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Add orders column to btresult

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This commit is contained in:
Matthias 2022-05-26 07:17:22 +02:00
parent 79107fd062
commit 0b806af487
5 changed files with 28 additions and 8 deletions
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4
freqtrade/data/btanalysis.py
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@ -26,7 +26,7 @@ BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
'profit_ratio', 'profit_abs', 'exit_reason',
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'enter_tag',
'is_short'
'is_short', 'open_timestamp', 'close_timestamp', 'orders'
]
@ -283,6 +283,8 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
if 'enter_tag' not in df.columns:
df['enter_tag'] = df['buy_tag']
df = df.drop(['buy_tag'], axis=1)
if 'orders' not in df.columns:
df.loc[:, 'orders'] = None
else:
# old format - only with lists.

4
freqtrade/optimize/optimize_reports.py
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@ -4,7 +4,6 @@ from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, List, Union
from numpy import int64
from pandas import DataFrame, to_datetime
from tabulate import tabulate
@ -417,9 +416,6 @@ def generate_strategy_stats(pairlist: List[str],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
if not results.empty:
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days or 1
strat_stats = {

4
tests/data/test_btanalysis.py
View File

@ -85,7 +85,7 @@ def test_load_backtest_data_new_format(testdatadir):
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
assert isinstance(bt_data, DataFrame)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
assert set(bt_data.columns) == set(BT_DATA_COLUMNS)
assert len(bt_data) == 179
# Test loading from string (must yield same result)
@ -110,7 +110,7 @@ def test_load_backtest_data_multi(testdatadir):
bt_data = load_backtest_data(filename, strategy=strategy)
assert isinstance(bt_data, DataFrame)
assert set(bt_data.columns) == set(
BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
BT_DATA_COLUMNS)
assert len(bt_data) == 179
# Test loading from string (must yield same result)

17
tests/optimize/test_backtesting.py
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@ -795,10 +795,27 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'is_open': [False, False],
'enter_tag': [None, None],
"is_short": [False, False],
'open_timestamp': [1517251200000, 1517283000000],
'close_timestamp': [1517265300000, 1517285400000],
'orders': [
[
{'amount': 0.00957442, 'safe_price': 0.104445, 'ft_order_side': 'buy',
'order_filled_timestamp': 1517251200000, 'ft_is_entry': True},
{'amount': 0.00957442, 'safe_price': 0.10496853383458644, 'ft_order_side': 'sell',
'order_filled_timestamp': 1517265300000, 'ft_is_entry': False}
], [
{'amount': 0.0097064, 'safe_price': 0.10302485, 'ft_order_side': 'buy',
'order_filled_timestamp': 1517283000000, 'ft_is_entry': True},
{'amount': 0.0097064, 'safe_price': 0.10354126528822055, 'ft_order_side': 'sell',
'order_filled_timestamp': 1517285400000, 'ft_is_entry': False}
]
]
})
pd.testing.assert_frame_equal(results, expected)
assert 'orders' in results.columns
data_pair = processed[pair]
for _, t in results.iterrows():
assert len(t['orders']) == 2
ln = data_pair.loc[data_pair["date"] == t["open_date"]]
# Check open trade rate alignes to open rate
assert ln is not None

7
tests/optimize/test_backtesting_adjust_position.py
View File

@ -70,9 +70,14 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
'is_open': [False, False],
'enter_tag': [None, None],
'is_short': [False, False],
'open_timestamp': [1517251200000, 1517283000000],
'close_timestamp': [1517265300000, 1517285400000],
})
pd.testing.assert_frame_equal(results, expected)
pd.testing.assert_frame_equal(results.drop(columns=['orders']), expected)
data_pair = processed[pair]
assert len(results.iloc[0]['orders']) == 6
assert len(results.iloc[1]['orders']) == 2
for _, t in results.iterrows():
ln = data_pair.loc[data_pair["date"] == t["open_date"]]
# Check open trade rate alignes to open rate