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

Refactoring to use strategy based configuration

Browse Source
This commit is contained in:
Reigo Reinmets
2021-12-24 12:38:43 +02:00
parent ac690e9215
commit de79d25caf
13 changed files with 117 additions and 200 deletions
Download Patch File Download Diff File Expand all files Collapse all files

139
freqtrade/optimize/backtesting.py
View File

@@ -118,7 +118,6 @@ class Backtesting:
# Add maximum startup candle count to configuration for informative pairs support
self.config['startup_candle_count'] = self.required_startup
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
self.position_adjustment = bool(self.config.get('position_adjustment_enable', False))
self.init_backtest()
def __del__(self):
@@ -354,8 +353,12 @@ class Backtesting:
def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple
) -> LocalTrade:
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
# If there is any open orders, wait for them to finish.
for order in trade.orders:
if order.ft_is_open:
return trade
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
pair=trade.pair, trade=trade, current_time=row[DATE_IDX].to_pydatetime(),
@@ -363,56 +366,17 @@ class Backtesting:
# Check if we should increase our position
if stake_amount is not None and stake_amount > 0.0:
return self._execute_trade_position_change(trade, row, stake_amount)
pos_trade = self._enter_trade(trade.pair, row, stake_amount, trade)
if pos_trade is not None:
return pos_trade
return trade
def _execute_trade_position_change(self, trade: LocalTrade, row: Tuple,
stake_amount: float) -> LocalTrade:
current_price = row[OPEN_IDX]
propose_rate = min(max(current_price, row[LOW_IDX]), row[HIGH_IDX])
available_amount = self.wallets.get_available_stake_amount()
try:
min_stake_amount = self.exchange.get_min_pair_stake_amount(
trade.pair, propose_rate, -0.05) or 0
stake_amount = self.wallets.validate_stake_amount(trade.pair,
stake_amount, min_stake_amount)
stake_amount = self.wallets._check_available_stake_amount(stake_amount,
available_amount)
except DependencyException:
logger.debug(f"{trade.pair} adjustment failed, "
f"wallet is smaller than asked stake {stake_amount}")
return trade
amount = stake_amount / current_price
if amount <= 0:
logger.debug(f"{trade.pair} adjustment failed, amount ended up being zero {amount}")
return trade
buy_order = Order(
ft_is_open=False,
ft_pair=trade.pair,
symbol=trade.pair,
ft_order_side="buy",
side="buy",
order_type="market",
status="closed",
price=propose_rate,
average=propose_rate,
amount=amount,
cost=stake_amount
)
trade.orders.append(buy_order)
trade.recalc_trade_from_orders()
self.wallets.update()
return trade
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
# Check if we need to adjust our current positions
if self.position_adjustment:
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
@@ -490,11 +454,16 @@ class Backtesting:
else:
return self._get_sell_trade_entry_for_candle(trade, sell_row)
def _enter_trade(self, pair: str, row: List) -> Optional[LocalTrade]:
try:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return None
def _enter_trade(self, pair: str, row: Tuple, stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
pos_adjust = trade is not None
if stake_amount is None:
try:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return trade
# let's call the custom entry price, using the open price as default price
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
@@ -507,38 +476,47 @@ class Backtesting:
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
if not pos_adjust:
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
if not stake_amount:
return None
# In case of pos adjust, still return the original trade
# If not pos adjust, trade is None
return trade
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime()):
return None
if not pos_adjust:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime()):
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
# Enter trade
has_buy_tag = len(row) >= BUY_TAG_IDX + 1
trade = LocalTrade(
pair=pair,
open_rate=propose_rate,
open_date=row[DATE_IDX].to_pydatetime(),
stake_amount=stake_amount,
amount=round(stake_amount / propose_rate, 8),
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
exchange='backtesting',
)
amount = round(stake_amount / propose_rate, 8)
if trade is None:
# Enter trade
has_buy_tag = len(row) >= BUY_TAG_IDX + 1
trade = LocalTrade(
pair=pair,
open_rate=propose_rate,
open_date=row[DATE_IDX].to_pydatetime(),
stake_amount=stake_amount,
amount=amount,
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
exchange='backtesting',
orders=[]
)
order = Order(
ft_is_open=False,
ft_pair=trade.pair,
@@ -547,15 +525,16 @@ class Backtesting:
side="buy",
order_type="market",
status="closed",
price=trade.open_rate,
average=trade.open_rate,
amount=trade.amount,
cost=trade.stake_amount + trade.fee_open
price=propose_rate,
average=propose_rate,
amount=amount,
cost=stake_amount + trade.fee_open
)
trade.orders = []
trade.orders.append(order)
return trade
return None
if pos_adjust:
trade.recalc_trade_from_orders()
return trade
def handle_left_open(self, open_trades: Dict[str, List[LocalTrade]],
data: Dict[str, List[Tuple]]) -> List[LocalTrade]: