{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"from freqtrade.arguments import Arguments\n",
"from freqtrade.configuration import Configuration\n",
"from freqtrade.analyze import Analyze\n",
"from freqtrade import constants"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"from argparse import Namespace"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"from importlib import reload"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
""
],
"text/vnd.plotly.v1+html": [
""
]
},
"metadata": {},
"output_type": "display_data"
}
],
"source": [
"import plotly.offline as py\n",
"import plotly.graph_objs as go\n",
"#needed to have the display in the jupyter notebook:\n",
"py.init_notebook_mode(connected=True)"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [],
"source": [
"from freqtrade import exchange\n",
"import freqtrade.optimize as optimize\n",
"from freqtrade.optimize import backtesting\n"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [],
"source": [
"argList = ['-s', 'BinHV45', 'backtesting', '--timerange=20180105-', '--ticker-interval', '5m', '--realistic-simulation']\n",
"arguments = Arguments(\n",
" argList,\n",
" 'Fake command line for now '\n",
" )\n",
"args = arguments.get_parsed_arg()"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"outputs": [],
"source": [
"args.config = \"..\\\\\" + args.config\n",
"args.datadir = \"..\\\\\" + args.datadir"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {
"scrolled": true
},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-13 21:55:40,532 - freqtrade.configuration - INFO - Log level set to INFO\n",
"2018-05-13 21:55:40,532 - freqtrade.configuration - INFO - Parameter -i/--ticker-interval detected ...\n",
"2018-05-13 21:55:40,548 - freqtrade.configuration - INFO - Using ticker_interval: 5m ...\n",
"2018-05-13 21:55:40,549 - freqtrade.configuration - INFO - Parameter --realistic-simulation detected ...\n",
"2018-05-13 21:55:40,551 - freqtrade.configuration - INFO - Using max_open_trades: 3 ...\n",
"2018-05-13 21:55:40,554 - freqtrade.configuration - INFO - Parameter --timerange detected: 20180105- ...\n",
"2018-05-13 21:55:40,556 - freqtrade.configuration - INFO - Parameter --datadir detected: ..\\freqtrade\\tests\\testdata ...\n"
]
}
],
"source": [
"configuration = Configuration(args)\n",
"config = configuration.get_config()"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-13 21:55:40,829 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:55:40,844 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:55:41,318 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n"
]
}
],
"source": [
"exchange.init(config)\n",
"analyze = Analyze(config)"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [],
"source": [
"pairs = config['exchange']['pair_whitelist']\n",
"ticker_interval = config['ticker_interval']"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [],
"source": [
"timerange = Arguments.parse_timerange(config.get('timerange'))\n",
"data = optimize.load_data(\n",
" config['datadir'],\n",
" pairs=pairs,\n",
" ticker_interval=ticker_interval,\n",
" refresh_pairs=config.get('refresh_pairs', False),\n",
" timerange=timerange\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {},
"outputs": [],
"source": [
"def CumulProfit( df ):\n",
" #cumul Profit :\n",
" curSum = 100\n",
" df.loc[:, 'CumulPL'] = curSum\n",
" columnIndex = df.columns.get_loc('CumulPL')\n",
" for i in range(1, len(df)):\n",
" curSum = curSum * ( 1.0 + df.iloc[i]['profit_percent'])\n",
" df.iloc[i,columnIndex] = curSum"
]
},
{
"cell_type": "code",
"execution_count": 13,
"metadata": {},
"outputs": [],
"source": [
"def GraphRoundTripList( roundTripList, curveNames=[] ):\n",
" data = []\n",
" index = 0\n",
" line100 = go.Scatter( x= [ roundTripList[0].iloc[0, :]['sell_date'], roundTripList[0].iloc[-1, :]['sell_date']], \n",
" y=[100.0,100.0],\n",
" name=\"\",\n",
" line = dict( color = ('rgb(200, 200, 200)'), width = 4)\n",
" )\n",
" data.append(line100)\n",
" for rt in roundTripList:\n",
" graphName = 'pair' + str(index)\n",
" if index < len(curveNames):\n",
" graphName = curveNames[index] \n",
" graph = go.Scatter( x = rt['sell_date'], y=rt['CumulPL'], name=graphName)\n",
" index += 1\n",
" data.append(graph)\n",
" fig = go.Figure(data=data)\n",
" py.iplot(fig)"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"outputs": [],
"source": [
"sell_profit_only = config.get('experimental', {}).get('sell_profit_only', False)\n",
"use_sell_signal = config.get('experimental', {}).get('use_sell_signal', False)\n",
"max_open_trades = config['max_open_trades']"
]
},
{
"cell_type": "code",
"execution_count": 15,
"metadata": {},
"outputs": [],
"source": [
"preprocessed = analyze.tickerdata_to_dataframe(data)"
]
},
{
"cell_type": "code",
"execution_count": 16,
"metadata": {},
"outputs": [],
"source": [
"min_date, max_date = backtesting.Backtesting.get_timeframe(preprocessed)"
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {},
"outputs": [],
"source": [
"def getCumulProfitForStrat( strat ):\n",
" config['strategy'] = strat\n",
" analyze = Analyze(config)\n",
" preprocessed = analyze.tickerdata_to_dataframe(data)\n",
" myBacktesting = backtesting.Backtesting(config)\n",
" results = myBacktesting.backtest(\n",
" {\n",
" 'stake_amount': config.get('stake_amount'),\n",
" 'processed': preprocessed,\n",
" 'max_open_trades': max_open_trades,\n",
" 'realistic': config.get('realistic_simulation', False),\n",
