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Merge branch 'develop' into feat/kevinjulian/add-buy-signal-name

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This commit is contained in:
Kevin Julian
2021-07-20 19:19:46 +07:00
committed by GitHub
parent ed30c023cd f870c0099b
commit edf9c08f06
100 changed files with 2487 additions and 635 deletions
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57
freqtrade/optimize/backtesting.py
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@@ -17,10 +17,11 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import SellType
from freqtrade.enums import BacktestState, SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.bt_progress import BTProgress
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
store_backtest_stats)
from freqtrade.persistence import LocalTrade, PairLocks, Trade
@@ -58,6 +59,7 @@ class Backtesting:
LoggingMixin.show_output = False
self.config = config
self.results: Optional[Dict[str, Any]] = None
# Reset keys for backtesting
remove_credentials(self.config)
@@ -117,6 +119,10 @@ class Backtesting:
# Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
self.progress = BTProgress()
self.abort = False
def __del__(self):
LoggingMixin.show_output = True
@@ -129,6 +135,8 @@ class Backtesting:
"""
self.strategy: IStrategy = strategy
strategy.dp = self.dataprovider
# Attach Wallets to Strategy baseclass
IStrategy.wallets = self.wallets
# Set stoploss_on_exchange to false for backtesting,
# since a "perfect" stoploss-sell is assumed anyway
# And the regular "stoploss" function would not apply to that case
@@ -145,6 +153,8 @@ class Backtesting:
Loads backtest data and returns the data combined with the timerange
as tuple.
"""
self.progress.init_step(BacktestState.DATALOAD, 1)
timerange = TimeRange.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
@@ -168,6 +178,7 @@ class Backtesting:
timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe),
self.required_startup, min_date)
self.progress.set_new_value(1)
return data, timerange
def prepare_backtest(self, enable_protections):
@@ -182,6 +193,15 @@ class Backtesting:
self.rejected_trades = 0
self.dataprovider.clear_cache()
def check_abort(self):
"""
Check if abort was requested, raise DependencyException if that's the case
Only applies to Interactive backtest mode (webserver mode)
"""
if self.abort:
self.abort = False
raise DependencyException("Stop requested")
def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
"""
Helper function to convert a processed dataframes into lists for performance reasons.
@@ -192,8 +212,12 @@ class Backtesting:
# and eventually change the constants for indexes at the top
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_signal_name']
data: Dict = {}
self.progress.init_step(BacktestState.CONVERT, len(processed))
# Create dict with data
for pair, pair_data in processed.items():
self.check_abort()
self.progress.increment()
if not pair_data.empty:
pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist
pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist
@@ -314,7 +338,18 @@ class Backtesting:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return None
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05)
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -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=row[OPEN_IDX],
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
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']
@@ -407,10 +442,13 @@ class Backtesting:
open_trades: Dict[str, List[LocalTrade]] = defaultdict(list)
open_trade_count = 0
self.progress.init_step(BacktestState.BACKTEST, int(
(end_date - start_date) / timedelta(minutes=self.timeframe_min)))
# Loop timerange and get candle for each pair at that point in time
while tmp <= end_date:
open_trade_count_start = open_trade_count
self.check_abort()
for i, pair in enumerate(data):
row_index = indexes[pair]
try:
@@ -466,6 +504,7 @@ class Backtesting:
self.protections.global_stop(tmp)
# Move time one configured time_interval ahead.
self.progress.increment()
tmp += timedelta(minutes=self.timeframe_min)
trades += self.handle_left_open(open_trades, data=data)
@@ -481,6 +520,8 @@ class Backtesting:
}
def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange):
self.progress.init_step(BacktestState.ANALYZE, 0)
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
backtest_start_time = datetime.now(timezone.utc)
self._set_strategy(strat)
@@ -507,6 +548,7 @@ class Backtesting:
"No data left after adjusting for startup candles.")
min_date, max_date = history.get_timerange(preprocessed)
logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(max_date - min_date).days} days).')
@@ -541,11 +583,12 @@ class Backtesting:
for strat in self.strategylist:
min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
if len(self.strategylist) > 0:
stats = generate_backtest_stats(data, self.all_results,
min_date=min_date, max_date=max_date)
self.results = generate_backtest_stats(data, self.all_results,
min_date=min_date, max_date=max_date)
if self.config.get('export', 'none') == 'trades':
store_backtest_stats(self.config['exportfilename'], stats)
store_backtest_stats(self.config['exportfilename'], self.results)
# Show backtest results
show_backtest_results(self.config, stats)
show_backtest_results(self.config, self.results)