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Merge branch 'develop' into feat_readjust_entry

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eSeR1805
2022-04-28 23:06:52 +03:00
parent 76558f284f d1a61f9c61
commit eb23170c43
66 changed files with 818 additions and 517 deletions
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184
freqtrade/optimize/backtesting.py Normal file → Executable file
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@@ -9,6 +9,7 @@ from copy import deepcopy
from datetime import datetime, timedelta, timezone
from typing import Any, Dict, List, Optional, Tuple
import pandas as pd
from numpy import nan
from pandas import DataFrame
@@ -19,13 +20,15 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import BacktestState, CandleType, ExitCheckTuple, ExitType, TradingMode
from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
TradingMode)
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import get_strategy_run_id
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.bt_progress import BTProgress
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
store_backtest_signal_candles,
store_backtest_stats)
from freqtrade.persistence import LocalTrade, Order, PairLocks, Trade
from freqtrade.plugins.pairlistmanager import PairListManager
@@ -51,6 +54,11 @@ ESHORT_IDX = 8 # Exit short
ENTER_TAG_IDX = 9
EXIT_TAG_IDX = 10
# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
HEADERS = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
class Backtesting:
"""
@@ -73,6 +81,8 @@ 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._exchange_name = self.config['exchange']['name']
self.exchange = ExchangeResolver.load_exchange(self._exchange_name, self.config)
self.dataprovider = DataProvider(self.config, self.exchange)
@@ -174,7 +184,7 @@ class Backtesting:
# Attach Wallets to Strategy baseclass
strategy.wallets = self.wallets
# Set stoploss_on_exchange to false for backtesting,
# since a "perfect" stoploss-sell is assumed anyway
# since a "perfect" stoploss-exit is assumed anyway
# And the regular "stoploss" function would not apply to that case
self.strategy.order_types['stoploss_on_exchange'] = False
@@ -259,10 +269,18 @@ class Backtesting:
candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
)
# Combine data to avoid combining the data per trade.
unavailable_pairs = []
for pair in self.pairlists.whitelist:
if pair not in self.exchange._leverage_tiers:
unavailable_pairs.append(pair)
continue
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
if unavailable_pairs:
raise OperationalException(
f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. "
"It is therefore impossible to backtest with this pair at the moment.")
else:
self.futures_data = {}
@@ -300,10 +318,7 @@ class Backtesting:
:param processed: a processed dictionary with format {pair, data}, which gets cleared to
optimize memory usage!
"""
# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
data: Dict = {}
self.progress.init_step(BacktestState.CONVERT, len(processed))
@@ -315,7 +330,7 @@ class Backtesting:
if not pair_data.empty:
# Cleanup from prior runs
pair_data.drop(headers[5:] + ['buy', 'sell'], axis=1, errors='ignore')
pair_data.drop(HEADERS[5:] + ['buy', 'sell'], axis=1, errors='ignore')
df_analyzed = self.strategy.advise_exit(
self.strategy.advise_entry(pair_data, {'pair': pair}),
@@ -328,13 +343,13 @@ class Backtesting:
self.dataprovider._set_cached_df(
pair, self.timeframe, df_analyzed, self.config['candle_type_def'])
# Create a copy of the dataframe before shifting, that way the buy signal/tag
# Create a copy of the dataframe before shifting, that way the entry signal/tag
# remains on the correct candle for callbacks.
df_analyzed = df_analyzed.copy()
# To avoid using data from future, we use buy/sell signals shifted
# To avoid using data from future, we use entry/exit signals shifted
# from the previous candle
for col in headers[5:]:
for col in HEADERS[5:]:
tag_col = col in ('enter_tag', 'exit_tag')
if col in df_analyzed.columns:
df_analyzed.loc[:, col] = df_analyzed.loc[:, col].replace(
@@ -346,27 +361,27 @@ class Backtesting:
# Convert from Pandas to list for performance reasons
# (Looping Pandas is slow.)
data[pair] = df_analyzed[headers].values.tolist() if not df_analyzed.empty else []
data[pair] = df_analyzed[HEADERS].values.tolist() if not df_analyzed.empty else []
return data
def _get_close_rate(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
"""
Get close rate for backtesting result
"""
# Special handling if high or low hit STOP_LOSS or ROI
if sell.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
return self._get_close_rate_for_stoploss(row, trade, sell, trade_dur)
elif sell.exit_type == (ExitType.ROI):
return self._get_close_rate_for_roi(row, trade, sell, trade_dur)
if exit.exit_type in (ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS):
return self._get_close_rate_for_stoploss(row, trade, exit, trade_dur)
elif exit.exit_type == (ExitType.ROI):
return self._get_close_rate_for_roi(row, trade, exit, trade_dur)
else:
return row[OPEN_IDX]
def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate_for_stoploss(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
# our stoploss was already lower than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
# exit at open price.
is_short = trade.is_short or False
leverage = trade.leverage or 1.0
side_1 = -1 if is_short else 1
@@ -380,7 +395,7 @@ class Backtesting:
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if sell.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
if exit.exit_type == ExitType.TRAILING_STOP_LOSS and trade_dur == 0:
if (
not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
and self.strategy.trailing_only_offset_is_reached
@@ -399,7 +414,7 @@ class Backtesting:
else:
assert stop_rate < row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low.
# Limit lower-end to candle low to avoid exits below the low.
# This still remains "worst case" - but "worst realistic case".
if is_short:
return min(row[HIGH_IDX], stop_rate)
@@ -409,7 +424,7 @@ class Backtesting:
# Set close_rate to stoploss
return trade.stop_loss
def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, sell: ExitCheckTuple,
def _get_close_rate_for_roi(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
trade_dur: int) -> float:
is_short = trade.is_short or False
leverage = trade.leverage or 1.0
@@ -434,7 +449,7 @@ class Backtesting:
and roi_entry % self.timeframe_min == 0
and is_new_roi):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
# use Open rate if open_rate > calculated exit rate
return row[OPEN_IDX]
if (trade_dur == 0 and (
@@ -457,11 +472,11 @@ class Backtesting:
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower wick.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
# If open_rate is < open, only allow sells below the close on red candles.
# If open_rate is < open, only allow exits below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# cannot exit outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return min(max(close_rate, row[LOW_IDX]), row[HIGH_IDX])
@@ -496,7 +511,7 @@ class Backtesting:
""" Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
row: Tuple) -> Optional[LocalTrade]:
# Check if we need to adjust our current positions
@@ -508,34 +523,35 @@ class Backtesting:
if check_adjust_entry:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_ = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
sell = self.strategy.should_exit(
trade, row[OPEN_IDX], sell_candle_time, # type: ignore
enter=enter, exit_=exit_,
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exit_ = self.strategy.should_exit(
trade, row[OPEN_IDX], exit_candle_time, # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
if sell.exit_flag:
trade.close_date = sell_candle_time
if exit_.exit_flag:
trade.close_date = exit_candle_time
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
closerate = self._get_close_rate(row, trade, sell, trade_dur)
closerate = self._get_close_rate(row, trade, exit_, trade_dur)
except ValueError:
return None
# call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate)
order_type = self.strategy.order_types['exit']
if sell.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
# Custom exit pricing only for sell-signals
if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
# Custom exit pricing only for exit-signals
if order_type == 'limit':
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=closerate)(
pair=trade.pair, trade=trade,
current_time=sell_candle_time,
proposed_rate=closerate, current_profit=current_profit)
current_time=exit_candle_time,
proposed_rate=closerate, current_profit=current_profit,
exit_tag=exit_.exit_reason)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
if trade.is_short:
@@ -549,12 +565,12 @@ class Backtesting:
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
time_in_force=time_in_force,
sell_reason=sell.exit_reason, # deprecated
exit_reason=sell.exit_reason,
current_time=sell_candle_time):
sell_reason=exit_.exit_reason, # deprecated
exit_reason=exit_.exit_reason,
current_time=exit_candle_time):
return None
trade.exit_reason = sell.exit_reason
trade.exit_reason = exit_.exit_reason
# Checks and adds an exit tag, after checking that the length of the
# row has the length for an exit tag column
@@ -562,6 +578,7 @@ class Backtesting:
len(row) > EXIT_TAG_IDX
and row[EXIT_TAG_IDX] is not None
and len(row[EXIT_TAG_IDX]) > 0
and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
):
trade.exit_reason = row[EXIT_TAG_IDX]
@@ -569,8 +586,8 @@ class Backtesting:
order = Order(
id=self.order_id_counter,
ft_trade_id=trade.id,
order_date=sell_candle_time,
order_update_date=sell_candle_time,
order_date=exit_candle_time,
order_update_date=exit_candle_time,
ft_is_open=True,
ft_pair=trade.pair,
order_id=str(self.order_id_counter),
@@ -591,8 +608,8 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
sell_candle_time: datetime = row[DATE_IDX].to_pydatetime()
def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
trade.funding_fees = self.exchange.calculate_funding_fees(
@@ -600,37 +617,35 @@ class Backtesting:
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.open_date_utc,
close_date=sell_candle_time,
close_date=exit_candle_time,
)
if self.timeframe_detail and trade.pair in self.detail_data:
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
exit_candle_end = exit_candle_time + timedelta(minutes=self.timeframe_min)
detail_data = self.detail_data[trade.pair]
detail_data = detail_data.loc[
(detail_data['date'] >= sell_candle_time) &
(detail_data['date'] < sell_candle_end)
(detail_data['date'] >= exit_candle_time) &
(detail_data['date'] < exit_candle_end)
].copy()
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
return self._get_sell_trade_entry_for_candle(trade, row)
return self._get_exit_trade_entry_for_candle(trade, row)
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]
headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
for det_row in detail_data[headers].values.tolist():
res = self._get_sell_trade_entry_for_candle(trade, det_row)
for det_row in detail_data[HEADERS].values.tolist():
res = self._get_exit_trade_entry_for_candle(trade, det_row)
if res:
return res
return None
else:
return self._get_sell_trade_entry_for_candle(trade, row)
return self._get_exit_trade_entry_for_candle(trade, row)
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: Optional[float],
@@ -818,13 +833,13 @@ class Backtesting:
if len(open_trades[pair]) > 0:
for trade in open_trades[pair]:
if trade.open_order_id and trade.nr_of_successful_entries == 0:
# Ignore trade if buy-order did not fill yet
# Ignore trade if entry-order did not fill yet
continue
sell_row = data[pair][-1]
exit_row = data[pair][-1]
trade.close_date = sell_row[DATE_IDX].to_pydatetime()
trade.close_date = exit_row[DATE_IDX].to_pydatetime()
trade.exit_reason = ExitType.FORCE_EXIT.value
trade.close(sell_row[OPEN_IDX], show_msg=False)
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
# Deepcopy object to have wallets update correctly
trade1 = deepcopy(trade)
@@ -889,7 +904,7 @@ class Backtesting:
# Remove trade due to entry timeout expiration.
return True
else:
# Close additional buy order
# Close additional entry order
del trade.orders[trade.orders.index(order)]
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
@@ -902,7 +917,7 @@ class Backtesting:
self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
try:
# Row is treated as "current incomplete candle".
# Buy / sell signals are shifted by 1 to compensate for this.
# entry / exit signals are shifted by 1 to compensate for this.
row = data[pair][row_index]
except IndexError:
# missing Data for one pair at the end.
@@ -967,16 +982,16 @@ class Backtesting:
self.dataprovider._set_dataframe_max_index(row_index)
for t in list(open_trades[pair]):
# 1. Cancel expired buy/sell orders.
# 1. Cancel expired entry/exit orders.
if self.check_order_cancel(t, current_time):
# Close trade due to buy timeout expiration.
# Close trade due to entry timeout expiration.
open_trade_count -= 1
open_trades[pair].remove(t)
self.wallets.update()
else:
self.check_order_replace(t, current_time, row)
# 2. Process buys.
# 2. Process entries.
# without positionstacking, we can only have one open trade per pair.
# max_open_trades must be respected
# don't open on the last row
@@ -992,7 +1007,7 @@ class Backtesting:
if trade:
# TODO: hacky workaround to avoid opening > max_open_trades
# This emulates previous behavior - not sure if this is correct
# Prevents buying if the trade-slot was freed in this candle
# Prevents entering if the trade-slot was freed in this candle
open_trade_count_start += 1
open_trade_count += 1
# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
@@ -1007,18 +1022,18 @@ class Backtesting:
LocalTrade.add_bt_trade(trade)
self.wallets.update()
# 4. Create sell orders (if any)
# 4. Create exit orders (if any)
if not trade.open_order_id:
self._get_sell_trade_entry(trade, row) # Place sell order if necessary
self._get_exit_trade_entry(trade, row) # Place exit order if necessary
# 5. Process sell orders.
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
if order and self._get_order_filled(order.price, row):
trade.open_order_id = None
trade.close_date = current_time
trade.close(order.price, show_msg=False)
# logger.debug(f"{pair} - Backtesting sell {trade}")
# logger.debug(f"{pair} - Backtesting exit {trade}")
open_trade_count -= 1
open_trades[pair].remove(trade)
LocalTrade.close_bt_trade(trade)
@@ -1074,7 +1089,7 @@ class Backtesting:
"No data left after adjusting for startup candles.")
# Use preprocessed_tmp for date generation (the trimmed dataframe).
# Backtesting will re-trim the dataframes after buy/sell signal generation.
# Backtesting will re-trim the dataframes after entry/exit signal generation.
min_date, max_date = history.get_timerange(preprocessed_tmp)
logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
@@ -1096,8 +1111,31 @@ class Backtesting:
})
self.all_results[self.strategy.get_strategy_name()] = results
if (self.config.get('export', 'none') == 'signals' and
self.dataprovider.runmode == RunMode.BACKTEST):
self._generate_trade_signal_candles(preprocessed_tmp, results)
return min_date, max_date
def _generate_trade_signal_candles(self, preprocessed_df, bt_results):
signal_candles_only = {}
for pair in preprocessed_df.keys():
signal_candles_only_df = DataFrame()
pairdf = preprocessed_df[pair]
resdf = bt_results['results']
pairresults = resdf.loc[(resdf["pair"] == pair)]
if pairdf.shape[0] > 0:
for t, v in pairresults.open_date.items():
allinds = pairdf.loc[(pairdf['date'] < v)]
signal_inds = allinds.iloc[[-1]]
signal_candles_only_df = pd.concat([signal_candles_only_df, signal_inds])
signal_candles_only[pair] = signal_candles_only_df
self.processed_dfs[self.strategy.get_strategy_name()] = signal_candles_only
def _get_min_cached_backtest_date(self):
min_backtest_date = None
backtest_cache_age = self.config.get('backtest_cache', constants.BACKTEST_CACHE_DEFAULT)
@@ -1156,9 +1194,13 @@ class Backtesting:
else:
self.results = results
if self.config.get('export', 'none') == 'trades':
if self.config.get('export', 'none') in ('trades', 'signals'):
store_backtest_stats(self.config['exportfilename'], self.results)
if (self.config.get('export', 'none') == 'signals' and
self.dataprovider.runmode == RunMode.BACKTEST):
store_backtest_signal_candles(self.config['exportfilename'], self.processed_dfs)
# Results may be mixed up now. Sort them so they follow --strategy-list order.
if 'strategy_list' in self.config and len(self.results) > 0:
self.results['strategy_comparison'] = sorted(