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Merge pull request #2275 from hroff-1902/backtest-cleanup3

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minor: Cleanup in backtesting
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hroff-1902 2019-09-19 11:59:07 +03:00 committed by GitHub
commit c625058f41
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8 changed files with 46 additions and 42 deletions
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6
freqtrade/configuration/configuration.py
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@ -217,7 +217,7 @@ class Configuration:
deprecated_msg='-r/--refresh-pairs-cached will be removed soon.')
self._args_to_config(config, argname='strategy_list',
logstring='Using strategy list of {} Strategies', logfun=len)
logstring='Using strategy list of {} strategies', logfun=len)
self._args_to_config(config, argname='ticker_interval',
logstring='Overriding ticker interval with Command line argument')
@ -238,7 +238,7 @@ class Configuration:
# Hyperopt section
self._args_to_config(config, argname='hyperopt',
logstring='Using Hyperopt file {}')
logstring='Using Hyperopt class name: {}')
self._args_to_config(config, argname='hyperopt_path',
logstring='Using additional Hyperopt lookup path: {}')
@ -276,7 +276,7 @@ class Configuration:
logstring='Hyperopt continue: {}')
self._args_to_config(config, argname='hyperopt_loss',
logstring='Using loss function: {}')
logstring='Using Hyperopt loss class name: {}')
def _process_plot_options(self, config: Dict[str, Any]) -> None:

6
freqtrade/optimize/backtesting.py
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@ -95,8 +95,6 @@ class Backtesting:
Load strategy into backtesting
"""
self.strategy = strategy
self.advise_buy = strategy.advise_buy
self.advise_sell = strategy.advise_sell
# Set stoploss_on_exchange to false for backtesting,
# since a "perfect" stoploss-sell is assumed anyway
# And the regular "stoploss" function would not apply to that case
@ -219,8 +217,8 @@ class Backtesting:
for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
ticker_data = self.advise_sell(
self.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
ticker_data = self.strategy.advise_sell(
self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[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)

18
freqtrade/optimize/hyperopt.py
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@ -49,10 +49,11 @@ class Hyperopt:
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
self.backtesting = Backtesting(self.config)
self.custom_hyperopt = HyperOptResolver(self.config).hyperopt
self.backtesting = Backtesting(self.config)
self.custom_hyperoptloss = HyperOptLossResolver(self.config).hyperoptloss
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
@ -77,9 +78,11 @@ class Hyperopt:
self.backtesting.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.advise_buy = self.custom_hyperopt.populate_buy_trend # type: ignore
self.backtesting.strategy.advise_buy = \
self.custom_hyperopt.populate_buy_trend # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.advise_sell = self.custom_hyperopt.populate_sell_trend # type: ignore
self.backtesting.strategy.advise_sell = \
self.custom_hyperopt.populate_sell_trend # type: ignore
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
@ -259,13 +262,16 @@ class Hyperopt:
"""
params = self.get_args(_params)
if self.has_space('roi'):
self.backtesting.strategy.minimal_roi = self.custom_hyperopt.generate_roi_table(params)
self.backtesting.strategy.minimal_roi = \
self.custom_hyperopt.generate_roi_table(params)
if self.has_space('buy'):
self.backtesting.advise_buy = self.custom_hyperopt.buy_strategy_generator(params)
self.backtesting.strategy.advise_buy = \
self.custom_hyperopt.buy_strategy_generator(params)
if self.has_space('sell'):
self.backtesting.advise_sell = self.custom_hyperopt.sell_strategy_generator(params)
self.backtesting.strategy.advise_sell = \
self.custom_hyperopt.sell_strategy_generator(params)
if self.has_space('stoploss'):
self.backtesting.strategy.stoploss = params['stoploss']

8
freqtrade/resolvers/hyperopt_resolver.py
View File

@ -38,11 +38,11 @@ class HyperOptResolver(IResolver):
IHyperOpt.ticker_interval = str(config['ticker_interval'])
if not hasattr(self.hyperopt, 'populate_buy_trend'):
logger.warning("Custom Hyperopt does not provide populate_buy_trend. "
"Using populate_buy_trend from DefaultStrategy.")
logger.warning("Hyperopt class does not provide populate_buy_trend() method. "
"Using populate_buy_trend from the strategy.")
if not hasattr(self.hyperopt, 'populate_sell_trend'):
logger.warning("Custom Hyperopt does not provide populate_sell_trend. "
"Using populate_sell_trend from DefaultStrategy.")
logger.warning("Hyperopt class does not provide populate_sell_trend() method. "
"Using populate_sell_trend from the strategy.")
def _load_hyperopt(
self, hyperopt_name: str, config: Dict, extra_dir: Optional[str] = None) -> IHyperOpt:

