mirror of
https://github.com/freqtrade/freqtrade.git
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1445 lines
44 KiB
HTML
1445 lines
44 KiB
HTML
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<!doctype html>
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<html lang="en" class="no-js">
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<head>
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<meta charset="utf-8">
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<meta name="viewport" content="width=device-width,initial-scale=1">
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<link rel="prev" href="../data-download/">
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<link rel="next" href="../hyperopt/">
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<meta name="generator" content="mkdocs-1.6.0, mkdocs-material-9.5.30">
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<title>Backtesting - Freqtrade</title>
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<link rel="stylesheet" href="../assets/stylesheets/main.3cba04c6.min.css">
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<link rel="stylesheet" href="https://fonts.googleapis.com/css?family=Roboto:300,300i,400,400i,700,700i%7CRoboto+Mono:400,400i,700,700i&display=fallback">
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<style>:root{--md-text-font:"Roboto";--md-code-font:"Roboto Mono"}</style>
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<link rel="stylesheet" href="../stylesheets/ft.extra.css">
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<script>__md_scope=new URL("..",location),__md_hash=e=>[...e].reduce((e,_)=>(e<<5)-e+_.charCodeAt(0),0),__md_get=(e,_=localStorage,t=__md_scope)=>JSON.parse(_.getItem(t.pathname+"."+e)),__md_set=(e,_,t=localStorage,a=__md_scope)=>{try{t.setItem(a.pathname+"."+e,JSON.stringify(_))}catch(e){}}</script>
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</head>
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<body dir="ltr" data-md-color-scheme="default" data-md-color-primary="blue-grey" data-md-color-accent="tear">
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<input class="md-toggle" data-md-toggle="drawer" type="checkbox" id="__drawer" autocomplete="off">
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<input class="md-toggle" data-md-toggle="search" type="checkbox" id="__search" autocomplete="off">
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<label class="md-overlay" for="__drawer"></label>
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<div data-md-component="skip">
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<a href="#backtesting" class="md-skip">
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Skip to content
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</a>
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</div>
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<div data-md-component="announce">
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</div>
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<div data-md-color-scheme="default" data-md-component="outdated" hidden>
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</div>
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<header class="md-header md-header--shadow" data-md-component="header">
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<nav class="md-header__inner md-grid" aria-label="Header">
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<a href=".." title="Freqtrade" class="md-header__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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<label class="md-header__button md-icon" for="__drawer">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M3 6h18v2H3V6m0 5h18v2H3v-2m0 5h18v2H3v-2Z"/></svg>
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</label>
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<div class="md-header__title" data-md-component="header-title">
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<div class="md-header__ellipsis">
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<div class="md-header__topic">
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<span class="md-ellipsis">
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Freqtrade
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</span>
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</div>
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<div class="md-header__topic" data-md-component="header-topic">
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<span class="md-ellipsis">
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Backtesting
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</span>
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</div>
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</div>
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</div>
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<label class="md-header__button md-icon" for="__search">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
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</label>
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<div class="md-search" data-md-component="search" role="dialog">
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<label class="md-search__overlay" for="__search"></label>
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<div class="md-search__inner" role="search">
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<form class="md-search__form" name="search">
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<input type="text" class="md-search__input" name="query" aria-label="Search" placeholder="Search" autocapitalize="off" autocorrect="off" autocomplete="off" spellcheck="false" data-md-component="search-query" required>
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<label class="md-search__icon md-icon" for="__search">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20 11v2H8l5.5 5.5-1.42 1.42L4.16 12l7.92-7.92L13.5 5.5 8 11h12Z"/></svg>
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</label>
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<nav class="md-search__options" aria-label="Search">
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<button type="reset" class="md-search__icon md-icon" title="Clear" aria-label="Clear" tabindex="-1">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M19 6.41 17.59 5 12 10.59 6.41 5 5 6.41 10.59 12 5 17.59 6.41 19 12 13.41 17.59 19 19 17.59 13.41 12 19 6.41Z"/></svg>
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</button>
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</nav>
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</form>
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<div class="md-search__output">
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<div class="md-search__scrollwrap" tabindex="0" data-md-scrollfix>
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<div class="md-search-result" data-md-component="search-result">
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<div class="md-search-result__meta">
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Initializing search
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</div>
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<ol class="md-search-result__list" role="presentation"></ol>
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</div>
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</div>
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</div>
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</div>
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</div>
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</nav>
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</header>
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<div class="md-container" data-md-component="container">
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<main class="md-main" data-md-component="main">
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<div class="md-main__inner md-grid">
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<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" >
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<div class="md-sidebar__scrollwrap">
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<div class="md-sidebar__inner">
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<nav class="md-nav md-nav--primary" aria-label="Navigation" data-md-level="0">
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<label class="md-nav__title" for="__drawer">
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<a href=".." title="Freqtrade" class="md-nav__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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Freqtrade
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href=".." class="md-nav__link">
