From 0440a1917169eb9ed2e6fde713903fe9baec311a Mon Sep 17 00:00:00 2001 From: xmatthias Date: Sat, 23 Jun 2018 14:19:50 +0200 Subject: [PATCH] export open/close rate for backtesting too preparation to allow plotting of backtest results --- freqtrade/optimize/backtesting.py | 22 +++++++++++++------- freqtrade/tests/optimize/test_backtesting.py | 18 +++++++++++----- 2 files changed, 28 insertions(+), 12 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index ffb808a24..b5ed9b167 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -37,6 +37,8 @@ class BacktestResult(NamedTuple): close_index: int trade_duration: float open_at_end: bool + open_rate: float + close_rate: float class Backtesting(object): @@ -115,11 +117,13 @@ class Backtesting(object): def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None: - records = [(trade_entry.pair, trade_entry.profit_percent, - trade_entry.open_time.timestamp(), - trade_entry.close_time.timestamp(), - trade_entry.open_index - 1, trade_entry.trade_duration) - for index, trade_entry in results.iterrows()] + # columns = ["pair", "profit", "opents", "closets", "index", "duration", + # "open_rate", "close_rate", "open_at_end"] + + records = [(t.pair, t.profit_percent, t.open_time.timestamp(), + t.close_time.timestamp(), t.open_index - 1, t.trade_duration, + t.open_rate, t.close_rate, t.open_at_end) + for index, t in results.iterrows()] if records: logger.info('Dumping backtest results to %s', recordfilename) @@ -158,7 +162,9 @@ class Backtesting(object): trade_duration=(sell_row.date - buy_row.date).seconds // 60, open_index=buy_row.Index, close_index=sell_row.Index, - open_at_end=False + open_at_end=False, + open_rate=buy_row.close, + close_rate=sell_row.close ) if partial_ticker: # no sell condition found - trade stil open at end of backtest period @@ -171,7 +177,9 @@ class Backtesting(object): trade_duration=(sell_row.date - buy_row.date).seconds // 60, open_index=buy_row.Index, close_index=sell_row.Index, - open_at_end=True + open_at_end=True, + open_rate=buy_row.close, + close_rate=sell_row.close ) logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair, btr.profit_percent, btr.profit_abs) diff --git a/freqtrade/tests/optimize/test_backtesting.py b/freqtrade/tests/optimize/test_backtesting.py index 65aa00a70..4dda82463 100644 --- a/freqtrade/tests/optimize/test_backtesting.py +++ b/freqtrade/tests/optimize/test_backtesting.py @@ -604,9 +604,13 @@ def test_backtest_record(default_conf, fee, mocker): Arrow(2017, 11, 14, 22, 10, 00).datetime, Arrow(2017, 11, 14, 22, 43, 00).datetime, Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], "open_index": [1, 119, 153, 185], "close_index": [118, 151, 184, 199], - "trade_duration": [123, 34, 31, 14]}) + "trade_duration": [123, 34, 31, 14], + "open_at_end": [False, False, False, True] + }) backtesting._store_backtest_result("backtest-result.json", results) assert len(results) == 4 # Assert file_dump_json was only called once @@ -617,12 +621,16 @@ def test_backtest_record(default_conf, fee, mocker): # ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117) # Below follows just a typecheck of the schema/type of trade-records oix = None - for (pair, profit, date_buy, date_sell, buy_index, dur) in records: + for (pair, profit, date_buy, date_sell, buy_index, dur, + openr, closer, open_at_end) in records: assert pair == 'UNITTEST/BTC' - isinstance(profit, float) + assert isinstance(profit, float) # FIX: buy/sell should be converted to ints - isinstance(date_buy, str) - isinstance(date_sell, str) + assert isinstance(date_buy, float) + assert isinstance(date_sell, float) + assert isinstance(openr, float) + assert isinstance(closer, float) + assert isinstance(open_at_end, bool) isinstance(buy_index, pd._libs.tslib.Timestamp) if oix: assert buy_index > oix