working on backtesting BASE64 encoded strategies
This commit is contained in:
Gert Wohlgemuth
parent
4e31b4c9ee
commit
c25aa22690
@ -1,8 +1,15 @@
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import logging
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import boto3
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import os
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from freqtrade.arguments import Arguments
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from freqtrade.configuration import Configuration
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from freqtrade.optimize.backtesting import Backtesting
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import simplejson as json
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from boto3.dynamodb.conditions import Key, Attr
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db = boto3.resource('dynamodb')
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def backtest(event, context):
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@ -29,25 +36,39 @@ def backtest(event, context):
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no return
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"""
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name = "TestStrategy"
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user = "12345678"
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stake_currency = "USDT"
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asset = ["ETH", "BTC"]
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exchange = "binance"
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if 'body' in event:
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event['body'] = json.loads(event['body'])
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name = event['body']['name']
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user = event['body']['user']
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stake_currency = event['body']['stake_currency'].upper()
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asset = event['body']['asset']
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exchange = event['body']['exchange']
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assets = list(map(lambda x: "{}/{}".format(x, stake_currency).upper(), asset))
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table = db.Table(os.environ['strategyTable'])
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response = table.query(
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KeyConditionExpression=Key('user').eq(user) &
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Key('name').eq(name)
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)
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print(response)
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if "Items" in response and len(response['Items']) > 0:
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content = response['Items'][0]['content']
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configuration = {
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"max_open_trades": 1,
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"stake_currency": stake_currency,
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"stake_amount": 0.001,
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"stake_amount": 1,
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"fiat_display_currency": "USD",
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"unfilledtimeout": 600,
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"bid_strategy": {
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"ask_last_balance": 0.0
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},
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"exchange": {
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"name": "bittrex",
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"name": exchange,
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"enabled": True,
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"key": "key",
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"secret": "secret",
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@ -68,7 +89,8 @@ def backtest(event, context):
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"process_throttle_secs": 5
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},
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'realistic_simulation': True,
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"loglevel": logging.DEBUG
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"loglevel": logging.DEBUG,
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"strategy": "{}:{}".format(name, content)
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}
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@ -80,23 +102,26 @@ def backtest(event, context):
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result = backtesting.start()
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print("finished test")
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print(result)
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print("persist data in dynamo")
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for index, row in result.iterrows():
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if row['loss'] > 0 or row['profit'] > 0:
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item = {
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"id": "{}.{}:{}".format(user, name, row['pair']),
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"pair": row['pair'],
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"profit": row['profit'],
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"loss": row['loss'],
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"duration": row['avg duration'],
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"count_profit": row['profit'],
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"count_loss": row['loss'],
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"avg_duration": row['avg duration'],
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"avg profit": row['avg profit %'],
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"total profit": row['total profit {}'.format(stake_currency)]
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}
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print(item)
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pass
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else:
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raise Exception("sorry we did not find any matching strategy for user {} and name {}".format(user, name))
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else:
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raise Exception("no body provided")
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def submit(event, context):
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@ -95,11 +95,6 @@ def code(event, context):
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:return:
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"""
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print("event")
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print(event)
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print("context")
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print(context)
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user = ""
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name = ""
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@ -6,6 +6,7 @@ This module load custom strategies
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import importlib.util
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import inspect
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import logging
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from base64 import urlsafe_b64decode
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from collections import OrderedDict
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from typing import Optional, Dict, Type
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@ -88,8 +89,26 @@ class StrategyResolver(object):
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# Add extra strategy directory on top of search paths
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abs_paths.insert(0, extra_dir)
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try:
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# check if the given strategy is provided as name, value pair
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# where the value is the strategy encoded in base 64
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if ":" in strategy_name:
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strat = strategy_name.split(":")
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if len(strat) == 2:
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temp = Path(tempfile.mkdtemp("freq", "strategy"))
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name = strat[0] + ".py"
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temp.joinpath(name).write_text(urlsafe_b64decode(strat[1]).decode('utf-8'))
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temp.joinpath("__init__.py").touch()
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strategy_name = os.path.splitext(name)[0]
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# register temp path with the bot
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abs_paths.insert(0, temp.absolute())
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# check if given strategy matches an url
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else:
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try:
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logger.debug("requesting remote strategy from {}".format(strategy_name))
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resp = requests.get(strategy_name, stream=True)
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if resp.status_code == 200:
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@ -1,7 +1,75 @@
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import pytest
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from base64 import urlsafe_b64encode
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import pytest
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import simplejson as json
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from freqtrade.aws.backtesting_lambda import backtest
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from freqtrade.aws.strategy import submit
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def test_backtest(lambda_context):
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backtest({}, {})
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content = """# --- Do not remove these libs ---
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from freqtrade.strategy.interface import IStrategy
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from typing import Dict, List
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from hyperopt import hp
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from functools import reduce
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from pandas import DataFrame
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# --------------------------------
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import talib.abstract as ta
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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class MyFancyTestStrategy(IStrategy):
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minimal_roi = {
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"0": 0.5
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}
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stoploss = -0.2
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ticker_interval = '5m'
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def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
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macd = ta.MACD(dataframe)
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dataframe['maShort'] = ta.EMA(dataframe, timeperiod=8)
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dataframe['maMedium'] = ta.EMA(dataframe, timeperiod=21)
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return dataframe
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def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
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dataframe.loc[
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(
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qtpylib.crossed_above(dataframe['maShort'], dataframe['maMedium'])
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),
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'buy'] = 1
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return dataframe
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def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
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dataframe.loc[
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(
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qtpylib.crossed_above(dataframe['maMedium'], dataframe['maShort'])
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),
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'sell'] = 1
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return dataframe
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"""
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request = {
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"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
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"description": "simple test strategy",
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"name": "MyFancyTestStrategy",
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"content": urlsafe_b64encode(content.encode('utf-8')),
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"public": False
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}
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# now we add an entry
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submit({
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"body": json.dumps(request)
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}, {})
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request = {
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"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
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"name": "MyFancyTestStrategy",
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"stake_currency": "usdt",
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"asset": ["ETH", "BTC", "XRP", "LTC"],
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"exchange": "binance"
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}
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backtest({"body": json.dumps(request)}, {})
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@ -642,7 +642,7 @@ def lambda_context():
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# do not mock requests to these urls
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responses.add_passthru('https://api.github.com')
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responses.add_passthru('https://bittrex.com')
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responses.add_passthru('https://api.binance.com')
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# here we will define required tables later
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yield
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sns.stop()
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