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

Rename --realistic-simulation to --enable-position-stacking

Browse Source
This commit is contained in:
Matthias 2018-07-17 20:26:59 +02:00
parent 78205da4f0
commit e17618407b
7 changed files with 38 additions and 35 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

8
docs/bot-usage.md
View File

@ -127,8 +127,8 @@ optional arguments:
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d)
--realistic-simulation
uses max_open_trades from config to simulate real
world limitations
Disables buying the same pair multiple times to
simulate real world limitations
--timerange TIMERANGE
specify what timerange of data to use.
-l, --live using live data
@ -173,8 +173,8 @@ optional arguments:
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d)
--realistic-simulation
uses max_open_trades from config to simulate real
world limitations
Disables buying the same pair multiple times to
simulate real world limitations
--timerange TIMERANGE specify what timerange of data to use.
-e INT, --epochs INT specify number of epochs (default: 100)
-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...], --spaces {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]

7
freqtrade/arguments.py
View File

@ -178,10 +178,11 @@ class Arguments(object):
type=str,
)
parser.add_argument(
'--realistic-simulation',
help='uses max_open_trades from config to simulate real world limitations',
'--enable-position-stacking',
help='Allow buying the same pair twice (position stacking)',
action='store_true',
dest='realistic_simulation',
dest='position_stacking',
default=False
)
parser.add_argument(
'--timerange',

11
freqtrade/configuration.py
View File

@ -142,10 +142,11 @@ class Configuration(object):
config.update({'live': True})
logger.info('Parameter -l/--live detected ...')
# If --realistic-simulation is used we add it to the configuration
if 'realistic_simulation' in self.args and self.args.realistic_simulation:
config.update({'realistic_simulation': True})
logger.info('Parameter --realistic-simulation detected ...')
# If --enable-position-stacking is used we add it to the configuration
if 'position_stacking' in self.args and self.args.position_stacking:
config.update({'position_stacking': True})
logger.info('Parameter --enable-position-stacking detected ...')
logger.info('Using max_open_trades: %s ...', config.get('max_open_trades'))
# If --timerange is used we add it to the configuration
@ -182,7 +183,7 @@ class Configuration(object):
Extract information for sys.argv and load Hyperopt configuration
:return: configuration as dictionary
"""
# If --realistic-simulation is used we add it to the configuration
# If --epochs is used we add it to the configuration
if 'epochs' in self.args and self.args.epochs:
config.update({'epochs': self.args.epochs})
logger.info('Parameter --epochs detected ...')

13
freqtrade/optimize/backtesting.py
View File

@ -198,13 +198,13 @@ class Backtesting(object):
stake_amount: btc amount to use for each trade
processed: a processed dictionary with format {pair, data}
max_open_trades: maximum number of concurrent trades (default: 0, disabled)
realistic: do we try to simulate realistic trades? (default: True)
position_stacking: do we allow position stacking? (default: False)
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
position_stacking = args.get('position_stacking', False)
trades = []
trade_count_lock: Dict = {}
for pair, pair_data in processed.items():
@ -228,7 +228,7 @@ class Backtesting(object):
if row.buy == 0 or row.sell == 1:
continue # skip rows where no buy signal or that would immediately sell off
if realistic:
if not position_stacking:
if lock_pair_until is not None and row.date <= lock_pair_until:
continue
if max_open_trades > 0:
@ -283,10 +283,11 @@ class Backtesting(object):
logger.critical("No data found. Terminating.")
return
# Ignore max_open_trades in backtesting, except realistic flag was passed
if self.config.get('realistic_simulation', False):
# TODO: this is not position stacking!!
if self.config.get('position_stacking', False):
max_open_trades = self.config['max_open_trades']
else:
logger.info('Ignoring max_open_trades (realistic_simulation not set) ...')
logger.info('Ignoring max_open_trades (position_stacking not set) ...')
max_open_trades = 0
preprocessed = self.tickerdata_to_dataframe(data)
@ -306,7 +307,7 @@ class Backtesting(object):
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'realistic': self.config.get('realistic_simulation', False),
'position_stacking': self.config.get('position_stacking', False),
}
)

2
freqtrade/optimize/hyperopt.py
View File

@ -280,7 +280,7 @@ class Hyperopt(Backtesting):
{
'stake_amount': self.config['stake_amount'],
'processed': processed,
'realistic': self.config.get('realistic_simulation', False),
'position_stacking': self.config.get('position_stacking', False),
}
)
result_explanation = self.format_results(results)

22
freqtrade/tests/optimize/test_backtesting.py
View File

@ -96,7 +96,7 @@ def simple_backtest(config, contour, num_results, mocker) -> None:
'stake_amount': config['stake_amount'],
'processed': processed,
'max_open_trades': 1,
'realistic': True
'position_stacking': False
}
)
# results :: <class 'pandas.core.frame.DataFrame'>
@ -127,7 +127,7 @@ def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
'stake_amount': conf['stake_amount'],
'processed': backtesting.tickerdata_to_dataframe(data),
'max_open_trades': 10,
'realistic': True,
'position_stacking': False,
'record': record
}
@ -193,8 +193,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
assert 'live' not in config
assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
assert 'realistic_simulation' not in config
assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
assert 'position_stacking' not in config
assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert 'refresh_pairs' not in config
assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
@ -218,7 +218,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'backtesting',
'--ticker-interval', '1m',
'--live',
'--realistic-simulation',
'--enable-position-stacking',
'--refresh-pairs-cached',
'--timerange', ':100',
'--export', '/bar/foo',
@ -246,8 +246,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'live' in config
assert log_has('Parameter -l/--live detected ...', caplog.record_tuples)
assert 'realistic_simulation' in config
assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
assert 'position_stacking' in config
assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples)
assert 'refresh_pairs' in config
@ -495,7 +495,7 @@ def test_backtest(default_conf, fee, mocker) -> None:
'stake_amount': default_conf['stake_amount'],
'processed': data_processed,
'max_open_trades': 10,
'realistic': True
'position_stacking': False
}
)
assert not results.empty
@ -543,7 +543,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
'stake_amount': default_conf['stake_amount'],
'processed': backtesting.tickerdata_to_dataframe(data),
'max_open_trades': 1,
'realistic': True
'position_stacking': False
}
)
assert not results.empty
@ -718,7 +718,7 @@ def test_backtest_start_live(default_conf, mocker, caplog):
'--ticker-interval', '1m',
'--live',
'--timerange', '-100',
'--realistic-simulation'
'--enable-position-stacking'
]
args = get_args(args)
start(args)
@ -734,7 +734,7 @@ def test_backtest_start_live(default_conf, mocker, caplog):
'Using stake_amount: 0.001 ...',
'Downloading data for all pairs in whitelist ...',
'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --realistic-simulation detected ...'
'Parameter --enable-position-stacking detected ...'
]
for line in exists:

10
freqtrade/tests/test_configuration.py
View File

@ -275,8 +275,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
assert 'live' not in config
assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
assert 'realistic_simulation' not in config
assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
assert 'position_stacking' not in config
assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert 'refresh_pairs' not in config
assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
@ -300,7 +300,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'backtesting',
'--ticker-interval', '1m',
'--live',
'--realistic-simulation',
'--enable-position-stacking',
'--refresh-pairs-cached',
'--timerange', ':100',
'--export', '/bar/foo'
@ -330,8 +330,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'live' in config
assert log_has('Parameter -l/--live detected ...', caplog.record_tuples)
assert 'realistic_simulation'in config
assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
assert 'position_stacking'in config
assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples)
assert 'refresh_pairs'in config