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https://github.com/freqtrade/freqtrade.git
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Works with reporting output
Bugs Calculating % prof ok, but abs wrong BAT/BTC DF is very broken all OHLC are the same - but exposes a buy after stop on last row "oddness" to be investigated / handled
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creslinux
parent
71c3106f8f
commit
4e68362d46
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@ -190,7 +190,7 @@ class Backtesting(object):
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return btr
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return None
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@profile
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def backtest(self, args: Dict) -> DataFrame:
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"""
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Implements backtesting functionality
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@ -309,9 +309,9 @@ class Backtesting(object):
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from datetime import datetime
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### backslap debug wrap
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debug_2loops = True # only loop twice, for faster debug
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debug_2loops = False # only loop twice, for faster debug
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debug_timing = False # print timing for each step
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debug = True # print values, to check accuracy
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debug = False # print values, to check accuracy
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# Read Stop Loss Values and Stake
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stop = self.stop_loss_value
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@ -354,8 +354,10 @@ class Backtesting(object):
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buy - open - close - sell - high - low - np_stop_pri
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"""
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bto = buys_triggered_on = "close"
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sto = stops_triggered_on = "low" ## Should be low, FT uses close
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sco = stops_calculated_on = "np_stop_pri" ## should use np_stop_pri, FT uses close
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# sto = stops_triggered_on = "low" ## Should be low, FT uses close
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# sco = stops_calculated_on = "np_stop_pri" ## should use np_stop_pri, FT uses close
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sto = stops_triggered_on = "close" ## Should be low, FT uses close
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sco = stops_calculated_on = "close" ## should use np_stop_pri, FT uses close
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'''
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Numpy arrays are used for 100x speed up
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We requires setting Int values for
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@ -371,8 +373,10 @@ class Backtesting(object):
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np_stop: int = 6
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np_bto: int = np_close # buys_triggered_on - should be close
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np_bco: int = np_open # buys calculated on - open of the next candle.
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np_sto: int = np_low # stops_triggered_on - Should be low, FT uses close
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np_sco: int = np_stop # stops_calculated_on - Should be stop, FT uses close
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#np_sto: int = np_low # stops_triggered_on - Should be low, FT uses close
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#np_sco: int = np_stop # stops_calculated_on - Should be stop, FT uses close
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np_sto: int = np_close # stops_triggered_on - Should be low, FT uses close
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np_sco: int = np_close # stops_calculated_on - Should be stop, FT uses close
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#
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### End Config
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@ -408,7 +412,7 @@ class Backtesting(object):
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if debug or debug_timing:
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print("-- T_exit_Ind - Numpy Index is", t_exit_ind, " ----------------------- Loop", loop, pair)
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if debug_2loops:
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if loop == 2:
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if loop == 3:
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print("++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++Loop debug max met - breaking")
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break
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'''
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@ -673,23 +677,25 @@ class Backtesting(object):
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# Profit ABS.
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# sumrecieved((rate * numTokens) * fee) - sumpaid ((rate * numTokens) * fee)
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sumpaid: float = (np_trade_enter_price * stake) * open_fee
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sumrecieved: float = (np_trade_exit_price * stake) * close_fee
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profit_abs: float = sumrecieved - sumpaid
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sumpaid: float = (np_trade_enter_price * stake)
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sumpaid_fee: float = sumpaid * open_fee
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sumrecieved: float = (np_trade_exit_price * stake)
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sumrecieved_fee: float = sumrecieved * close_fee
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profit_abs: float = sumrecieved - sumpaid - sumpaid_fee - sumrecieved_fee
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# build trade dictionary
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bslap_result["pair"] = pair
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bslap_result["profit_percent"] = (np_trade_exit_price - np_trade_enter_price) / np_trade_enter_price
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bslap_result["profit_abs"] = str.format('{0:.10f}', profit_abs)
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bslap_result["profit_abs"] = round(profit_abs, 15)
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bslap_result["open_time"] = trade_start
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bslap_result["close_time"] = trade_end
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bslap_result["open_index"] = t_open_ind + 1
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bslap_result["open_index"] = t_open_ind + 2 # +1 between np and df, +1 as we buy on next.
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bslap_result["close_index"] = close_index
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bslap_result["trade_duration"] = trade_mins
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bslap_result["open_at_end"] = False
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bslap_result["open_rate"] = str.format('{0:.10f}', np_trade_enter_price)
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bslap_result["close_rate"] = str.format('{0:.10f}', np_trade_exit_price)
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bslap_result["exit_type"] = t_exit_type
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bslap_result["open_rate"] = round(np_trade_enter_price, 15)
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bslap_result["close_rate"] = round(np_trade_exit_price, 15)
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#bslap_result["exit_type"] = t_exit_type
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# Add trade dictionary to list
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bslap_pair_results.append(bslap_result)
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if debug:
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@ -704,7 +710,7 @@ class Backtesting(object):
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if debug_timing:
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t_t = f(st)
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print("8", str.format('{0:.17f}', t_t))
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print("8+trade", str.format('{0:.17f}', t_t))
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# Send back List of trade dicts
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return bslap_pair_results
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@ -785,16 +791,17 @@ class Backtesting(object):
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)
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)
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logger.info(
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'\n=============================================== '
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'LEFT OPEN TRADES REPORT'
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' ===============================================\n'
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'%s',
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self._generate_text_table(
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data,
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results.loc[results.open_at_end]
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)
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)
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## TODO. Catch open trades for this report.
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# logger.info(
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# '\n=============================================== '
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# 'LEFT OPEN TRADES REPORT'
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# ' ===============================================\n'
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# '%s',
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# self._generate_text_table(
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# data,
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# results.loc[results.open_at_end]
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# )
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# )
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def setup_configuration(args: Namespace) -> Dict[str, Any]:
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