mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
Merge pull request #1037 from freqtrade/fix/backtest-comment
replace --realistic with 2 separate flags
This commit is contained in:
Janne Sinivirta
GitHub
commit
0cc1b66ae7
|
|
@ -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
|
||||
|
|
|
|||
|
|
@ -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?
|
||||
|
|
|
|||
|
|
@ -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.',
|
||||
|
|
|
|||
|
|
@ -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 ...')
|
||||
|
|
|
|||
|
|
@ -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),
|
||||
}
|
||||
)
|
||||
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
|
|
|
|||
|
|
@ -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 :: <class 'pandas.core.frame.DataFrame'>
|
||||
|
|
@ -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:
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user