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

No args for backtest(), use arguments

Browse Source
This commit is contained in:
hroff-1902 2019-12-14 02:12:16 +03:00 committed by Matthias
parent 82797e768f
commit f4c7edf551
2 changed files with 32 additions and 35 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

53
freqtrade/optimize/backtesting.py
View File

@ -279,30 +279,28 @@ class Backtesting:
return bt_res
return None
def backtest(self, args: Dict) -> DataFrame:
def backtest(self, processed: Dict, stake_amount: int,
start_date, end_date,
max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
"""
Implements backtesting functionality
Implement backtesting functionality
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
Of course try to not have ugly code. By some accessor are sometime slower than functions.
Avoid, logging on this method
Avoid extensive logging in this method and functions it calls.
:param args: a dict containing:
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)
position_stacking: do we allow position stacking? (default: False)
:return: DataFrame
:param processed: a processed dictionary with format {pair, data}
:param stake_amount: amount to use for each trade
:param start_date: backtesting timerange start datetime
: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?
:return: DataFrame with trades (results of backtesting)
"""
# Arguments are long and noisy, so this is commented out.
# Uncomment if you need to debug the backtest() method.
# logger.debug(f"Start backtest, args: {args}")
processed = args['processed']
stake_amount = args['stake_amount']
max_open_trades = args.get('max_open_trades', 0)
position_stacking = args.get('position_stacking', False)
start_date = args['start_date']
end_date = args['end_date']
logger.debug(f"Run backtest, stake_amount: {stake_amount}, "
f"start_date: {start_date}, end_date: {end_date}, "
f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}"
)
trades = []
trade_count_lock: Dict = {}
@ -369,18 +367,21 @@ class Backtesting:
def start(self) -> None:
"""
Run a backtesting end-to-end
Run backtesting end-to-end
:return: None
"""
data: Dict[str, Any] = {}
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
max_open_trades = self.config['max_open_trades']
else:
logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
position_stacking = self.config.get('position_stacking', False)
data, timerange = self.load_bt_data()
@ -403,14 +404,12 @@ class Backtesting:
)
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
{
'stake_amount': self.config.get('stake_amount'),
'processed': preprocessed,
'max_open_trades': max_open_trades,
'position_stacking': self.config.get('position_stacking', False),
'start_date': min_date,
'end_date': max_date,
}
processed=preprocessed,
stake_amount=self.config.get('stake_amount'),
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
)
for strategy, results in all_results.items():

14
freqtrade/optimize/hyperopt.py
View File

@ -372,14 +372,12 @@ class Hyperopt:
min_date, max_date = get_timerange(processed)
backtesting_results = self.backtesting.backtest(
{
'stake_amount': self.config['stake_amount'],
'processed': processed,
'max_open_trades': self.max_open_trades,
'position_stacking': self.position_stacking,
'start_date': min_date,
'end_date': max_date,
}
processed=processed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
)
return self._get_results_dict(backtesting_results, min_date, max_date,
params_dict, params_details)