4
tests/optimize/test_backtest_detail.py
View File

@ -291,8 +291,8 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
backtesting.advise_buy = lambda a, m: frame
backtesting.advise_sell = lambda a, m: frame
backtesting.strategy.advise_buy = lambda a, m: frame
backtesting.strategy.advise_sell = lambda a, m: frame
caplog.set_level(logging.DEBUG)
pair = "UNITTEST/BTC"

20
tests/optimize/test_backtesting.py
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@ -313,8 +313,8 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
assert backtesting.config == default_conf
assert backtesting.ticker_interval == '5m'
assert callable(backtesting.strategy.tickerdata_to_dataframe)
assert callable(backtesting.advise_buy)
assert callable(backtesting.advise_sell)
assert callable(backtesting.strategy.advise_buy)
assert callable(backtesting.strategy.advise_sell)
assert isinstance(backtesting.strategy.dp, DataProvider)
get_fee.assert_called()
assert backtesting.fee == 0.5
@ -627,8 +627,8 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting.advise_buy = fun # Override
backtesting.advise_sell = fun # Override
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
results = backtesting.backtest(backtest_conf)
assert results.empty
@ -642,8 +642,8 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting.advise_buy = fun # Override
backtesting.advise_sell = fun # Override
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
results = backtesting.backtest(backtest_conf)
assert results.empty
@ -657,8 +657,8 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
default_conf['experimental'] = {"use_sell_signal": True}
default_conf['ticker_interval'] = '1m'
backtesting = Backtesting(default_conf)
backtesting.advise_buy = _trend_alternate # Override
backtesting.advise_sell = _trend_alternate # Override
backtesting.strategy.advise_buy = _trend_alternate # Override
backtesting.strategy.advise_sell = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
backtesting._store_backtest_result("test_.json", results)
# 200 candles in backtest data
@ -700,8 +700,8 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
default_conf['ticker_interval'] = '5m'
backtesting = Backtesting(default_conf)
backtesting.advise_buy = _trend_alternate_hold # Override
backtesting.advise_sell = _trend_alternate_hold # Override
backtesting.strategy.advise_buy = _trend_alternate_hold # Override
backtesting.strategy.advise_sell = _trend_alternate_hold # Override
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timeframe(data_processed)

24
tests/optimize/test_hyperopt.py
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@ -166,10 +166,10 @@ def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
x = HyperOptResolver(default_conf, ).hyperopt
assert not hasattr(x, 'populate_buy_trend')
assert not hasattr(x, 'populate_sell_trend')
assert log_has("Custom Hyperopt does not provide populate_sell_trend. "
"Using populate_sell_trend from DefaultStrategy.", caplog)
assert log_has("Custom Hyperopt does not provide populate_buy_trend. "
"Using populate_buy_trend from DefaultStrategy.", caplog)
assert log_has("Hyperopt class does not provide populate_sell_trend() method. "
"Using populate_sell_trend from the strategy.", caplog)
assert log_has("Hyperopt class does not provide populate_buy_trend() method. "
"Using populate_buy_trend from the strategy.", caplog)
assert hasattr(x, "ticker_interval")
@ -415,8 +415,8 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting, "advise_sell")
assert hasattr(hyperopt.backtesting, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == default_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@ -709,8 +709,8 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys)
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting, "advise_sell")
assert hasattr(hyperopt.backtesting, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == default_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@ -783,8 +783,8 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting, "advise_sell")
assert hasattr(hyperopt.backtesting, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == default_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@ -828,8 +828,8 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting, "advise_sell")
assert hasattr(hyperopt.backtesting, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == default_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")

2
tests/test_configuration.py
View File

@ -440,7 +440,7 @@ def test_setup_configuration_with_stratlist(mocker, default_conf, caplog) -> Non
caplog)
assert 'strategy_list' in config
assert log_has('Using strategy list of 2 Strategies', caplog)
assert log_has('Using strategy list of 2 strategies', caplog)
assert 'position_stacking' not in config