adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'develop' into data_handler

Browse Source
This commit is contained in:
Matthias
2020-02-09 15:16:43 +01:00
parent 1b9af9d2d8 f41de38498
commit d65a06947d
74 changed files with 1078 additions and 408 deletions
Download Patch File Download Diff File Expand all files Collapse all files

29
freqtrade/optimize/backtesting.py
View File

@@ -9,6 +9,7 @@ from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional
import arrow
from pandas import DataFrame
from freqtrade.configuration import (TimeRange, remove_credentials,
@@ -25,7 +26,7 @@ from freqtrade.optimize.optimize_reports import (
from freqtrade.persistence import Trade
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.state import RunMode
from freqtrade.strategy.interface import IStrategy, SellType
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
logger = logging.getLogger(__name__)
@@ -150,7 +151,7 @@ class Backtesting:
logger.info(f'Dumping backtest results to {recordfilename}')
file_dump_json(recordfilename, records)
def _get_ticker_list(self, processed) -> Dict[str, DataFrame]:
def _get_ticker_list(self, processed: Dict) -> Dict[str, DataFrame]:
"""
Helper function to convert a processed tickerlist into a list for performance reasons.
@@ -177,7 +178,8 @@ class Backtesting:
ticker[pair] = [x for x in ticker_data.itertuples()]
return ticker
def _get_close_rate(self, sell_row, trade: Trade, sell, trade_dur) -> float:
def _get_close_rate(self, sell_row, trade: Trade, sell: SellCheckTuple,
trade_dur: int) -> float:
"""
Get close rate for backtesting result
"""
@@ -282,7 +284,7 @@ class Backtesting:
return None
def backtest(self, processed: Dict, stake_amount: float,
start_date, end_date,
start_date: arrow.Arrow, end_date: arrow.Arrow,
max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
"""
Implement backtesting functionality
@@ -406,12 +408,12 @@ class Backtesting:
)
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
)
for strategy, results in all_results.items():
@@ -428,7 +430,10 @@ class Backtesting:
results=results))
print(' SELL REASON STATS '.center(133, '='))
print(generate_text_table_sell_reason(data, results))
print(generate_text_table_sell_reason(data,
stake_currency=self.config['stake_currency'],
max_open_trades=self.config['max_open_trades'],
results=results))
print(' LEFT OPEN TRADES REPORT '.center(133, '='))
print(generate_text_table(data,
@@ -438,7 +443,7 @@ class Backtesting:
print()
if len(all_results) > 1:
# Print Strategy summary table
print(' Strategy Summary '.center(133, '='))
print(' STRATEGY SUMMARY '.center(133, '='))
print(generate_text_table_strategy(self.config['stake_currency'],
self.config['max_open_trades'],
all_results=all_results))