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Merge pull request #10485 from jainanuj94/feature/8902

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Add exit signals to export in backtesting
This commit is contained in:
Matthias
2024-09-07 20:12:05 +02:00
committed by GitHub
parent 396d933e34 0858e0a21e
commit 611a3ce138
7 changed files with 164 additions and 39 deletions
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12
freqtrade/optimize/backtesting.py
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@@ -122,6 +122,7 @@ class Backtesting:
self.processed_dfs: Dict[str, Dict] = {}
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:
@@ -1564,11 +1565,14 @@ class Backtesting:
and self.dataprovider.runmode == RunMode.BACKTEST
):
self.processed_dfs[strategy_name] = generate_trade_signal_candles(
preprocessed_tmp, results
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"
)
return min_date, max_date
@@ -1644,7 +1648,11 @@ class Backtesting:
and self.dataprovider.runmode == RunMode.BACKTEST
):
store_backtest_analysis_results(
self.config["exportfilename"], self.processed_dfs, self.rejected_df, dt_appendix
self.config["exportfilename"],
self.processed_dfs,
self.rejected_df,
self.exited_dfs,
dt_appendix,
)
# Results may be mixed up now. Sort them so they follow --strategy-list order.