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485 Commits

Author SHA1 Message Date
Matthias
a39860e0de Add tests for rejected signals 2021-05-23 14:15:02 +02:00
Matthias
7f125315b0 Track Rejected Trades 
closes #3423
 2021-05-23 09:42:05 +02:00
Matthias
f398888865 Refactor preprocessed trimming to seperate method 2021-05-21 08:26:19 +02:00
Kamontat Chantrachirathumrong
c2b9da68e1
fix indent 2021-05-20 11:56:11 +07:00
Kamontat Chantrachirathumrong
48210170e7
wrap with is not empty 2021-05-20 11:49:25 +07:00
Kamontat Chantrachirathumrong
082fb11bbe
Avoid having error cannot set a frame with no defined index and a scalar 2021-05-20 01:54:48 +07:00
Matthias
ef4d1c24d7
Merge pull request #4941 from brookmiles/fix-stoploss-above-candle 
prevent backtest stoploss trade price being set above candle high
 2021-05-19 06:20:35 +02:00
Rokas Kupstys
2d5f465f1b Fix protections being loaded multiple times for first strategy when backtesting. 2021-05-15 13:37:03 +03:00
Rokas Kupstys
29fed37df3 Fix exception when few pairs with no data do not result in aborting backtest. 
Exception is triggered by backtesting 20210301-20210501 range with BAKE/USDT pair (binance). Pair data starts on 2021-04-30 12:00:00 and after adjusting for startup candles pair dataframe is empty.

Solution: Since there are other pairs with enough data - skip pairs with no data and issue a warning.

Exception:
```
Traceback (most recent call last):
  File "/home/rk/src/freqtrade/freqtrade/main.py", line 37, in main
    return_code = args['func'](args)
  File "/home/rk/src/freqtrade/freqtrade/commands/optimize_commands.py", line 53, in start_backtesting
    backtesting.start()
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 502, in start
    min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 474, in backtest_one_strategy
    results = self.backtest(
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 365, in backtest
    data: Dict = self._get_ohlcv_as_lists(processed)
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 199, in _get_ohlcv_as_lists
    pair_data.loc[:, 'buy'] = 0  # cleanup from previous run
  File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 692, in __setitem__
    iloc._setitem_with_indexer(indexer, value, self.name)
  File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 1587, in _setitem_with_indexer
    raise ValueError(
ValueError: cannot set a frame with no defined index and a scalar
```
 2021-05-15 13:37:03 +03:00
Brook Miles
2eac23a15f if stoploss price is above the candle high, set it to candle open instead. this can occur if stoploss had previously been reached but the sell was prevented by confirm_trade_exit 2021-05-15 15:38:51 +09:00
Matthias
92186d89a2 Add some changes to strategytemplate 2021-05-09 09:56:36 +02:00
Rokas Kupstys
8d8c782bd0 Slice dataframe in backtesting, preventing access to rows past current time. 2021-05-08 18:40:49 +03:00
Rokas Kupstys
f1eb653545 Fix strategy protections not being loaded in backtesting. 2021-05-08 10:29:47 +03:00
Rokas Kupstys
1b01ad6f85 Make exchange parameter optional and do not use it as parameter in backtesting. 2021-05-08 10:29:47 +03:00
Rokas Kupstys
d344194b36 Fix dataprovider in hyperopt. 2021-05-08 10:29:47 +03:00
Rokas Kupstys
6fb4d83ab3 Fix dataprovider in hyperopt. 2021-05-08 10:29:47 +03:00
Rokas Kupstys
cdfa6adbe5 Store pair datafrmes in dataprovider for backtesting. 2021-05-08 10:29:47 +03:00
Rokas Kupstys
d34da3f981 Revert "Add dataframe parameter to custom_stoploss() and custom_sell() methods." 
This reverts commit 595b8735f8.

