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Merge pull request #1328 from mishaker/edge_cli

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Edge cli
This commit is contained in:
Matthias
2018-11-15 20:14:03 +01:00
committed by GitHub
parent cb1ab0aa49 db8c8ea4a4
commit de57da3249
9 changed files with 448 additions and 43 deletions
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73
freqtrade/arguments.py
View File

@@ -128,6 +128,22 @@ class Arguments(object):
"""
Parses given arguments for Backtesting scripts.
"""
parser.add_argument(
'--eps', '--enable-position-stacking',
help='Allow buying the same pair multiple times (position stacking)',
action='store_true',
dest='position_stacking',
default=False
)
parser.add_argument(
'--dmmp', '--disable-max-market-positions',
help='Disable applying `max_open_trades` during backtest '
'(same as setting `max_open_trades` to a very high number)',
action='store_false',
dest='use_max_market_positions',
default=True
)
parser.add_argument(
'-l', '--live',
help='using live data',
@@ -171,6 +187,27 @@ class Arguments(object):
metavar='PATH',
)
@staticmethod
def edge_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Backtesting scripts.
"""
parser.add_argument(
'-r', '--refresh-pairs-cached',
help='refresh the pairs files in tests/testdata with the latest data from the '
'exchange. Use it if you want to run your edge with up-to-date data.',
action='store_true',
dest='refresh_pairs',
)
parser.add_argument(
'--stoplosses',
help='defines a range of stoploss against which edge will assess the strategy '
'the format is "min,max,step" (without any space).'
'example: --stoplosses=-0.01,-0.1,-0.001',
type=str,
dest='stoploss_range',
)
@staticmethod
def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
"""
@@ -184,6 +221,20 @@ class Arguments(object):
dest='ticker_interval',
type=str,
)
parser.add_argument(
'--timerange',
help='specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
@staticmethod
def hyperopt_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Hyperopt scripts.
"""
parser.add_argument(
'--eps', '--enable-position-stacking',
help='Allow buying the same pair multiple times (position stacking)',
@@ -200,20 +251,6 @@ class Arguments(object):
dest='use_max_market_positions',
default=True
)
parser.add_argument(
'--timerange',
help='specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
@staticmethod
def hyperopt_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Hyperopt scripts.
"""
parser.add_argument(
'-e', '--epochs',
help='specify number of epochs (default: %(default)d)',
@@ -237,7 +274,7 @@ class Arguments(object):
Builds and attaches all subcommands
:return: None
"""
from freqtrade.optimize import backtesting, hyperopt
from freqtrade.optimize import backtesting, hyperopt, edge_cli
subparsers = self.parser.add_subparsers(dest='subparser')
@@ -247,6 +284,12 @@ class Arguments(object):
self.optimizer_shared_options(backtesting_cmd)
self.backtesting_options(backtesting_cmd)
# Add edge subcommand
edge_cmd = subparsers.add_parser('edge', help='edge module')
edge_cmd.set_defaults(func=edge_cli.start)
self.optimizer_shared_options(edge_cmd)
self.edge_options(edge_cmd)
# Add hyperopt subcommand
hyperopt_cmd = subparsers.add_parser('hyperopt', help='hyperopt module')
hyperopt_cmd.set_defaults(func=hyperopt.start)

29
freqtrade/configuration.py
View File

@@ -59,6 +59,9 @@ class Configuration(object):
# Load Backtesting
config = self._load_backtesting_config(config)
# Load Edge
config = self._load_edge_config(config)
# Load Hyperopt
config = self._load_hyperopt_config(config)
@@ -218,6 +221,32 @@ class Configuration(object):
return config
def _load_edge_config(self, config: Dict[str, Any]) -> Dict[str, Any]:
"""
Extract information for sys.argv and load Edge configuration
:return: configuration as dictionary
"""
# If --timerange is used we add it to the configuration
if 'timerange' in self.args and self.args.timerange:
config.update({'timerange': self.args.timerange})
logger.info('Parameter --timerange detected: %s ...', self.args.timerange)
# If --timerange is used we add it to the configuration
if 'stoploss_range' in self.args and self.args.stoploss_range:
txt_range = eval(self.args.stoploss_range)
config['edge'].update({'stoploss_range_min': txt_range[0]})
config['edge'].update({'stoploss_range_max': txt_range[1]})
config['edge'].update({'stoploss_range_step': txt_range[2]})
logger.info('Parameter --stoplosses detected: %s ...', self.args.stoploss_range)
# If -r/--refresh-pairs-cached is used we add it to the configuration
if 'refresh_pairs' in self.args and self.args.refresh_pairs:
config.update({'refresh_pairs': True})
logger.info('Parameter -r/--refresh-pairs-cached detected ...')
return config
def _load_hyperopt_config(self, config: Dict[str, Any]) -> Dict[str, Any]:
"""
Extract information for sys.argv and load Hyperopt configuration

11
freqtrade/edge/__init__.py
View File

@@ -33,7 +33,9 @@ class Edge():
# pair info data type
_pair_info = namedtuple(
'pair_info',
['stoploss', 'winrate', 'risk_reward_ratio', 'required_risk_reward', 'expectancy'])
['stoploss', 'winrate', 'risk_reward_ratio', 'required_risk_reward', 'expectancy',
'nb_trades', 'avg_trade_duration']
)
def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
@@ -53,6 +55,7 @@ class Edge():
self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time
self._refresh_pairs = True
self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
@@ -86,7 +89,7 @@ class Edge():
self.config['datadir'],
pairs=pairs,
ticker_interval=self.ticker_interval,
refresh_pairs=True,
refresh_pairs=self._refresh_pairs,
exchange=self.exchange,
timerange=self._timerange
)
@@ -296,7 +299,9 @@ class Edge():
'winrate': x.winrate,
'risk_reward_ratio': x.risk_reward_ratio,
'required_risk_reward': x.required_risk_reward,
'expectancy': x.expectancy
'expectancy': x.expectancy,
'nb_trades': x.nb_trades,
'avg_trade_duration': x.avg_trade_duration
}
final[x.pair] = self._pair_info(**info)

