diff --git a/docs/backtesting.md b/docs/backtesting.md index 172969ae2..5044c9243 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -29,25 +29,25 @@ The backtesting is very easy with freqtrade. #### With 5 min tickers (Per default) ```bash -python3 ./freqtrade/main.py backtesting --realistic-simulation +python3 ./freqtrade/main.py backtesting ``` #### With 1 min tickers ```bash -python3 ./freqtrade/main.py backtesting --realistic-simulation --ticker-interval 1m +python3 ./freqtrade/main.py backtesting --ticker-interval 1m ``` #### Update cached pairs with the latest data ```bash -python3 ./freqtrade/main.py backtesting --realistic-simulation --refresh-pairs-cached +python3 ./freqtrade/main.py backtesting --refresh-pairs-cached ``` #### With live data (do not alter your testdata files) ```bash -python3 ./freqtrade/main.py backtesting --realistic-simulation --live +python3 ./freqtrade/main.py backtesting --live ``` #### Using a different on-disk ticker-data source diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 25fc78f0a..4e479adac 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -117,18 +117,21 @@ python3 ./freqtrade/main.py -c config.json --db-url sqlite:///tradesv3.dry_run.s Backtesting also uses the config specified via `-c/--config`. ``` -usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--realistic-simulation] - [--timerange TIMERANGE] [-l] [-r] [--export EXPORT] - [--export-filename EXPORTFILENAME] - +usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--eps] [--dmmp] + [--timerange TIMERANGE] [-l] [-r] + [--export EXPORT] [--export-filename PATH] optional arguments: -h, --help show this help message and exit -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL specify ticker interval (1m, 5m, 30m, 1h, 1d) - --realistic-simulation - uses max_open_trades from config to simulate real - world limitations + --eps, --enable-position-stacking + Allow buying the same pair multiple times (position + stacking) + --dmmp, --disable-max-market-positions + Disable applying `max_open_trades` during backtest + (same as setting `max_open_trades` to a very high + number) --timerange TIMERANGE specify what timerange of data to use. -l, --live using live data @@ -138,11 +141,13 @@ optional arguments: run your backtesting with up-to-date data. --export EXPORT export backtest results, argument are: trades Example --export=trades - --export-filename EXPORTFILENAME + --export-filename PATH Save backtest results to this filename requires --export to be set as well Example --export- - filename=backtest_today.json (default: backtest- - result.json + filename=user_data/backtest_data/backtest_today.json + (default: user_data/backtest_data/backtest- + result.json) + ``` ### How to use --refresh-pairs-cached parameter? @@ -164,22 +169,28 @@ To optimize your strategy, you can use hyperopt parameter hyperoptimization to find optimal parameter values for your stategy. ``` -usage: main.py hyperopt [-h] [-i TICKER_INTERVAL] [--realistic-simulation] - [--timerange TIMERANGE] [-e INT] - [-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]] +usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--eps] [--dmmp] + [--timerange TIMERANGE] [-e INT] + [-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]] optional arguments: -h, --help show this help message and exit -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL specify ticker interval (1m, 5m, 30m, 1h, 1d) - --realistic-simulation - uses max_open_trades from config to simulate real - world limitations - --timerange TIMERANGE specify what timerange of data to use. + --eps, --enable-position-stacking + Allow buying the same pair multiple times (position + stacking) + --dmmp, --disable-max-market-positions + Disable applying `max_open_trades` during backtest + (same as setting `max_open_trades` to a very high + number) + --timerange TIMERANGE + specify what timerange of data to use. -e INT, --epochs INT specify number of epochs (default: 100) -s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...], --spaces {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...] Specify which parameters to hyperopt. Space separate list. Default: all + ``` ## A parameter missing in the configuration? diff --git a/freqtrade/arguments.py b/freqtrade/arguments.py index b43755c6f..022a2c739 100644 --- a/freqtrade/arguments.py +++ b/freqtrade/arguments.py @@ -176,11 +176,22 @@ class Arguments(object): type=str, ) parser.add_argument( - '--realistic-simulation', - help='uses max_open_trades from config to simulate real world limitations', + '--eps', '--enable-position-stacking', + help='Allow buying the same pair multiple times (position stacking)', action='store_true', - dest='realistic_simulation', + dest='position_stacking', + default=False ) + + parser.add_argument( + '--dmmp', '--disable-max-market-positions', + help='Disable applying `max_open_trades` during backtest ' + '(same as setting `max_open_trades` to a very