# Conflicts:
#	freqtrade/optimize/backtesting.py
#	freqtrade/strategy/interface.py
 2021-05-08 10:29:47 +03:00
Matthias
554f5f14b6 Raise exception if no data is left 2021-05-07 06:41:15 +02:00
Matthias
4f529fe424 Don't use Arrow to get min/max backtest dates 2021-05-06 19:43:14 +02:00
Matthias
f2e182002d Simplify calling backtesting by returning the proper result 2021-05-02 09:46:27 +02:00
Matthias
7c8a367442 Update docs to not promote stoploss / take-profit 2021-04-28 20:36:06 +02:00
Matthias
2061162d79 Convert trade-opendate to python datetime 2021-04-26 20:01:13 +02:00
Rokas Kupstys
98f6fce2ec Use correct sell reason in case of custom sell reason. 2021-04-25 09:48:40 +03:00
Rokas Kupstys
595b8735f8 Add dataframe parameter to custom_stoploss() and custom_sell() methods. 2021-04-25 09:48:40 +03:00
Rokas Kupstys
1aad128d85 Support returning a string from custom_sell() and have it recorded as custom sell reason. 2021-04-25 09:48:40 +03:00
Matthias
88f26971fa Use defaultdict for backtesting 2021-04-24 19:15:09 +02:00
Matthias
f12e002686
Merge pull request #4775 from freqtrade/fix_wallet_unlimited 
Fix wallet unlimited
 2021-04-24 15:54:06 +02:00
Matthias
df16fbd742 Add "dataload complete" message to backtest + hyperopt 2021-04-23 19:22:41 +02:00
Matthias
d8c8a8d8c2 Remvoe pointless arguments from get_trade_stake_amount 2021-04-21 20:01:10 +02:00
Matthias
cfa9315e2a Prevent out of candle ROI sells 2021-04-20 20:29:53 +02:00
Matthias
89bbfd2324 Remove candle_count from dataframe before backtesting 
closes #3754
 2021-03-29 20:26:54 +02:00
Matthias
292ea8c1d0
Update backtesting.py 2021-03-25 09:34:33 +01:00
rextea
0ca95aa0c2 Change rate to acctual close rate 2021-03-25 10:25:25 +02:00
Matthias
ec15610bff Fix isort issue 2021-03-24 19:21:07 +01:00
rextea
f51f4b1817 Add confirm_trade_exit and confirm_trade_entry to backtesting 2021-03-23 10:35:46 +02:00
rextea
dc4ea604dd Add confirm_trade_exit and confirm_trade_entry to backtesting 2021-03-23 10:19:16 +02:00
rextea
eb5d69dcd4 Add confirm_trade_exit and confirm_trade_entry to backtesting 2021-03-23 10:12:08 +02:00
rextea
6856963aef Add confirm_trade_exit and confirm_trade_entry to backtesting 2021-03-23 10:09:41 +02:00
Matthias
b57c150654 Final balance should include forcesold pairs 2021-03-14 09:48:40 +01:00
Matthias
d1acc8092c Improve backtest performance 2021-03-13 10:17:14 +01:00
Matthias
0db5c9746f
Merge pull request #4454 from freqtrade/backtest_compound_speed 
Backtest compound, wallet, ...
 2021-03-10 10:07:40 +01:00
Matthias
4b550dab17 Always reset fake-databases 
Otherwise results may stick around for the next strategy
 2021-03-08 19:40:29 +01:00
Matthias
0b81b58d28 Use pandas.values.tolist instead of itertuples 
speeds up backtesting
closes #4494
 2021-03-07 11:28:54 +01:00
Matthias
2083cf6ddf Fix mypy errors introduced by Arrow update 2021-03-01 08:57:57 +01:00
Matthias
b2e9295d7f Small stylistic fixes 2021-02-27 19:57:42 +01:00
Matthias
324b9dbdff Simplify wallet code 2021-02-27 10:33:25 +01:00
Matthias
98f3142b30 Improve handling of backtesting params 2021-02-27 09:33:00 +01:00
Matthias
fc256749af Add test for backtesting _enter_trade 2021-02-27 09:33:00 +01:00
Matthias
53a57f2c81 Change some types 
Fix types of new model object
 2021-02-27 09:33:00 +01:00
Matthias
03eb23a4ce 2 levels of Trade models, one with and one without sqlalchemy 
Fixes a performance issue when backtesting with sqlalchemy, as that
uses descriptors for all properties.
 2021-02-27 09:33:00 +01:00
Matthias
394a6bbf2a Fix some type errors 2021-02-27 09:33:00 +01:00
Matthias
52acacbed5 Check min-trade-stake in backtesting 2021-02-27 09:33:00 +01:00
Matthias
7913166453 Improve performance by updating wallets only when necessary 2021-02-27 09:33:00 +01:00
Matthias
74fc4bdab5 Shorten debug log 2021-02-27 09:32:59 +01:00
Matthias
8d61a26382 Allow dynamic stake for backtesting and hyperopt 2021-02-27 09:32:59 +01:00
Matthias
e4abe902fc Enable compounding for backtesting 2021-02-27 09:32:59 +01:00
Matthias
