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Simplify backtest storage

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This commit is contained in:
Matthias
2024-04-16 20:53:06 +02:00
parent 3338fdece3
commit d7920c4b64
2 changed files with 9 additions and 22 deletions
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5
freqtrade/optimize/backtesting.py
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@@ -34,7 +34,6 @@ from freqtrade.optimize.optimize_reports import (generate_backtest_stats, genera
show_backtest_results,
store_backtest_analysis_results,
store_backtest_stats)
from freqtrade.optimize.optimize_reports.bt_storage import store_backtest_market_change
from freqtrade.persistence import (CustomDataWrapper, LocalTrade, Order, PairLocks, Trade,
disable_database_use, enable_database_use)
from freqtrade.plugins.pairlistmanager import PairListManager
@@ -1423,9 +1422,9 @@ class Backtesting:
self.results = results
dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
if self.config.get('export', 'none') in ('trades', 'signals'):
store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix)
combined_res = combined_dataframes_with_rel_mean(data, min_date, max_date)
store_backtest_market_change(self.config['exportfilename'], combined_res, dt_appendix)
store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix,
market_change_data=combined_res)
if (self.config.get('export', 'none') == 'signals' and
self.dataprovider.runmode == RunMode.BACKTEST):

26
freqtrade/optimize/optimize_reports/bt_storage.py
View File

@@ -1,6 +1,6 @@
import logging
from pathlib import Path
from typing import Dict
from typing import Dict, Optional
from pandas import DataFrame
@@ -31,7 +31,8 @@ def _generate_filename(recordfilename: Path, appendix: str, suffix: str) -> Path
def store_backtest_stats(
recordfilename: Path, stats: BacktestResultType, dtappendix: str) -> Path:
recordfilename: Path, stats: BacktestResultType, dtappendix: str, *,
market_change_data: Optional[DataFrame] = None) -> Path:
"""
Stores backtest results
:param recordfilename: Path object, which can either be a filename or a directory.
@@ -55,6 +56,10 @@ def store_backtest_stats(
latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
if market_change_data is not None:
filename_market_change = _generate_filename(recordfilename, f"{dtappendix}_market_change", '.feather')
market_change_data.reset_index().to_feather(filename_market_change, compression_level=9, compression='lz4')
return filename
@@ -83,20 +88,3 @@ def store_backtest_analysis_results(
dtappendix: str) -> None:
_store_backtest_analysis_data(recordfilename, candles, dtappendix, "signals")
_store_backtest_analysis_data(recordfilename, trades, dtappendix, "rejected")
def store_backtest_market_change(
recordfilename: Path, data: DataFrame, dtappendix: str) -> Path:
"""
Stores backtest market change average
:param recordfilename: Path object, which can either be a filename or a directory.
Filenames will be appended with a timestamp right before the suffix
while for directories, <directory>/backtest-result-<datetime>_<name>.pkl will be used
as filename
:param candles: Dict containing the backtesting data for analysis
:param dtappendix: Datetime to use for the filename
"""
filename = _generate_filename(recordfilename, f"{dtappendix}_market_change", '.feather')
data.reset_index().to_feather(filename, compression_level=9, compression='lz4')
return filename