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Merge pull request #3134 from freqtrade/backtesting_memory

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Backtesting memory and dataframe
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hroff-1902 2020-04-13 23:08:45 +03:00 committed by GitHub
commit 4d80f52db4
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3 changed files with 19 additions and 3 deletions
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4
freqtrade/optimize/backtesting.py
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@ -149,8 +149,8 @@ class Backtesting:
# To avoid using data from future, we use buy/sell signals shifted
# from the previous candle
df_analyzed.loc[:, 'buy'] = df_analyzed['buy'].shift(1)
df_analyzed.loc[:, 'sell'] = df_analyzed['sell'].shift(1)
df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1)
df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1)
df_analyzed.drop(df_analyzed.head(1).index, inplace=True)

5
freqtrade/strategy/interface.py
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@ -467,8 +467,11 @@ class IStrategy(ABC):
"""
Creates a dataframe and populates indicators for given candle (OHLCV) data
Used by optimize operations only, not during dry / live runs.
Using .copy() to get a fresh copy of the dataframe for every strategy run.
Has positive effects on memory usage for whatever reason - also when
using only one strategy.
"""
return {pair: self.advise_indicators(pair_data, {'pair': pair})
return {pair: self.advise_indicators(pair_data.copy(), {'pair': pair})
for pair, pair_data in data.items()}
def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

13
tests/strategy/test_interface.py
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@ -168,6 +168,19 @@ def test_ohlcvdata_to_dataframe(default_conf, testdatadir) -> None:
assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
def test_ohlcvdata_to_dataframe_copy(mocker, default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators')
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
strategy.ohlcvdata_to_dataframe(data)
assert aimock.call_count == 1
# Ensure that a copy of the dataframe is passed to advice_indicators
assert aimock.call_args_list[0][0][0] is not data
def test_min_roi_reached(default_conf, fee) -> None:
# Use list to confirm sequence does not matter