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Backslap bug on “stop loss triggered” indexes resolved

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This commit is contained in:
misagh 2018-09-20 16:15:53 +02:00
parent 88854cba2d
commit decaf6c42e
2 changed files with 34 additions and 11 deletions
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24
freqtrade/optimize/backslapping.py
View File

@ -136,7 +136,7 @@ class Backslapping:
bslap_results_df = [] bslap_results_df = []
bslap_results_df = DataFrame.from_records(bslap_results_df, columns=BacktestResult._fields) bslap_results_df = DataFrame.from_records(bslap_results_df, columns=BacktestResult._fields)
return bslap_results_df return bslap_results_df
def vector_fill_results_table(self, bslap_results_df: DataFrame, pair: str): def vector_fill_results_table(self, bslap_results_df: DataFrame, pair: str):
@ -280,10 +280,19 @@ class Backslapping:
# debug = False # print values, to check accuracy # debug = False # print values, to check accuracy
debug_2loops = self.debug_2loops # only loop twice, for faster debug debug_2loops = self.debug_2loops # only loop twice, for faster debug
debug_timing = self.debug_timing # print timing for each step debug_timing = self.debug_timing # print timing for each step
debug = self.debug # print values, to check accuracy #debug = self.debug # print values, to check accuracy
debug = False
ticker_data = ticker_data.sort_values(by=['date'])
ticker_data = ticker_data.reset_index(drop=True)
#pandas_df = df.toPandas()
#pandas_df.to_json
# Read Stop Loss Values and Stake # Read Stop Loss Values and Stake
# pdb.set_trace()
stop = self.stop_loss_value stop = self.stop_loss_value
#stop = stoploss
p_stop = (stop + 1) # What stop really means, e.g 0.01 is 0.99 of price p_stop = (stop + 1) # What stop really means, e.g 0.01 is 0.99 of price
if debug: if debug:
@ -583,7 +592,7 @@ class Backslapping:
elif np_t_sell_ind < 99999999 and np_t_sell_ind < np_t_stop_ind: elif np_t_sell_ind < 99999999 and np_t_sell_ind < np_t_stop_ind:
# move sell onto next candle, we only look back on sell # move sell onto next candle, we only look back on sell
# will use the open price later. # will use the open price later.
t_exit_ind = t_open_ind + np_t_sell_ind + 1 # Set Exit row index t_exit_ind = t_open_ind + np_t_sell_ind # Set Exit row index
t_exit_type = SellType.SELL_SIGNAL # Set Exit type (sell) t_exit_type = SellType.SELL_SIGNAL # Set Exit type (sell)
np_t_exit_pri = np_open # The price field our SELL exit will use np_t_exit_pri = np_open # The price field our SELL exit will use
if debug: if debug:
@ -693,6 +702,7 @@ class Backslapping:
if t_exit_type == SellType.STOP_LOSS: if t_exit_type == SellType.STOP_LOSS:
if np_t_exit_pri == 6: if np_t_exit_pri == 6:
np_trade_exit_price = np_t_stop_pri np_trade_exit_price = np_t_stop_pri
t_exit_ind = t_exit_ind + 1
else: else:
np_trade_exit_price = np_bslap[t_exit_ind, np_t_exit_pri] np_trade_exit_price = np_bslap[t_exit_ind, np_t_exit_pri]
if t_exit_type == SellType.SELL_SIGNAL: if t_exit_type == SellType.SELL_SIGNAL:
@ -736,6 +746,7 @@ class Backslapping:
opportunity to close any more trades. opportunity to close any more trades.
""" """
# TODO :add handing here to record none closed open trades # TODO :add handing here to record none closed open trades
if debug: if debug:
print(bslap_pair_results) print(bslap_pair_results)
@ -745,6 +756,12 @@ class Backslapping:
Add trade to backtest looking results list of dicts Add trade to backtest looking results list of dicts
Loop back to look for more trades. Loop back to look for more trades.
""" """
# We added +1 to t_exit_ind if the exit was a stop-loss, to not exit early in the IF of this ELSE
# removing the +1 here so prices match.
if t_exit_type == SellType.STOP_LOSS:
t_exit_ind = t_exit_ind - 1
# Build trade dictionary # Build trade dictionary
## In general if a field can be calculated later from other fields leave blank here ## In general if a field can be calculated later from other fields leave blank here
## Its X(number of trades faster) to calc all in a single vector than 1 trade at a time ## Its X(number of trades faster) to calc all in a single vector than 1 trade at a time
@ -753,6 +770,7 @@ class Backslapping:
close_index: int = t_exit_ind close_index: int = t_exit_ind
bslap_result = {} # Must have at start or we end up with a list of multiple same last result bslap_result = {} # Must have at start or we end up with a list of multiple same last result
bslap_result["pair"] = pair bslap_result["pair"] = pair
bslap_result["stoploss"] = stop
bslap_result["profit_percent"] = "" # To be 1 vector calc across trades when loop complete bslap_result["profit_percent"] = "" # To be 1 vector calc across trades when loop complete
bslap_result["profit_abs"] = "" # To be 1 vector calc across trades when loop complete bslap_result["profit_abs"] = "" # To be 1 vector calc across trades when loop complete
bslap_result["open_time"] = np_bslap_dates[t_open_ind + 1] # use numpy array, pandas 20x slower bslap_result["open_time"] = np_bslap_dates[t_open_ind + 1] # use numpy array, pandas 20x slower