high number)', + action='store_false', + dest='use_max_market_positions', + default=True + ) + parser.add_argument( '--timerange', help='specify what timerange of data to use.', diff --git a/freqtrade/configuration.py b/freqtrade/configuration.py index 7e3cf3e69..76faa9819 100644 --- a/freqtrade/configuration.py +++ b/freqtrade/configuration.py @@ -155,11 +155,18 @@ class Configuration(object): config.update({'live': True}) logger.info('Parameter -l/--live detected ...') - # If --realistic-simulation is used we add it to the configuration - if 'realistic_simulation' in self.args and self.args.realistic_simulation: - config.update({'realistic_simulation': True}) - logger.info('Parameter --realistic-simulation detected ...') - logger.info('Using max_open_trades: %s ...', config.get('max_open_trades')) + # If --enable-position-stacking is used we add it to the configuration + if 'position_stacking' in self.args and self.args.position_stacking: + config.update({'position_stacking': True}) + logger.info('Parameter --enable-position-stacking detected ...') + + # If --disable-max-market-positions is used we add it to the configuration + if 'use_max_market_positions' in self.args and not self.args.use_max_market_positions: + config.update({'use_max_market_positions': False}) + logger.info('Parameter --disable-max-market-positions detected ...') + logger.info('max_open_trades set to unlimited ...') + else: + logger.info('Using max_open_trades: %s ...', config.get('max_open_trades')) # If --timerange is used we add it to the configuration if 'timerange' in self.args and self.args.timerange: @@ -195,7 +202,7 @@ class Configuration(object): Extract information for sys.argv and load Hyperopt configuration :return: configuration as dictionary """ - # If --realistic-simulation is used we add it to the configuration + # If --epochs is used we add it to the configuration if 'epochs' in self.args and self.args.epochs: config.update({'epochs': self.args.epochs}) logger.info('Parameter --epochs detected ...') diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 9b5a4698d..a584e7ab0 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -202,13 +202,13 @@ class Backtesting(object): stake_amount: btc amount to use for each trade processed: a processed dictionary with format {pair, data} max_open_trades: maximum number of concurrent trades (default: 0, disabled) - realistic: do we try to simulate realistic trades? (default: True) + position_stacking: do we allow position stacking? (default: False) :return: DataFrame """ headers = ['date', 'buy', 'open', 'close', 'sell'] processed = args['processed'] max_open_trades = args.get('max_open_trades', 0) - realistic = args.get('realistic', False) + position_stacking = args.get('position_stacking', False) trades = [] trade_count_lock: Dict = {} for pair, pair_data in processed.items(): @@ -232,7 +232,7 @@ class Backtesting(object): if row.buy == 0 or row.sell == 1: continue # skip rows where no buy signal or that would immediately sell off - if realistic: + if not position_stacking: if lock_pair_until is not None and row.date <= lock_pair_until: continue if max_open_trades > 0: @@ -286,11 +286,11 @@ class Backtesting(object): if not data: logger.critical("No data found. Terminating.") return - # Ignore max_open_trades in backtesting, except realistic flag was passed - if self.config.get('realistic_simulation', False): + # Use max_open_trades in backtesting, except --disable-max-market-positions is set + if self.config.get('use_max_market_positions', True): max_open_trades = self.config['max_open_trades'] else: - logger.info('Ignoring max_open_trades (realistic_simulation not set) ...') + logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...') max_open_trades = 0 preprocessed = self.tickerdata_to_dataframe(data) @@ -310,7 +310,7 @@ class Backtesting(object): 'stake_amount': self.config.get('stake_amount'), 'processed': preprocessed, 'max_open_trades': max_open_trades, - 'realistic': self.config.get('realistic_simulation', False), + 'position_stacking': self.config.get('position_stacking', False), } ) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 3b4652883..59cc0f296 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -280,7 +280,7 @@ class Hyperopt(Backtesting): { 'stake_amount': self.config['stake_amount'], 'processed': processed, - 'realistic': self.config.get('realistic_simulation', False), + 'position_stacking': self.config.get('position_stacking', True), } ) result_explanation = self.format_results(results) diff --git a/freqtrade/tests/optimize/test_backtesting.py b/freqtrade/tests/optimize/test_backtesting.py index c7a9e2864..25d5e89c7 100644 --- a/freqtrade/tests/optimize/test_backtesting.py +++ b/freqtrade/tests/optimize/test_backtesting.py @@ -96,7 +96,7 @@ def simple_backtest(config, contour, num_results, mocker) -> None: 'stake_amount': config['stake_amount'], 'processed': processed, 'max_open_trades': 1, - 