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https://github.com/freqtrade/freqtrade.git
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feat: extract backtest iteration into generator
This commit is contained in:
Matthias
parent
980b81f009
commit
f01e101447
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@ -1388,6 +1388,25 @@ class Backtesting:
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self._process_exit_order(order, trade, current_time, row, pair)
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return open_trade_count_start
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def time_pair_generator(
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self, start_date: datetime, end_date: datetime, increment: timedelta, pairs: List[str]
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):
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"""
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Backtest time and pair generator
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"""
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current_time = start_date + increment
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self.progress.init_step(
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BacktestState.BACKTEST, int((end_date - start_date) / self.timeframe_td)
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)
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while current_time <= end_date:
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is_first = True
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for pair in pairs:
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yield current_time, pair, is_first
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is_first = False
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self.progress.increment()
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current_time += increment
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def backtest(self, processed: Dict, start_date: datetime, end_date: datetime) -> Dict[str, Any]:
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"""
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Implement backtesting functionality
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@ -1411,82 +1430,76 @@ class Backtesting:
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# Indexes per pair, so some pairs are allowed to have a missing start.
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indexes: Dict = defaultdict(int)
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current_time = start_date + self.timeframe_td
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self.progress.init_step(
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BacktestState.BACKTEST, int((end_date - start_date) / self.timeframe_td)
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)
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# Loop timerange and get candle for each pair at that point in time
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while current_time <= end_date:
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open_trade_count_start = LocalTrade.bt_open_open_trade_count
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self.check_abort()
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
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current_time=current_time
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)
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for i, pair in enumerate(data):
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row_index = indexes[pair]
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row = self.validate_row(data, pair, row_index, current_time)
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if not row:
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continue
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for current_time, pair, is_first in self.time_pair_generator(
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start_date, end_date, self.timeframe_td, list(data.keys())
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):
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if is_first:
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open_trade_count_start = LocalTrade.bt_open_open_trade_count
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self.check_abort()
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
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current_time=current_time
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)
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row_index = indexes[pair]
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row = self.validate_row(data, pair, row_index, current_time)
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if not row:
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continue
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row_index += 1
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indexes[pair] = row_index
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self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
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self.dataprovider._set_dataframe_max_date(current_time)
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current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
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trade_dir: Optional[LongShort] = self.check_for_trade_entry(row)
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row_index += 1
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indexes[pair] = row_index
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self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
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self.dataprovider._set_dataframe_max_date(current_time)
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current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
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trade_dir: Optional[LongShort] = self.check_for_trade_entry(row)
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if (
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(trade_dir is not None or len(LocalTrade.bt_trades_open_pp[pair]) > 0)
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and self.timeframe_detail
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and pair in self.detail_data
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):
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# Spread out into detail timeframe.
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# Should only happen when we are either in a trade for this pair
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# or when we got the signal for a new trade.
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exit_candle_end = current_detail_time + self.timeframe_td
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if (
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(trade_dir is not None or len(LocalTrade.bt_trades_open_pp[pair]) > 0)
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and self.timeframe_detail
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and pair in self.detail_data
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):
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# Spread out into detail timeframe.
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# Should only happen when we are either in a trade for this pair
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# or when we got the signal for a new trade.
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exit_candle_end = current_detail_time + self.timeframe_td
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detail_data = self.detail_data[pair]
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detail_data = detail_data.loc[
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(detail_data["date"] >= current_detail_time)
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& (detail_data["date"] < exit_candle_end)
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].copy()
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if len(detail_data) == 0:
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# Fall back to "regular" data if no detail data was found for this candle
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, open_trade_count_start, trade_dir
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)
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continue
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detail_data.loc[:, "enter_long"] = row[LONG_IDX]
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detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
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detail_data.loc[:, "enter_short"] = row[SHORT_IDX]
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detail_data.loc[:, "exit_short"] = row[ESHORT_IDX]
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detail_data.loc[:, "enter_tag"] = row[ENTER_TAG_IDX]
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detail_data.loc[:, "exit_tag"] = row[EXIT_TAG_IDX]
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is_first = True
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current_time_det = current_time
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for det_row in detail_data[HEADERS].values.tolist():
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self.dataprovider._set_dataframe_max_date(current_time_det)
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open_trade_count_start = self.backtest_loop(
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det_row,
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pair,
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current_time_det,
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end_date,
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open_trade_count_start,
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trade_dir,
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is_first,
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)
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current_time_det += self.timeframe_detail_td
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is_first = False
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else:
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self.dataprovider._set_dataframe_max_date(current_time)
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detail_data = self.detail_data[pair]
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detail_data = detail_data.loc[
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(detail_data["date"] >= current_detail_time)
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& (detail_data["date"] < exit_candle_end)
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].copy()
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if len(detail_data) == 0:
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# Fall back to "regular" data if no detail data was found for this candle
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, open_trade_count_start, trade_dir
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)
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# Move time one configured time_interval ahead.
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self.progress.increment()
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current_time += self.timeframe_td
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continue
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detail_data.loc[:, "enter_long"] = row[LONG_IDX]
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detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
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detail_data.loc[:, "enter_short"] = row[SHORT_IDX]
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detail_data.loc[:, "exit_short"] = row[ESHORT_IDX]
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detail_data.loc[:, "enter_tag"] = row[ENTER_TAG_IDX]
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detail_data.loc[:, "exit_tag"] = row[EXIT_TAG_IDX]
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is_first = True
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current_time_det = current_time
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for det_row in detail_data[HEADERS].values.tolist():
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self.dataprovider._set_dataframe_max_date(current_time_det)
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open_trade_count_start = self.backtest_loop(
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det_row,
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pair,
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current_time_det,
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end_date,
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open_trade_count_start,
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trade_dir,
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is_first,
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)
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current_time_det += self.timeframe_detail_td
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is_first = False
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else:
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self.dataprovider._set_dataframe_max_date(current_time)
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, open_trade_count_start, trade_dir
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)
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self.handle_left_open(LocalTrade.bt_trades_open_pp, data=data)
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self.wallets.update()
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