mirror of
https://github.com/freqtrade/freqtrade.git
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85 lines
2.3 KiB
Python
85 lines
2.3 KiB
Python
from datetime import timedelta
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from typing import Dict, List, NamedTuple, Optional
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from pandas import DataFrame
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from freqtrade.enums import ExitType
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.util.datetime_helpers import dt_utc
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tests_start_time = dt_utc(2018, 10, 3)
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tests_timeframe = "1h"
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class BTrade(NamedTuple):
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"""
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Minimalistic Trade result used for functional backtesting
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"""
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exit_reason: ExitType
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open_tick: int
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close_tick: int
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enter_tag: Optional[str] = None
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is_short: bool = False
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class BTContainer(NamedTuple):
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"""
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Minimal BacktestContainer defining Backtest inputs and results.
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"""
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data: List[List[float]]
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stop_loss: float
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roi: Dict[str, float]
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trades: List[BTrade]
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profit_perc: float
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trailing_stop: bool = False
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trailing_only_offset_is_reached: bool = False
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trailing_stop_positive: Optional[float] = None
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trailing_stop_positive_offset: float = 0.0
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use_exit_signal: bool = False
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use_custom_stoploss: bool = False
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custom_entry_price: Optional[float] = None
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custom_exit_price: Optional[float] = None
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leverage: float = 1.0
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timeout: Optional[int] = None
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adjust_entry_price: Optional[float] = None
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def _get_frame_time_from_offset(offset):
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minutes = offset * timeframe_to_minutes(tests_timeframe)
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return tests_start_time + timedelta(minutes=minutes)
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def _build_backtest_dataframe(data):
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columns = [
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"date",
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"open",
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"high",
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"low",
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"close",
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"volume",
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"enter_long",
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"exit_long",
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"enter_short",
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"exit_short",
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]
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if len(data[0]) == 8:
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# No short columns
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data = [d + [0, 0] for d in data]
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columns = columns + ["enter_tag"] if len(data[0]) == 11 else columns
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frame = DataFrame.from_records(data, columns=columns)
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frame["date"] = frame["date"].apply(_get_frame_time_from_offset)
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# Ensure floats are in place
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for column in ["open", "high", "low", "close", "volume"]:
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frame[column] = frame[column].astype("float64")
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# Ensure all candles make kindof sense
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assert all(frame["low"] <= frame["close"])
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assert all(frame["low"] <= frame["open"])
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assert all(frame["high"] >= frame["close"])
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assert all(frame["high"] >= frame["open"])
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return frame
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