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allow exporting of candlestick data as well as trades using --export all

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This commit is contained in:
Wouter Vandenneucker 2020-05-15 19:20:09 +02:00
parent d86855f2f3
commit c86328d437
2 changed files with 57 additions and 12 deletions
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7
freqtrade/optimize/backtesting.py
View File

@ -382,6 +382,7 @@ class Backtesting:
data, timerange = self.load_bt_data()
all_results = {}
preprocessed_data = {}
for strat in self.strategylist:
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
self._set_strategy(strat)
@ -398,6 +399,10 @@ class Backtesting:
'Backtesting with data from %s up to %s (%s days)..',
min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days
)
# Store reprocessed data for later use in export
preprocessed_data[self.strategy.get_strategy_name()] = preprocessed
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
processed=preprocessed,
@ -409,6 +414,6 @@ class Backtesting:
)
if self.config.get('export', False):
store_backtest_result(self.config['exportfilename'], all_results)
store_backtest_result(self.config, preprocessed_data, all_results)
# Show backtest results
show_backtest_results(self.config, data, all_results)

62
freqtrade/optimize/optimize_reports.py
View File

@ -1,37 +1,77 @@
import logging
import json
import numpy as np
from datetime import timedelta
from pathlib import Path
from typing import Dict
from pandas import DataFrame
from pandas import DataFrame, Series
from tabulate import tabulate
from freqtrade.configuration import TimeRange
from freqtrade.misc import file_dump_json
from freqtrade.data.history import load_data
from freqtrade.strategy.interface import SellType
logger = logging.getLogger(__name__)
def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame]) -> None:
def store_backtest_result(config, all_data: Dict[str, Dict], all_results: Dict[str, DataFrame]) -> None:
"""
Stores backtest results to file (one file per strategy)
:param recordfilename: Destination filename
:param all_results: Dict of Dataframes, one results dataframe per strategy
"""
for strategy, results in all_results.items():
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
for index, t in results.iterrows()]
recordfilename = config['exportfilename']
if config['export'] == 'all' :
for strategy in all_data.items():
data = {}
for pair in strategy[1]:
data[pair] = {}
data[pair]["trades"] = []
for index, trade in all_results[strategy[0]].iterrows():
if trade.pair == pair:
trade_dict = Series.to_dict(trade)
trade_dict['open_time'] = trade_dict['open_time'].timestamp()
trade_dict['close_time'] = trade_dict['close_time'].timestamp()
trade_dict['sell_reason'] = trade_dict['sell_reason'].value
data[pair]["trades"].append( trade_dict )
if records:
candles_dict = DataFrame.to_dict( strategy[1][pair][~strategy[1][pair].isin([np.nan, np.inf, -np.inf]).any(1)], orient='index' )
data[pair]["candles"] = []
for candle_key in candles_dict.keys():
candle_dict = candles_dict[candle_key]
candle_dict['date'] = candle_dict['date'].timestamp()
data[pair]["candles"].append( candle_dict )
filename = recordfilename
if len(all_results) > 1:
if len(all_data) > 1:
filename = recordfilename
# Inject strategy to filename
filename = Path.joinpath(
recordfilename.parent,
f'{recordfilename.stem}-{strategy}').with_suffix(recordfilename.suffix)
logger.info(f'Dumping backtest results to {filename}')
file_dump_json(filename, records)
logger.info(f'Dumping all of backtest results to {filename}')
file_dump_json(filename, data)
else:
for strategy, results in all_results.items():
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
for index, t in results.iterrows()]
if records:
filename = recordfilename
if len(all_results) > 1:
# Inject strategy to filename
filename = Path.joinpath(
recordfilename.parent,
f'{recordfilename.stem}-{strategy}').with_suffix(recordfilename.suffix)
logger.info(f'Dumping trades of backtest results to {filename}')
file_dump_json(filename, records)
def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,