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Simplify backtesting by removing now unnecessary private function

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This commit is contained in:
Matthias 2023-01-21 18:00:57 +01:00
parent 89eb1b0084
commit 80bb120026
2 changed files with 21 additions and 27 deletions
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42
freqtrade/optimize/backtesting.py
View File

@ -575,26 +575,6 @@ class Backtesting:
""" Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
row: Tuple) -> Optional[LocalTrade]:
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def _get_exit_for_signal(
self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple,
amount: Optional[float] = None) -> Optional[LocalTrade]:
@ -694,8 +674,7 @@ class Backtesting:
trade.orders.append(order)
return trade
def _get_exit_trade_entry(
self, trade: LocalTrade, row: Tuple, is_first: bool) -> Optional[LocalTrade]:
def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
@ -707,7 +686,22 @@ class Backtesting:
close_date=exit_candle_time,
)
return self._get_exit_trade_entry_for_candle(trade, row)
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
@ -1102,7 +1096,7 @@ class Backtesting:
# 4. Create exit orders (if any)
if not trade.open_order_id:
self._get_exit_trade_entry(trade, row, is_first) # Place exit order if necessary
self._get_exit_trade_entry(trade, row) # Place exit order if necessary
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)

6
tests/optimize/test_backtesting.py
View File

@ -614,7 +614,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
assert trade is None
def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
def test_backtest__get_exit_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_exit_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
@ -660,7 +660,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
]
# No data available.
res = backtesting._get_exit_trade_entry(trade, row_sell, True)
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@ -673,7 +673,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_exit_trade_entry(trade, row, True)
res = backtesting._get_exit_trade_entry(trade, row)
assert res is None