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Make changes to backtesting to incorporate protections

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This commit is contained in:
Matthias 2020-11-16 20:17:47 +01:00
parent 98c88fa58e
commit b606936eb7
1 changed files with 18 additions and 2 deletions
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20
freqtrade/optimize/backtesting.py
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@ -21,7 +21,8 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results, from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
store_backtest_stats) store_backtest_stats)
from freqtrade.pairlist.pairlistmanager import PairListManager from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.persistence import Trade from freqtrade.persistence import PairLocks, Trade
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
@ -115,6 +116,11 @@ class Backtesting:
else: else:
self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0]) self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
Trade.use_db = False
PairLocks.timeframe = self.config['timeframe']
PairLocks.use_db = False
self.protections = ProtectionManager(self.config)
# Get maximum required startup period # Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist]) self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
# Load one (first) strategy # Load one (first) strategy
@ -235,6 +241,10 @@ class Backtesting:
trade_dur = int((sell_row[DATE_IDX] - trade.open_date).total_seconds() // 60) trade_dur = int((sell_row[DATE_IDX] - trade.open_date).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
trade.close_date = sell_row[DATE_IDX]
trade.sell_reason = sell.sell_type
trade.close(closerate)
return BacktestResult(pair=trade.pair, return BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio(rate=closerate), profit_percent=trade.calc_profit_ratio(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate), profit_abs=trade.calc_profit(rate=closerate),
@ -261,6 +271,7 @@ class Backtesting:
if len(open_trades[pair]) > 0: if len(open_trades[pair]) > 0:
for trade in open_trades[pair]: for trade in open_trades[pair]:
sell_row = data[pair][-1] sell_row = data[pair][-1]
trade_entry = BacktestResult(pair=trade.pair, trade_entry = BacktestResult(pair=trade.pair,
profit_percent=trade.calc_profit_ratio( profit_percent=trade.calc_profit_ratio(
rate=sell_row[OPEN_IDX]), rate=sell_row[OPEN_IDX]),
@ -320,6 +331,8 @@ class Backtesting:
while tmp <= end_date: while tmp <= end_date:
open_trade_count_start = open_trade_count open_trade_count_start = open_trade_count
self.protections.global_stop(tmp)
for i, pair in enumerate(data): for i, pair in enumerate(data):
if pair not in indexes: if pair not in indexes:
indexes[pair] = 0 indexes[pair] = 0
@ -342,7 +355,8 @@ class Backtesting:
if ((position_stacking or len(open_trades[pair]) == 0) if ((position_stacking or len(open_trades[pair]) == 0)
and (max_open_trades <= 0 or open_trade_count_start < max_open_trades) and (max_open_trades <= 0 or open_trade_count_start < max_open_trades)
and tmp != end_date and tmp != end_date
and row[BUY_IDX] == 1 and row[SELL_IDX] != 1): and row[BUY_IDX] == 1 and row[SELL_IDX] != 1
and not PairLocks.is_pair_locked(pair, row[DATE_IDX])):
# Enter trade # Enter trade
trade = Trade( trade = Trade(
pair=pair, pair=pair,
@ -361,6 +375,7 @@ class Backtesting:
open_trade_count += 1 open_trade_count += 1
# logger.debug(f"{pair} - Backtesting emulates creation of new trade: {trade}.") # logger.debug(f"{pair} - Backtesting emulates creation of new trade: {trade}.")
open_trades[pair].append(trade) open_trades[pair].append(trade)
Trade.trades.append(trade)
for trade in open_trades[pair]: for trade in open_trades[pair]:
# since indexes has been incremented before, we need to go one step back to # since indexes has been incremented before, we need to go one step back to
@ -372,6 +387,7 @@ class Backtesting:
open_trade_count -= 1 open_trade_count -= 1
open_trades[pair].remove(trade) open_trades[pair].remove(trade)
trades.append(trade_entry) trades.append(trade_entry)
self.protections.stop_per_pair(pair, row[DATE_IDX])
# Move time one configured time_interval ahead. # Move time one configured time_interval ahead.
tmp += timedelta(minutes=self.timeframe_min) tmp += timedelta(minutes=self.timeframe_min)