" 'sell_profit_only': sell_profit_only,\n",
" 'use_sell_signal': use_sell_signal,\n",
" 'record': config.get('export')\n",
" }\n",
" )\n",
" sortedResults = results.sort_values('sell_date') \n",
" sortedResults = sortedResults.reset_index(drop=True)\n",
" CumulProfit( sortedResults )\n",
" return sortedResults"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#strat_list = [ \"BinHV45\", \"Quickie\", \"Strategy006\", \"ASDTSRockwellTrading\", \"AverageStrategy\", \"BinHV27\", \"ClucMay72018\", \"CofiBitStrategy\", \"EMASkipPump\", \"MACDStrategy\", \"ReinforcedQuickie\", \"Simple\", \"SmoothOperator\"]\n",
"strat_list = [ \"BinHV45\", \"Quickie\", \"Strategy006\", \"ASDTSRockwellTrading\", \"AverageStrategy\", \"BinHV27\", \"ClucMay72018\", \"CofiBitStrategy\"]"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {},
"outputs": [],
"source": [
"strat_list = [ \"BinHV27\", \"BinHV45\", \"Quickie\", \"Strategy006\", \"ASDTSRockwellTrading\", \"AverageStrategy\", \"ClucMay72018\", \"CofiBitStrategy\", \"EMASkipPump\", \"MACDStrategy\",\"ReinforcedQuickie\", \"Simple\"]"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {
"scrolled": false
},
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-13 21:55:49,741 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:55:50,656 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:55:50,656 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:55:50,656 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:05,580 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:06,553 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:06,553 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:06,569 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:10,612 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:11,564 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:11,565 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:11,570 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:22,626 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:23,588 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:23,590 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:23,594 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:31,484 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:32,101 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:32,101 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:32,116 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:42,549 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:43,172 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:43,172 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:43,172 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:56:57,067 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:58,114 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:56:58,114 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:56:58,130 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:57:01,873 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:02,545 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:02,545 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:57:02,545 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:57:14,072 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:14,957 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:14,957 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:57:14,967 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:57:26,355 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:26,994 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:26,994 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:57:27,009 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:57:38,340 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"d:\\work\\finances\\freqtrade\\myfreqtrade\\freqtrade\\user_data\\strategies\\ReinforcedQuickie.py:188: FutureWarning:\n",
"\n",
"how in .resample() is deprecated\n",
"the new syntax is .resample(...)..apply()\n",
"\n",
"2018-05-13 21:57:40,765 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:40,765 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:57:40,765 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n",
"2018-05-13 21:57:49,061 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:49,916 - freqtrade.strategy.resolver - INFO - Override strategy 'ticker_interval' with value in config file: 5m.\n",
"2018-05-13 21:57:49,932 - freqtrade.exchange - INFO - Instance is running with dry_run enabled\n",
"2018-05-13 21:57:49,932 - freqtrade.exchange - INFO - Using Exchange \"Binance\"\n"
]
},
{
"data": {
"application/vnd.plotly.v1+json": {
"data": [
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"line": {
"color": "rgb(200, 200, 200)",
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"y": [
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{
"name": "BinHV27",
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"layout": {}
},
"text/html": [
""
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""
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"source": [
"result_list = []\n",
"for strat in strat_list:\n",
" stratResult = getCumulProfitForStrat( strat )\n",
" result_list.append( stratResult )\n",
"GraphRoundTripList( result_list, strat_list)"
]
},
{
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"execution_count": null,
"metadata": {},
"outputs": [],
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}
],
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