From 8cea0517eb4e225553afbc8bc450be97a214ef11 Mon Sep 17 00:00:00 2001 From: creslinux Date: Tue, 17 Jul 2018 11:22:38 +0000 Subject: [PATCH] Added stop_stops stop_stops is an int value when number of stops in a pair reached the int the pair is stopped trading. This allows backtest to align with my pre_trade_mgt that does the same in dry and live operations --- freqtrade/optimize/backtesting.py | 32 ++++++++++++++++++++++++------- 1 file changed, 25 insertions(+), 7 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index c0259c8fc..8bc6efb4d 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -95,14 +95,16 @@ class Backtesting(object): #self.np_sco: int = self.np_close # stops_calculated_on - Should be stop, FT uses close self.use_backslap = True # Enable backslap - if false Orginal code is executed. - self.debug = True # Main debug enable, very print heavy, enable 2 loops recommended + self.debug = False # Main debug enable, very print heavy, enable 2 loops recommended self.debug_timing = False # Stages within Backslap self.debug_2loops = False # Limit each pair to two loops, useful when debugging - self.debug_vector = True # Debug vector calcs + self.debug_vector = False # Debug vector calcs self.debug_timing_main_loop = False # print overall timing per pair - works in Backtest and Backslap - self.backslap_show_trades = False # prints trades in addition to summary report - self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt + self.backslap_show_trades = True # prints trades in addition to summary report + self.backslap_save_trades = True # saves trades as a pretty table to backslap.txt + + self.stop_stops: int = 9999 # stop back testing any pair with this many stops, set to 999999 to not hit @staticmethod @@ -389,7 +391,6 @@ class Backtesting(object): - Profit - trade duration - profit abs - :param bslap_results Dataframe :return: bslap_results Dataframe """ @@ -443,14 +444,19 @@ class Backtesting(object): return bslap_results_df - def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int): + def np_get_t_open_ind(self, np_buy_arr, t_exit_ind: int, np_buy_arr_len: int, stop_stops: int, stop_stops_count: int): import utils_find_1st as utf1st """ The purpose of this def is to return the next "buy" = 1 after t_exit_ind. + + This function will also check is the stop limit for the pair has been reached. + if stop_stops is the limit and stop_stops_count it the number of times the stop has been hit. t_exit_ind is the index the last trade exited on or 0 if first time around this loop. + + stop_stops i """ # Timers, to be called if in debug def s(): @@ -478,6 +484,10 @@ class Backtesting(object): if t_open_ind == np_buy_arr_len -1 : # If buy found on last candle ignore, there is no OPEN in next to use t_open_ind = -1 # -1 ends the loop + if stop_stops_count >= stop_stops: # if maximum number of stops allowed in a pair is hit, exit loop + t_open_ind = -1 # -1 ends the loop + print("Max stop limit ", stop_stops, "reached. Moving to next pair") + return t_open_ind def backslap_pair(self, ticker_data, pair): @@ -564,6 +574,9 @@ class Backtesting(object): t_exit_ind = 0 # Start loop from first index t_exit_last = 0 # To test for exit + stop_stops = self.stop_stops # Int of stops within a pair to stop trading a pair at + stop_stops_count = 0 # stop counter per pair + st = s() # Start timer for processing dataframe if debug: print('Processing:', pair) @@ -604,11 +617,13 @@ class Backtesting(object): Requires: np_buy_arr - a 1D array of the 'buy' column. To find next "1" Required: t_exit_ind - Either 0, first loop. Or The index we last exited on Requires: np_buy_arr_len - length of pair array. + Requires: stops_stops - number of stops allowed before stop trading a pair + Requires: stop_stop_counts - count of stops hit in the pair Provides: The next "buy" index after t_exit_ind If -1 is returned no buy has been found in remainder of array, skip to exit loop ''' - t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len) + t_open_ind = self.np_get_t_open_ind(np_buy_arr, t_exit_ind, np_buy_arr_len, stop_stops, stop_stops_count) if debug: print("\n(0) numpy debug \nnp_get_t_open, has returned the next valid buy index as", t_open_ind) @@ -971,6 +986,9 @@ class Backtesting(object): # append the dict to the list and print list bslap_pair_results.append(bslap_result) + if t_exit_type is "stop": + stop_stops_count = stop_stops_count + 1 + if debug: print("The trade dict is: \n", bslap_result) print("Trades dicts in list after append are: \n ", bslap_pair_results)