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<span class="md-ellipsis">
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Home
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../docker/" class="md-nav__link">
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<span class="md-ellipsis">
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Installation Docker
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Installation
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-customization/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Customization
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../stoploss/" class="md-nav__link">
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<span class="md-ellipsis">
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Stoploss
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../bot-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Start the bot
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_8" >
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<label class="md-nav__link" for="__nav_8" id="__nav_8_label" tabindex="0">
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<span class="md-ellipsis">
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Control the bot
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_8_label" aria-expanded="false">
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<label class="md-nav__title" for="__nav_8">
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<span class="md-nav__icon md-icon"></span>
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Control the bot
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../telegram-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Telegram
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../webhook-config/" class="md-nav__link">
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<span class="md-ellipsis">
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Web Hook
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../rest-api/" class="md-nav__link">
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<span class="md-ellipsis">
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REST API
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</span>
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</a>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="../data-download/" class="md-nav__link">
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<span class="md-ellipsis">
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Data Downloading
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--active">
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<input class="md-nav__toggle md-toggle" type="checkbox" id="__toc">
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<label class="md-nav__link md-nav__link--active" for="__toc">
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<span class="md-ellipsis">
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Backtesting
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<a href="./" class="md-nav__link md-nav__link--active">
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<span class="md-ellipsis">
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Backtesting
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</span>
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</a>
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<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
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<label class="md-nav__title" for="__toc">
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<span class="md-nav__icon md-icon"></span>
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Table of contents
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</label>
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<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="#test-your-strategy-with-backtesting" class="md-nav__link">
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<span class="md-ellipsis">
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Test your strategy with Backtesting
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</span>
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</a>
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<nav class="md-nav" aria-label="Test your strategy with Backtesting">
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<ul class="md-nav__list">
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<li class="md-nav__item">
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<a href="#run-a-backtesting-against-the-currencies-listed-in-your-config-file" class="md-nav__link">
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<span class="md-ellipsis">
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Run a backtesting against the currencies listed in your config file
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</span>
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</a>
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<nav class="md-nav" aria-label="Run a backtesting against the currencies listed in your config file">
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<ul class="md-nav__list">
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<li class="md-nav__item">
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<a href="#with-5-min-tickers-per-default" class="md-nav__link">
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<span class="md-ellipsis">
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With 5 min tickers (Per default)
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#with-1-min-tickers" class="md-nav__link">
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<span class="md-ellipsis">
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With 1 min tickers
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#using-a-different-on-disk-ticker-data-source" class="md-nav__link">
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<span class="md-ellipsis">
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Using a different on-disk ticker-data source
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#with-a-custom-strategy-file" class="md-nav__link">
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<span class="md-ellipsis">
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With a (custom) strategy file
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#comparing-multiple-strategies" class="md-nav__link">
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<span class="md-ellipsis">
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Comparing multiple Strategies
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#exporting-trades-to-file" class="md-nav__link">
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<span class="md-ellipsis">
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Exporting trades to file
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#exporting-trades-to-file-specifying-a-custom-filename" class="md-nav__link">
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<span class="md-ellipsis">
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Exporting trades to file specifying a custom filename
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#supplying-custom-fee-value" class="md-nav__link">
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<span class="md-ellipsis">
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Supplying custom fee value
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="#running-backtest-with-smaller-testset-by-using-timerange" class="md-nav__link">
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<span class="md-ellipsis">
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Running backtest with smaller testset by using timerange
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</span>
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</a>
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</li>
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</ul>
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</nav>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="#understand-the-backtesting-result" class="md-nav__link">
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<span class="md-ellipsis">
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Understand the backtesting result
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</span>
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<h1 id="backtesting">Backtesting<a class="headerlink" href="#backtesting" title="Permanent link">¶</a></h1>
|
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<p>This page explains how to validate your strategy performance by using Backtesting.</p>
|
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<p>Backtesting requires historic data to be available.
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To learn how to get data for the pairs and exchange you're interested in, head over to the <a href="../data-download/">Data Downloading</a> section of the documentation.</p>
|
|
<h2 id="test-your-strategy-with-backtesting">Test your strategy with Backtesting<a class="headerlink" href="#test-your-strategy-with-backtesting" title="Permanent link">¶</a></h2>
|
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<p>Now you have good Buy and Sell strategies and some historic data, you want to test it against
|
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real data. This is what we call
|
|
<a href="https://en.wikipedia.org/wiki/Backtesting">backtesting</a>.</p>
|
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<p>Backtesting will use the crypto-currencies (pairs) from your config file and load ticker data from <code>user_data/data/<exchange></code> by default.
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If no data is available for the exchange / pair / ticker interval combination, backtesting will ask you to download them first using <code>freqtrade download-data</code>.
|
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For details on downloading, please refer to the <a href="../data-download/">Data Downloading</a> section in the documentation.</p>
|
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<p>The result of backtesting will confirm if your bot has better odds of making a profit than a loss.</p>
|
|
<div class="admonition tip">
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<p class="admonition-title">Using dynamic pairlists for backtesting</p>
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<p>While using dynamic pairlists during backtesting is not possible, a dynamic pairlist using current data can be generated via the <a href="../utils/#test-pairlist"><code>test-pairlist</code></a> command, and needs to be specified as <code>"pair_whitelist"</code> attribute in the configuration.</p>
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</div>
|
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<h3 id="run-a-backtesting-against-the-currencies-listed-in-your-config-file">Run a backtesting against the currencies listed in your config file<a class="headerlink" href="#run-a-backtesting-against-the-currencies-listed-in-your-config-file" title="Permanent link">¶</a></h3>
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<h4 id="with-5-min-tickers-per-default">With 5 min tickers (Per default)<a class="headerlink" href="#with-5-min-tickers-per-default" title="Permanent link">¶</a></h4>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting
|
|
</code></pre></div>
|
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<h4 id="with-1-min-tickers">With 1 min tickers<a class="headerlink" href="#with-1-min-tickers" title="Permanent link">¶</a></h4>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--ticker-interval<span class="w"> </span>1m
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|
</code></pre></div>
|
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<h4 id="using-a-different-on-disk-ticker-data-source">Using a different on-disk ticker-data source<a class="headerlink" href="#using-a-different-on-disk-ticker-data-source" title="Permanent link">¶</a></h4>
|
|
<p>Assume you downloaded the history data from the Bittrex exchange and kept it in the <code>user_data/data/bittrex-20180101</code> directory.