'realistic': True + 'position_stacking': False } ) # results :: @@ -127,7 +127,7 @@ def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None): 'stake_amount': conf['stake_amount'], 'processed': backtesting.tickerdata_to_dataframe(data), 'max_open_trades': 10, - 'realistic': True, + 'position_stacking': False, 'record': record } @@ -193,8 +193,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> assert 'live' not in config assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples) - assert 'realistic_simulation' not in config - assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples) + assert 'position_stacking' not in config + assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) assert 'refresh_pairs' not in config assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples) @@ -218,7 +218,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non 'backtesting', '--ticker-interval', '1m', '--live', - '--realistic-simulation', + '--enable-position-stacking', + '--disable-max-market-positions', '--refresh-pairs-cached', '--timerange', ':100', '--export', '/bar/foo', @@ -246,9 +247,12 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non assert 'live' in config assert log_has('Parameter -l/--live detected ...', caplog.record_tuples) - assert 'realistic_simulation' in config - assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples) - assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples) + assert 'position_stacking' in config + assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) + + assert 'use_max_market_positions' in config + assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples) + assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples) assert 'refresh_pairs' in config assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples) @@ -491,7 +495,7 @@ def test_backtest(default_conf, fee, mocker) -> None: 'stake_amount': default_conf['stake_amount'], 'processed': data_processed, 'max_open_trades': 10, - 'realistic': True + 'position_stacking': False } ) assert not results.empty @@ -539,7 +543,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None: 'stake_amount': default_conf['stake_amount'], 'processed': backtesting.tickerdata_to_dataframe(data), 'max_open_trades': 1, - 'realistic': True + 'position_stacking': False } ) assert not results.empty @@ -714,7 +718,8 @@ def test_backtest_start_live(default_conf, mocker, caplog): '--ticker-interval', '1m', '--live', '--timerange', '-100', - '--realistic-simulation' + '--enable-position-stacking', + '--disable-max-market-positions' ] args = get_args(args) start(args) @@ -723,14 +728,14 @@ def test_backtest_start_live(default_conf, mocker, caplog): 'Parameter -i/--ticker-interval detected ...', 'Using ticker_interval: 1m ...', 'Parameter -l/--live detected ...', - 'Using max_open_trades: 1 ...', + 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', 'Parameter --timerange detected: -100 ...', 'Using data folder: freqtrade/tests/testdata ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', 'Downloading data for all pairs in whitelist ...', 'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..', - 'Parameter --realistic-simulation detected ...' + 'Parameter --enable-position-stacking detected ...' ] for line in exists: diff --git a/freqtrade/tests/test_configuration.py b/freqtrade/tests/test_configuration.py index 3e088195f..e4ef9d8f5 100644 --- a/freqtrade/tests/test_configuration.py +++ b/freqtrade/tests/test_configuration.py @@ -276,8 +276,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> assert 'live' not in config assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples) - assert 'realistic_simulation' not in config - assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples) + assert 'position_stacking' not in config + assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) assert 'refresh_pairs' not in config assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples) @@ -301,7 +301,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non 'backtesting', '--ticker-interval', '1m', '--live', - '--realistic-simulation', + '--enable-position-stacking', + '--disable-max-market-positions', '--refresh-pairs-cached', '--timerange', ':100', '--export', '/bar/foo' @@ -331,9 +332,12 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non assert 'live' in config assert log_has('Parameter -l/--live detected ...', caplog.record_tuples) - assert 'realistic_simulation'in config - assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples) - assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples) + assert 'position_stacking'in config + assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) + + assert 'use_max_market_positions' in config + assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples) + assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples) assert 'refresh_pairs'in config assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)