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In backtesting, ensure we don't buy the same pair again before selling (#139)

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* in backtesting, ensure we don't buy before we sell

* no overlapping trades only if max_open_trades > 0

* --limit-max-trades now --realistic-simulation
This commit is contained in:
Mathieu Favréaux 2017-11-24 20:09:44 +00:00 committed by Michael Egger
parent cfbfe90aa0
commit 371ee1e457
3 changed files with 15 additions and 8 deletions
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6
freqtrade/misc.py
View File

@ -147,10 +147,10 @@ def build_subcommands(parser: argparse.ArgumentParser) -> None:
metavar='INT', metavar='INT',
) )
backtest.add_argument( backtest.add_argument(
'--limit-max-trades', '--realistic-simulation',
help='uses max_open_trades from config to simulate real world limitations', help='uses max_open_trades from config to simulate real world limitations',
action='store_true', action='store_true',
dest='limit_max_trades', dest='realistic_simulation',
) )
@ -167,7 +167,7 @@ def start_backtesting(args) -> None:
'BACKTEST_LIVE': 'true' if args.live else '', 'BACKTEST_LIVE': 'true' if args.live else '',
'BACKTEST_CONFIG': args.config, 'BACKTEST_CONFIG': args.config,
'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval), 'BACKTEST_TICKER_INTERVAL': str(args.ticker_interval),
'BACKTEST_LIMIT_MAX_TRADES': 'true' if args.limit_max_trades else '', 'BACKTEST_REALISTIC_SIMULATION': 'true' if args.realistic_simulation else '',
}) })
path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py') path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py')
pytest.main(['-s', path]) pytest.main(['-s', path])

13
freqtrade/tests/test_backtesting.py
View File

@ -83,13 +83,14 @@ def generate_text_table(data: Dict[str, Dict], results: DataFrame, stake_currenc
return tabulate(tabular_data, headers=headers) return tabulate(tabular_data, headers=headers)
def backtest(config: Dict, processed, mocker, max_open_trades=0): def backtest(config: Dict, processed, mocker, max_open_trades=0, realistic=True):
""" """
Implements backtesting functionality Implements backtesting functionality
:param config: config to use :param config: config to use
:param processed: a processed dictionary with format {pair, data} :param processed: a processed dictionary with format {pair, data}
:param mocker: mocker instance :param mocker: mocker instance
:param max_open_trades: maximum number of concurrent trades (default: 0, disabled) :param max_open_trades: maximum number of concurrent trades (default: 0, disabled)
:param realistic: do we try to simulate realistic trades? (default: True)
:return: DataFrame :return: DataFrame
""" """
trades = [] trades = []
@ -100,7 +101,11 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
pair_data['buy'], pair_data['sell'] = 0, 0 pair_data['buy'], pair_data['sell'] = 0, 0
ticker = populate_sell_trend(populate_buy_trend(pair_data)) ticker = populate_sell_trend(populate_buy_trend(pair_data))
# for each buy point # for each buy point
lock_pair_until = None
for row in ticker[ticker.buy == 1].itertuples(index=True): for row in ticker[ticker.buy == 1].itertuples(index=True):
if realistic:
if lock_pair_until is not None and row.Index <= lock_pair_until:
continue
if max_open_trades > 0: if max_open_trades > 0:
# Check if max_open_trades has already been reached for the given date # Check if max_open_trades has already been reached for the given date
if not trade_count_lock.get(row.date, 0) < max_open_trades: if not trade_count_lock.get(row.date, 0) < max_open_trades:
@ -125,6 +130,7 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1: if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
current_profit = trade.calc_profit(row2.close) current_profit = trade.calc_profit(row2.close)
lock_pair_until = row2.Index
trades.append((pair, current_profit, row2.Index - row.Index)) trades.append((pair, current_profit, row2.Index - row.Index))
break break
@ -133,7 +139,7 @@ def backtest(config: Dict, processed, mocker, max_open_trades=0):
def get_max_open_trades(config): def get_max_open_trades(config):
if not os.environ.get('BACKTEST_LIMIT_MAX_TRADES'): if not os.environ.get('BACKTEST_REALISTIC_SIMULATION'):
return 0 return 0
print('Using max_open_trades: {} ...'.format(config['max_open_trades'])) print('Using max_open_trades: {} ...'.format(config['max_open_trades']))
return config['max_open_trades'] return config['max_open_trades']
@ -176,6 +182,7 @@ def test_backtest(backtest_conf, mocker):
)) ))
# Execute backtest and print results # Execute backtest and print results
results = backtest(config, preprocess(data), mocker, get_max_open_trades(config)) realistic = os.environ.get('BACKTEST_REALISTIC_SIMULATION')
results = backtest(config, preprocess(data), mocker, get_max_open_trades(config), realistic)
print('====================== BACKTESTING REPORT ======================================\n\n') print('====================== BACKTESTING REPORT ======================================\n\n')
print(generate_text_table(data, results, config['stake_currency'])) print(generate_text_table(data, results, config['stake_currency']))

4
freqtrade/tests/test_misc.py
View File

@ -109,7 +109,7 @@ def test_start_backtesting(mocker):
live=True, live=True,
loglevel=20, loglevel=20,
ticker_interval=1, ticker_interval=1,
limit_max_trades=True, realistic_simulation=True,
) )
start_backtesting(args) start_backtesting(args)
assert env_mock == { assert env_mock == {
@ -117,7 +117,7 @@ def test_start_backtesting(mocker):
'BACKTEST_LIVE': 'true', 'BACKTEST_LIVE': 'true',
'BACKTEST_CONFIG': 'config.json', 'BACKTEST_CONFIG': 'config.json',
'BACKTEST_TICKER_INTERVAL': '1', 'BACKTEST_TICKER_INTERVAL': '1',
'BACKTEST_LIMIT_MAX_TRADES': 'true', 'BACKTEST_REALISTIC_SIMULATION': 'true',
} }
assert pytest_mock.call_count == 1 assert pytest_mock.call_count == 1