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Fix performance when running tons of backtests

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This commit is contained in:
Matthias 2023-06-09 06:45:34 +02:00
parent 6b736c49d4
commit 05ea36f03b
2 changed files with 22 additions and 13 deletions
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31
freqtrade/optimize/backtesting.py
View File

@ -24,6 +24,7 @@ from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import (amount_to_contract_precision, price_to_precision,
timeframe_to_minutes, timeframe_to_seconds)
from freqtrade.exchange.exchange import Exchange
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.bt_progress import BTProgress
@ -72,7 +73,7 @@ class Backtesting:
backtesting.start()
"""
def __init__(self, config: Config) -> None:
def __init__(self, config: Config, exchange: Optional[Exchange] = None) -> None:
LoggingMixin.show_output = False
self.config = config
@ -89,7 +90,10 @@ class Backtesting:
self.rejected_df: Dict[str, Dict] = {}
self._exchange_name = self.config['exchange']['name']
self.exchange = ExchangeResolver.load_exchange(self.config, load_leverage_tiers=True)
if not exchange:
exchange = ExchangeResolver.load_exchange(self.config, load_leverage_tiers=True)
self.exchange = exchange
self.dataprovider = DataProvider(self.config, self.exchange)
if self.config.get('strategy_list'):
@ -114,16 +118,7 @@ class Backtesting:
self.timeframe_min = timeframe_to_minutes(self.timeframe)
self.init_backtest_detail()
self.pairlists = PairListManager(self.exchange, self.config, self.dataprovider)
if 'VolumePairList' in self.pairlists.name_list:
raise OperationalException("VolumePairList not allowed for backtesting. "
"Please use StaticPairList instead.")
if 'PerformanceFilter' in self.pairlists.name_list:
raise OperationalException("PerformanceFilter not allowed for backtesting.")
if len(self.strategylist) > 1 and 'PrecisionFilter' in self.pairlists.name_list:
raise OperationalException(
"PrecisionFilter not allowed for backtesting multiple strategies."
)
self._validate_pairlists_for_backtesting()
self.dataprovider.add_pairlisthandler(self.pairlists)
self.pairlists.refresh_pairlist()
@ -164,6 +159,18 @@ class Backtesting:
self.init_backtest()
def _validate_pairlists_for_backtesting(self):
if 'VolumePairList' in self.pairlists.name_list:
raise OperationalException("VolumePairList not allowed for backtesting. "
"Please use StaticPairList instead.")
if 'PerformanceFilter' in self.pairlists.name_list:
raise OperationalException("PerformanceFilter not allowed for backtesting.")
if len(self.strategylist) > 1 and 'PrecisionFilter' in self.pairlists.name_list:
raise OperationalException(
"PrecisionFilter not allowed for backtesting multiple strategies."
)
@staticmethod
def cleanup():
LoggingMixin.show_output = True

4
freqtrade/optimize/lookahead_analysis.py
View File

@ -46,6 +46,7 @@ class LookaheadAnalysis:
self.entry_varHolders: List[VarHolder] = []
self.exit_varHolders: List[VarHolder] = []
self.exchange = None
# pull variables the scope of the lookahead_analysis-instance
self.local_config = deepcopy(config)
@ -143,7 +144,8 @@ class LookaheadAnalysis:
str(self.dt_to_timestamp(varholder.to_dt)))
prepare_data_config['exchange']['pair_whitelist'] = pairs_to_load
backtesting = Backtesting(prepare_data_config)
backtesting = Backtesting(prepare_data_config, self.exchange)
self.exchange = backtesting.exchange
backtesting._set_strategy(backtesting.strategylist[0])
varholder.data, varholder.timerange = backtesting.load_bt_data()