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refactor: Simplify backtest code slightly

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This should also slighly improve performance for detail backtests
as it removes one comparison
This commit is contained in:
Matthias 2024-10-12 11:34:13 +02:00
parent bd7f0383d1
commit 883122a98b
1 changed files with 6 additions and 8 deletions
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14
freqtrade/optimize/backtesting.py
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@ -1332,9 +1332,8 @@ class Backtesting:
row: tuple, row: tuple,
pair: str, pair: str,
current_time: datetime, current_time: datetime,
end_date: datetime,
trade_dir: Optional[LongShort], trade_dir: Optional[LongShort],
is_first: bool = True, can_enter: bool,
) -> None: ) -> None:
""" """
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized. NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@ -1355,8 +1354,7 @@ class Backtesting:
# We only open trades on the main candle, not on detail candles # We only open trades on the main candle, not on detail candles
if ( if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0) (self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first and can_enter
and current_time != end_date
and trade_dir is not None and trade_dir is not None
and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir) and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
): ):
@ -1444,6 +1442,7 @@ class Backtesting:
row_index += 1 row_index += 1
indexes[pair] = row_index indexes[pair] = row_index
is_last_row = current_time == end_date
self.dataprovider._set_dataframe_max_index(self.required_startup + row_index) self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
self.dataprovider._set_dataframe_max_date(current_time) self.dataprovider._set_dataframe_max_date(current_time)
current_detail_time: datetime = row[DATE_IDX].to_pydatetime() current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
@ -1467,7 +1466,7 @@ class Backtesting:
if len(detail_data) == 0: if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle # Fall back to "regular" data if no detail data was found for this candle
self.dataprovider._set_dataframe_max_date(current_time) self.dataprovider._set_dataframe_max_date(current_time)
self.backtest_loop(row, pair, current_time, end_date, trade_dir) self.backtest_loop(row, pair, current_time, trade_dir, not is_last_row)
continue continue
detail_data.loc[:, "enter_long"] = row[LONG_IDX] detail_data.loc[:, "enter_long"] = row[LONG_IDX]
detail_data.loc[:, "exit_long"] = row[ELONG_IDX] detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
@ -1483,15 +1482,14 @@ class Backtesting:
det_row, det_row,
pair, pair,
current_time_det, current_time_det,
end_date,
trade_dir, trade_dir,
is_first, is_first and not is_last_row,
) )
current_time_det += self.timeframe_detail_td current_time_det += self.timeframe_detail_td
is_first = False is_first = False
else: else:
self.dataprovider._set_dataframe_max_date(current_time) self.dataprovider._set_dataframe_max_date(current_time)
self.backtest_loop(row, pair, current_time, end_date, trade_dir) self.backtest_loop(row, pair, current_time, trade_dir, not is_last_row)
self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data) self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data)
self.wallets.update() self.wallets.update()