21
freqtrade/optimize/edge.py
View File

@ -133,6 +133,10 @@ class Edge:
if self.debug_timing: # Start timer if self.debug_timing: # Start timer
fl = self.s() fl = self.s()
# Sorting dataframe by date and reset index
pair_data = pair_data.sort_values(by=['date'])
pair_data = pair_data.reset_index(drop=True)
ticker_data = self.populate_sell_trend( ticker_data = self.populate_sell_trend(
self.populate_buy_trend(pair_data))[headers].copy() self.populate_buy_trend(pair_data))[headers].copy()
@ -151,11 +155,6 @@ class Edge:
for stoploss in stoploss_range: for stoploss in stoploss_range:
bslap_results += self.backslap_pair(ticker_data, pair, round(stoploss, 3)) bslap_results += self.backslap_pair(ticker_data, pair, round(stoploss, 3))
#bslap_results += self.backslap_pair(ticker_data, pair, -0.05)
# bslap_pair_results = self.backslap_pair(ticker_data, pair, -0.05)
# last_bslap_results = bslap_results
# bslap_results = last_bslap_results + bslap_pair_results
if self.debug_timing: # print time taken if self.debug_timing: # print time taken
tt = self.f(st) tt = self.f(st)
@ -627,7 +626,7 @@ class Edge:
elif np_t_sell_ind < 99999999 and np_t_sell_ind < np_t_stop_ind: elif np_t_sell_ind < 99999999 and np_t_sell_ind < np_t_stop_ind:
# move sell onto next candle, we only look back on sell # move sell onto next candle, we only look back on sell
# will use the open price later. # will use the open price later.
t_exit_ind = t_open_ind + np_t_sell_ind # Set Exit row index t_exit_ind = t_open_ind + np_t_sell_ind # Set Exit row index
t_exit_type = SellType.SELL_SIGNAL # Set Exit type (sell) t_exit_type = SellType.SELL_SIGNAL # Set Exit type (sell)
np_t_exit_pri = np_open # The price field our SELL exit will use np_t_exit_pri = np_open # The price field our SELL exit will use
if debug: if debug:
@ -737,6 +736,7 @@ class Edge:
if t_exit_type == SellType.STOP_LOSS: if t_exit_type == SellType.STOP_LOSS:
if np_t_exit_pri == 6: if np_t_exit_pri == 6:
np_trade_exit_price = np_t_stop_pri np_trade_exit_price = np_t_stop_pri
t_exit_ind = t_exit_ind + 1
else: else:
np_trade_exit_price = np_bslap[t_exit_ind, np_t_exit_pri] np_trade_exit_price = np_bslap[t_exit_ind, np_t_exit_pri]
if t_exit_type == SellType.SELL_SIGNAL: if t_exit_type == SellType.SELL_SIGNAL:
@ -780,7 +780,7 @@ class Edge:
opportunity to close any more trades. opportunity to close any more trades.
""" """
# TODO :add handing here to record none closed open trades # TODO :add handing here to record none closed open trades
if debug: if debug:
print(bslap_pair_results) print(bslap_pair_results)
break break
@ -789,6 +789,12 @@ class Edge:
Add trade to backtest looking results list of dicts Add trade to backtest looking results list of dicts
Loop back to look for more trades. Loop back to look for more trades.
""" """
# We added +1 to t_exit_ind if the exit was a stop-loss, to not exit early in the IF of this ELSE
# removing the +1 here so prices match.
if t_exit_type == SellType.STOP_LOSS:
t_exit_ind = t_exit_ind - 1
# Build trade dictionary # Build trade dictionary
## In general if a field can be calculated later from other fields leave blank here ## In general if a field can be calculated later from other fields leave blank here
## Its X(number of trades faster) to calc all in a single vector than 1 trade at a time ## Its X(number of trades faster) to calc all in a single vector than 1 trade at a time
@ -1014,6 +1020,5 @@ args = arguments.get_parsed_arg()
config = setup_configuration(args) config = setup_configuration(args)
config["strategy"] = "MultiRSI"
edge = Edge(config) edge = Edge(config)
edge.start() edge.start()