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Update buy to entry in backtesting

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This commit is contained in:
Matthias 2022-04-24 14:28:15 +02:00
parent 3637549a5e
commit 3c17409bd7
1 changed files with 11 additions and 11 deletions
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22
freqtrade/optimize/backtesting.py
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@ -332,11 +332,11 @@ class Backtesting:
self.dataprovider._set_cached_df(
pair, self.timeframe, df_analyzed, self.config['candle_type_def'])
# Create a copy of the dataframe before shifting, that way the buy signal/tag
# Create a copy of the dataframe before shifting, that way the entry signal/tag
# remains on the correct candle for callbacks.
df_analyzed = df_analyzed.copy()
# To avoid using data from future, we use buy/sell signals shifted
# To avoid using data from future, we use entry/exit signals shifted
# from the previous candle
for col in headers[5:]:
tag_col = col in ('enter_tag', 'exit_tag')
@ -649,7 +649,7 @@ class Backtesting:
proposed_rate=propose_rate, entry_tag=entry_tag,
side=direction,
) # default value is the open rate
# We can't place orders higher than current high (otherwise it'd be a stop limit buy)
# We can't place orders higher than current high (otherwise it'd be a stop limit entry)
# which freqtrade does not support in live.
if direction == "short":
propose_rate = max(propose_rate, row[LOW_IDX])
@ -813,7 +813,7 @@ class Backtesting:
if len(open_trades[pair]) > 0:
for trade in open_trades[pair]:
if trade.open_order_id and trade.nr_of_successful_entries == 0:
# Ignore trade if buy-order did not fill yet
# Ignore trade if entry-order did not fill yet
continue
sell_row = data[pair][-1]
@ -869,7 +869,7 @@ class Backtesting:
# Remove trade due to entry timeout expiration.
return True
else:
# Close additional buy order
# Close additional entry order
del trade.orders[trade.orders.index(order)]
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
@ -882,7 +882,7 @@ class Backtesting:
self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
try:
# Row is treated as "current incomplete candle".
# Buy / sell signals are shifted by 1 to compensate for this.
# entry / exit signals are shifted by 1 to compensate for this.
row = data[pair][row_index]
except IndexError:
# missing Data for one pair at the end.
@ -947,14 +947,14 @@ class Backtesting:
self.dataprovider._set_dataframe_max_index(row_index)
for t in list(open_trades[pair]):
# 1. Cancel expired buy/sell orders.
# 1. Cancel expired entry/exit orders.
if self.check_order_cancel(t, current_time):
# Close trade due to buy timeout expiration.
# Close trade due to entry timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(t)
self.wallets.update()
# 2. Process buys.
# 2. Process entries.
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected
# don't open on the last row
@ -970,7 +970,7 @@ class Backtesting:
if trade:
# TODO: hacky workaround to avoid opening > max_open_trades
# This emulates previous behavior - not sure if this is correct
# Prevents buying if the trade-slot was freed in this candle
# Prevents entering if the trade-slot was freed in this candle
open_trade_count_start += 1
open_trade_count += 1
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
@ -1052,7 +1052,7 @@ class Backtesting:
"No data left after adjusting for startup candles.")
# Use preprocessed_tmp for date generation (the trimmed dataframe).
# Backtesting will re-trim the dataframes after buy/sell signal generation.
# Backtesting will re-trim the dataframes after entry/exit signal generation.
min_date, max_date = history.get_timerange(preprocessed_tmp)
logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '