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Merge pull request #855 from freqtrade/fix-look-ahead

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Avoid look-ahead in backtesting
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Samuel Husso 2018-06-07 20:00:46 +03:00 committed by GitHub
commit ad510b8b5f
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2 changed files with 12 additions and 4 deletions
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10
freqtrade/optimize/backtesting.py
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@ -161,7 +161,15 @@ class Backtesting(object):
for pair, pair_data in processed.items(): for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
ticker_data = self.populate_sell_trend(self.populate_buy_trend(pair_data))[headers] ticker_data = self.populate_sell_trend(
self.populate_buy_trend(pair_data))[headers].copy()
# to avoid using data from future, we buy/sell with signal from previous candle
ticker_data.loc[:, 'buy'] = ticker_data['buy'].shift(1)
ticker_data.loc[:, 'sell'] = ticker_data['sell'].shift(1)
ticker_data.drop(ticker_data.head(1).index, inplace=True)
ticker = [x for x in ticker_data.itertuples()] ticker = [x for x in ticker_data.itertuples()]
lock_pair_until = None lock_pair_until = None

6
freqtrade/tests/optimize/test_backtesting.py
View File

@ -30,7 +30,7 @@ def trim_dictlist(dict_list, num):
def load_data_test(what): def load_data_test(what):
timerange = TimeRange(None, 'line', 0, -100) timerange = TimeRange(None, 'line', 0, -101)
data = optimize.load_data(None, ticker_interval='1m', data = optimize.load_data(None, ticker_interval='1m',
pairs=['UNITTEST/BTC'], timerange=timerange) pairs=['UNITTEST/BTC'], timerange=timerange)
pair = data['UNITTEST/BTC'] pair = data['UNITTEST/BTC']
@ -110,14 +110,14 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
# use for mock freqtrade.exchange.get_ticker_history' # use for mock freqtrade.exchange.get_ticker_history'
def _load_pair_as_ticks(pair, tickfreq): def _load_pair_as_ticks(pair, tickfreq):
ticks = optimize.load_data(None, ticker_interval=tickfreq, pairs=[pair]) ticks = optimize.load_data(None, ticker_interval=tickfreq, pairs=[pair])
ticks = trim_dictlist(ticks, -200) ticks = trim_dictlist(ticks, -201)
return ticks[pair] return ticks[pair]
# FIX: fixturize this? # FIX: fixturize this?
def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None): def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
data = optimize.load_data(None, ticker_interval='8m', pairs=[pair]) data = optimize.load_data(None, ticker_interval='8m', pairs=[pair])
data = trim_dictlist(data, -200) data = trim_dictlist(data, -201)
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True)) mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
backtesting = Backtesting(conf) backtesting = Backtesting(conf)
return { return {