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Fixed Stop closing in Index 0

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when buy opening on Index 1
This commit is contained in:
creslinux 2018-07-17 10:59:17 +00:00
parent baaf0a5b21
commit ed4bf32f2a
1 changed files with 24 additions and 17 deletions
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41
freqtrade/optimize/backtesting.py
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@ -95,10 +95,10 @@ class Backtesting(object):
#self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close #self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close
self.use_backslap = True # Enable backslap - if false Orginal code is executed. self.use_backslap = True # Enable backslap - if false Orginal code is executed.
self.debug = False # Main debug enable, very print heavy, enable 2 loops recommended self.debug = True # Main debug enable, very print heavy, enable 2 loops recommended
self.debug_timing = False # Stages within Backslap self.debug_timing = False # Stages within Backslap
self.debug_2loops = False # Limit each pair to two loops, useful when debugging self.debug_2loops = False # Limit each pair to two loops, useful when debugging
self.debug_vector = False # Debug vector calcs self.debug_vector = True # Debug vector calcs
self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap
self.backslap_show_trades = False # prints trades in addition to summary report self.backslap_show_trades = False # prints trades in addition to summary report
@ -296,8 +296,10 @@ class Backtesting(object):
bslap_results_df = DataFrame(bslap_results) bslap_results_df = DataFrame(bslap_results)
if len(bslap_results_df) > 0: # Only post process a frame if it has a record if len(bslap_results_df) > 0: # Only post process a frame if it has a record
bslap_results_df['open_time'] = to_datetime(bslap_results_df['open_time']) # bslap_results_df['open_time'] = to_datetime(bslap_results_df['open_time'])
bslap_results_df['close_time'] = to_datetime(bslap_results_df['close_time']) # bslap_results_df['close_time'] = to_datetime(bslap_results_df['close_time'])
# if debug:
# print("open_time and close_time converted to datetime columns")
bslap_results_df = self.vector_fill_results_table(bslap_results_df, pair) bslap_results_df = self.vector_fill_results_table(bslap_results_df, pair)
else: else:
@ -373,7 +375,6 @@ class Backtesting(object):
print("Time to BackTest :", pair, round(tt, 10)) print("Time to BackTest :", pair, round(tt, 10))
print("-----------------------") print("-----------------------")
print("trades")
return DataFrame.from_records(trades, columns=BacktestResult._fields) return DataFrame.from_records(trades, columns=BacktestResult._fields)
####################### Original BT loop end ####################### Original BT loop end
@ -393,6 +394,7 @@ class Backtesting(object):
:return: bslap_results Dataframe :return: bslap_results Dataframe
""" """
import pandas as pd import pandas as pd
import numpy as np
debug = self.debug_vector debug = self.debug_vector
# stake and fees # stake and fees
@ -416,8 +418,6 @@ class Backtesting(object):
pd.set_option('max_colwidth', 40) pd.set_option('max_colwidth', 40)
pd.set_option('precision', 12) pd.set_option('precision', 12)
#Ony do Math on a dataframe that has an open; No result pairs contain the pair string only
# Populate duration
bslap_results_df['trade_duration'] = bslap_results_df['close_time'] - bslap_results_df['open_time'] bslap_results_df['trade_duration'] = bslap_results_df['close_time'] - bslap_results_df['open_time']
# if debug: # if debug:
# print(bslap_results_df[['open_time', 'close_time', 'trade_duration']]) # print(bslap_results_df[['open_time', 'close_time', 'trade_duration']])
@ -621,9 +621,9 @@ class Backtesting(object):
if t_open_ind != -1: if t_open_ind != -1:
""" """
1 - Create view to search within for our open trade 1 - Create views to search within for our open trade
The view is our search space for the next Stop or Sell The views are our search space for the next Stop or Sell
Numpy view is employed as: Numpy view is employed as:
1,000 faster than pandas searches 1,000 faster than pandas searches
Pandas cannot assure it will always return a view, it may make a slow copy. Pandas cannot assure it will always return a view, it may make a slow copy.
@ -633,9 +633,12 @@ class Backtesting(object):
Requires: np_bslap is our numpy array of the ticker DataFrame Requires: np_bslap is our numpy array of the ticker DataFrame
Requires: t_open_ind is the index row with the buy. Requires: t_open_ind is the index row with the buy.