|
|
You can then use this data for backtesting as follows:</p>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>--datadir<span class="w"> </span>user_data/data/bittrex-20180101<span class="w"> </span>backtesting
|
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</code></pre></div>
|
|
<h4 id="with-a-custom-strategy-file">With a (custom) strategy file<a class="headerlink" href="#with-a-custom-strategy-file" title="Permanent link">¶</a></h4>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>-s<span class="w"> </span>SampleStrategy
|
|
</code></pre></div>
|
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<p>Where <code>-s SampleStrategy</code> refers to the class name within the strategy file <code>sample_strategy.py</code> found in the <code>freqtrade/user_data/strategies</code> directory.</p>
|
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<h4 id="comparing-multiple-strategies">Comparing multiple Strategies<a class="headerlink" href="#comparing-multiple-strategies" title="Permanent link">¶</a></h4>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--strategy-list<span class="w"> </span>SampleStrategy1<span class="w"> </span>AwesomeStrategy<span class="w"> </span>--ticker-interval<span class="w"> </span>5m
|
|
</code></pre></div>
|
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<p>Where <code>SampleStrategy1</code> and <code>AwesomeStrategy</code> refer to class names of strategies.</p>
|
|
<h4 id="exporting-trades-to-file">Exporting trades to file<a class="headerlink" href="#exporting-trades-to-file" title="Permanent link">¶</a></h4>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--export<span class="w"> </span>trades
|
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</code></pre></div>
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<p>The exported trades can be used for <a href="#further-backtest-result-analysis">further analysis</a>, or can be used by the plotting script <code>plot_dataframe.py</code> in the scripts directory.</p>
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<h4 id="exporting-trades-to-file-specifying-a-custom-filename">Exporting trades to file specifying a custom filename<a class="headerlink" href="#exporting-trades-to-file-specifying-a-custom-filename" title="Permanent link">¶</a></h4>
|
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<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--export<span class="w"> </span>trades<span class="w"> </span>--export-filename<span class="o">=</span>backtest_samplestrategy.json
|
|
</code></pre></div>
|
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<p>Please also read about the <a href="../strategy-customization/#strategy-startup-period">strategy startup period</a>.</p>
|
|
<h4 id="supplying-custom-fee-value">Supplying custom fee value<a class="headerlink" href="#supplying-custom-fee-value" title="Permanent link">¶</a></h4>
|
|
<p>Sometimes your account has certain fee rebates (fee reductions starting with a certain account size or monthly volume), which are not visible to ccxt.
|
|
To account for this in backtesting, you can use the <code>--fee</code> command line option to supply this value to backtesting.
|
|
This fee must be a ratio, and will be applied twice (once for trade entry, and once for trade exit).</p>
|
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<p>For example, if the buying and selling commission fee is 0.1% (i.e., 0.001 written as ratio), then you would run backtesting as the following:</p>
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<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--fee<span class="w"> </span><span class="m">0</span>.001
|
|
</code></pre></div>
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<div class="admonition note">
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<p class="admonition-title">Note</p>
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<p>Only supply this option (or the corresponding configuration parameter) if you want to experiment with different fee values. By default, Backtesting fetches the default fee from the exchange pair/market info.</p>
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</div>
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<h4 id="running-backtest-with-smaller-testset-by-using-timerange">Running backtest with smaller testset by using timerange<a class="headerlink" href="#running-backtest-with-smaller-testset-by-using-timerange" title="Permanent link">¶</a></h4>
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<p>Use the <code>--timerange</code> argument to change how much of the testset you want to use.</p>
|
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<p>For example, running backtesting with the <code>--timerange=20190501-</code> option will use all available data starting with May 1<sup>st</sup>, 2019 from your inputdata.</p>
|
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<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--timerange<span class="o">=</span><span class="m">20190501</span>-
|
|
</code></pre></div>
|
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<p>You can also specify particular dates or a range span indexed by start and stop.</p>
|
|
<p>The full timerange specification:</p>
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|
<ul>
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|
<li>Use tickframes till 2018/01/31: <code>--timerange=-20180131</code></li>
|
|
<li>Use tickframes since 2018/01/31: <code>--timerange=20180131-</code></li>
|
|
<li>Use tickframes since 2018/01/31 till 2018/03/01 : <code>--timerange=20180131-20180301</code></li>
