From 6d1fba140949740a129a75cae41d4adbed8a9745 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Sep 2020 07:43:42 +0200 Subject: [PATCH 1/5] Remove unnecessary log output tests --- tests/optimize/test_backtesting.py | 8 -------- 1 file changed, 8 deletions(-) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 376390664..1f8f7cfd8 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -353,8 +353,6 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: backtesting.start() # check the logs, that will contain the backtest result exists = [ - 'Using stake_currency: BTC ...', - 'Using stake_amount: 0.001 ...', 'Backtesting with data from 2017-11-14 21:17:00 ' 'up to 2017-11-14 22:59:00 (0 days)..' ] @@ -722,8 +720,6 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', - 'Using stake_currency: BTC ...', - 'Using stake_amount: 0.001 ...', 'Loading data from 2017-11-14 20:57:00 ' 'up to 2017-11-14 22:58:00 (0 days)..', 'Backtesting with data from 2017-11-14 21:17:00 ' @@ -786,8 +782,6 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', - 'Using stake_currency: BTC ...', - 'Using stake_amount: 0.001 ...', 'Loading data from 2017-11-14 20:57:00 ' 'up to 2017-11-14 22:58:00 (0 days)..', 'Backtesting with data from 2017-11-14 21:17:00 ' @@ -865,8 +859,6 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', - 'Using stake_currency: BTC ...', - 'Using stake_amount: 0.001 ...', 'Loading data from 2017-11-14 20:57:00 ' 'up to 2017-11-14 22:58:00 (0 days)..', 'Backtesting with data from 2017-11-14 21:17:00 ' From 9d4cdcad10df21c149df59bdd7c4adde46553459 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Sep 2020 07:44:11 +0200 Subject: [PATCH 2/5] Extract backtesting of one strategy --- freqtrade/optimize/backtesting.py | 93 ++++++++++++++++--------------- 1 file changed, 48 insertions(+), 45 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 6913b2f4b..fff3914a5 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -76,6 +76,8 @@ class Backtesting: # Reset keys for backtesting remove_credentials(self.config) self.strategylist: List[IStrategy] = [] + self.all_results: Dict[str, Dict] = {} + self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) dataprovider = DataProvider(self.config, self.exchange) @@ -424,6 +426,47 @@ class Backtesting: return DataFrame.from_records(trades, columns=BacktestResult._fields) + def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange): + logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) + self._set_strategy(strat) + + # Use max_open_trades in backtesting, except --disable-max-market-positions is set + if self.config.get('use_max_market_positions', True): + # Must come from strategy config, as the strategy may modify this setting. + max_open_trades = self.strategy.config['max_open_trades'] + else: + logger.info( + 'Ignoring max_open_trades (--disable-max-market-positions was used) ...') + max_open_trades = 0 + + # need to reprocess data every time to populate signals + preprocessed = self.strategy.ohlcvdata_to_dataframe(data) + + # Trim startup period from analyzed dataframe + for pair, df in preprocessed.items(): + preprocessed[pair] = trim_dataframe(df, timerange) + min_date, max_date = history.get_timerange(preprocessed) + + logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(max_date - min_date).days} days)..') + # Execute backtest and store results + results = self.backtest( + processed=preprocessed, + stake_amount=self.config['stake_amount'], + start_date=min_date.datetime, + end_date=max_date.datetime, + max_open_trades=max_open_trades, + position_stacking=self.config.get('position_stacking', False), + enable_protections=self.config.get('enable_protections', False), + ) + self.all_results[self.strategy.get_strategy_name()] = { + 'results': results, + 'config': self.strategy.config, + 'locks': PairLocks.locks, + } + return min_date, max_date + def start(self) -> None: """ Run backtesting end-to-end @@ -431,55 +474,15 @@ class Backtesting: """ data: Dict[str, Any] = {} - logger.info('Using stake_currency: %s ...', self.config['stake_currency']) - logger.info('Using stake_amount: %s ...', self.config['stake_amount']) - - position_stacking = self.config.get('position_stacking', False) - data, timerange = self.load_bt_data() - all_results = {} + min_date = None + max_date = None for strat in self.strategylist: - logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) - self._set_strategy(strat) + min_date, max_date = self.backtest_one_strategy(strat, data, timerange) - # Use max_open_trades in backtesting, except --disable-max-market-positions is set - if self.config.get('use_max_market_positions', True): - # Must come from strategy config, as the strategy may modify this setting. - max_open_trades = self.strategy.config['max_open_trades'] - else: - logger.info( - 'Ignoring max_open_trades (--disable-max-market-positions was used) ...') - max_open_trades = 0 - - # need to reprocess data every time to populate signals - preprocessed = self.strategy.ohlcvdata_to_dataframe(data) - - # Trim startup period from analyzed dataframe - for pair, df in preprocessed.items(): - preprocessed[pair] = trim_dataframe(df, timerange) - min_date, max_date = history.get_timerange(preprocessed) - - logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'({(max_date - min_date).days} days)..') - # Execute backtest and print results - results = self.backtest( - processed=preprocessed, - stake_amount=self.config['stake_amount'], - start_date=min_date.datetime, - end_date=max_date.datetime, - max_open_trades=max_open_trades, - position_stacking=position_stacking, - enable_protections=self.config.get('enable_protections', False), - ) - all_results[self.strategy.get_strategy_name()] = { - 'results': results, - 'config': self.strategy.config, - 'locks': PairLocks.locks, - } - - stats = generate_backtest_stats(data, all_results, min_date=min_date, max_date=max_date) + stats = generate_backtest_stats(data, self.all_results, + min_date=min_date, max_date=max_date) if self.config.get('export', False): store_backtest_stats(self.config['exportfilename'], stats) From baa1142afa75c577ee4bfd50f283a0e345253ebd Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Sep 2020 07:45:47 +0200 Subject: [PATCH 3/5] Use preprocessed to get min/max date in hyperopt --- freqtrade/optimize/backtesting.py | 4 ++++ freqtrade/optimize/hyperopt.py | 2 +- 2 files changed, 5 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index fff3914a5..87eb8cb05 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -152,6 +152,10 @@ class Backtesting: self.strategy.order_types['stoploss_on_exchange'] = False def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]: + """ + Loads backtest data and returns the data combined with the timerange + as tuple. + """ timerange = TimeRange.parse_timerange(None if self.config.get( 'timerange') is None else str(self.config.get('timerange'))) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 2a2f5b472..d4b9f4c3b 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -650,7 +650,7 @@ class Hyperopt: # Trim startup period from analyzed dataframe for pair, df in preprocessed.items(): preprocessed[pair] = trim_dataframe(df, timerange) - min_date, max_date = get_timerange(data) + min_date, max_date = get_timerange(preprocessed) logger.info(f'Hyperopting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' From 914710625940d8ac95a886c6f43c2f001f69af76 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 11 Oct 2020 19:50:37 +0200 Subject: [PATCH 4/5] call bot_loop_start() in backtesting to allow setup-code to run --- docs/bot-basics.md | 5 +++-- freqtrade/optimize/backtesting.py | 3 +++ tests/optimize/test_backtesting.py | 2 ++ 3 files changed, 8 insertions(+), 2 deletions(-) diff --git a/docs/bot-basics.md b/docs/bot-basics.md index 44f493456..86fb18645 100644 --- a/docs/bot-basics.md +++ b/docs/bot-basics.md @@ -49,8 +49,9 @@ This loop will be repeated again and again until the bot is stopped. [backtesting](backtesting.md) or [hyperopt](hyperopt.md) do only part of the above logic, since most of the trading operations are fully simulated. * Load historic data for configured pairlist. -* Calculate indicators (calls `populate_indicators()`). -* Calls `populate_buy_trend()` and `populate_sell_trend()` +* Calls `bot_loop_start()` once. +* Calculate indicators (calls `populate_indicators()` once per pair). +* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair) * Loops per candle simulating entry and exit points. * Generate backtest report output diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 87eb8cb05..cb021c9ff 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -26,6 +26,7 @@ from freqtrade.plugins.pairlistmanager import PairListManager from freqtrade.plugins.protectionmanager import ProtectionManager from freqtrade.resolvers import