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111 lines
3.5 KiB
Python
111 lines
3.5 KiB
Python
# pragma pylint: disable=missing-docstring, W0212, too-many-arguments
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"""
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This module contains the edge backtesting interface
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"""
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import logging
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from argparse import Namespace
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from typing import Dict, Any
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from tabulate import tabulate
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from freqtrade.edge import Edge
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from freqtrade.arguments import Arguments
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from freqtrade.configuration import Configuration
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from freqtrade.exchange import Exchange
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from freqtrade.resolvers import StrategyResolver
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from freqtrade.state import RunMode
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logger = logging.getLogger(__name__)
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class EdgeCli(object):
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"""
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EdgeCli class, this class contains all the logic to run edge backtesting
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To run a edge backtest:
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edge = EdgeCli(config)
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edge.start()
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"""
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def __init__(self, config: Dict[str, Any]) -> None:
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self.config = config
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# Reset keys for edge
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self.config['exchange']['key'] = ''
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self.config['exchange']['secret'] = ''
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self.config['exchange']['password'] = ''
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self.config['exchange']['uid'] = ''
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self.config['dry_run'] = True
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self.exchange = Exchange(self.config)
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self.strategy = StrategyResolver(self.config).strategy
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self.edge = Edge(config, self.exchange, self.strategy)
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self.edge._refresh_pairs = self.config.get('refresh_pairs', False)
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self.timerange = Arguments.parse_timerange(None if self.config.get(
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'timerange') is None else str(self.config.get('timerange')))
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self.edge._timerange = self.timerange
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def _generate_edge_table(self, results: dict) -> str:
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floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
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tabular_data = []
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headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
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'required risk reward', 'expectancy', 'total number of trades',
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'average duration (min)']
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for result in results.items():
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if result[1].nb_trades > 0:
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tabular_data.append([
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result[0],
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result[1].stoploss,
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result[1].winrate,
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result[1].risk_reward_ratio,
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result[1].required_risk_reward,
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result[1].expectancy,
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result[1].nb_trades,
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round(result[1].avg_trade_duration)
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])
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# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(tabular_data, headers=headers, # type: ignore
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floatfmt=floatfmt, tablefmt="pipe")
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def start(self) -> None:
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result = self.edge.calculate()
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if result:
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print('') # blank line for readability
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print(self._generate_edge_table(self.edge._cached_pairs))
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def setup_configuration(args: Namespace) -> Dict[str, Any]:
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"""
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Prepare the configuration for edge backtesting
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:param args: Cli args from Arguments()
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:return: Configuration
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"""
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configuration = Configuration(args, RunMode.EDGECLI)
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config = configuration.get_config()
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# Ensure we do not use Exchange credentials
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config['exchange']['key'] = ''
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config['exchange']['secret'] = ''
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return config
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def start(args: Namespace) -> None:
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"""
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Start Edge script
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:param args: Cli args from Arguments()
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:return: None
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"""
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# Initialize configuration
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config = setup_configuration(args)
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logger.info('Starting freqtrade in Edge mode')
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# Initialize Edge object
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edge_cli = EdgeCli(config)
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edge_cli.start()
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