|
|
<li>Use tickframes between POSIX timestamps 1527595200 1527618600:
|
|
<code>--timerange=1527595200-1527618600</code></li>
|
|
</ul>
|
|
<h2 id="understand-the-backtesting-result">Understand the backtesting result<a class="headerlink" href="#understand-the-backtesting-result" title="Permanent link">¶</a></h2>
|
|
<p>The most important in the backtesting is to understand the result.</p>
|
|
<p>A backtesting result will look like that:</p>
|
|
<div class="highlight"><pre><span></span><code>========================================================= BACKTESTING REPORT ========================================================
|
|
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |
|
|
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:|
|
|
| ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 | 0 | 21 |
|
|
| ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 | 0 | 8 |
|
|
| BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 | 0 | 14 |
|
|
| DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 | 0 | 7 |
|
|
| ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 | 0 | 10 |
|
|
| EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 | 0 | 20 |
|
|
| ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 | 0 | 15 |
|
|
| ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 | 0 | 17 |
|
|
| IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 | 0 | 18 |
|
|
| LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 | 0 | 9 |
|
|
| LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 | 0 | 21 |
|
|
| NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 | 0 | 7 |
|
|
| NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 | 0 | 13 |
|
|
| REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 | 0 | 5 |
|
|
| XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 | 0 | 9 |
|
|
| XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 | 0 | 11 |
|
|
| XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 | 0 | 23 |
|
|
| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 | 0 | 15 |
|
|
| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 |
|
|
========================================================= SELL REASON STATS =========================================================
|
|
| Sell Reason | Sells | Wins | Draws | Losses |
|
|
|:-------------------|--------:|------:|-------:|--------:|
|
|
| trailing_stop_loss | 205 | 150 | 0 | 55 |
|
|
| stop_loss | 166 | 0 | 0 | 166 |
|
|
| sell_signal | 56 | 36 | 0 | 20 |
|
|
| force_sell | 2 | 0 | 0 | 2 |
|
|
====================================================== LEFT OPEN TRADES REPORT ======================================================
|
|
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |
|
|
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:|
|
|
| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 |
|
|
| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 |
|
|
| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 |
|
|
</code></pre></div>
|
|
<p>The 1<sup>st</sup> table contains all trades the bot made, including "left open trades".</p>
|
|
<p>The 2<sup>nd</sup> table contains a recap of sell reasons.
|
|
This table can tell you which area needs some additional work (i.e. all <code>sell_signal</code> trades are losses, so we should disable the sell-signal or work on improving that).</p>
|
|
<p>The 3<sup>rd</sup> table contains all trades the bot had to <code>forcesell</code> at the end of the backtest period to present a full picture.
|
|
This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever.
|
|
These trades are also included in the first table, but are extracted separately for clarity.</p>
|
|
<p>The last line will give you the overall performance of your strategy,
|
|
here:</p>
|
|
<div class="highlight"><pre><span></span><code>| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 243 |
|
|
</code></pre></div>
|
|
<p>The bot has made <code>429</code> trades for an average duration of <code>4:12:00</code>, with a performance of <code>76.20%</code> (profit), that means it has
|
|
earned a total of <code>0.00762792 BTC</code> starting with a capital of 0.01 BTC.</p>
|
|
<p>The column <code>avg profit %</code> shows the average profit for all trades made while the column <code>cum profit %</code> sums up all the profits/losses.
|
|
The column <code>tot profit %</code> shows instead the total profit % in relation to allocated capital (<code>max_open_trades * stake_amount</code>).
|
|
In the above results we have <code>max_open_trades=2</code> and <code>stake_amount=0.005</code> in config so <code>tot_profit %</code> will be <code>(76.20/100) * (0.005 * 2) =~ 0.00762792 BTC</code>.</p>
|
|
<p>Your strategy performance is influenced by your buy strategy, your sell strategy, and also by the <code>minimal_roi</code> and <code>stop_loss</code> you have set.</p>
|
|
<p>For example, if your <code>minimal_roi</code> is only <code>"0": 0.01</code> you cannot expect the bot to make more profit than 1% (because it will sell every time a trade reaches 1%).</p>
|
|
<div class="highlight"><pre><span></span><code><span class="nt">"minimal_roi"</span><span class="p">:</span><span class="w"> </span><span class="p">{</span>
|
|
<span class="w"> </span><span class="nt">"0"</span><span class="p">:</span><span class="w"> </span><span class="mf">0.01</span>
|
|
<span class="p">},</span>
|
|
</code></pre></div>
|
|
<p>On the other hand, if you set a too high <code>minimal_roi</code> like <code>"0": 0.55</code>
|
|
(55%), there is almost no chance that the bot will ever reach this profit.
