance(dump_mock.call_args_list[0][0][0], Path)
     assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir/'backtest-result'))
 
     dump_mock.reset_mock()
     filename = testdatadir / 'testresult.json'
-    store_backtest_stats(filename, {})
-    assert dump_mock.call_count == 2
+    store_backtest_stats(filename, {'metadata': {}})
+    assert dump_mock.call_count == 3
     assert isinstance(dump_mock.call_args_list[0][0][0], Path)
     # result will be testdatadir / testresult-<timestamp>.json
     assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))