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https://github.com/freqtrade/freqtrade.git
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Backtesting does not need to convert to BacktestResult object
This commit is contained in:
Matthias
parent
3b51545d23
commit
48977493bb
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@ -9,7 +9,7 @@ from copy import deepcopy
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from datetime import datetime, timedelta, timezone
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from typing import Any, Dict, List, NamedTuple, Optional, Tuple
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from pandas import DataFrame
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from pandas import DataFrame, to_datetime
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from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
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from freqtrade.constants import DATETIME_PRINT_FORMAT
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@ -264,7 +264,7 @@ class Backtesting:
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else:
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return sell_row[OPEN_IDX]
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def _get_sell_trade_entry(self, trade: Trade, sell_row: Tuple) -> Optional[BacktestResult]:
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def _get_sell_trade_entry(self, trade: Trade, sell_row: Tuple) -> Optional[Trade]:
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sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], sell_row[DATE_IDX],
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sell_row[BUY_IDX], sell_row[SELL_IDX],
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@ -276,25 +276,12 @@ class Backtesting:
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trade.close_date = sell_row[DATE_IDX]
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trade.sell_reason = sell.sell_type
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trade.close(closerate, show_msg=False)
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return trade
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return BacktestResult(pair=trade.pair,
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profit_percent=trade.calc_profit_ratio(rate=closerate),
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profit_abs=trade.calc_profit(rate=closerate),
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open_date=trade.open_date,
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open_rate=trade.open_rate,
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open_fee=self.fee,
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close_date=sell_row[DATE_IDX],
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close_rate=closerate,
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close_fee=self.fee,
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amount=trade.amount,
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trade_duration=trade_dur,
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open_at_end=False,
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sell_reason=sell.sell_type
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)
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return None
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def handle_left_open(self, open_trades: Dict[str, List[Trade]],
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data: Dict[str, List[Tuple]]) -> List[BacktestResult]:
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data: Dict[str, List[Tuple]]) -> List[Trade]:
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"""
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Handling of left open trades at the end of backtesting
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"""
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@ -304,24 +291,11 @@ class Backtesting:
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for trade in open_trades[pair]:
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sell_row = data[pair][-1]
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trade_entry = BacktestResult(pair=trade.pair,
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profit_percent=trade.calc_profit_ratio(
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rate=sell_row[OPEN_IDX]),
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profit_abs=trade.calc_profit(sell_row[OPEN_IDX]),
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open_date=trade.open_date,
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open_rate=trade.open_rate,
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open_fee=self.fee,
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close_date=sell_row[DATE_IDX],
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close_rate=sell_row[OPEN_IDX],
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close_fee=self.fee,
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amount=trade.amount,
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trade_duration=int((
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sell_row[DATE_IDX] - trade.open_date
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).total_seconds() // 60),
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open_at_end=True,
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sell_reason=SellType.FORCE_SELL
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)
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trades.append(trade_entry)
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trade.close_date = sell_row[DATE_IDX]
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trade.sell_reason = SellType.FORCE_SELL
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trade.close(sell_row[OPEN_IDX], show_msg=False)
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trade.is_open = True
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trades.append(trade)
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return trades
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def backtest(self, processed: Dict, stake_amount: float,
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@ -348,7 +322,7 @@ class Backtesting:
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f"start_date: {start_date}, end_date: {end_date}, "
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f"max_open_trades: {max_open_trades}, position_stacking: {position_stacking}"
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)
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trades = []
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trades: List[Trade] = []
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self.prepare_backtest(enable_protections)
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# Use dict of lists with data for performance
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@ -429,7 +403,16 @@ class Backtesting:
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trades += self.handle_left_open(open_trades, data=data)
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return DataFrame.from_records(trades, columns=BacktestResult._fields)
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cols = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
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'open_fee', 'close_fee', 'trade_duration',
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'profit_ratio', 'profit_percent', 'profit_abs', 'sell_reason',
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'initial_stop_loss_abs', 'initial_stop_loss_ratio' 'stop_loss', 'stop_loss_ratio',
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'min_rate', 'max_rate', 'is_open', ]
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df = DataFrame.from_records([t.to_json() for t in trades], columns=cols)
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if len(df) > 0:
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df.loc[:, 'close_date'] = to_datetime(df['close_date'], utc=True)
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df.loc[:, 'open_date'] = to_datetime(df['open_date'], utc=True)
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return df
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def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange):
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logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
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@ -253,7 +253,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
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results=results)
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left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
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max_open_trades=max_open_trades,
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results=results.loc[results['open_at_end']],
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results=results.loc[results['is_open']],
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skip_nan=True)
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daily_stats = generate_daily_stats(results)
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best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'],
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@ -629,7 +629,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
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# 100 buys signals
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assert len(results) == 100
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# One trade was force-closed at the end
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assert len(results.loc[results.open_at_end]) == 0
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assert len(results.loc[results['is_open']]) == 0
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@pytest.mark.parametrize("pair", ['ADA/BTC', 'LTC/BTC'])
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@ -811,7 +811,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
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'close_date': pd.to_datetime(['2018-01-29 20:45:00',
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'2018-01-30 05:35:00', ], utc=True),
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'trade_duration': [235, 40],
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'open_at_end': [False, False],
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'is_open': [False, False],
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'open_rate': [0.104445, 0.10302485],
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'close_rate': [0.104969, 0.103541],
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'sell_reason': [SellType.ROI, SellType.ROI]
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@ -827,7 +827,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
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'2018-01-30 05:35:00',
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'2018-01-30 08:30:00'], utc=True),
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'trade_duration': [47, 40, 20],
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'open_at_end': [False, False, False],
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'is_open': [False, False, False],
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'open_rate': [0.104445, 0.10302485, 0.122541],
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'close_rate': [0.104969, 0.103541, 0.123541],
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'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
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@ -72,7 +72,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
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"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
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"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
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"trade_duration": [123, 34, 31, 14],
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"open_at_end": [False, False, False, True],
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"is_open": [False, False, False, True],
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"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
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SellType.ROI, SellType.FORCE_SELL]
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}),
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