0faa6f84dc Improve Wallet logging disabling for backtesting 2021-02-27 09:32:59 +01:00
Matthias
081b9be45c use get_all_locks to get locks for backtest result 2021-02-27 09:32:59 +01:00
Matthias
712d503e6c Use sell-reason value in backtesting, not the enum object 2021-02-27 09:32:59 +01:00
Matthias
9361aa1c95 Add wallets to backtesting 2021-02-27 09:32:59 +01:00
Matthias
789a980a30 Fix tests for new export format 2021-01-24 19:42:32 +01:00
Matthias
deb8432d33 Streamline trade to dataframe conversion 2021-01-24 08:58:41 +01:00
Matthias
8ee264bc59 Don't use profit_percent for backtesting results anymore 2021-01-24 08:58:41 +01:00
Matthias
48977493bb Backtesting does not need to convert to BacktestResult object 2021-01-24 08:58:41 +01:00
Matthias
0b65fe6afe Capture backtest start / end time 2021-01-14 19:09:25 +01:00
Matthias
9147106259 call bot_loop_start() in backtesting to allow setup-code to run 2021-01-14 19:09:25 +01:00
Matthias
baa1142afa Use preprocessed to get min/max date in hyperopt 2021-01-14 19:09:21 +01:00
Matthias
9d4cdcad10 Extract backtesting of one strategy 2021-01-14 19:04:42 +01:00
Matthias
f3de0dd3eb Fix support for protections in hyperopt 
closes #4208
 2021-01-14 06:53:40 +01:00
Matthias
f11fd2fee1 Sort imports 2020-12-23 17:00:02 +01:00
Matthias
67193bca3d Move pairlists to be a plugin submodule 2020-12-23 16:54:35 +01:00
Matthias
266031a6be Disallow PerformanceFilter for backtesting 
closes #4072
 2020-12-16 19:24:47 +01:00
Matthias
f047297995 Improve wording, fix bug 2020-12-07 15:48:06 +01:00
Matthias
5849d07497 Export locks as part of backtesting 2020-12-07 11:39:01 +01:00
Matthias
bb51da8297 Fix slow backtest due to protections 2020-12-07 11:39:01 +01:00
Matthias
75a5161650 Support multis-strategy backtests with protections 2020-12-07 11:39:01 +01:00
Matthias
a3f9cd2c26 Only load protections when necessary 2020-12-07 11:39:01 +01:00
Matthias
e2d15f4082 Add parameter to enable protections for backtesting 2020-12-07 11:39:01 +01:00
Matthias
32189d27c8 Disable output from plugins in backtesting 2020-12-07 11:39:01 +01:00
Matthias
9f34aebdaa Allow closing trades without message 2020-12-07 11:39:01 +01:00
Matthias
b606936eb7 Make changes to backtesting to incorporate protections 2020-12-07 11:39:01 +01:00
Matthias
e73203acb8 FIx bug with dmmp 2020-11-01 10:51:07 +01:00
Matthias
cf2ae788d7 Convert backtesting rows to Tuples for performance gains 2020-10-18 17:16:57 +02:00
Matthias
5d3a67d324 Don't debug-log during backtesting. 
Even though log-messages are surpressed, calling "debug" will always
have to do something.
 2020-10-18 16:38:16 +02:00
Matthias
b80a219d03 Improve typehints for backtesting 2020-10-18 16:35:23 +02:00
Matthias
2591a34db4 Don't use arrow objects for backtesting 2020-10-18 16:18:52 +02:00
Matthias
23278e52db remove obsolete logging statements 2020-10-08 20:22:59 +02:00
Matthias
e8f2c09f08 Extract handling of left open trades to seperate method 2020-10-08 20:11:45 +02:00
Matthias
52502193c4 Backtesting should not double-loop for sell signals 2020-10-07 20:59:05 +02:00
Matthias
253b7b763e Apply isort to freqtrade codebase 2020-09-28 19:40:46 +02:00
Matthias
bb27b236ce Remove unused arguments 2020-09-26 14:55:12 +02:00
Matthias
ff3e2641ae generate_backtest_stats must take config options from the strategy 
config

as a strategy can override certain options.
 2020-09-25 20:47:37 +02:00
Matthias
284d39930f Allow using pairlists through dataprovider in backtesting 2020-08-30 10:07:28 +02:00
Matthias
3d515ed5bf
Merge pull request #3558 from freqtrade/bt_add_maxdrawdown 
Revise backtesting export format, add some metrics
 2020-08-19 06:39:47 +02:00
Matthias
87e4a82041 Merge branch 'develop' into bt_add_maxdrawdown 2020-08-09 08:34:36 +02:00
Matthias
2afe1d5b11 Add link to full sample 2020-08-08 17:30:31 +02:00
Matthias
dd430455e4 Enable dataprovier for hyperopt 2020-08-08 17:04:32 +02:00
Matthias
c1191400a4 Allow 0 fee value by correctly checking for None 2020-07-15 19:20:20 +02:00
Matthias
0d15a87af8 Remove old store_backtest method 2020-07-03 20:21:32 +02:00