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Merge pull request #10782 from freqtrade/feat/bt_reverse

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Enable future positions to reverse their position
This commit is contained in:
Matthias
2024-11-01 09:29:35 +01:00
committed by GitHub
parent dafabd5b99 c03f8afca1
commit 67f26fa1ac
6 changed files with 107 additions and 7 deletions
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31
freqtrade/optimize/backtesting.py
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@@ -1335,11 +1335,38 @@ class Backtesting:
trade_dir: Optional[LongShort],
can_enter: bool,
) -> None:
"""
Conditionally call backtest_loop_inner a 2nd time if shorting is enabled,
a position closed and a new signal in the other direction is available.
"""
if not self._can_short or trade_dir is None:
# No need to reverse position if shorting is disabled or there's no new signal
self.backtest_loop_inner(row, pair, current_time, trade_dir, can_enter)
else:
for _ in (0, 1):
a = self.backtest_loop_inner(row, pair, current_time, trade_dir, can_enter)
if not a or a == trade_dir:
# the trade didn't close or position change is in the same direction
break
def backtest_loop_inner(
self,
row: tuple,
pair: str,
current_time: datetime,
trade_dir: Optional[LongShort],
can_enter: bool,
) -> Optional[LongShort]:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
Backtesting processing for one candle/pair.
"""
exiting_dir: Optional[LongShort] = None
if not self._position_stacking and len(LocalTrade.bt_trades_open_pp[pair]) > 0:
# position_stacking not supported for now.
exiting_dir = "short" if LocalTrade.bt_trades_open_pp[pair][0].is_short else "long"
for t in list(LocalTrade.bt_trades_open_pp[pair]):
# 1. Manage currently open orders of active trades
if self.manage_open_orders(t, current_time, row):
@@ -1380,6 +1407,10 @@ class Backtesting:
if order:
self._process_exit_order(order, trade, current_time, row, pair)
if exiting_dir and len(LocalTrade.bt_trades_open_pp[pair]) == 0:
return exiting_dir
return None
def time_pair_generator(
self, start_date: datetime, end_date: datetime, increment: timedelta, pairs: list[str]
):