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add sell_reason to backtesting

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Matthias 2018-07-11 20:03:40 +02:00
parent 0147b1631a
commit cbffd3650b
2 changed files with 13 additions and 5 deletions
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13
freqtrade/optimize/backtesting.py
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@ -20,6 +20,7 @@ from freqtrade.configuration import Configuration
from freqtrade.exchange import Exchange from freqtrade.exchange import Exchange
from freqtrade.misc import file_dump_json from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver from freqtrade.strategy.resolver import IStrategy, StrategyResolver
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -40,6 +41,7 @@ class BacktestResult(NamedTuple):
open_at_end: bool open_at_end: bool
open_rate: float open_rate: float
close_rate: float close_rate: float
sell_reason: SellType
class Backtesting(object): class Backtesting(object):
@ -151,8 +153,9 @@ class Backtesting(object):
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1 trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
buy_signal = sell_row.buy buy_signal = sell_row.buy
if self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal, sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell): sell_row.sell)
if sell[0]:
return BacktestResult(pair=pair, return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.open), profit_percent=trade.calc_profit_percent(rate=sell_row.open),
@ -164,7 +167,8 @@ class Backtesting(object):
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=False, open_at_end=False,
open_rate=buy_row.open, open_rate=buy_row.open,
close_rate=sell_row.open close_rate=sell_row.open,
sell_reason=sell[1]
) )
if partial_ticker: if partial_ticker:
# no sell condition found - trade stil open at end of backtest period # no sell condition found - trade stil open at end of backtest period
@ -179,7 +183,8 @@ class Backtesting(object):
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=True, open_at_end=True,
open_rate=buy_row.open, open_rate=buy_row.open,
close_rate=sell_row.open close_rate=sell_row.open,
sell_reason=SellType.FORCE_SELL
) )
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair, logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs) btr.profit_percent, btr.profit_abs)

5
freqtrade/tests/optimize/test_backtesting.py
View File

@ -17,6 +17,7 @@ from freqtrade.arguments import Arguments, TimeRange
from freqtrade.optimize.backtesting import (Backtesting, setup_configuration, from freqtrade.optimize.backtesting import (Backtesting, setup_configuration,
start) start)
from freqtrade.tests.conftest import log_has, patch_exchange from freqtrade.tests.conftest import log_has, patch_exchange
from freqtrade.strategy.interface import SellType
from freqtrade.strategy.default_strategy import DefaultStrategy from freqtrade.strategy.default_strategy import DefaultStrategy
@ -511,7 +512,9 @@ def test_backtest(default_conf, fee, mocker) -> None:
'trade_duration': [240, 50], 'trade_duration': [240, 50],
'open_at_end': [False, False], 'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485], 'open_rate': [0.104445, 0.10302485],
'close_rate': [0.105, 0.10359999]}) 'close_rate': [0.105, 0.10359999],
'sell_reason': [SellType.ROI, SellType.ROI]
})
pd.testing.assert_frame_equal(results, expected) pd.testing.assert_frame_equal(results, expected)
data_pair = data_processed[pair] data_pair = data_processed[pair]
for _, t in results.iterrows(): for _, t in results.iterrows():