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Seperate detail data loading from regular backest-data loading

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This commit is contained in:
Matthias 2021-08-14 15:34:43 +02:00
parent 88172fab82
commit 8405ccc15e
7 changed files with 32 additions and 20 deletions
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2
freqtrade/commands/arguments.py
View File

@ -22,7 +22,7 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
"max_open_trades", "stake_amount", "fee", "pairs"]
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet", "detail_timeframe",
"enable_protections", "dry_run_wallet", "timeframe_detail",
"strategy_list", "export", "exportfilename"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",

2
freqtrade/commands/cli_options.py
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@ -135,7 +135,7 @@ AVAILABLE_CLI_OPTIONS = {
help='Override the value of the `stake_amount` configuration setting.',
),
# Backtesting
"detail_timeframe": Arg(
"timeframe_detail": Arg(
'--timeframe-detail',
help='Specify detail timeframe for backtesting (`1m`, `5m`, `30m`, `1h`, `1d`).',
),

4
freqtrade/configuration/configuration.py
View File

@ -242,9 +242,9 @@ class Configuration:
except ValueError:
pass
self._args_to_config(config, argname='detail_timeframe',
self._args_to_config(config, argname='timeframe_detail',
logstring='Parameter --detail-timeframe detected, '
'using {} for intra-candle backtesting')
'using {} for intra-candle backtesting ...')
self._args_to_config(config, argname='stake_amount',
logstring='Parameter --stake-amount detected, '
'overriding stake_amount to: {} ...')

39
freqtrade/optimize/backtesting.py
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@ -87,7 +87,7 @@ class Backtesting:
self.timeframe = str(self.config.get('timeframe'))
self.timeframe_min = timeframe_to_minutes(self.timeframe)
# Load detail timeframe if specified
self.timeframe_detail = str(self.config.get('detail_timeframe', ''))
self.timeframe_detail = str(self.config.get('timeframe_detail', ''))
if self.timeframe_detail:
self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail)
if self.timeframe_min <= self.timeframe_detail_min:
@ -96,6 +96,7 @@ class Backtesting:
else:
self.timeframe_detail_min = 0
self.detail_data: Dict[str, DataFrame] = {}
self.pairlists = PairListManager(self.exchange, self.config)
if 'VolumePairList' in self.pairlists.name_list:
@ -168,7 +169,7 @@ class Backtesting:
conf['protections'] = strategy.protections
self.protections = ProtectionManager(self.config, strategy.protections)
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange, Dict[str, DataFrame]]:
def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]:
"""
Loads backtest data and returns the data combined with the timerange
as tuple.
@ -184,18 +185,6 @@ class Backtesting:
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
)
if self.timeframe_detail:
detail_data = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.timeframe_detail,
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
)
else:
detail_data = None
min_date, max_date = history.get_timerange(data)
@ -208,7 +197,24 @@ class Backtesting:
self.required_startup, min_date)
self.progress.set_new_value(1)
return data, self.timerange, detail_data
return data, self.timerange
def load_bt_data_detail(self) -> None:
"""
Loads backtest detail data (smaller timeframe) if necessary.
"""
if self.timeframe_detail:
self.detail_data = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.timeframe_detail,
timerange=self.timerange,
startup_candles=0,
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
)
else:
self.detail_data = {}
def prepare_backtest(self, enable_protections):
"""
@ -637,7 +643,8 @@ class Backtesting:
"""
data: Dict[str, Any] = {}
data, timerange, self.detail_data = self.load_bt_data()
data, timerange = self.load_bt_data()
self.load_bt_data_detail()
logger.info("Dataload complete. Calculating indicators")
for strat in self.strategylist:

1
freqtrade/optimize/optimize_reports.py
View File

@ -368,6 +368,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'max_open_trades_setting': (config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe': config['timeframe'],
'timeframe_detail': config.get('timeframe_detail', ''),
'timerange': config.get('timerange', ''),
'enable_protections': config.get('enable_protections', False),
'strategy_name': strategy,

3
freqtrade/rpc/api_server/api_backtest.py
View File

@ -46,11 +46,14 @@ async def api_start_backtest(bt_settings: BacktestRequest, background_tasks: Bac
if (
not ApiServer._bt
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail')
or lastconfig.get('dry_run_wallet') != btconfig.get('dry_run_wallet', 0)
or lastconfig.get('timerange') != btconfig['timerange']
):
from freqtrade.optimize.backtesting import Backtesting
ApiServer._bt = Backtesting(btconfig)
if ApiServer._bt.timeframe_detail:
ApiServer._bt.load_bt_data_detail()
# Only reload data if timeframe changed.
if (

1
freqtrade/rpc/api_server/api_schemas.py
View File

@ -324,6 +324,7 @@ class PairHistory(BaseModel):
class BacktestRequest(BaseModel):
strategy: str
timeframe: Optional[str]
timeframe_detail: Optional[str]
timerange: Optional[str]
max_open_trades: Optional[int]
stake_amount: Optional[Union[float, str]]