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refactor: extract backtest detail_data_spread to function

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Matthias
2025-01-14 19:25:05 +01:00
parent 1f0b23c5fc
commit b525ba85c8
1 changed files with 23 additions and 14 deletions
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37
freqtrade/optimize/backtesting.py
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@@ -1412,6 +1412,27 @@ class Backtesting:
return exiting_dir
return None
def get_detail_data(self, pair: str, row: tuple) -> DataFrame | None:
"""
Spread into detail data
"""
current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
exit_candle_end = current_detail_time + self.timeframe_td
detail_data = self.detail_data[pair]
detail_data = detail_data.loc[
(detail_data["date"] >= current_detail_time) & (detail_data["date"] < exit_candle_end)
].copy()
if len(detail_data) == 0:
return None
detail_data.loc[:, "enter_long"] = row[LONG_IDX]
detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
detail_data.loc[:, "enter_short"] = row[SHORT_IDX]
detail_data.loc[:, "exit_short"] = row[ESHORT_IDX]
detail_data.loc[:, "enter_tag"] = row[ENTER_TAG_IDX]
detail_data.loc[:, "exit_tag"] = row[EXIT_TAG_IDX]
return detail_data
def time_pair_generator(
self, start_date: datetime, end_date: datetime, increment: timedelta, pairs: list[str]
):
@@ -1483,7 +1504,6 @@ class Backtesting:
is_last_row = current_time == end_date
self.dataprovider._set_dataframe_max_index(self.required_startup + row_index)
self.dataprovider._set_dataframe_max_date(current_time)
current_detail_time: datetime = row[DATE_IDX].to_pydatetime()
trade_dir: LongShort | None = self.check_for_trade_entry(row)
pair_has_open_trades = len(LocalTrade.bt_trades_open_pp[pair]) > 0
@@ -1495,24 +1515,13 @@ class Backtesting:
# Spread out into detail timeframe.
# Should only happen when we are either in a trade for this pair
# or when we got the signal for a new trade.
exit_candle_end = current_detail_time + self.timeframe_td
detail_data = self.get_detail_data(pair, row)
detail_data = self.detail_data[pair]
detail_data = detail_data.loc[
(detail_data["date"] >= current_detail_time)
& (detail_data["date"] < exit_candle_end)
].copy()
if len(detail_data) == 0:
if detail_data is None or len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
self.dataprovider._set_dataframe_max_date(current_time)
self.backtest_loop(row, pair, current_time, trade_dir, not is_last_row)
continue
detail_data.loc[:, "enter_long"] = row[LONG_IDX]
detail_data.loc[:, "exit_long"] = row[ELONG_IDX]
detail_data.loc[:, "enter_short"] = row[SHORT_IDX]
detail_data.loc[:, "exit_short"] = row[ESHORT_IDX]
detail_data.loc[:, "enter_tag"] = row[ENTER_TAG_IDX]
detail_data.loc[:, "exit_tag"] = row[EXIT_TAG_IDX]
is_first = True
current_time_det = current_time
for det_row in detail_data[HEADERS].values.tolist():