|
|
Hence, keep in mind that your performance is an integral mix of all different elements of the strategy, your configuration, and the crypto-currency pairs you have set up.</p>
|
|
<h3 id="assumptions-made-by-backtesting">Assumptions made by backtesting<a class="headerlink" href="#assumptions-made-by-backtesting" title="Permanent link">¶</a></h3>
|
|
<p>Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions:</p>
|
|
<ul>
|
|
<li>Buys happen at open-price</li>
|
|
<li>Sell signal sells happen at open-price of the following candle</li>
|
|
<li>Low happens before high for stoploss, protecting capital first.</li>
|
|
<li>ROI<ul>
|
|
<li>sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%)</li>
|
|
<li>sells are never "below the candle", so a ROI of 2% may result in a sell at 2.4% if low was at 2.4% profit</li>
|
|
<li>Forcesells caused by <code><N>=-1</code> ROI entries use low as sell value, unless N falls on the candle open (e.g. <code>120: -1</code> for 1h candles)</li>
|
|
</ul>
|
|
</li>
|
|
<li>Stoploss sells happen exactly at stoploss price, even if low was lower</li>
|
|
<li>Trailing stoploss<ul>
|
|
<li>High happens first - adjusting stoploss</li>
|
|
<li>Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)</li>
|
|
</ul>
|
|
</li>
|
|
<li>Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used)</li>
|
|
</ul>
|
|
<p>Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will <strong>never</strong> replace running a strategy in dry-run mode.
|
|
Also, keep in mind that past results don't guarantee future success.</p>
|
|
<p>In addition to the above assumptions, strategy authors should carefully read the <a href="../strategy-customization/#common-mistakes-when-developing-strategies">Common Mistakes</a> section, to avoid using data in backtesting which is not available in real market conditions.</p>
|
|
<h3 id="further-backtest-result-analysis">Further backtest-result analysis<a class="headerlink" href="#further-backtest-result-analysis" title="Permanent link">¶</a></h3>
|
|
<p>To further analyze your backtest results, you can <a href="#exporting-trades-to-file">export the trades</a>.
|
|
You can then load the trades to perform further analysis as shown in our <a href="../data-analysis/#backtesting">data analysis</a> backtesting section.</p>
|
|
<h2 id="backtesting-multiple-strategies">Backtesting multiple strategies<a class="headerlink" href="#backtesting-multiple-strategies" title="Permanent link">¶</a></h2>
|
|
<p>To compare multiple strategies, a list of Strategies can be provided to backtesting.</p>
|
|
<p>This is limited to 1 ticker-interval per run, however, data is only loaded once from disk so if you have multiple
|
|
strategies you'd like to compare, this will give a nice runtime boost.</p>
|
|
<p>All listed Strategies need to be in the same directory.</p>
|
|
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>backtesting<span class="w"> </span>--timerange<span class="w"> </span><span class="m">20180401</span>-20180410<span class="w"> </span>--ticker-interval<span class="w"> </span>5m<span class="w"> </span>--strategy-list<span class="w"> </span>Strategy001<span class="w"> </span>Strategy002<span class="w"> </span>--export<span class="w"> </span>trades
|
|
</code></pre></div>
|
|
<p>This will save the results to <code>user_data/backtest_results/backtest-result-<strategy>.json</code>, injecting the strategy-name into the target filename.
|
|
There will be an additional table comparing win/losses of the different strategies (identical to the "Total" row in the first table).
|
|
Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.</p>
|
|
<div class="highlight"><pre><span></span><code>=========================================================== STRATEGY SUMMARY ===========================================================
|
|
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |
|
|
|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|
|
|
| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 |
|
|
| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 |
|
|
</code></pre></div>
|
|
<h2 id="next-step">Next step<a class="headerlink" href="#next-step" title="Permanent link">¶</a></h2>
|
|
<p>Great, your strategy is profitable. What if the bot can give your the
|
|
optimal parameters to use for your strategy?
|
|
Your next step is to learn <a href="../hyperopt/">how to find optimal parameters with Hyperopt</a></p>
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