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Add parameter to enable protections for backtesting

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This commit is contained in:
Matthias
2020-11-23 20:29:29 +01:00
parent 32189d27c8
commit e2d15f4082
5 changed files with 25 additions and 5 deletions
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11
freqtrade/optimize/backtesting.py
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@@ -297,7 +297,8 @@ class Backtesting:
def backtest(self, processed: Dict, stake_amount: float,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
max_open_trades: int = 0, position_stacking: bool = False,
enable_protections: bool = False) -> DataFrame:
"""
Implement backtesting functionality
@@ -311,6 +312,7 @@ class Backtesting:
:param end_date: backtesting timerange end datetime
:param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
:param position_stacking: do we allow position stacking?
:param enable_protections: Should protections be enabled?
:return: DataFrame with trades (results of backtesting)
"""
logger.debug(f"Run backtest, stake_amount: {stake_amount}, "
@@ -334,7 +336,8 @@ class Backtesting:
while tmp <= end_date:
open_trade_count_start = open_trade_count
self.protections.global_stop(tmp)
if enable_protections:
self.protections.global_stop(tmp)
for i, pair in enumerate(data):
if pair not in indexes:
@@ -390,7 +393,8 @@ class Backtesting:
open_trade_count -= 1
open_trades[pair].remove(trade)
trades.append(trade_entry)
self.protections.stop_per_pair(pair, row[DATE_IDX])
if enable_protections:
self.protections.stop_per_pair(pair, row[DATE_IDX])
# Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.timeframe_min)
@@ -446,6 +450,7 @@ class Backtesting:
end_date=max_date.datetime,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
enable_protections=self.config.get('enable_protections'),
)
all_results[self.strategy.get_strategy_name()] = {
'results': results,