ExchangeResolver, StrategyResolver from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType +from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper logger = logging.getLogger(__name__) @@ -434,6 +435,8 @@ class Backtesting: logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) self._set_strategy(strat) + strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() + # Use max_open_trades in backtesting, except --disable-max-market-positions is set if self.config.get('use_max_market_positions', True): # Must come from strategy config, as the strategy may modify this setting. diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 1f8f7cfd8..e55e166d9 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -350,6 +350,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: default_conf['timerange'] = '-1510694220' backtesting = Backtesting(default_conf) + backtesting.strategy.bot_loop_start = MagicMock() backtesting.start() # check the logs, that will contain the backtest result exists = [ @@ -359,6 +360,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: for line in exists: assert log_has(line, caplog) assert backtesting.strategy.dp._pairlists is not None + assert backtesting.strategy.bot_loop_start.call_count == 1 def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) -> None: From 0b65fe6afe4b4d219dbc0d58277f1c2ad545ce2d Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 13 Jan 2021 07:47:03 +0100 Subject: [PATCH 5/5] Capture backtest start / end time --- freqtrade/optimize/backtesting.py | 6 +++++- freqtrade/optimize/optimize_reports.py | 6 ++++++ tests/optimize/test_optimize_reports.py | 5 ++++- 3 files changed, 15 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index cb021c9ff..106d0f200 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -6,7 +6,7 @@ This module contains the backtesting logic import logging from collections import defaultdict from copy import deepcopy -from datetime import datetime, timedelta +from datetime import datetime, timedelta, timezone from typing import Any, Dict, List, NamedTuple, Optional, Tuple from pandas import DataFrame @@ -433,6 +433,7 @@ class Backtesting: def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange): logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) + backtest_start_time = datetime.now(timezone.utc) self._set_strategy(strat) strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() @@ -467,10 +468,13 @@ class Backtesting: position_stacking=self.config.get('position_stacking', False), enable_protections=self.config.get('enable_protections', False), ) + backtest_end_time = datetime.now(timezone.utc) self.all_results[self.strategy.get_strategy_name()] = { 'results': results, 'config': self.strategy.config, 'locks': PairLocks.locks, + 'backtest_start_time': int(backtest_start_time.timestamp()), + 'backtest_end_time': int(backtest_end_time.timestamp()), } return min_date, max_date diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 6c70b7c84..a2bb6277e 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -282,6 +282,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'backtest_end_ts': max_date.int_timestamp * 1000, 'backtest_days': backtest_days, + 'backtest_run_start_ts': content['backtest_start_time'], + 'backtest_run_end_ts': content['backtest_end_time'], + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0, 'market_change': market_change, 'pairlist': list(btdata.keys()), @@ -290,6 +293,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'max_open_trades': (config['max_open_trades'] if config['max_open_trades'] != float('inf') else -1), 'timeframe': config['timeframe'], + 'timerange': config.get('timerange', ''), + 'enable_protections': config.get('enable_protections', False), + 'strategy_name': strategy, # Parameters relevant for backtesting 'stoploss': config['stoploss'], 'trailing_stop': config.get('trailing_stop', False), diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index e194e7de4..f184cb125 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -77,7 +77,10 @@ def test_generate_backtest_stats(default_conf, testdatadir): SellType.ROI, SellType.FORCE_SELL] }), 'config': default_conf, - 'locks': []} + 'locks': [], + 'backtest_start_time': Arrow.utcnow().int_timestamp, + 'backtest_end_time': Arrow.utcnow().int_timestamp, + } } timerange = TimeRange.parse_timerange('1510688220-1510700340') min_date = Arrow.fromtimestamp(1510688220)