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Merge branch 'develop' into pr/Axel-CH/10062

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Matthias
2024-12-22 18:07:32 +01:00
parent d37e23f68e 9953903193
commit 5c42c89505
95 changed files with 7101 additions and 2360 deletions
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44
freqtrade/optimize/backtesting.py
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@@ -47,8 +47,7 @@ from freqtrade.optimize.optimize_reports import (
generate_rejected_signals,
generate_trade_signal_candles,
show_backtest_results,
store_backtest_analysis_results,
store_backtest_stats,
store_backtest_results,
)
from freqtrade.persistence import (
CustomDataWrapper,
@@ -121,10 +120,12 @@ class Backtesting:
self.run_ids: dict[str, str] = {}
self.strategylist: list[IStrategy] = []
self.all_results: dict[str, dict] = {}
self.processed_dfs: dict[str, dict] = {}
self.analysis_results: dict[str, dict[str, DataFrame]] = {
"signals": {},
"rejected": {},
"exited": {},
}
self.rejected_dict: dict[str, list] = {}
self.rejected_df: dict[str, dict] = {}
self.exited_dfs: dict[str, dict] = {}
self._exchange_name = self.config["exchange"]["name"]
if not exchange:
@@ -1629,15 +1630,13 @@ class Backtesting:
self.config.get("export", "none") == "signals"
and self.dataprovider.runmode == RunMode.BACKTEST
):
self.processed_dfs[strategy_name] = generate_trade_signal_candles(
preprocessed_tmp, results, "open_date"
)
self.rejected_df[strategy_name] = generate_rejected_signals(
preprocessed_tmp, self.rejected_dict
)
self.exited_dfs[strategy_name] = generate_trade_signal_candles(
preprocessed_tmp, results, "close_date"
)
signals = generate_trade_signal_candles(preprocessed_tmp, results, "open_date")
rejected = generate_rejected_signals(preprocessed_tmp, self.rejected_dict)
exited = generate_trade_signal_candles(preprocessed_tmp, results, "close_date")
self.analysis_results["signals"][strategy_name] = signals
self.analysis_results["rejected"][strategy_name] = rejected
self.analysis_results["exited"][strategy_name] = exited
return min_date, max_date
@@ -1701,23 +1700,12 @@ class Backtesting:
dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
if self.config.get("export", "none") in ("trades", "signals"):
combined_res = combined_dataframes_with_rel_mean(data, min_date, max_date)
store_backtest_stats(
self.config["exportfilename"],
store_backtest_results(
self.config,
self.results,
dt_appendix,
market_change_data=combined_res,
)
if (
self.config.get("export", "none") == "signals"
and self.dataprovider.runmode == RunMode.BACKTEST
):
store_backtest_analysis_results(
self.config["exportfilename"],
self.processed_dfs,
self.rejected_df,
self.exited_dfs,
dt_appendix,
analysis_results=self.analysis_results,
)
# Results may be mixed up now. Sort them so they follow --strategy-list order.