106
freqtrade/optimize/edge_cli.py Normal file
View File

@@ -0,0 +1,106 @@
# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
"""
This module contains the backtesting logic
"""
import logging
from argparse import Namespace
from typing import Dict, Any
from tabulate import tabulate
from freqtrade.edge import Edge
from freqtrade.configuration import Configuration
from freqtrade.arguments import Arguments
from freqtrade.exchange import Exchange
from freqtrade.strategy.resolver import StrategyResolver
logger = logging.getLogger(__name__)
class EdgeCli(object):
"""
Backtesting class, this class contains all the logic to run a backtest
To run a backtest:
backtesting = Backtesting(config)
backtesting.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
# Reset keys for edge
self.config['exchange']['key'] = ''
self.config['exchange']['secret'] = ''
self.config['exchange']['password'] = ''
self.config['exchange']['uid'] = ''
self.config['dry_run'] = True
self.exchange = Exchange(self.config)
self.strategy = StrategyResolver(self.config).strategy
self.edge = Edge(config, self.exchange, self.strategy)
self.edge._refresh_pairs = self.config.get('refresh_pairs', False)
self.timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
self.edge._timerange = self.timerange
def _generate_edge_table(self, results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
tabular_data = []
headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
'required risk reward', 'expectancy', 'total number of trades',
'average duration (min)']
for result in results.items():
if result[1].nb_trades > 0:
tabular_data.append([
result[0],
result[1].stoploss,
result[1].winrate,
result[1].risk_reward_ratio,
result[1].required_risk_reward,
result[1].expectancy,
result[1].nb_trades,
round(result[1].avg_trade_duration)
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def start(self) -> None:
self.edge.calculate()
print('') # blank like for readability
print(self._generate_edge_table(self.edge._cached_pairs))
def setup_configuration(args: Namespace) -> Dict[str, Any]:
"""
Prepare the configuration for the backtesting
:param args: Cli args from Arguments()
:return: Configuration
"""
configuration = Configuration(args)
config = configuration.get_config()
# Ensure we do not use Exchange credentials
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
return config
def start(args: Namespace) -> None:
"""
Start Edge script
:param args: Cli args from Arguments()
:return: None
"""
# Initialize configuration
config = setup_configuration(args)
logger.info('Starting freqtrade in Edge mode')
# Initialize Edge object
edge_cli = EdgeCli(config)
edge_cli.start()

12
freqtrade/tests/edge/test_edge.py
View File

@@ -128,9 +128,9 @@ def test_adjust(mocker, default_conf):
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60)
}
))
@@ -143,9 +143,9 @@ def test_stoploss(mocker, default_conf):
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60)
}
))

140
freqtrade/tests/optimize/test_edge_cli.py Normal file
View File

@@ -0,0 +1,140 @@
# pragma pylint: disable=missing-docstring, C0103, C0330
# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
from unittest.mock import MagicMock
import json
from typing import List
from freqtrade.edge import Edge
from freqtrade.arguments import Arguments
from freqtrade.optimize.edge_cli import (EdgeCli, setup_configuration, start)
from freqtrade.tests.conftest import log_has, patch_exchange
def get_args(args) -> List[str]:
return Arguments(args, '').get_parsed_arg()
def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> None:
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'edge'
]
config = setup_configuration(get_args(args))
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
assert not log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert 'refresh_pairs' not in config
assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
assert 'timerange' not in config
assert 'stoploss_range' not in config
def test_setup_configuration_with_arguments(mocker, edge_conf, caplog) -> None:
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(edge_conf)
))
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--datadir', '/foo/bar',
'edge',
'--ticker-interval', '1m',
'--refresh-pairs-cached',
'--timerange', ':100',
'--stoplosses=-0.01,-0.10,-0.001'
]
config = setup_configuration(get_args(args))
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert log_has(
'Using ticker_interval: 1m ...',
caplog.record_tuples
)
assert 'refresh_pairs' in config
assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
assert 'timerange' in config
assert log_has(
'Parameter --timerange detected: {} ...'.format(config['timerange']),
caplog.record_tuples
)
def test_start(mocker, fee, edge_conf, caplog) -> None:
start_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.edge_cli.EdgeCli.start', start_mock)
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(edge_conf)
))
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'edge'
]
args = get_args(args)
start(args)
assert log_has(
'Starting freqtrade in Edge mode',
caplog.record_tuples
)
assert start_mock.call_count == 1
def test_edge_init(mocker, edge_conf) -> None:
patch_exchange(mocker)
edge_cli = EdgeCli(edge_conf)
assert edge_cli.config == edge_conf
assert callable(edge_cli.edge.calculate)
def test_generate_edge_table(edge_conf, mocker):
patch_exchange(mocker)
edge_cli = EdgeCli(edge_conf)
results = {}
info = {
'stoploss': -0.01,
'winrate': 0.60,
'risk_reward_ratio': 2,
'required_risk_reward': 1,
'expectancy': 3,
'nb_trades': 10,
'avg_trade_duration': 60
}
results['ETH/BTC'] = Edge._pair_info(**info)
assert edge_cli._generate_edge_table(results).count(':|') == 7
assert edge_cli._generate_edge_table(results).count('| ETH/BTC |') == 1
assert edge_cli._generate_edge_table(results).count(
'| risk reward ratio | required risk reward | expectancy |') == 1