Provided: np_t_open_v View of array after trade. Provides: np_t_open_v View of array after buy.
Provides: np_t_open_v_stop View of array after buy +1
(Stop will search in here to prevent stopping in the past)
""" """
np_t_open_v = np_bslap[t_open_ind:] np_t_open_v = np_bslap[t_open_ind:]
np_t_open_v_stop = np_bslap[t_open_ind +1:]
if debug: if debug:
print("\n(1) numpy debug \nNumpy view row 0 is now Ticker_Data Index", t_open_ind) print("\n(1) numpy debug \nNumpy view row 0 is now Ticker_Data Index", t_open_ind)
@ -675,23 +678,27 @@ class Backtesting(object):
where [np_sto] (stop tiggered on variable: "close", "low" etc) < np_t_stop_pri where [np_sto] (stop tiggered on variable: "close", "low" etc) < np_t_stop_pri
Requires: np_t_open_v Numpy view of ticker_data after trade open Requires: np_t_open_v_stop Numpy view of ticker_data after buy row +1 (when trade was opened)
Requires: np_sto User Var(STO)StopTriggeredOn. Typically set to "low" or "close" Requires: np_sto User Var(STO)StopTriggeredOn. Typically set to "low" or "close"
Requires: np_t_stop_pri The stop-loss price STO must fall under to trigger stop Requires: np_t_stop_pri The stop-loss price STO must fall under to trigger stop
Provides: np_t_stop_ind The first candle after trade open where STO is under stop-loss Provides: np_t_stop_ind The first candle after trade open where STO is under stop-loss
''' '''
np_t_stop_ind = utf1st.find_1st(np_t_open_v[:, np_sto], np_t_stop_ind = utf1st.find_1st(np_t_open_v_stop[:, np_sto],
np_t_stop_pri, np_t_stop_pri,
utf1st.cmp_smaller) utf1st.cmp_smaller)
# plus 1 as np_t_open_v_stop is 1 ahead of view np_t_open_v, used from here on out.
np_t_stop_ind = np_t_stop_ind +1
if debug: if debug:
print("\n(3) numpy debug\nNext view index with STO (stop trigger on) under Stop-Loss is", np_t_stop_ind, print("\n(3) numpy debug\nNext view index with STO (stop trigger on) under Stop-Loss is", np_t_stop_ind -1,
". STO is using field", np_sto, ". STO is using field", np_sto,
"\nFrom key: buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5\n") "\nFrom key: buy 0 - open 1 - close 2 - sell 3 - high 4 - low 5\n")
print("If -1 returned there is no stop found to end of view, then next two array lines are garbage") print("If -1 or 0 returned there is no stop found to end of view, then next two array lines are garbage")
print("Row", np_t_stop_ind, np_t_open_v[np_t_stop_ind]) print("Row", np_t_stop_ind -1 , np_t_open_v[np_t_stop_ind])
print("Row", np_t_stop_ind + 1, np_t_open_v[np_t_stop_ind + 1]) print("Row", np_t_stop_ind , np_t_open_v[np_t_stop_ind + 1])
if debug_timing: if debug_timing:
t_t = f(st) t_t = f(st)
print("3-numpy", str.format('{0:.17f}', t_t)) print("3-numpy", str.format('{0:.17f}', t_t))
@ -765,7 +772,7 @@ class Backtesting(object):
# cludge for logic test (-1) means it was not found, set crazy high to lose < test # cludge for logic test (-1) means it was not found, set crazy high to lose < test
np_t_sell_ind = 99999999 if np_t_sell_ind <= 0 else np_t_sell_ind np_t_sell_ind = 99999999 if np_t_sell_ind <= 0 else np_t_sell_ind
np_t_stop_ind = 99999999 if np_t_stop_ind == -1 else np_t_stop_ind np_t_stop_ind = 99999999 if np_t_stop_ind <= 0 else np_t_stop_ind
# Stoploss trigger found before a sell =1 # Stoploss trigger found before a sell =1
if np_t_stop_ind < 99999999 and np_t_stop_ind <= np_t_sell_ind: if np_t_stop_ind < 99999999 and np_t_stop_ind <= np_t_sell_ind: