From f3824d970bb511d1a230fe6de713f735b81c80c7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 29 May 2020 20:18:38 +0200 Subject: [PATCH 001/129] Use dict for symbol_is_pair --- freqtrade/commands/list_commands.py | 2 +- freqtrade/exchange/exchange.py | 12 +++++++----- 2 files changed, 8 insertions(+), 6 deletions(-) diff --git a/freqtrade/commands/list_commands.py b/freqtrade/commands/list_commands.py index e5131f9b2..bc4bd694f 100644 --- a/freqtrade/commands/list_commands.py +++ b/freqtrade/commands/list_commands.py @@ -163,7 +163,7 @@ def start_list_markets(args: Dict[str, Any], pairs_only: bool = False) -> None: tabular_data.append({'Id': v['id'], 'Symbol': v['symbol'], 'Base': v['base'], 'Quote': v['quote'], 'Active': market_is_active(v), - **({'Is pair': symbol_is_pair(v['symbol'])} + **({'Is pair': symbol_is_pair(v)} if not pairs_only else {})}) if (args.get('print_one_column', False) or diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index af745e8d0..09f700bbb 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -214,7 +214,7 @@ class Exchange: if quote_currencies: markets = {k: v for k, v in markets.items() if v['quote'] in quote_currencies} if pairs_only: - markets = {k: v for k, v in markets.items() if symbol_is_pair(v['symbol'])} + markets = {k: v for k, v in markets.items() if symbol_is_pair(v)} if active_only: markets = {k: v for k, v in markets.items() if market_is_active(v)} return markets @@ -1210,7 +1210,7 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime: return datetime.fromtimestamp(new_timestamp, tz=timezone.utc) -def symbol_is_pair(market_symbol: str, base_currency: str = None, +def symbol_is_pair(market_symbol: Dict[str, Any], base_currency: str = None, quote_currency: str = None) -> bool: """ Check if the market symbol is a pair, i.e. that its symbol consists of the base currency and the @@ -1218,10 +1218,12 @@ def symbol_is_pair(market_symbol: str, base_currency: str = None, it also checks that the symbol contains appropriate base and/or quote currency part before and after the separating character correspondingly. """ - symbol_parts = market_symbol.split('/') + symbol_parts = market_symbol['symbol'].split('/') return (len(symbol_parts) == 2 and - (symbol_parts[0] == base_currency if base_currency else len(symbol_parts[0]) > 0) and - (symbol_parts[1] == quote_currency if quote_currency else len(symbol_parts[1]) > 0)) + (market_symbol.get('base') == base_currency + if base_currency else len(symbol_parts[0]) > 0) and + (market_symbol.get('quote') == quote_currency + if quote_currency else len(symbol_parts[1]) > 0)) def market_is_active(market: Dict) -> bool: From ffa93377b4e66f7182fcfcee305c8635299b106b Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 1 Jun 2020 09:34:03 +0200 Subject: [PATCH 002/129] Test colorama init again (after the fixes done to progressbar) --- freqtrade/optimize/hyperopt.py | 19 ++++++++++--------- 1 file changed, 10 insertions(+), 9 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 3a28de785..bd80f7069 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -4,26 +4,26 @@ This module contains the hyperopt logic """ +import io import locale import logging import random import warnings -from math import ceil from collections import OrderedDict +from math import ceil from operator import itemgetter from pathlib import Path from pprint import pprint from typing import Any, Dict, List, Optional +import progressbar import rapidjson +import tabulate from colorama import Fore, Style +from colorama import init as colorama_init from joblib import (Parallel, cpu_count, delayed, dump, load, wrap_non_picklable_objects) -from pandas import DataFrame, json_normalize, isna -import progressbar -import tabulate -from os import path -import io +from pandas import DataFrame, isna, json_normalize from freqtrade.data.converter import trim_dataframe from freqtrade.data.history import get_timerange @@ -32,7 +32,8 @@ from freqtrade.misc import plural, round_dict from freqtrade.optimize.backtesting import Backtesting # Import IHyperOpt and IHyperOptLoss to allow unpickling classes from these modules from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401 -from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401 +from freqtrade.optimize.hyperopt_loss_interface import \ + IHyperOptLoss # noqa: F401 from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, HyperOptResolver) @@ -374,7 +375,7 @@ class Hyperopt: return # Verification for overwrite - if path.isfile(csv_file): + if Path(csv_file).is_file(): logger.error(f"CSV file already exists: {csv_file}") return @@ -603,7 +604,7 @@ class Hyperopt: data, timerange = self.backtesting.load_bt_data() preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data) - + colorama_init(autoreset=True) # Trim startup period from analyzed dataframe for pair, df in preprocessed.items(): preprocessed[pair] = trim_dataframe(df, timerange) From d9afef8fe19d1fee53cd3c0421cdd3ffcdb27a91 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 1 Jun 2020 09:37:10 +0200 Subject: [PATCH 003/129] Move colorama_init to where it was --- freqtrade/optimize/hyperopt.py | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index bd80f7069..566ba5de8 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -604,7 +604,7 @@ class Hyperopt: data, timerange = self.backtesting.load_bt_data() preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data) - colorama_init(autoreset=True) + # Trim startup period from analyzed dataframe for pair, df in preprocessed.items(): preprocessed[pair] = trim_dataframe(df, timerange) @@ -629,6 +629,10 @@ class Hyperopt: self.dimensions: List[Dimension] = self.hyperopt_space() self.opt = self.get_optimizer(self.dimensions, config_jobs) + + if self.print_colorized: + colorama_init(autoreset=True) + try: with Parallel(n_jobs=config_jobs) as parallel: jobs = parallel._effective_n_jobs() From f6edb32a33c5ddc6a48c7bd9e3abeb01871a6054 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 1 Jun 2020 09:55:52 +0200 Subject: [PATCH 004/129] Run hyperopt with --print-all --- .github/workflows/ci.yml | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml index 239576c61..2c6141344 100644 --- a/.github/workflows/ci.yml +++ b/.github/workflows/ci.yml @@ -88,7 +88,7 @@ jobs: run: | cp config.json.example config.json freqtrade create-userdir --userdir user_data - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt + freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --print-all - name: Flake8 run: | @@ -150,7 +150,7 @@ jobs: run: | cp config.json.example config.json freqtrade create-userdir --userdir user_data - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt + freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --print-all - name: Flake8 run: | From b22e3a67d86b27d06ab2c1b4bee0d8f0b2f0f382 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 2 Jun 2020 20:29:48 +0200 Subject: [PATCH 005/129] rename symbol_is_pair to market_is_tradable Make it part of the exchange class, so subclasses can override this --- freqtrade/commands/list_commands.py | 4 ++-- freqtrade/exchange/__init__.py | 3 +-- freqtrade/exchange/exchange.py | 31 +++++++++++++---------------- freqtrade/exchange/ftx.py | 12 ++++++++++- freqtrade/exchange/kraken.py | 12 ++++++++++- 5 files changed, 39 insertions(+), 23 deletions(-) diff --git a/freqtrade/commands/list_commands.py b/freqtrade/commands/list_commands.py index bc4bd694f..503f8a4ee 100644 --- a/freqtrade/commands/list_commands.py +++ b/freqtrade/commands/list_commands.py @@ -14,7 +14,7 @@ from freqtrade.configuration import setup_utils_configuration from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES from freqtrade.exceptions import OperationalException from freqtrade.exchange import (available_exchanges, ccxt_exchanges, - market_is_active, symbol_is_pair) + market_is_active) from freqtrade.misc import plural from freqtrade.resolvers import ExchangeResolver, StrategyResolver from freqtrade.state import RunMode @@ -163,7 +163,7 @@ def start_list_markets(args: Dict[str, Any], pairs_only: bool = False) -> None: tabular_data.append({'Id': v['id'], 'Symbol': v['symbol'], 'Base': v['base'], 'Quote': v['quote'], 'Active': market_is_active(v), - **({'Is pair': symbol_is_pair(v)} + **({'Is pair': exchange.market_is_tradable(v)} if not pairs_only else {})}) if (args.get('print_one_column', False) or diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index a39f8f5df..bdf1f91ec 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -12,8 +12,7 @@ from freqtrade.exchange.exchange import (timeframe_to_seconds, timeframe_to_msecs, timeframe_to_next_date, timeframe_to_prev_date) -from freqtrade.exchange.exchange import (market_is_active, - symbol_is_pair) +from freqtrade.exchange.exchange import (market_is_active) from freqtrade.exchange.kraken import Kraken from freqtrade.exchange.binance import Binance from freqtrade.exchange.bibox import Bibox diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 09f700bbb..bec8b9686 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -214,7 +214,7 @@ class Exchange: if quote_currencies: markets = {k: v for k, v in markets.items() if v['quote'] in quote_currencies} if pairs_only: - markets = {k: v for k, v in markets.items() if symbol_is_pair(v)} + markets = {k: v for k, v in markets.items() if self.symbol_is_pair(v)} if active_only: markets = {k: v for k, v in markets.items() if market_is_active(v)} return markets @@ -238,6 +238,19 @@ class Exchange: """ return self.markets.get(pair, {}).get('base', '') + def market_is_tradable(self, market: Dict[str, Any]) -> bool: + """ + Check if the market symbol is tradable by Freqtrade. + By default, checks if it's splittable by `/` and both sides correspond to base / quote + """ + symbol_parts = market['symbol'].split('/') + return (len(symbol_parts) == 2 and + len(symbol_parts[0]) > 0 and + len(symbol_parts[1]) > 0 and + symbol_parts[0] == market.get('base') and + symbol_parts[1] == market.get('quote') + ) + def klines(self, pair_interval: Tuple[str, str], copy: bool = True) -> DataFrame: if pair_interval in self._klines: return self._klines[pair_interval].copy() if copy else self._klines[pair_interval] @@ -1210,22 +1223,6 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime: return datetime.fromtimestamp(new_timestamp, tz=timezone.utc) -def symbol_is_pair(market_symbol: Dict[str, Any], base_currency: str = None, - quote_currency: str = None) -> bool: - """ - Check if the market symbol is a pair, i.e. that its symbol consists of the base currency and the - quote currency separated by '/' character. If base_currency and/or quote_currency is passed, - it also checks that the symbol contains appropriate base and/or quote currency part before - and after the separating character correspondingly. - """ - symbol_parts = market_symbol['symbol'].split('/') - return (len(symbol_parts) == 2 and - (market_symbol.get('base') == base_currency - if base_currency else len(symbol_parts[0]) > 0) and - (market_symbol.get('quote') == quote_currency - if quote_currency else len(symbol_parts[1]) > 0)) - - def market_is_active(market: Dict) -> bool: """ Return True if the market is active. diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 75915122b..cad11bbfa 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -1,6 +1,6 @@ """ FTX exchange subclass """ import logging -from typing import Dict +from typing import Any, Dict from freqtrade.exchange import Exchange @@ -12,3 +12,13 @@ class Ftx(Exchange): _ft_has: Dict = { "ohlcv_candle_limit": 1500, } + + def market_is_tradable(self, market: Dict[str, Any]) -> bool: + """ + Check if the market symbol is tradable by Freqtrade. + Default checks + check if pair is darkpool pair. + """ + parent_check = super().market_is_tradable(market) + + return (parent_check and + market.get('spot', False) is True) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 932d82a27..af75ef9b2 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,6 +1,6 @@ """ Kraken exchange subclass """ import logging -from typing import Dict +from typing import Any, Dict import ccxt @@ -21,6 +21,16 @@ class Kraken(Exchange): "trades_pagination_arg": "since", } + def market_is_tradable(self, market: Dict[str, Any]) -> bool: + """ + Check if the market symbol is tradable by Freqtrade. + Default checks + check if pair is darkpool pair. + """ + parent_check = super().market_is_tradable(market) + + return (parent_check and + market.get('darkpool', False) is False) + @retrier def get_balances(self) -> dict: if self._config['dry_run']: From b74a3addc65514aa8f7494ca995caa4bee74c4b5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 2 Jun 2020 20:30:31 +0200 Subject: [PATCH 006/129] Update tests --- freqtrade/exchange/ftx.py | 2 +- tests/exchange/test_exchange.py | 55 +++++++++++++++++++++------------ 2 files changed, 37 insertions(+), 20 deletions(-) diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index cad11bbfa..e5f083fb6 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -16,7 +16,7 @@ class Ftx(Exchange): def market_is_tradable(self, market: Dict[str, Any]) -> bool: """ Check if the market symbol is tradable by Freqtrade. - Default checks + check if pair is darkpool pair. + Default checks + check if pair is spot pair (no futures trading yet). """ parent_check = super().market_is_tradable(market) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index e40f691a8..b87acc27c 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -15,7 +15,7 @@ from freqtrade.exceptions import (DependencyException, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Binance, Exchange, Kraken from freqtrade.exchange.common import API_RETRY_COUNT -from freqtrade.exchange.exchange import (market_is_active, symbol_is_pair, +from freqtrade.exchange.exchange import (market_is_active, timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date, @@ -2117,25 +2117,42 @@ def test_timeframe_to_next_date(): assert timeframe_to_next_date("5m") > date -@pytest.mark.parametrize("market_symbol,base_currency,quote_currency,expected_result", [ - ("BTC/USDT", None, None, True), - ("USDT/BTC", None, None, True), - ("BTCUSDT", None, None, False), - ("BTC/USDT", None, "USDT", True), - ("USDT/BTC", None, "USDT", False), - ("BTCUSDT", None, "USDT", False), - ("BTC/USDT", "BTC", None, True), - ("USDT/BTC", "BTC", None, False), - ("BTCUSDT", "BTC", None, False), - ("BTC/USDT", "BTC", "USDT", True), - ("BTC/USDT", "USDT", "BTC", False), - ("BTC/USDT", "BTC", "USD", False), - ("BTCUSDT", "BTC", "USDT", False), - ("BTC/", None, None, False), - ("/USDT", None, None, False), +@pytest.mark.parametrize("market_symbol,base,quote,exchange,add_dict,expected_result", [ + ("BTC/USDT", 'BTC', 'USDT', "binance", {}, True), + ("USDT/BTC", 'USDT', 'BTC', "binance", {}, True), + ("USDT/BTC", 'BTC', 'USDT', "binance", {}, False), # Reversed currencies + ("BTCUSDT", 'BTC', 'USDT', "binance", {}, False), # No seperating / + ("BTCUSDT", None, "USDT", "binance", {}, False), # + ("USDT/BTC", "BTC", None, "binance", {}, False), + ("BTCUSDT", "BTC", None, "binance", {}, False), + ("BTC/USDT", "BTC", "USDT", "binance", {}, True), + ("BTC/USDT", "USDT", "BTC", "binance", {}, False), # reversed currencies + ("BTC/USDT", "BTC", "USD", "binance", {}, False), # Wrong quote currency + ("BTC/", "BTC", 'UNK', "binance", {}, False), + ("/USDT", 'UNK', 'USDT', "binance", {}, False), + ("BTC/EUR", 'BTC', 'EUR', "kraken", {"darkpool": False}, True), + ("EUR/BTC", 'EUR', 'BTC', "kraken", {"darkpool": False}, True), + ("EUR/BTC", 'BTC', 'EUR', "kraken", {"darkpool": False}, False), # Reversed currencies + ("BTC/EUR", 'BTC', 'USD', "kraken", {"darkpool": False}, False), # wrong quote currency + ("BTC/EUR", 'BTC', 'EUR', "kraken", {"darkpool": True}, False), # no darkpools + ("BTC/EUR.d", 'BTC', 'EUR', "kraken", {"darkpool": True}, False), # no darkpools + ("BTC/USD", 'BTC', 'USD', "ftx", {'spot': True}, True), + ("USD/BTC", 'USD', 'BTC', "ftx", {'spot': True}, True), + ("BTC/USD", 'BTC', 'USDT', "ftx", {'spot': True}, False), # Wrong quote currency + ("BTC/USD", 'USD', 'BTC', "ftx", {'spot': True}, False), # Reversed currencies + ("BTC/USD", 'BTC', 'USD', "ftx", {'spot': False}, False), # Can only trade spot markets + ("BTC-PERP", 'BTC', 'USD', "ftx", {'spot': False}, False), # Can only trade spot markets ]) -def test_symbol_is_pair(market_symbol, base_currency, quote_currency, expected_result) -> None: - assert symbol_is_pair(market_symbol, base_currency, quote_currency) == expected_result +def test_market_is_tradable(mocker, default_conf, market_symbol, base, + quote, add_dict, exchange, expected_result) -> None: + ex = get_patched_exchange(mocker, default_conf, id=exchange) + market = { + 'symbol': market_symbol, + 'base': base, + 'quote': quote, + **(add_dict), + } + assert ex.market_is_tradable(market) == expected_result @pytest.mark.parametrize("market,expected_result", [ From 08049d23b48242c5c468102b4ae8cb182a9236cc Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 2 Jun 2020 20:41:29 +0200 Subject: [PATCH 007/129] Use "market_is_tradable" for whitelist validation --- freqtrade/exchange/exchange.py | 2 +- freqtrade/pairlist/IPairList.py | 5 +++++ tests/pairlist/test_pairlist.py | 4 +++- 3 files changed, 9 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index bec8b9686..a2bb8627a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -214,7 +214,7 @@ class Exchange: if quote_currencies: markets = {k: v for k, v in markets.items() if v['quote'] in quote_currencies} if pairs_only: - markets = {k: v for k, v in markets.items() if self.symbol_is_pair(v)} + markets = {k: v for k, v in markets.items() if self.market_is_tradable(v)} if active_only: markets = {k: v for k, v in markets.items() if market_is_active(v)} return markets diff --git a/freqtrade/pairlist/IPairList.py b/freqtrade/pairlist/IPairList.py index f48a7dcfd..61fdc73ad 100644 --- a/freqtrade/pairlist/IPairList.py +++ b/freqtrade/pairlist/IPairList.py @@ -159,6 +159,11 @@ class IPairList(ABC): f"{self._exchange.name}. Removing it from whitelist..") continue + if not self._exchange.market_is_tradable(markets[pair]): + logger.warning(f"Pair {pair} is not tradable with Freqtrade." + "Removing it from whitelist..") + continue + if self._exchange.get_pair_quote_currency(pair) != self._config['stake_currency']: logger.warning(f"Pair {pair} is not compatible with your stake currency " f"{self._config['stake_currency']}. Removing it from whitelist..") diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index 421f06911..c6d1eeb38 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -400,7 +400,9 @@ def test_pairlist_class(mocker, whitelist_conf, markets, pairlist): # BCH/BTC not available (['ETH/BTC', 'TKN/BTC', 'BCH/BTC'], "is not compatible with exchange"), # BTT/BTC is inactive - (['ETH/BTC', 'TKN/BTC', 'BTT/BTC'], "Market is not active") + (['ETH/BTC', 'TKN/BTC', 'BTT/BTC'], "Market is not active"), + # XLTCUSDT is not a valid pair + (['ETH/BTC', 'TKN/BTC', 'XLTCUSDT'], "is not tradable with Freqtrade"), ]) def test__whitelist_for_active_markets(mocker, whitelist_conf, markets, pairlist, whitelist, caplog, log_message, tickers): From 9dba2a34f9edc91a9e0e3ab0f970fb3286aa9b75 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 16 Jun 2020 10:16:23 +0200 Subject: [PATCH 008/129] Add note for hyperopt color support on windows --- docs/hyperopt.md | 3 +++ 1 file changed, 3 insertions(+) diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 8efc51a39..9f7f97476 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -370,6 +370,9 @@ By default, hyperopt prints colorized results -- epochs with positive profit are You can use the `--print-all` command line option if you would like to see all results in the hyperopt output, not only the best ones. When `--print-all` is used, current best results are also colorized by default -- they are printed in bold (bright) style. This can also be switched off with the `--no-color` command line option. +!!! Note "Windows and color output" + Windows does not support color-output nativly, therefore it is automatically disabled. To have color-output for hyperopt running under windows, please consider using WSL. + ### Understand Hyperopt ROI results If you are optimizing ROI (i.e. if optimization search-space contains 'all', 'default' or 'roi'), your result will look as follows and include a ROI table: From 455b26ea48975178664d8da76c8b6d9fbbdf60b4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 8 Jun 2020 06:37:30 +0200 Subject: [PATCH 009/129] Add max drawdown to backtesting --- freqtrade/optimize/optimize_reports.py | 26 ++++++++++++++++++++++++++ 1 file changed, 26 insertions(+) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index d89860a73..5be1a47a9 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -6,6 +6,7 @@ from typing import Any, Dict, List from pandas import DataFrame from tabulate import tabulate +from freqtrade.data.btanalysis import calculate_max_drawdown from freqtrade.misc import file_dump_json logger = logging.getLogger(__name__) @@ -212,11 +213,20 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], max_open_trades=max_open_trades, results=results.loc[results['open_at_end']], skip_nan=True) + + max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown( + results, value_col='profit_percent') + strat_stats = { 'trades': backtest_result_to_list(results), 'results_per_pair': pair_results, 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, + 'max_drawdown': max_drawdown, + 'drawdown_start': drawdown_start, + 'drawdown_start_ts': drawdown_start.timestamp(), + 'drawdown_end': drawdown_end, + 'drawdown_end_ts': drawdown_end.timestamp(), } result['strategy'][strategy] = strat_stats @@ -298,6 +308,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") +def text_table_add_metrics(strategy_results: Dict) -> str: + xxx = [ + ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), + ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), + ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), + ] + + return tabulate(xxx, headers=["Metric", "Value"], tablefmt="orgtbl") + + def show_backtest_results(config: Dict, backtest_stats: Dict): stake_currency = config['stake_currency'] @@ -320,6 +340,12 @@ def show_backtest_results(config: Dict, backtest_stats: Dict): if isinstance(table, str): print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) print(table) + + table = text_table_add_metrics(results) + if isinstance(table, str): + print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '=')) + print(table) + if isinstance(table, str): print('=' * len(table.splitlines()[0])) print() From 6922fbc3aae545e4ef3020610e819199770171f7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 8 Jun 2020 06:38:29 +0200 Subject: [PATCH 010/129] Add max_drawdown error handler --- freqtrade/optimize/optimize_reports.py | 44 +++++++++++++++++--------- 1 file changed, 29 insertions(+), 15 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 5be1a47a9..0188761d4 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -1,5 +1,5 @@ import logging -from datetime import timedelta +from datetime import timedelta, datetime from pathlib import Path from typing import Any, Dict, List @@ -214,22 +214,33 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], results=results.loc[results['open_at_end']], skip_nan=True) - max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown( - results, value_col='profit_percent') - strat_stats = { 'trades': backtest_result_to_list(results), 'results_per_pair': pair_results, 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, - 'max_drawdown': max_drawdown, - 'drawdown_start': drawdown_start, - 'drawdown_start_ts': drawdown_start.timestamp(), - 'drawdown_end': drawdown_end, - 'drawdown_end_ts': drawdown_end.timestamp(), } result['strategy'][strategy] = strat_stats + try: + max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown( + results, value_col='profit_percent') + strat_stats.update({ + 'max_drawdown': max_drawdown, + 'drawdown_start': drawdown_start, + 'drawdown_start_ts': drawdown_start.timestamp(), + 'drawdown_end': drawdown_end, + 'drawdown_end_ts': drawdown_end.timestamp(), + }) + except ValueError: + strat_stats.update({ + 'max_drawdown': 0.0, + 'drawdown_start': datetime.min, + 'drawdown_start_ts': datetime.min.timestamp(), + 'drawdown_end': datetime.min, + 'drawdown_end_ts': datetime.min.timestamp(), + }) + strategy_results = generate_strategy_metrics(stake_currency=stake_currency, max_open_trades=max_open_trades, all_results=all_results) @@ -309,13 +320,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: def text_table_add_metrics(strategy_results: Dict) -> str: - xxx = [ - ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), - ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), - ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), - ] + if len(strategy_results['trades']) > 0: + metrics = [ + ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), + ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), + ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), + ] - return tabulate(xxx, headers=["Metric", "Value"], tablefmt="orgtbl") + return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") + else: + return def show_backtest_results(config: Dict, backtest_stats: Dict): From cbcf3dbb43222e4863d7dacc27a726a8b261a43f Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 9 Jun 2020 08:00:35 +0200 Subject: [PATCH 011/129] Add more metrics to summarytable --- freqtrade/optimize/backtesting.py | 3 ++- freqtrade/optimize/optimize_reports.py | 26 ++++++++++++++++++++++++-- 2 files changed, 26 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index e5014dd5a..c7a3515b5 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -417,5 +417,6 @@ class Backtesting: if self.config.get('export', False): store_backtest_result(self.config['exportfilename'], all_results) # Show backtest results - stats = generate_backtest_stats(self.config, data, all_results) + stats = generate_backtest_stats(self.config, data, all_results, + min_date=min_date, max_date=max_date) show_backtest_results(self.config, stats) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 0188761d4..dc3b52377 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -1,8 +1,9 @@ import logging -from datetime import timedelta, datetime +from datetime import datetime, timedelta, timezone from pathlib import Path from typing import Any, Dict, List +from arrow import Arrow from pandas import DataFrame from tabulate import tabulate @@ -191,11 +192,15 @@ def generate_edge_table(results: dict) -> str: def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], - all_results: Dict[str, DataFrame]) -> Dict[str, Any]: + all_results: Dict[str, DataFrame], + min_date: Arrow, max_date: Arrow + ) -> Dict[str, Any]: """ :param config: Configuration object used for backtest :param btdata: Backtest data :param all_results: backtest result - dictionary with { Strategy: results}. + :param min_date: Backtest start date + :param max_date: Backtest end date :return: Dictionary containing results per strategy and a stratgy summary. """ @@ -214,11 +219,19 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], results=results.loc[results['open_at_end']], skip_nan=True) + backtest_days = (max_date - min_date).days strat_stats = { 'trades': backtest_result_to_list(results), 'results_per_pair': pair_results, 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, + 'total_trades': len(results), + 'backtest_start': min_date.datetime, + 'backtest_start_ts': min_date.timestamp, + 'backtest_end': max_date.datetime, + 'backtest_end_ts': max_date.timestamp, + 'backtest_days': backtest_days, + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None } result['strategy'][strategy] = strat_stats @@ -321,7 +334,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: def text_table_add_metrics(strategy_results: Dict) -> str: if len(strategy_results['trades']) > 0: + min_trade = min(strategy_results['trades'], key=lambda x: x[2]) metrics = [ + ('Total trades', strategy_results['total_trades']), + ('First trade', datetime.fromtimestamp(min_trade[2], + tz=timezone.utc).strftime('%Y-%m-%d %H:%M:%S')), + ('First trade Pair', min_trade[0]), + ('Backtesting from', strategy_results['backtest_start'].strftime('%Y-%m-%d %H:%M:%S')), + ('Backtesting to', strategy_results['backtest_end'].strftime('%Y-%m-%d %H:%M:%S')), + ('Trades per day', strategy_results['trades_per_day']), + ('', ''), # Empty line to improve readability ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), From fbddfaeacf3d861da6c4b2023215fd31820bd992 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 9 Jun 2020 08:07:34 +0200 Subject: [PATCH 012/129] Introduce DatetimePrintFormat --- freqtrade/constants.py | 1 + freqtrade/edge/edge_positioning.py | 11 ++++------- freqtrade/optimize/backtesting.py | 16 ++++++++-------- freqtrade/optimize/hyperopt.py | 9 +++++---- freqtrade/optimize/optimize_reports.py | 11 ++++++----- freqtrade/rpc/api_server.py | 3 ++- 6 files changed, 26 insertions(+), 25 deletions(-) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 2cfff07cd..ccb05a60f 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -26,6 +26,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'ShuffleFilter', 'SpreadFilter'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz'] DRY_RUN_WALLET = 1000 +DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S' MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons DEFAULT_DATAFRAME_COLUMNS = ['date', 'open', 'high', 'low', 'close', 'volume'] # Don't modify sequence of DEFAULT_TRADES_COLUMNS diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index 41252ee51..dd2f44f23 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -9,7 +9,7 @@ import utils_find_1st as utf1st from pandas import DataFrame from freqtrade.configuration import TimeRange -from freqtrade.constants import UNLIMITED_STAKE_AMOUNT +from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, DATETIME_PRINT_FORMAT from freqtrade.exceptions import OperationalException from freqtrade.data.history import get_timerange, load_data, refresh_data from freqtrade.strategy.interface import SellType @@ -121,12 +121,9 @@ class Edge: # Print timeframe min_date, max_date = get_timerange(preprocessed) - logger.info( - 'Measuring data from %s up to %s (%s days) ...', - min_date.isoformat(), - max_date.isoformat(), - (max_date - min_date).days - ) + logger.info(f'Measuring data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(max_date - min_date).days} days)..') headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low'] trades: list = [] diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index c7a3515b5..847434789 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -11,6 +11,7 @@ from typing import Any, Dict, List, NamedTuple, Optional, Tuple import arrow from pandas import DataFrame +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.configuration import (TimeRange, remove_credentials, validate_config_consistency) from freqtrade.data import history @@ -137,10 +138,10 @@ class Backtesting: min_date, max_date = history.get_timerange(data) - logger.info( - 'Loading data from %s up to %s (%s days)..', - min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days - ) + logger.info(f'Loading data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(max_date - min_date).days} days)..') + # Adjust startts forward if not enough data is available timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe), self.required_startup, min_date) @@ -400,10 +401,9 @@ class Backtesting: preprocessed[pair] = trim_dataframe(df, timerange) min_date, max_date = history.get_timerange(preprocessed) - logger.info( - 'Backtesting with data from %s up to %s (%s days)..', - min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days - ) + logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(max_date - min_date).days} days)..') # Execute backtest and print results all_results[self.strategy.get_strategy_name()] = self.backtest( processed=preprocessed, diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 153ae3861..69dff463b 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -25,6 +25,7 @@ import tabulate from os import path import io +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.data.converter import trim_dataframe from freqtrade.data.history import get_timerange from freqtrade.exceptions import OperationalException @@ -625,10 +626,10 @@ class Hyperopt: preprocessed[pair] = trim_dataframe(df, timerange) min_date, max_date = get_timerange(data) - logger.info( - 'Hyperopting with data from %s up to %s (%s days)..', - min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days - ) + logger.info(f'Hyperopting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(max_date - min_date).days} days)..') + dump(preprocessed, self.data_pickle_file) # We don't need exchange instance anymore while running hyperopt diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index dc3b52377..6efda2956 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -7,6 +7,7 @@ from arrow import Arrow from pandas import DataFrame from tabulate import tabulate +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.data.btanalysis import calculate_max_drawdown from freqtrade.misc import file_dump_json @@ -338,15 +339,15 @@ def text_table_add_metrics(strategy_results: Dict) -> str: metrics = [ ('Total trades', strategy_results['total_trades']), ('First trade', datetime.fromtimestamp(min_trade[2], - tz=timezone.utc).strftime('%Y-%m-%d %H:%M:%S')), + tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)), ('First trade Pair', min_trade[0]), - ('Backtesting from', strategy_results['backtest_start'].strftime('%Y-%m-%d %H:%M:%S')), - ('Backtesting to', strategy_results['backtest_end'].strftime('%Y-%m-%d %H:%M:%S')), + ('Backtesting from', strategy_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), + ('Backtesting to', strategy_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), ('Trades per day', strategy_results['trades_per_day']), ('', ''), # Empty line to improve readability ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), - ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), - ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), + ('Drawdown Start', strategy_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), + ('Drawdown End', strategy_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)), ] return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") diff --git a/freqtrade/rpc/api_server.py b/freqtrade/rpc/api_server.py index a2cef9a98..e86a4783f 100644 --- a/freqtrade/rpc/api_server.py +++ b/freqtrade/rpc/api_server.py @@ -16,6 +16,7 @@ from werkzeug.security import safe_str_cmp from werkzeug.serving import make_server from freqtrade.__init__ import __version__ +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.rpc.rpc import RPC, RPCException logger = logging.getLogger(__name__) @@ -31,7 +32,7 @@ class ArrowJSONEncoder(JSONEncoder): elif isinstance(obj, date): return obj.strftime("%Y-%m-%d") elif isinstance(obj, datetime): - return obj.strftime("%Y-%m-%d %H:%M:%S") + return obj.strftime(DATETIME_PRINT_FORMAT) iterable = iter(obj) except TypeError: pass From cf044d166edc68ba427d8c3b86f13ebb252a490b Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 9 Jun 2020 08:14:18 +0200 Subject: [PATCH 013/129] Tests should use new Datetime format too --- freqtrade/optimize/optimize_reports.py | 4 ++-- tests/optimize/test_backtesting.py | 28 +++++++++++++------------- 2 files changed, 16 insertions(+), 16 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 6efda2956..1e2d41e32 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -250,9 +250,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], strat_stats.update({ 'max_drawdown': 0.0, 'drawdown_start': datetime.min, - 'drawdown_start_ts': datetime.min.timestamp(), + 'drawdown_start_ts': datetime(1970, 1, 1).timestamp(), 'drawdown_end': datetime.min, - 'drawdown_end_ts': datetime.min.timestamp(), + 'drawdown_end_ts': datetime(1970, 1, 1).timestamp(), }) strategy_results = generate_strategy_metrics(stake_currency=stake_currency, diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 67da38648..853780b82 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -349,8 +349,8 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: exists = [ 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', - 'Backtesting with data from 2017-11-14T21:17:00+00:00 ' - 'up to 2017-11-14T22:59:00+00:00 (0 days)..' + 'Backtesting with data from 2017-11-14 21:17:00 ' + 'up to 2017-11-14 22:59:00 (0 days)..' ] for line in exists: assert log_has(line, caplog) @@ -672,10 +672,10 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', - 'Loading data from 2017-11-14T20:57:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', - 'Backtesting with data from 2017-11-14T21:17:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', + 'Loading data from 2017-11-14 20:57:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', + 'Backtesting with data from 2017-11-14 21:17:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', 'Parameter --enable-position-stacking detected ...' ] @@ -735,10 +735,10 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', - 'Loading data from 2017-11-14T20:57:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', - 'Backtesting with data from 2017-11-14T21:17:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', + 'Loading data from 2017-11-14 20:57:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', + 'Backtesting with data from 2017-11-14 21:17:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', 'Parameter --enable-position-stacking detected ...', 'Running backtesting for Strategy DefaultStrategy', 'Running backtesting for Strategy TestStrategyLegacy', @@ -818,10 +818,10 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', - 'Loading data from 2017-11-14T20:57:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', - 'Backtesting with data from 2017-11-14T21:17:00+00:00 ' - 'up to 2017-11-14T22:58:00+00:00 (0 days)..', + 'Loading data from 2017-11-14 20:57:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', + 'Backtesting with data from 2017-11-14 21:17:00 ' + 'up to 2017-11-14 22:58:00 (0 days)..', 'Parameter --enable-position-stacking detected ...', 'Running backtesting for Strategy DefaultStrategy', 'Running backtesting for Strategy TestStrategyLegacy', From 5fce7f3b22e50b23944737f60758178a428c133b Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 25 Jun 2020 20:39:55 +0200 Subject: [PATCH 014/129] Add market Change closes #2524 and #3518 --- freqtrade/data/btanalysis.py | 20 ++++++++++++++++++++ freqtrade/optimize/optimize_reports.py | 12 ++++++++---- tests/data/test_btanalysis.py | 9 +++++++++ 3 files changed, 37 insertions(+), 4 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index b169850ba..8601f8176 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -168,6 +168,26 @@ def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame, return trades +def calculate_market_change(data: Dict[str, pd.DataFrame], column: str = "close") -> float: + """ + Calculate market change based on "column". + Calculation is done by taking the first non-null and the last non-null element of each column + and calculating the pctchange as "(last - first) / first". + Then the results per pair are combined as mean. + + :param data: Dict of Dataframes, dict key should be pair. + :param column: Column in the original dataframes to use + :return: + """ + tmp_means = [] + for pair, df in data.items(): + start = df[column].dropna().iloc[0] + end = df[column].dropna().iloc[-1] + tmp_means.append((end - start) / start) + + return np.mean(tmp_means) + + def combine_dataframes_with_mean(data: Dict[str, pd.DataFrame], column: str = "close") -> pd.DataFrame: """ diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 1e2d41e32..4ec3dc3ad 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -8,7 +8,7 @@ from pandas import DataFrame from tabulate import tabulate from freqtrade.constants import DATETIME_PRINT_FORMAT -from freqtrade.data.btanalysis import calculate_max_drawdown +from freqtrade.data.btanalysis import calculate_max_drawdown, calculate_market_change from freqtrade.misc import file_dump_json logger = logging.getLogger(__name__) @@ -208,6 +208,8 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], stake_currency = config['stake_currency'] max_open_trades = config['max_open_trades'] result: Dict[str, Any] = {'strategy': {}} + market_change = calculate_market_change(btdata, 'close') + for strategy, results in all_results.items(): pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency, @@ -232,8 +234,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_end': max_date.datetime, 'backtest_end_ts': max_date.timestamp, 'backtest_days': backtest_days, - 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None - } + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, + 'market_change': market_change, + } result['strategy'][strategy] = strat_stats try: @@ -348,11 +351,12 @@ def text_table_add_metrics(strategy_results: Dict) -> str: ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), ('Drawdown Start', strategy_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), ('Drawdown End', strategy_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)), + ('Market change', f"{round(strategy_results['market_change'] * 100, 2)}%"), ] return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") else: - return + return '' def show_backtest_results(config: Dict, backtest_stats: Dict): diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index b65db7fd8..d571569b9 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -8,6 +8,7 @@ from pandas import DataFrame, DateOffset, Timestamp, to_datetime from freqtrade.configuration import TimeRange from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, + calculate_market_change, calculate_max_drawdown, combine_dataframes_with_mean, create_cum_profit, @@ -135,6 +136,14 @@ def test_load_trades(default_conf, mocker): assert bt_mock.call_count == 0 +def test_calculate_market_change(testdatadir): + pairs = ["ETH/BTC", "ADA/BTC"] + data = load_data(datadir=testdatadir, pairs=pairs, timeframe='5m') + result = calculate_market_change(data) + assert isinstance(result, float) + assert pytest.approx(result) == 0.00955514 + + def test_combine_dataframes_with_mean(testdatadir): pairs = ["ETH/BTC", "ADA/BTC"] data = load_data(datadir=testdatadir, pairs=pairs, timeframe='5m') From 480c5117f1d41315eb9742bd64b028363b68be13 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 06:47:04 +0200 Subject: [PATCH 015/129] Handle empty return strings --- freqtrade/optimize/optimize_reports.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 4ec3dc3ad..9feb7f20d 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -373,21 +373,21 @@ def show_backtest_results(config: Dict, backtest_stats: Dict): table = text_table_sell_reason(sell_reason_stats=results['sell_reason_summary'], stake_currency=stake_currency) - if isinstance(table, str): + if isinstance(table, str) and len(table) > 0: print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '=')) print(table) table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency) - if isinstance(table, str): + if isinstance(table, str) and len(table) > 0: print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) print(table) table = text_table_add_metrics(results) - if isinstance(table, str): + if isinstance(table, str) and len(table) > 0: print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '=')) print(table) - if isinstance(table, str): + if isinstance(table, str) and len(table) > 0: print('=' * len(table.splitlines()[0])) print() From 81c8e8677dfa98f18661259389972bd844c111ef Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 06:56:59 +0200 Subject: [PATCH 016/129] use 0 as profit mean, not nan --- freqtrade/optimize/optimize_reports.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 9feb7f20d..b334917ba 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -69,8 +69,8 @@ def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: return { 'key': first_column, 'trades': len(result), - 'profit_mean': result['profit_percent'].mean(), - 'profit_mean_pct': result['profit_percent'].mean() * 100.0, + 'profit_mean': result['profit_percent'].mean() if len(result) > 0 else 0.0, + 'profit_mean_pct': result['profit_percent'].mean() * 100.0 if len(result) > 0 else 0.0, 'profit_sum': result['profit_percent'].sum(), 'profit_sum_pct': result['profit_percent'].sum() * 100.0, 'profit_total_abs': result['profit_abs'].sum(), From 415853583bf39b3a62a84e24f60bc74b5addae3a Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 07:46:59 +0200 Subject: [PATCH 017/129] Save backtest-stats --- freqtrade/data/btanalysis.py | 19 ++++++++++++++++++- freqtrade/optimize/backtesting.py | 6 ++++-- freqtrade/optimize/optimize_reports.py | 21 ++++++++++++++++----- 3 files changed, 38 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 8601f8176..ecedc55db 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -3,7 +3,7 @@ Helpers when analyzing backtest data """ import logging from pathlib import Path -from typing import Dict, Union, Tuple +from typing import Dict, Union, Tuple, Any import numpy as np import pandas as pd @@ -20,6 +20,23 @@ BT_DATA_COLUMNS = ["pair", "profit_percent", "open_time", "close_time", "index", "open_rate", "close_rate", "open_at_end", "sell_reason"] +def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: + """ + Load backtest statistics file. + :param filename: pathlib.Path object, or string pointing to the file. + :return: a dictionary containing the resulting file. + """ + if isinstance(filename, str): + filename = Path(filename) + if not filename.is_file(): + raise ValueError(f"File {filename} does not exist.") + + with filename.open() as file: + data = json_load(file) + + return data + + def load_backtest_data(filename: Union[Path, str]) -> pd.DataFrame: """ Load backtest data file. diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 847434789..e4df80a82 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -11,9 +11,9 @@ from typing import Any, Dict, List, NamedTuple, Optional, Tuple import arrow from pandas import DataFrame -from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.configuration import (TimeRange, remove_credentials, validate_config_consistency) +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.data import history from freqtrade.data.converter import trim_dataframe from freqtrade.data.dataprovider import DataProvider @@ -21,7 +21,8 @@ from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results, - store_backtest_result) + store_backtest_result, + store_backtest_stats) from freqtrade.pairlist.pairlistmanager import PairListManager from freqtrade.persistence import Trade from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -420,3 +421,4 @@ class Backtesting: stats = generate_backtest_stats(self.config, data, all_results, min_date=min_date, max_date=max_date) show_backtest_results(self.config, stats) + store_backtest_stats(self.config['exportfilename'], stats) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index b334917ba..3c0bfcb96 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -14,6 +14,18 @@ from freqtrade.misc import file_dump_json logger = logging.getLogger(__name__) +def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> None: + + filename = Path.joinpath(recordfilename.parent, + f'{recordfilename.stem}-{datetime.now().isoformat()}' + ).with_suffix(recordfilename.suffix) + file_dump_json(filename, stats) + + latest_filename = Path.joinpath(recordfilename.parent, + '.last_result.json') + file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) + + def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame]) -> None: """ Stores backtest results to file (one file per strategy) @@ -224,7 +236,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], backtest_days = (max_date - min_date).days strat_stats = { - 'trades': backtest_result_to_list(results), + 'trades': results.to_dict(orient='records'), 'results_per_pair': pair_results, 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, @@ -338,12 +350,11 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: def text_table_add_metrics(strategy_results: Dict) -> str: if len(strategy_results['trades']) > 0: - min_trade = min(strategy_results['trades'], key=lambda x: x[2]) + min_trade = min(strategy_results['trades'], key=lambda x: x['open_time']) metrics = [ ('Total trades', strategy_results['total_trades']), - ('First trade', datetime.fromtimestamp(min_trade[2], - tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)), - ('First trade Pair', min_trade[0]), + ('First trade', min_trade['open_time'].strftime(DATETIME_PRINT_FORMAT)), + ('First trade Pair', min_trade['pair']), ('Backtesting from', strategy_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), ('Backtesting to', strategy_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), ('Trades per day', strategy_results['trades_per_day']), From b068e7c564021ba178c969602461e9d3f57d1790 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 09:19:44 +0200 Subject: [PATCH 018/129] Rename open_time and close_time to *date --- freqtrade/data/btanalysis.py | 28 +++++++++---------- freqtrade/edge/edge_positioning.py | 6 ++-- freqtrade/optimize/backtesting.py | 19 +++++++------ .../optimize/hyperopt_loss_sharpe_daily.py | 2 +- .../optimize/hyperopt_loss_sortino_daily.py | 2 +- freqtrade/optimize/optimize_reports.py | 8 +++--- freqtrade/plot/plotting.py | 10 +++---- 7 files changed, 38 insertions(+), 37 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index ecedc55db..f174b8ea9 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -16,7 +16,7 @@ from freqtrade.persistence import Trade logger = logging.getLogger(__name__) # must align with columns in backtest.py -BT_DATA_COLUMNS = ["pair", "profit_percent", "open_time", "close_time", "index", "duration", +BT_DATA_COLUMNS = ["pair", "profit_percent", "open_date", "close_date", "index", "duration", "open_rate", "close_rate", "open_at_end", "sell_reason"] @@ -54,18 +54,18 @@ def load_backtest_data(filename: Union[Path, str]) -> pd.DataFrame: df = pd.DataFrame(data, columns=BT_DATA_COLUMNS) - df['open_time'] = pd.to_datetime(df['open_time'], + df['open_date'] = pd.to_datetime(df['open_date'], unit='s', utc=True, infer_datetime_format=True ) - df['close_time'] = pd.to_datetime(df['close_time'], + df['close_date'] = pd.to_datetime(df['close_date'], unit='s', utc=True, infer_datetime_format=True ) df['profit'] = df['close_rate'] - df['open_rate'] - df = df.sort_values("open_time").reset_index(drop=True) + df = df.sort_values("open_date").reset_index(drop=True) return df @@ -79,9 +79,9 @@ def analyze_trade_parallelism(results: pd.DataFrame, timeframe: str) -> pd.DataF """ from freqtrade.exchange import timeframe_to_minutes timeframe_min = timeframe_to_minutes(timeframe) - dates = [pd.Series(pd.date_range(row[1].open_time, row[1].close_time, + dates = [pd.Series(pd.date_range(row[1]['open_date'], row[1]['close_date'], freq=f"{timeframe_min}min")) - for row in results[['open_time', 'close_time']].iterrows()] + for row in results[['open_date', 'close_date']].iterrows()] deltas = [len(x) for x in dates] dates = pd.Series(pd.concat(dates).values, name='date') df2 = pd.DataFrame(np.repeat(results.values, deltas, axis=0), columns=results.columns) @@ -116,7 +116,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: trades: pd.DataFrame = pd.DataFrame([], columns=BT_DATA_COLUMNS) persistence.init(db_url, clean_open_orders=False) - columns = ["pair", "open_time", "close_time", "profit", "profit_percent", + columns = ["pair", "open_date", "close_date", "profit", "profit_percent", "open_rate", "close_rate", "amount", "duration", "sell_reason", "fee_open", "fee_close", "open_rate_requested", "close_rate_requested", "stake_amount", "max_rate", "min_rate", "id", "exchange", @@ -180,8 +180,8 @@ def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame, else: trades_start = dataframe.iloc[0]['date'] trades_stop = dataframe.iloc[-1]['date'] - trades = trades.loc[(trades['open_time'] >= trades_start) & - (trades['close_time'] <= trades_stop)] + trades = trades.loc[(trades['open_date'] >= trades_start) & + (trades['close_date'] <= trades_stop)] return trades @@ -227,7 +227,7 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str, """ Adds a column `col_name` with the cumulative profit for the given trades array. :param df: DataFrame with date index - :param trades: DataFrame containing trades (requires columns close_time and profit_percent) + :param trades: DataFrame containing trades (requires columns close_date and profit_percent) :param col_name: Column name that will be assigned the results :param timeframe: Timeframe used during the operations :return: Returns df with one additional column, col_name, containing the cumulative profit. @@ -238,7 +238,7 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str, from freqtrade.exchange import timeframe_to_minutes timeframe_minutes = timeframe_to_minutes(timeframe) # Resample to timeframe to make sure trades match candles - _trades_sum = trades.resample(f'{timeframe_minutes}min', on='close_time' + _trades_sum = trades.resample(f'{timeframe_minutes}min', on='close_date' )[['profit_percent']].sum() df.loc[:, col_name] = _trades_sum.cumsum() # Set first value to 0 @@ -248,13 +248,13 @@ def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str, return df -def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_time', +def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date', value_col: str = 'profit_percent' ) -> Tuple[float, pd.Timestamp, pd.Timestamp]: """ Calculate max drawdown and the corresponding close dates - :param trades: DataFrame containing trades (requires columns close_time and profit_percent) - :param date_col: Column in DataFrame to use for dates (defaults to 'close_time') + :param trades: DataFrame containing trades (requires columns close_date and profit_percent) + :param date_col: Column in DataFrame to use for dates (defaults to 'close_date') :param value_col: Column in DataFrame to use for values (defaults to 'profit_percent') :return: Tuple (float, highdate, lowdate) with absolute max drawdown, high and low time :raise: ValueError if trade-dataframe was found empty. diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index dd2f44f23..169732314 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -237,7 +237,7 @@ class Edge: # All returned values are relative, they are defined as ratios. stake = 0.015 - result['trade_duration'] = result['close_time'] - result['open_time'] + result['trade_duration'] = result['close_date'] - result['open_date'] result['trade_duration'] = result['trade_duration'].map( lambda x: int(x.total_seconds() / 60)) @@ -427,8 +427,8 @@ class Edge: 'stoploss': stoploss, 'profit_ratio': '', 'profit_abs': '', - 'open_time': date_column[open_trade_index], - 'close_time': date_column[exit_index], + 'open_date': date_column[open_trade_index], + 'close_date': date_column[exit_index], 'open_index': start_point + open_trade_index, 'close_index': start_point + exit_index, 'trade_duration': '', diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index e4df80a82..4197ec087 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -39,8 +39,8 @@ class BacktestResult(NamedTuple): pair: str profit_percent: float profit_abs: float - open_time: datetime - close_time: datetime + open_date: datetime + close_date: datetime open_index: int close_index: int trade_duration: float @@ -248,8 +248,8 @@ class Backtesting: return BacktestResult(pair=pair, profit_percent=trade.calc_profit_ratio(rate=closerate), profit_abs=trade.calc_profit(rate=closerate), - open_time=buy_row.date, - close_time=sell_row.date, + open_date=buy_row.date, + close_date=sell_row.date, trade_duration=trade_dur, open_index=buy_row.Index, close_index=sell_row.Index, @@ -264,8 +264,8 @@ class Backtesting: bt_res = BacktestResult(pair=pair, profit_percent=trade.calc_profit_ratio(rate=sell_row.open), profit_abs=trade.calc_profit(rate=sell_row.open), - open_time=buy_row.date, - close_time=sell_row.date, + open_date=buy_row.date, + close_date=sell_row.date, trade_duration=int(( sell_row.date - buy_row.date).total_seconds() // 60), open_index=buy_row.Index, @@ -358,8 +358,8 @@ class Backtesting: if trade_entry: logger.debug(f"{pair} - Locking pair till " - f"close_time={trade_entry.close_time}") - lock_pair_until[pair] = trade_entry.close_time + f"close_date={trade_entry.close_date}") + lock_pair_until[pair] = trade_entry.close_date trades.append(trade_entry) else: # Set lock_pair_until to end of testing period if trade could not be closed @@ -421,4 +421,5 @@ class Backtesting: stats = generate_backtest_stats(self.config, data, all_results, min_date=min_date, max_date=max_date) show_backtest_results(self.config, stats) - store_backtest_stats(self.config['exportfilename'], stats) + if self.config.get('export', False): + store_backtest_stats(self.config['exportfilename'], stats) diff --git a/freqtrade/optimize/hyperopt_loss_sharpe_daily.py b/freqtrade/optimize/hyperopt_loss_sharpe_daily.py index e4cd1d749..bcba73a7f 100644 --- a/freqtrade/optimize/hyperopt_loss_sharpe_daily.py +++ b/freqtrade/optimize/hyperopt_loss_sharpe_daily.py @@ -43,7 +43,7 @@ class SharpeHyperOptLossDaily(IHyperOptLoss): normalize=True) sum_daily = ( - results.resample(resample_freq, on='close_time').agg( + results.resample(resample_freq, on='close_date').agg( {"profit_percent_after_slippage": sum}).reindex(t_index).fillna(0) ) diff --git a/freqtrade/optimize/hyperopt_loss_sortino_daily.py b/freqtrade/optimize/hyperopt_loss_sortino_daily.py index cd6a8bcc2..3b099a253 100644 --- a/freqtrade/optimize/hyperopt_loss_sortino_daily.py +++ b/freqtrade/optimize/hyperopt_loss_sortino_daily.py @@ -45,7 +45,7 @@ class SortinoHyperOptLossDaily(IHyperOptLoss): normalize=True) sum_daily = ( - results.resample(resample_freq, on='close_time').agg( + results.resample(resample_freq, on='close_date').agg( {"profit_percent_after_slippage": sum}).reindex(t_index).fillna(0) ) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 3c0bfcb96..63c2d2022 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -52,8 +52,8 @@ def backtest_result_to_list(results: DataFrame) -> List[List]: :param results: Dataframe containing results for one strategy :return: List of Lists containing the trades """ - return [[t.pair, t.profit_percent, t.open_time.timestamp(), - t.close_time.timestamp(), t.open_index - 1, t.trade_duration, + return [[t.pair, t.profit_percent, t.open_date.timestamp(), + t.open_date.timestamp(), t.open_index - 1, t.trade_duration, t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value] for index, t in results.iterrows()] @@ -350,10 +350,10 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: def text_table_add_metrics(strategy_results: Dict) -> str: if len(strategy_results['trades']) > 0: - min_trade = min(strategy_results['trades'], key=lambda x: x['open_time']) + min_trade = min(strategy_results['trades'], key=lambda x: x['open_date']) metrics = [ ('Total trades', strategy_results['total_trades']), - ('First trade', min_trade['open_time'].strftime(DATETIME_PRINT_FORMAT)), + ('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)), ('First trade Pair', min_trade['pair']), ('Backtesting from', strategy_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), ('Backtesting to', strategy_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index e8b0b4938..6d50defaf 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -63,7 +63,7 @@ def init_plotscript(config): exportfilename=config.get('exportfilename'), no_trades=no_trades ) - trades = trim_dataframe(trades, timerange, 'open_time') + trades = trim_dataframe(trades, timerange, 'open_date') return {"ohlcv": data, "trades": trades, @@ -166,7 +166,7 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots: f"{row['sell_reason']}, {row['duration']} min", axis=1) trade_buys = go.Scatter( - x=trades["open_time"], + x=trades["open_date"], y=trades["open_rate"], mode='markers', name='Trade buy', @@ -181,7 +181,7 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots: ) trade_sells = go.Scatter( - x=trades.loc[trades['profit_percent'] > 0, "close_time"], + x=trades.loc[trades['profit_percent'] > 0, "close_date"], y=trades.loc[trades['profit_percent'] > 0, "close_rate"], text=trades.loc[trades['profit_percent'] > 0, "desc"], mode='markers', @@ -194,7 +194,7 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots: ) ) trade_sells_loss = go.Scatter( - x=trades.loc[trades['profit_percent'] <= 0, "close_time"], + x=trades.loc[trades['profit_percent'] <= 0, "close_date"], y=trades.loc[trades['profit_percent'] <= 0, "close_rate"], text=trades.loc[trades['profit_percent'] <= 0, "desc"], mode='markers', @@ -506,7 +506,7 @@ def plot_profit(config: Dict[str, Any]) -> None: # Remove open pairs - we don't know the profit yet so can't calculate profit for these. # Also, If only one open pair is left, then the profit-generation would fail. trades = trades[(trades['pair'].isin(plot_elements["pairs"])) - & (~trades['close_time'].isnull()) + & (~trades['close_date'].isnull()) ] if len(trades) == 0: raise OperationalException("No trades found, cannot generate Profit-plot without " From 28817187331fd7d84a55aa69cc38504263f43c0d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 09:21:28 +0200 Subject: [PATCH 019/129] Adapt tests for new column names --- tests/data/test_btanalysis.py | 24 ++++++++++++------------ tests/edge/test_edge.py | 16 ++++++++-------- tests/optimize/test_backtest_detail.py | 4 ++-- tests/optimize/test_backtesting.py | 16 ++++++++-------- tests/optimize/test_hyperopt.py | 2 +- tests/optimize/test_optimize_reports.py | 4 ++-- tests/test_plotting.py | 2 +- 7 files changed, 34 insertions(+), 34 deletions(-) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index d571569b9..077db19f1 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -47,7 +47,7 @@ def test_load_trades_from_db(default_conf, fee, mocker): assert len(trades) == 3 assert isinstance(trades, DataFrame) assert "pair" in trades.columns - assert "open_time" in trades.columns + assert "open_date" in trades.columns assert "profit_percent" in trades.columns for col in BT_DATA_COLUMNS: @@ -67,13 +67,13 @@ def test_extract_trades_of_period(testdatadir): {'pair': [pair, pair, pair, pair], 'profit_percent': [0.0, 0.1, -0.2, -0.5], 'profit_abs': [0.0, 1, -2, -5], - 'open_time': to_datetime([Arrow(2017, 11, 13, 15, 40, 0).datetime, + 'open_date': to_datetime([Arrow(2017, 11, 13, 15, 40, 0).datetime, Arrow(2017, 11, 14, 9, 41, 0).datetime, Arrow(2017, 11, 14, 14, 20, 0).datetime, Arrow(2017, 11, 15, 3, 40, 0).datetime, ], utc=True ), - 'close_time': to_datetime([Arrow(2017, 11, 13, 16, 40, 0).datetime, + 'close_date': to_datetime([Arrow(2017, 11, 13, 16, 40, 0).datetime, Arrow(2017, 11, 14, 10, 41, 0).datetime, Arrow(2017, 11, 14, 15, 25, 0).datetime, Arrow(2017, 11, 15, 3, 55, 0).datetime, @@ -82,10 +82,10 @@ def test_extract_trades_of_period(testdatadir): trades1 = extract_trades_of_period(data, trades) # First and last trade are dropped as they are out of range assert len(trades1) == 2 - assert trades1.iloc[0].open_time == Arrow(2017, 11, 14, 9, 41, 0).datetime - assert trades1.iloc[0].close_time == Arrow(2017, 11, 14, 10, 41, 0).datetime - assert trades1.iloc[-1].open_time == Arrow(2017, 11, 14, 14, 20, 0).datetime - assert trades1.iloc[-1].close_time == Arrow(2017, 11, 14, 15, 25, 0).datetime + assert trades1.iloc[0].open_date == Arrow(2017, 11, 14, 9, 41, 0).datetime + assert trades1.iloc[0].close_date == Arrow(2017, 11, 14, 10, 41, 0).datetime + assert trades1.iloc[-1].open_date == Arrow(2017, 11, 14, 14, 20, 0).datetime + assert trades1.iloc[-1].close_date == Arrow(2017, 11, 14, 15, 25, 0).datetime def test_analyze_trade_parallelism(default_conf, mocker, testdatadir): @@ -174,7 +174,7 @@ def test_create_cum_profit1(testdatadir): filename = testdatadir / "backtest-result_test.json" bt_data = load_backtest_data(filename) # Move close-time to "off" the candle, to make sure the logic still works - bt_data.loc[:, 'close_time'] = bt_data.loc[:, 'close_time'] + DateOffset(seconds=20) + bt_data.loc[:, 'close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(seconds=20) timerange = TimeRange.parse_timerange("20180110-20180112") df = load_pair_history(pair="TRX/BTC", timeframe='5m', @@ -213,11 +213,11 @@ def test_calculate_max_drawdown2(): -0.033961, 0.010680, 0.010886, -0.029274, 0.011178, 0.010693, 0.010711] dates = [Arrow(2020, 1, 1).shift(days=i) for i in range(len(values))] - df = DataFrame(zip(values, dates), columns=['profit', 'open_time']) + df = DataFrame(zip(values, dates), columns=['profit', 'open_date']) # sort by profit and reset index df = df.sort_values('profit').reset_index(drop=True) df1 = df.copy() - drawdown, h, low = calculate_max_drawdown(df, date_col='open_time', value_col='profit') + drawdown, h, low = calculate_max_drawdown(df, date_col='open_date', value_col='profit') # Ensure df has not been altered. assert df.equals(df1) @@ -226,6 +226,6 @@ def test_calculate_max_drawdown2(): assert h < low assert drawdown == 0.091755 - df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_time']) + df = DataFrame(zip(values[:5], dates[:5]), columns=['profit', 'open_date']) with pytest.raises(ValueError, match='No losing trade, therefore no drawdown.'): - calculate_max_drawdown(df, date_col='open_time', value_col='profit') + calculate_max_drawdown(df, date_col='open_date', value_col='profit') diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index cf9cb6fe1..ea1e709a2 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -163,8 +163,8 @@ def test_edge_results(edge_conf, mocker, caplog, data) -> None: for c, trade in enumerate(data.trades): res = results.iloc[c] assert res.exit_type == trade.sell_reason - assert res.open_time == _get_frame_time_from_offset(trade.open_tick).replace(tzinfo=None) - assert res.close_time == _get_frame_time_from_offset(trade.close_tick).replace(tzinfo=None) + assert res.open_date == _get_frame_time_from_offset(trade.open_tick).replace(tzinfo=None) + assert res.close_date == _get_frame_time_from_offset(trade.close_tick).replace(tzinfo=None) def test_adjust(mocker, edge_conf): @@ -354,8 +354,8 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:05:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:10:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:05:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:10:00.000000000'), 'open_index': 1, 'close_index': 1, 'trade_duration': '', @@ -367,8 +367,8 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:20:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:25:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), 'open_index': 4, 'close_index': 4, 'trade_duration': '', @@ -380,8 +380,8 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:30:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:40:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:30:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:40:00.000000000'), 'open_index': 6, 'close_index': 7, 'trade_duration': '', diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index 9b3043086..f6ac95aeb 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -395,5 +395,5 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: for c, trade in enumerate(data.trades): res = results.iloc[c] assert res.sell_reason == trade.sell_reason - assert res.open_time == _get_frame_time_from_offset(trade.open_tick) - assert res.close_time == _get_frame_time_from_offset(trade.close_tick) + assert res.open_date == _get_frame_time_from_offset(trade.open_tick) + assert res.close_date == _get_frame_time_from_offset(trade.close_tick) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 853780b82..e7a13f251 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -459,10 +459,10 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: {'pair': [pair, pair], 'profit_percent': [0.0, 0.0], 'profit_abs': [0.0, 0.0], - 'open_time': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime, + 'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime, Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True ), - 'close_time': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime, + 'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime, Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True), 'open_index': [78, 184], 'close_index': [125, 192], @@ -475,12 +475,12 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: pd.testing.assert_frame_equal(results, expected) data_pair = processed[pair] for _, t in results.iterrows(): - ln = data_pair.loc[data_pair["date"] == t["open_time"]] + ln = data_pair.loc[data_pair["date"] == t["open_date"]] # Check open trade rate alignes to open rate assert ln is not None assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6) # check close trade rate alignes to close rate or is between high and low - ln = data_pair.loc[data_pair["date"] == t["close_time"]] + ln = data_pair.loc[data_pair["date"] == t["close_date"]] assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) or round(ln.iloc[0]["low"], 6) < round( t["close_rate"], 6) < round(ln.iloc[0]["high"], 6)) @@ -756,10 +756,10 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'], 'profit_percent': [0.0, 0.0], 'profit_abs': [0.0, 0.0], - 'open_time': pd.to_datetime(['2018-01-29 18:40:00', + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', '2018-01-30 03:30:00', ], utc=True ), - 'close_time': pd.to_datetime(['2018-01-29 20:45:00', + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', '2018-01-30 05:35:00', ], utc=True), 'open_index': [78, 184], 'close_index': [125, 192], @@ -772,11 +772,11 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'], 'profit_percent': [0.03, 0.01, 0.1], 'profit_abs': [0.01, 0.02, 0.2], - 'open_time': pd.to_datetime(['2018-01-29 18:40:00', + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', '2018-01-30 03:30:00', '2018-01-30 05:30:00'], utc=True ), - 'close_time': pd.to_datetime(['2018-01-29 20:45:00', + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', '2018-01-30 05:35:00', '2018-01-30 08:30:00'], utc=True), 'open_index': [78, 184, 185], diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 564725709..00edd8ad2 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -46,7 +46,7 @@ def hyperopt_results(): 'profit_abs': [-0.2, 0.4, 0.6], 'trade_duration': [10, 30, 10], 'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.ROI], - 'close_time': + 'close_date': [ datetime(2019, 1, 1, 9, 26, 3, 478039), datetime(2019, 2, 1, 9, 26, 3, 478039), diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 175405e4c..7efd87787 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -204,11 +204,11 @@ def test_backtest_record(default_conf, fee, mocker): "UNITTEST/BTC", "UNITTEST/BTC"], "profit_percent": [0.003312, 0.010801, 0.013803, 0.002780], "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], - "open_time": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, Arrow(2017, 11, 14, 21, 36, 00).datetime, Arrow(2017, 11, 14, 22, 12, 00).datetime, Arrow(2017, 11, 14, 22, 44, 00).datetime], - "close_time": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, Arrow(2017, 11, 14, 22, 10, 00).datetime, Arrow(2017, 11, 14, 22, 43, 00).datetime, Arrow(2017, 11, 14, 22, 58, 00).datetime], diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 05805eb24..83a41deeb 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -267,7 +267,7 @@ def test_generate_profit_graph(testdatadir): trades = load_backtest_data(filename) timerange = TimeRange.parse_timerange("20180110-20180112") pairs = ["TRX/BTC", "XLM/BTC"] - trades = trades[trades['close_time'] < pd.Timestamp('2018-01-12', tz='UTC')] + trades = trades[trades['close_date'] < pd.Timestamp('2018-01-12', tz='UTC')] data = history.load_data(datadir=testdatadir, pairs=pairs, From 04cbc2cde5a832119db5c95b75e720974794fa5d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 09:22:50 +0200 Subject: [PATCH 020/129] Shorten variable --- freqtrade/optimize/optimize_reports.py | 24 ++++++++++++------------ 1 file changed, 12 insertions(+), 12 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 63c2d2022..de609589a 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -1,5 +1,5 @@ import logging -from datetime import datetime, timedelta, timezone +from datetime import datetime, timedelta from pathlib import Path from typing import Any, Dict, List @@ -348,21 +348,21 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") -def text_table_add_metrics(strategy_results: Dict) -> str: - if len(strategy_results['trades']) > 0: - min_trade = min(strategy_results['trades'], key=lambda x: x['open_date']) +def text_table_add_metrics(strat_results: Dict) -> str: + if len(strat_results['trades']) > 0: + min_trade = min(strat_results['trades'], key=lambda x: x['open_date']) metrics = [ - ('Total trades', strategy_results['total_trades']), + ('Total trades', strat_results['total_trades']), ('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)), ('First trade Pair', min_trade['pair']), - ('Backtesting from', strategy_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), - ('Backtesting to', strategy_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), - ('Trades per day', strategy_results['trades_per_day']), + ('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), + ('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), + ('Trades per day', strat_results['trades_per_day']), ('', ''), # Empty line to improve readability - ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), - ('Drawdown Start', strategy_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), - ('Drawdown End', strategy_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)), - ('Market change', f"{round(strategy_results['market_change'] * 100, 2)}%"), + ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"), + ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), + ('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)), + ('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"), ] return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") From 0fa56be9d2a06fcc11b4f9bcdfa5b3564315539d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 09:27:07 +0200 Subject: [PATCH 021/129] remove openIndex and closeIndex from backtest-report --- freqtrade/edge/edge_positioning.py | 2 -- freqtrade/optimize/backtesting.py | 6 ------ freqtrade/optimize/optimize_reports.py | 4 +++- tests/edge/test_edge.py | 6 ------ tests/optimize/test_backtesting.py | 6 ------ tests/optimize/test_optimize_reports.py | 2 -- 6 files changed, 3 insertions(+), 23 deletions(-) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index 169732314..9843d4e83 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -429,8 +429,6 @@ class Edge: 'profit_abs': '', 'open_date': date_column[open_trade_index], 'close_date': date_column[exit_index], - 'open_index': start_point + open_trade_index, - 'close_index': start_point + exit_index, 'trade_duration': '', 'open_rate': round(open_price, 15), 'close_rate': round(exit_price, 15), diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 4197ec087..1eef4f4b9 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -41,8 +41,6 @@ class BacktestResult(NamedTuple): profit_abs: float open_date: datetime close_date: datetime - open_index: int - close_index: int trade_duration: float open_at_end: bool open_rate: float @@ -251,8 +249,6 @@ class Backtesting: open_date=buy_row.date, close_date=sell_row.date, trade_duration=trade_dur, - open_index=buy_row.Index, - close_index=sell_row.Index, open_at_end=False, open_rate=buy_row.open, close_rate=closerate, @@ -268,8 +264,6 @@ class Backtesting: close_date=sell_row.date, trade_duration=int(( sell_row.date - buy_row.date).total_seconds() // 60), - open_index=buy_row.Index, - close_index=sell_row.Index, open_at_end=True, open_rate=buy_row.open, close_rate=sell_row.open, diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index de609589a..8f9104640 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -52,8 +52,10 @@ def backtest_result_to_list(results: DataFrame) -> List[List]: :param results: Dataframe containing results for one strategy :return: List of Lists containing the trades """ + # Return 0 as "index" for compatibility reasons (for now) + # TODO: Evaluate if we can remove this return [[t.pair, t.profit_percent, t.open_date.timestamp(), - t.open_date.timestamp(), t.open_index - 1, t.trade_duration, + t.open_date.timestamp(), 0, t.trade_duration, t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value] for index, t in results.iterrows()] diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index ea1e709a2..cd5f623e3 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -356,8 +356,6 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'profit_abs': '', 'open_date': np.datetime64('2018-10-03T00:05:00.000000000'), 'close_date': np.datetime64('2018-10-03T00:10:00.000000000'), - 'open_index': 1, - 'close_index': 1, 'trade_duration': '', 'open_rate': 17, 'close_rate': 17, @@ -369,8 +367,6 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'profit_abs': '', 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), - 'open_index': 4, - 'close_index': 4, 'trade_duration': '', 'open_rate': 20, 'close_rate': 20, @@ -382,8 +378,6 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc 'profit_abs': '', 'open_date': np.datetime64('2018-10-03T00:30:00.000000000'), 'close_date': np.datetime64('2018-10-03T00:40:00.000000000'), - 'open_index': 6, - 'close_index': 7, 'trade_duration': '', 'open_rate': 26, 'close_rate': 34, diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index e7a13f251..c0a9e798a 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -464,8 +464,6 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: ), 'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime, Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True), - 'open_index': [78, 184], - 'close_index': [125, 192], 'trade_duration': [235, 40], 'open_at_end': [False, False], 'open_rate': [0.104445, 0.10302485], @@ -761,8 +759,6 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat ), 'close_date': pd.to_datetime(['2018-01-29 20:45:00', '2018-01-30 05:35:00', ], utc=True), - 'open_index': [78, 184], - 'close_index': [125, 192], 'trade_duration': [235, 40], 'open_at_end': [False, False], 'open_rate': [0.104445, 0.10302485], @@ -779,8 +775,6 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat 'close_date': pd.to_datetime(['2018-01-29 20:45:00', '2018-01-30 05:35:00', '2018-01-30 08:30:00'], utc=True), - 'open_index': [78, 184, 185], - 'close_index': [125, 224, 205], 'trade_duration': [47, 40, 20], 'open_at_end': [False, False, False], 'open_rate': [0.104445, 0.10302485, 0.122541], diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 7efd87787..9f06043cc 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -214,8 +214,6 @@ def test_backtest_record(default_conf, fee, mocker): Arrow(2017, 11, 14, 22, 58, 00).datetime], "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], - "open_index": [1, 119, 153, 185], - "close_index": [118, 151, 184, 199], "trade_duration": [123, 34, 31, 14], "open_at_end": [False, False, False, True], "sell_reason": [SellType.ROI, SellType.STOP_LOSS, From dacb40a9765249c949beb1e07ce57db1915b7eb2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 09:34:18 +0200 Subject: [PATCH 022/129] Add get_latest_backtest_filename --- freqtrade/data/btanalysis.py | 28 ++++++++++++++++++++++++++++ 1 file changed, 28 insertions(+) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index f174b8ea9..89380059f 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -20,6 +20,34 @@ BT_DATA_COLUMNS = ["pair", "profit_percent", "open_date", "close_date", "index", "open_rate", "close_rate", "open_at_end", "sell_reason"] +def get_latest_backtest_filename(directory: Union[Path, str]) -> str: + """ + Get latest backtest export based on '.last_result.json'. + :param directory: Directory to search for last result + :return: string containing the filename of the latest backtest result + :raises: ValueError in the following cases: + * Directory does not exist + * `directory/.last_result.json` does not exist + * `directory/.last_result.json` has the wrong content + """ + if isinstance(directory, str): + directory = Path(directory) + if not directory.is_dir(): + raise ValueError(f"Directory {directory} does not exist.") + filename = directory / '.last_result.json' + + if not filename.is_file(): + raise ValueError(f"Directory {directory} does not seem to contain backtest statistics yet.") + + with filename.open() as file: + data = json_load(file) + + if 'latest_backtest' not in data: + raise ValueError("Invalid .last_result.json format") + + return data['latest_backtest'] + + def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: """ Load backtest statistics file. From 075eb0a161496a59d067ef4385ffc51997d4e87a Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 19:20:51 +0200 Subject: [PATCH 023/129] Fix sequence of saving --- freqtrade/optimize/backtesting.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 1eef4f4b9..30418f0d7 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -409,11 +409,11 @@ class Backtesting: position_stacking=position_stacking, ) - if self.config.get('export', False): - store_backtest_result(self.config['exportfilename'], all_results) - # Show backtest results stats = generate_backtest_stats(self.config, data, all_results, min_date=min_date, max_date=max_date) - show_backtest_results(self.config, stats) if self.config.get('export', False): + store_backtest_result(self.config['exportfilename'], all_results) store_backtest_stats(self.config['exportfilename'], stats) + + # Show backtest results + show_backtest_results(self.config, stats) From af9a9592b78330925c4bd640b3280fdd4a96caff Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 19:32:47 +0200 Subject: [PATCH 024/129] Remove unnecessary statement --- freqtrade/data/btanalysis.py | 1 - 1 file changed, 1 deletion(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 89380059f..d6af67a32 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -141,7 +141,6 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: :param db_url: Sqlite url (default format sqlite:///tradesv3.dry-run.sqlite) :return: Dataframe containing Trades """ - trades: pd.DataFrame = pd.DataFrame([], columns=BT_DATA_COLUMNS) persistence.init(db_url, clean_open_orders=False) columns = ["pair", "open_date", "close_date", "profit", "profit_percent", From 03ab61959b6f0a53f74c50ca52190e96677ea45b Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 20:08:45 +0200 Subject: [PATCH 025/129] Add test for generate_backtest_stats --- freqtrade/optimize/optimize_reports.py | 10 +-- tests/optimize/test_optimize_reports.py | 81 +++++++++++++++++++++++-- 2 files changed, 82 insertions(+), 9 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 8f9104640..d1c58617d 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -1,5 +1,5 @@ import logging -from datetime import datetime, timedelta +from datetime import datetime, timedelta, timezone from pathlib import Path from typing import Any, Dict, List @@ -266,10 +266,10 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], except ValueError: strat_stats.update({ 'max_drawdown': 0.0, - 'drawdown_start': datetime.min, - 'drawdown_start_ts': datetime(1970, 1, 1).timestamp(), - 'drawdown_end': datetime.min, - 'drawdown_end_ts': datetime(1970, 1, 1).timestamp(), + 'drawdown_start': datetime(1970, 1, 1, tzinfo=timezone.utc), + 'drawdown_start_ts': 0, + 'drawdown_end': datetime(1970, 1, 1, tzinfo=timezone.utc), + 'drawdown_end_ts': 0, }) strategy_results = generate_strategy_metrics(stake_currency=stake_currency, diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 9f06043cc..c46b96ab2 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -1,14 +1,22 @@ +from datetime import datetime from pathlib import Path import pandas as pd import pytest from arrow import Arrow +from freqtrade.configuration import TimeRange +from freqtrade.data import history from freqtrade.edge import PairInfo -from freqtrade.optimize.optimize_reports import ( - generate_pair_metrics, generate_edge_table, generate_sell_reason_stats, - text_table_bt_results, text_table_sell_reason, generate_strategy_metrics, - text_table_strategy, store_backtest_result) +from freqtrade.optimize.optimize_reports import (generate_backtest_stats, + generate_edge_table, + generate_pair_metrics, + generate_sell_reason_stats, + generate_strategy_metrics, + store_backtest_result, + text_table_bt_results, + text_table_sell_reason, + text_table_strategy) from freqtrade.strategy.interface import SellType from tests.conftest import patch_exchange @@ -43,6 +51,71 @@ def test_text_table_bt_results(default_conf, mocker): assert text_table_bt_results(pair_results, stake_currency='BTC') == result_str +def test_generate_backtest_stats(default_conf, testdatadir): + results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", + "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_percent": [0.003312, 0.010801, 0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], + "trade_duration": [123, 34, 31, 14], + "open_at_end": [False, False, False, True], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + })} + timerange = TimeRange.parse_timerange('1510688220-1510700340') + min_date = Arrow.fromtimestamp(1510688220) + max_date = Arrow.fromtimestamp(1510700340) + btdata = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange, + fill_up_missing=True) + + stats = generate_backtest_stats(default_conf, btdata, results, min_date, max_date) + assert isinstance(stats, dict) + assert 'strategy' in stats + assert 'DefStrat' in stats['strategy'] + assert 'strategy_comparison' in stats + strat_stats = stats['strategy']['DefStrat'] + assert strat_stats['backtest_start'] == min_date.datetime + assert strat_stats['backtest_end'] == max_date.datetime + assert strat_stats['total_trades'] == len(results['DefStrat']) + # Above sample had no loosing trade + assert strat_stats['max_drawdown'] == 0.0 + + results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", + "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_percent": [0.003312, 0.010801, -0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, -0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.0032903, 0.003217], + "trade_duration": [123, 34, 31, 14], + "open_at_end": [False, False, False, True], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + })} + + assert strat_stats['max_drawdown'] == 0.0 + assert strat_stats['drawdown_start'] == Arrow.fromtimestamp(0).datetime + assert strat_stats['drawdown_end'] == Arrow.fromtimestamp(0).datetime + assert strat_stats['drawdown_end_ts'] == 0 + assert strat_stats['drawdown_start_ts'] == 0 + + def test_generate_pair_metrics(default_conf, mocker): results = pd.DataFrame( From 6e947346787560085dcdb51970ddaa68e9525597 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 20:21:08 +0200 Subject: [PATCH 026/129] Add fee to backtestresult --- freqtrade/optimize/backtesting.py | 18 ++++++++++++------ tests/optimize/test_backtesting.py | 6 ++++-- 2 files changed, 16 insertions(+), 8 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 30418f0d7..7021e85b6 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -40,11 +40,13 @@ class BacktestResult(NamedTuple): profit_percent: float profit_abs: float open_date: datetime + open_rate: float + open_fee: float close_date: datetime + close_rate: float + close_fee: float trade_duration: float open_at_end: bool - open_rate: float - close_rate: float sell_reason: SellType @@ -247,11 +249,13 @@ class Backtesting: profit_percent=trade.calc_profit_ratio(rate=closerate), profit_abs=trade.calc_profit(rate=closerate), open_date=buy_row.date, + open_rate=buy_row.open, + open_fee=self.fee, close_date=sell_row.date, + close_rate=closerate, + close_fee=self.fee, trade_duration=trade_dur, open_at_end=False, - open_rate=buy_row.open, - close_rate=closerate, sell_reason=sell.sell_type ) if partial_ohlcv: @@ -261,12 +265,14 @@ class Backtesting: profit_percent=trade.calc_profit_ratio(rate=sell_row.open), profit_abs=trade.calc_profit(rate=sell_row.open), open_date=buy_row.date, + open_rate=buy_row.open, + open_fee=self.fee, close_date=sell_row.date, + close_rate=sell_row.open, + close_fee=self.fee, trade_duration=int(( sell_row.date - buy_row.date).total_seconds() // 60), open_at_end=True, - open_rate=buy_row.open, - close_rate=sell_row.open, sell_reason=SellType.FORCE_SELL ) logger.debug(f"{pair} - Force selling still open trade, " diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index c0a9e798a..4ee03f6ba 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -462,12 +462,14 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: 'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime, Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True ), + 'open_rate': [0.104445, 0.10302485], + 'open_fee': [0.0025, 0.0025], 'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime, Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True), + 'close_rate': [0.104969, 0.103541], + 'close_fee': [0.0025, 0.0025], 'trade_duration': [235, 40], 'open_at_end': [False, False], - 'open_rate': [0.104445, 0.10302485], - 'close_rate': [0.104969, 0.103541], 'sell_reason': [SellType.ROI, SellType.ROI] }) pd.testing.assert_frame_equal(results, expected) From f368aabcc7bce32752f93f26d020be7222e12678 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 20:51:36 +0200 Subject: [PATCH 027/129] Add amount to backtest-result --- freqtrade/optimize/backtesting.py | 3 +++ freqtrade/optimize/optimize_reports.py | 1 + tests/optimize/test_backtesting.py | 1 + 3 files changed, 5 insertions(+) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 7021e85b6..d00f033cd 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -45,6 +45,7 @@ class BacktestResult(NamedTuple): close_date: datetime close_rate: float close_fee: float + amount: float trade_duration: float open_at_end: bool sell_reason: SellType @@ -254,6 +255,7 @@ class Backtesting: close_date=sell_row.date, close_rate=closerate, close_fee=self.fee, + amount=trade.amount, trade_duration=trade_dur, open_at_end=False, sell_reason=sell.sell_type @@ -270,6 +272,7 @@ class Backtesting: close_date=sell_row.date, close_rate=sell_row.open, close_fee=self.fee, + amount=trade.amount, trade_duration=int(( sell_row.date - buy_row.date).total_seconds() // 60), open_at_end=True, diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index d1c58617d..a7cc8a7d6 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -250,6 +250,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_days': backtest_days, 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, 'market_change': market_change, + 'stake_amount': config['stake_amount'] } result['strategy'][strategy] = strat_stats diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 4ee03f6ba..d5a6f8888 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -468,6 +468,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True), 'close_rate': [0.104969, 0.103541], 'close_fee': [0.0025, 0.0025], + 'amount': [0.009574, 0.009706], 'trade_duration': [235, 40], 'open_at_end': [False, False], 'sell_reason': [SellType.ROI, SellType.ROI] From 7727292861d661a09926cc1da3a5b9aaf4f501bf Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 26 Jun 2020 21:04:40 +0200 Subject: [PATCH 028/129] Rename duration to trade_duration --- freqtrade/data/btanalysis.py | 4 ++-- freqtrade/optimize/backtesting.py | 2 +- freqtrade/plot/plotting.py | 3 ++- tests/optimize/test_backtesting.py | 2 +- 4 files changed, 6 insertions(+), 5 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index d6af67a32..f34dbf313 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -16,7 +16,7 @@ from freqtrade.persistence import Trade logger = logging.getLogger(__name__) # must align with columns in backtest.py -BT_DATA_COLUMNS = ["pair", "profit_percent", "open_date", "close_date", "index", "duration", +BT_DATA_COLUMNS = ["pair", "profit_percent", "open_date", "close_date", "index", "trade_duration", "open_rate", "close_rate", "open_at_end", "sell_reason"] @@ -144,7 +144,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: persistence.init(db_url, clean_open_orders=False) columns = ["pair", "open_date", "close_date", "profit", "profit_percent", - "open_rate", "close_rate", "amount", "duration", "sell_reason", + "open_rate", "close_rate", "amount", "trade_duration", "sell_reason", "fee_open", "fee_close", "open_rate_requested", "close_rate_requested", "stake_amount", "max_rate", "min_rate", "id", "exchange", "stop_loss", "initial_stop_loss", "strategy", "timeframe"] diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index d00f033cd..18881f9db 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -228,7 +228,7 @@ class Backtesting: open_rate=buy_row.open, open_date=buy_row.date, stake_amount=stake_amount, - amount=stake_amount / buy_row.open, + amount=round(stake_amount / buy_row.open, 8), fee_open=self.fee, fee_close=self.fee, is_open=True, diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 6d50defaf..eee338a42 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -163,7 +163,8 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots: if trades is not None and len(trades) > 0: # Create description for sell summarizing the trade trades['desc'] = trades.apply(lambda row: f"{round(row['profit_percent'] * 100, 1)}%, " - f"{row['sell_reason']}, {row['duration']} min", + f"{row['sell_reason']}, " + f"{row['trade_duration']} min", axis=1) trade_buys = go.Scatter( x=trades["open_date"], diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index d5a6f8888..2c855fbc0 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -468,7 +468,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True), 'close_rate': [0.104969, 0.103541], 'close_fee': [0.0025, 0.0025], - 'amount': [0.009574, 0.009706], + 'amount': [0.00957442, 0.0097064], 'trade_duration': [235, 40], 'open_at_end': [False, False], 'sell_reason': [SellType.ROI, SellType.ROI] From 04eaf2c39cc41d67e599dc8114f3247931110e9a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 06:46:54 +0200 Subject: [PATCH 029/129] Add test for get_last_backtest_Result --- freqtrade/data/btanalysis.py | 6 +++--- tests/data/test_btanalysis.py | 19 +++++++++++++++++++ tests/testdata/.last_result.json | 1 + tests/testdata/backtest-result_new.json | 1 + tests/testdata/backtest-result_test copy.json | 7 ------- 5 files changed, 24 insertions(+), 10 deletions(-) create mode 100644 tests/testdata/.last_result.json create mode 100644 tests/testdata/backtest-result_new.json delete mode 100644 tests/testdata/backtest-result_test copy.json diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index f34dbf313..a556207e5 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -33,17 +33,17 @@ def get_latest_backtest_filename(directory: Union[Path, str]) -> str: if isinstance(directory, str): directory = Path(directory) if not directory.is_dir(): - raise ValueError(f"Directory {directory} does not exist.") + raise ValueError(f"Directory '{directory}' does not exist.") filename = directory / '.last_result.json' if not filename.is_file(): - raise ValueError(f"Directory {directory} does not seem to contain backtest statistics yet.") + raise ValueError(f"Directory '{directory}' does not seem to contain backtest statistics yet.") with filename.open() as file: data = json_load(file) if 'latest_backtest' not in data: - raise ValueError("Invalid .last_result.json format") + raise ValueError("Invalid '.last_result.json' format.") return data['latest_backtest'] diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 077db19f1..fd3783bf2 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -13,12 +13,31 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, combine_dataframes_with_mean, create_cum_profit, extract_trades_of_period, + get_latest_backtest_filename, load_backtest_data, load_trades, load_trades_from_db) from freqtrade.data.history import load_data, load_pair_history from tests.conftest import create_mock_trades +def test_get_latest_backtest_filename(testdatadir, mocker): + with pytest.raises(ValueError, match=r"Directory .* does not exist\."): + get_latest_backtest_filename(testdatadir / 'does_not_exist') + + with pytest.raises(ValueError, + match=r"Directory .* does not seem to contain .*"): + get_latest_backtest_filename(testdatadir.parent) + + res = get_latest_backtest_filename(testdatadir) + assert res == 'backtest-result_new.json' + + mocker.patch("freqtrade.data.btanalysis.json_load", return_value={}) + + + with pytest.raises(ValueError, match=r"Invalid '.last_result.json' format."): + get_latest_backtest_filename(testdatadir) + + def test_load_backtest_data(testdatadir): filename = testdatadir / "backtest-result_test.json" diff --git a/tests/testdata/.last_result.json b/tests/testdata/.last_result.json new file mode 100644 index 000000000..98448e10f --- /dev/null +++ b/tests/testdata/.last_result.json @@ -0,0 +1 @@ +{"latest_backtest":"backtest-result_new.json"} diff --git a/tests/testdata/backtest-result_new.json b/tests/testdata/backtest-result_new.json new file mode 100644 index 000000000..457ad1bc7 --- /dev/null +++ b/tests/testdata/backtest-result_new.json @@ -0,0 +1 @@ +{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "profit": 4.348872180451118e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.1455639097744267e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.506315789473681e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "profit": 4.3741353383458455e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004726817042606385, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "profit": 0.00040896345864661204, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "profit": 0.0002323284210526272, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5368421052630647e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "profit": 8.471127819548868e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004577728320801916, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "profit": 0.00044601518796991146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.00042907308270676014, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 22:50:00+00:00", "close_date": "2018-01-10 23:20:00+00:00", "trade_duration": 30, "open_rate": 0.00249083, "close_rate": 0.0025282860902255634, "open_at_end": false, "sell_reason": "roi", "profit": 3.745609022556351e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 40.147260150231055, "profit_abs": 0.000999999999999987}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 23:15:00+00:00", "close_date": "2018-01-11 00:15:00+00:00", "trade_duration": 60, "open_rate": 3.022e-05, "close_rate": 3.037147869674185e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5147869674185174e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3309.0668431502318, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-10 23:40:00+00:00", "close_date": "2018-01-11 00:05:00+00:00", "trade_duration": 25, "open_rate": 0.002437, "close_rate": 0.0024980776942355883, "open_at_end": false, "sell_reason": "roi", "profit": 6.107769423558838e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.03405826836274, "profit_abs": 0.001999999999999974}, {"pair": "ZEC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 00:00:00+00:00", "close_date": "2018-01-11 00:35:00+00:00", "trade_duration": 35, "open_rate": 0.04771803, "close_rate": 0.04843559436090225, "open_at_end": false, "sell_reason": "roi", "profit": 0.0007175643609022495, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.0956439316543456, "profit_abs": 0.0010000000000000009}, {"pair": "XLM/BTC", "profit_percent": -0.10448878, "open_date": "2018-01-11 03:40:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 45, "open_rate": 3.651e-05, "close_rate": 3.2859000000000005e-05, "open_at_end": false, "sell_reason": "stop_loss", "profit": -3.650999999999996e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2738.9756231169545, "profit_abs": -0.01047499999999997}, {"pair": "ETH/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 03:55:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 30, "open_rate": 0.08824105, "close_rate": 0.08956798308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.0013269330827067605, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1332594070446804, "profit_abs": 0.0010000000000000009}, {"pair": "ETC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 04:00:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 50, "open_rate": 0.00243, "close_rate": 0.002442180451127819, "open_at_end": false, "sell_reason": "roi", "profit": 1.2180451127819219e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.1522633744856, "profit_abs": -1.3877787807814457e-17}, {"pair": "ZEC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:55:00+00:00", "trade_duration": 25, "open_rate": 0.04545064, "close_rate": 0.046589753784461146, "open_at_end": false, "sell_reason": "roi", "profit": 0.001139113784461146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.200189040242338, "profit_abs": 0.001999999999999988}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 20, "open_rate": 3.372e-05, "close_rate": 3.456511278195488e-05, "open_at_end": false, "sell_reason": "roi", "profit": 8.4511278195488e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2965.599051008304, "profit_abs": 0.001999999999999988}, {"pair": "XMR/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:55:00+00:00", "close_date": "2018-01-11 05:15:00+00:00", "trade_duration": 20, "open_rate": 0.02644, "close_rate": 0.02710265664160401, "open_at_end": false, "sell_reason": "roi", "profit": 0.0006626566416040071, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7821482602118004, "profit_abs": 0.001999999999999988}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:20:00+00:00", "close_date": "2018-01-11 12:00:00+00:00", "trade_duration": 40, "open_rate": 0.08812, "close_rate": 0.08856170426065162, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004417042606516125, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1348161597821154, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:35:00+00:00", "close_date": "2018-01-11 12:15:00+00:00", "trade_duration": 40, "open_rate": 0.02683577, "close_rate": 0.026970285137844607, "open_at_end": false, "sell_reason": "roi", "profit": 0.00013451513784460897, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7263696923919087, "profit_abs": 0.0}, {"pair": "ADA/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 14:00:00+00:00", "close_date": "2018-01-11 14:25:00+00:00", "trade_duration": 25, "open_rate": 4.919e-05, "close_rate": 5.04228320802005e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.232832080200495e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2032.9335230737956, "profit_abs": 0.0020000000000000018}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 19:25:00+00:00", "close_date": "2018-01-11 20:35:00+00:00", "trade_duration": 70, "open_rate": 0.08784896, "close_rate": 0.08828930566416039, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004403456641603881, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1383174029607181, "profit_abs": -1.3877787807814457e-17}, {"pair": "ADA/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 22:35:00+00:00", "close_date": "2018-01-11 23:30:00+00:00", "trade_duration": 55, "open_rate": 5.105e-05, "close_rate": 5.130588972431077e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.558897243107704e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1958.8638589618022, "profit_abs": -1.3877787807814457e-17}, {"pair": "XLM/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 22:55:00+00:00", "close_date": "2018-01-11 23:25:00+00:00", "trade_duration": 30, 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From 133947988238905752513992b4ad2caafb5eead3 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 07:08:16 +0200 Subject: [PATCH 030/129] Have sell_type stringify correctly --- freqtrade/strategy/interface.py | 4 ++++ tests/test_freqtradebot.py | 2 +- 2 files changed, 5 insertions(+), 1 deletion(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index f9f3a3678..cee217ed5 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -45,6 +45,10 @@ class SellType(Enum): EMERGENCY_SELL = "emergency_sell" NONE = "" + def __str__(self): + # explicitly convert to String to help with exporting data. + return self.value + class SellCheckTuple(NamedTuple): """ diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 6496043f9..89991fde8 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -320,7 +320,7 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf # stoploss shoud be hit assert freqtrade.handle_trade(trade) is True - assert log_has('Executing Sell for NEO/BTC. Reason: SellType.STOP_LOSS', caplog) + assert log_has('Executing Sell for NEO/BTC. Reason: stop_loss', caplog) assert trade.sell_reason == SellType.STOP_LOSS.value From c13ec4a1d485e372c905a75a38ecc1bc42a60c6a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 07:15:33 +0200 Subject: [PATCH 031/129] implement fallback loading for load_backtest_data --- freqtrade/data/btanalysis.py | 45 ++++++++++++++------------ freqtrade/optimize/optimize_reports.py | 2 +- 2 files changed, 26 insertions(+), 21 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index a556207e5..adf01e33d 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -70,29 +70,34 @@ def load_backtest_data(filename: Union[Path, str]) -> pd.DataFrame: Load backtest data file. :param filename: pathlib.Path object, or string pointing to the file. :return: a dataframe with the analysis results + :raise: ValueError if loading goes wrong. """ - if isinstance(filename, str): - filename = Path(filename) + data = load_backtest_stats(filename) + if not isinstance(data, list): + # new format + if 'strategy' not in data: + raise ValueError("Unknown dataformat") + if len(data['strategy']) != 1: + raise ValueError("Detected new Format with more than one strategy") + strategy = list(data['strategy'].keys())[0] + data = data['strategy'][strategy]['trades'] + df = pd.DataFrame(data) - if not filename.is_file(): - raise ValueError(f"File {filename} does not exist.") + else: + # old format - only with lists. + df = pd.DataFrame(data, columns=BT_DATA_COLUMNS) - with filename.open() as file: - data = json_load(file) - - df = pd.DataFrame(data, columns=BT_DATA_COLUMNS) - - df['open_date'] = pd.to_datetime(df['open_date'], - unit='s', - utc=True, - infer_datetime_format=True - ) - df['close_date'] = pd.to_datetime(df['close_date'], - unit='s', - utc=True, - infer_datetime_format=True - ) - df['profit'] = df['close_rate'] - df['open_rate'] + df['open_date'] = pd.to_datetime(df['open_date'], + unit='s', + utc=True, + infer_datetime_format=True + ) + df['close_date'] = pd.to_datetime(df['close_date'], + unit='s', + utc=True, + infer_datetime_format=True + ) + df['profit_abs'] = df['close_rate'] - df['open_rate'] df = df.sort_values("open_date").reset_index(drop=True) return df diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index a7cc8a7d6..6f9d3f34e 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -55,7 +55,7 @@ def backtest_result_to_list(results: DataFrame) -> List[List]: # Return 0 as "index" for compatibility reasons (for now) # TODO: Evaluate if we can remove this return [[t.pair, t.profit_percent, t.open_date.timestamp(), - t.open_date.timestamp(), 0, t.trade_duration, + t.close_date.timestamp(), 0, t.trade_duration, t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value] for index, t in results.iterrows()] From afefe92523421c87b0e968aa79e25fde175687ba Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 09:56:37 +0200 Subject: [PATCH 032/129] Add multi-strategy loading logic --- freqtrade/data/btanalysis.py | 47 ++++++++++++++----- .../testdata/backtest-result_multistrat.json | 1 + 2 files changed, 36 insertions(+), 12 deletions(-) create mode 100644 tests/testdata/backtest-result_multistrat.json diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index adf01e33d..17d3fed14 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -3,7 +3,7 @@ Helpers when analyzing backtest data """ import logging from pathlib import Path -from typing import Dict, Union, Tuple, Any +from typing import Dict, Union, Tuple, Any, Optional import numpy as np import pandas as pd @@ -65,24 +65,41 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: return data -def load_backtest_data(filename: Union[Path, str]) -> pd.DataFrame: +def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame: """ Load backtest data file. :param filename: pathlib.Path object, or string pointing to the file. + :param strategy: Strategy to load - mainly relevant for multi-strategy backtests + Can also serve as protection to load the correct result. :return: a dataframe with the analysis results :raise: ValueError if loading goes wrong. """ data = load_backtest_stats(filename) if not isinstance(data, list): - # new format + # new, nested format if 'strategy' not in data: - raise ValueError("Unknown dataformat") - if len(data['strategy']) != 1: - raise ValueError("Detected new Format with more than one strategy") - strategy = list(data['strategy'].keys())[0] + raise ValueError("Unknown dataformat.") + + if not strategy: + if len(data['strategy']) == 1: + strategy = list(data['strategy'].keys())[0] + else: + raise ValueError("Detected backtest result with more than one strategy. " + "Please specify a strategy.") + + if strategy not in data['strategy']: + raise ValueError(f"Strategy {strategy} not available in the backtest result.") + data = data['strategy'][strategy]['trades'] df = pd.DataFrame(data) - + df['open_date'] = pd.to_datetime(df['open_date'], + utc=True, + infer_datetime_format=True + ) + df['close_date'] = pd.to_datetime(df['close_date'], + utc=True, + infer_datetime_format=True + ) else: # old format - only with lists. df = pd.DataFrame(data, columns=BT_DATA_COLUMNS) @@ -140,10 +157,12 @@ def evaluate_result_multi(results: pd.DataFrame, timeframe: str, return df_final[df_final['open_trades'] > max_open_trades] -def load_trades_from_db(db_url: str) -> pd.DataFrame: +def load_trades_from_db(db_url: str, strategy: Optional[str] = None) -> pd.DataFrame: """ Load trades from a DB (using dburl) :param db_url: Sqlite url (default format sqlite:///tradesv3.dry-run.sqlite) + :param strategy: Strategy to load - mainly relevant for multi-strategy backtests + Can also serve as protection to load the correct result. :return: Dataframe containing Trades """ persistence.init(db_url, clean_open_orders=False) @@ -154,6 +173,10 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: "stake_amount", "max_rate", "min_rate", "id", "exchange", "stop_loss", "initial_stop_loss", "strategy", "timeframe"] + filters = [] + if strategy: + filters = Trade.strategy == strategy + trades = pd.DataFrame([(t.pair, t.open_date.replace(tzinfo=timezone.utc), t.close_date.replace(tzinfo=timezone.utc) if t.close_date else None, @@ -172,14 +195,14 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: t.stop_loss, t.initial_stop_loss, t.strategy, t.timeframe ) - for t in Trade.get_trades().all()], + for t in Trade.get_trades(filters).all()], columns=columns) return trades def load_trades(source: str, db_url: str, exportfilename: Path, - no_trades: bool = False) -> pd.DataFrame: + no_trades: bool = False, strategy: Optional[str] = None) -> pd.DataFrame: """ Based on configuration option "trade_source": * loads data from DB (using `db_url`) @@ -197,7 +220,7 @@ def load_trades(source: str, db_url: str, exportfilename: Path, if source == "DB": return load_trades_from_db(db_url) elif source == "file": - return load_backtest_data(exportfilename) + return load_backtest_data(exportfilename, strategy) def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame, diff --git a/tests/testdata/backtest-result_multistrat.json b/tests/testdata/backtest-result_multistrat.json new file mode 100644 index 000000000..a58ab28cb --- /dev/null +++ b/tests/testdata/backtest-result_multistrat.json @@ -0,0 +1 @@ +{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "profit": 4.348872180451118e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.1455639097744267e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.506315789473681e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "profit": 4.3741353383458455e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004726817042606385, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "profit": 0.00040896345864661204, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "profit": 0.0002323284210526272, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5368421052630647e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "profit": 8.471127819548868e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004577728320801916, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "profit": 0.00044601518796991146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.00042907308270676014, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 22:50:00+00:00", "close_date": "2018-01-10 23:20:00+00:00", "trade_duration": 30, "open_rate": 0.00249083, "close_rate": 0.0025282860902255634, "open_at_end": false, "sell_reason": "roi", "profit": 3.745609022556351e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 40.147260150231055, "profit_abs": 0.000999999999999987}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 23:15:00+00:00", "close_date": "2018-01-11 00:15:00+00:00", "trade_duration": 60, "open_rate": 3.022e-05, "close_rate": 3.037147869674185e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5147869674185174e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3309.0668431502318, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-10 23:40:00+00:00", "close_date": "2018-01-11 00:05:00+00:00", "trade_duration": 25, "open_rate": 0.002437, "close_rate": 0.0024980776942355883, "open_at_end": false, "sell_reason": "roi", "profit": 6.107769423558838e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.03405826836274, "profit_abs": 0.001999999999999974}, {"pair": "ZEC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 00:00:00+00:00", "close_date": "2018-01-11 00:35:00+00:00", "trade_duration": 35, "open_rate": 0.04771803, "close_rate": 0.04843559436090225, "open_at_end": false, "sell_reason": "roi", "profit": 0.0007175643609022495, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.0956439316543456, "profit_abs": 0.0010000000000000009}, {"pair": "XLM/BTC", "profit_percent": -0.10448878, "open_date": "2018-01-11 03:40:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 45, "open_rate": 3.651e-05, "close_rate": 3.2859000000000005e-05, "open_at_end": false, "sell_reason": "stop_loss", "profit": -3.650999999999996e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2738.9756231169545, "profit_abs": -0.01047499999999997}, {"pair": "ETH/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 03:55:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 30, "open_rate": 0.08824105, "close_rate": 0.08956798308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.0013269330827067605, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1332594070446804, "profit_abs": 0.0010000000000000009}, {"pair": "ETC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 04:00:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 50, "open_rate": 0.00243, "close_rate": 0.002442180451127819, "open_at_end": false, "sell_reason": "roi", "profit": 1.2180451127819219e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.1522633744856, "profit_abs": -1.3877787807814457e-17}, {"pair": "ZEC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:55:00+00:00", "trade_duration": 25, "open_rate": 0.04545064, "close_rate": 0.046589753784461146, "open_at_end": false, "sell_reason": "roi", "profit": 0.001139113784461146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.200189040242338, "profit_abs": 0.001999999999999988}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 20, "open_rate": 3.372e-05, "close_rate": 3.456511278195488e-05, "open_at_end": false, "sell_reason": "roi", "profit": 8.4511278195488e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2965.599051008304, "profit_abs": 0.001999999999999988}, {"pair": "XMR/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:55:00+00:00", "close_date": "2018-01-11 05:15:00+00:00", "trade_duration": 20, "open_rate": 0.02644, "close_rate": 0.02710265664160401, "open_at_end": false, "sell_reason": "roi", "profit": 0.0006626566416040071, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7821482602118004, "profit_abs": 0.001999999999999988}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:20:00+00:00", "close_date": "2018-01-11 12:00:00+00:00", "trade_duration": 40, "open_rate": 0.08812, "close_rate": 0.08856170426065162, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004417042606516125, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1348161597821154, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:35:00+00:00", "close_date": "2018-01-11 12:15:00+00:00", "trade_duration": 40, "open_rate": 0.02683577, "close_rate": 0.026970285137844607, "open_at_end": false, "sell_reason": "roi", "profit": 0.00013451513784460897, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7263696923919087, "profit_abs": 0.0}, {"pair": "ADA/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 14:00:00+00:00", "close_date": "2018-01-11 14:25:00+00:00", "trade_duration": 25, "open_rate": 4.919e-05, "close_rate": 5.04228320802005e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.232832080200495e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2032.9335230737956, "profit_abs": 0.0020000000000000018}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 19:25:00+00:00", "close_date": "2018-01-11 20:35:00+00:00", "trade_duration": 70, "open_rate": 0.08784896, "close_rate": 0.08828930566416039, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004403456641603881, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 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04:45:00+00:00", "drawdown_end_ts": 1517287500.0}}, "strategy_comparison": [{"key": "DefaultStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}, {"key": "TestStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}]} \ No newline at end of file From 573502d97226bdaea5ebb1d8eb92cdb078ad748d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 09:59:23 +0200 Subject: [PATCH 033/129] Update test for load_trades_from_db --- tests/conftest.py | 9 ++++++--- tests/data/test_btanalysis.py | 9 +++++++-- 2 files changed, 13 insertions(+), 5 deletions(-) diff --git a/tests/conftest.py b/tests/conftest.py index f2143e60e..62810bd6e 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -180,7 +180,8 @@ def create_mock_trades(fee): fee_close=fee.return_value, open_rate=0.123, exchange='bittrex', - open_order_id='dry_run_buy_12345' + open_order_id='dry_run_buy_12345', + strategy='DefaultStrategy', ) Trade.session.add(trade) @@ -195,7 +196,8 @@ def create_mock_trades(fee): close_profit=0.005, exchange='bittrex', is_open=False, - open_order_id='dry_run_sell_12345' + open_order_id='dry_run_sell_12345', + strategy='DefaultStrategy', ) Trade.session.add(trade) @@ -208,7 +210,8 @@ def create_mock_trades(fee): fee_close=fee.return_value, open_rate=0.123, exchange='bittrex', - open_order_id='prod_buy_12345' + open_order_id='prod_buy_12345', + strategy='DefaultStrategy', ) Trade.session.add(trade) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index fd3783bf2..32e476b6b 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -43,7 +43,7 @@ def test_load_backtest_data(testdatadir): filename = testdatadir / "backtest-result_test.json" bt_data = load_backtest_data(filename) assert isinstance(bt_data, DataFrame) - assert list(bt_data.columns) == BT_DATA_COLUMNS + ["profit"] + assert list(bt_data.columns) == BT_DATA_COLUMNS + ["profit_abs"] assert len(bt_data) == 179 # Test loading from string (must yield same result) @@ -72,6 +72,10 @@ def test_load_trades_from_db(default_conf, fee, mocker): for col in BT_DATA_COLUMNS: if col not in ['index', 'open_at_end']: assert col in trades.columns + trades = load_trades_from_db(db_url=default_conf['db_url'], strategy='DefaultStrategy') + assert len(trades) == 3 + trades = load_trades_from_db(db_url=default_conf['db_url'], strategy='NoneStrategy') + assert len(trades) == 0 def test_extract_trades_of_period(testdatadir): @@ -125,7 +129,8 @@ def test_load_trades(default_conf, mocker): load_trades("DB", db_url=default_conf.get('db_url'), exportfilename=default_conf.get('exportfilename'), - no_trades=False + no_trades=False, + strategy="DefaultStrategy", ) assert db_mock.call_count == 1 From f952f74bf18c71de95eb5db9e92218f3e166c567 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 10:06:59 +0200 Subject: [PATCH 034/129] Add test for new format --- tests/data/test_btanalysis.py | 19 ++++++++++++++++++- tests/testdata/backtest-result_new.json | 2 +- 2 files changed, 19 insertions(+), 2 deletions(-) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 32e476b6b..9ae67ed58 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -17,6 +17,7 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, load_backtest_data, load_trades, load_trades_from_db) from freqtrade.data.history import load_data, load_pair_history +from freqtrade.optimize.backtesting import BacktestResult from tests.conftest import create_mock_trades @@ -38,7 +39,7 @@ def test_get_latest_backtest_filename(testdatadir, mocker): get_latest_backtest_filename(testdatadir) -def test_load_backtest_data(testdatadir): +def test_load_backtest_data_old_format(testdatadir): filename = testdatadir / "backtest-result_test.json" bt_data = load_backtest_data(filename) @@ -54,6 +55,22 @@ def test_load_backtest_data(testdatadir): load_backtest_data(str("filename") + "nofile") +def test_load_backtest_data_new_format(testdatadir): + + filename = testdatadir / "backtest-result_new.json" + bt_data = load_backtest_data(filename) + assert isinstance(bt_data, DataFrame) + assert set(bt_data.columns) == set(list(BacktestResult._fields) + ["profit_abs"]) + assert len(bt_data) == 179 + + # Test loading from string (must yield same result) + bt_data2 = load_backtest_data(str(filename)) + assert bt_data.equals(bt_data2) + + with pytest.raises(ValueError, match=r"File .* does not exist\."): + load_backtest_data(str("filename") + "nofile") + + @pytest.mark.usefixtures("init_persistence") def test_load_trades_from_db(default_conf, fee, mocker): diff --git a/tests/testdata/backtest-result_new.json b/tests/testdata/backtest-result_new.json index 457ad1bc7..a44597e82 100644 --- a/tests/testdata/backtest-result_new.json +++ b/tests/testdata/backtest-result_new.json @@ -1 +1 @@ -{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "profit": 4.348872180451118e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.1455639097744267e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.506315789473681e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "profit": 4.3741353383458455e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004726817042606385, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "profit": 0.00040896345864661204, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "profit": 0.0002323284210526272, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5368421052630647e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "profit": 8.471127819548868e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004577728320801916, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "profit": 0.00044601518796991146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.00042907308270676014, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 22:50:00+00:00", "close_date": "2018-01-10 23:20:00+00:00", "trade_duration": 30, "open_rate": 0.00249083, "close_rate": 0.0025282860902255634, "open_at_end": false, "sell_reason": "roi", "profit": 3.745609022556351e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 40.147260150231055, "profit_abs": 0.000999999999999987}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 23:15:00+00:00", "close_date": "2018-01-11 00:15:00+00:00", "trade_duration": 60, "open_rate": 3.022e-05, "close_rate": 3.037147869674185e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5147869674185174e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3309.0668431502318, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-10 23:40:00+00:00", "close_date": "2018-01-11 00:05:00+00:00", "trade_duration": 25, "open_rate": 0.002437, "close_rate": 0.0024980776942355883, "open_at_end": false, "sell_reason": "roi", "profit": 6.107769423558838e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.03405826836274, "profit_abs": 0.001999999999999974}, {"pair": "ZEC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 00:00:00+00:00", "close_date": "2018-01-11 00:35:00+00:00", "trade_duration": 35, "open_rate": 0.04771803, "close_rate": 0.04843559436090225, "open_at_end": false, "sell_reason": "roi", "profit": 0.0007175643609022495, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.0956439316543456, "profit_abs": 0.0010000000000000009}, {"pair": "XLM/BTC", "profit_percent": -0.10448878, "open_date": "2018-01-11 03:40:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 45, "open_rate": 3.651e-05, "close_rate": 3.2859000000000005e-05, "open_at_end": false, "sell_reason": "stop_loss", "profit": -3.650999999999996e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2738.9756231169545, "profit_abs": -0.01047499999999997}, {"pair": "ETH/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 03:55:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 30, "open_rate": 0.08824105, "close_rate": 0.08956798308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.0013269330827067605, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1332594070446804, "profit_abs": 0.0010000000000000009}, {"pair": "ETC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 04:00:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 50, "open_rate": 0.00243, "close_rate": 0.002442180451127819, "open_at_end": false, "sell_reason": "roi", "profit": 1.2180451127819219e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.1522633744856, "profit_abs": -1.3877787807814457e-17}, {"pair": "ZEC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:55:00+00:00", "trade_duration": 25, "open_rate": 0.04545064, "close_rate": 0.046589753784461146, "open_at_end": false, "sell_reason": "roi", "profit": 0.001139113784461146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.200189040242338, "profit_abs": 0.001999999999999988}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 20, "open_rate": 3.372e-05, "close_rate": 3.456511278195488e-05, "open_at_end": false, "sell_reason": "roi", "profit": 8.4511278195488e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2965.599051008304, "profit_abs": 0.001999999999999988}, {"pair": "XMR/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:55:00+00:00", "close_date": "2018-01-11 05:15:00+00:00", "trade_duration": 20, "open_rate": 0.02644, "close_rate": 0.02710265664160401, "open_at_end": false, "sell_reason": "roi", "profit": 0.0006626566416040071, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7821482602118004, "profit_abs": 0.001999999999999988}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:20:00+00:00", "close_date": "2018-01-11 12:00:00+00:00", "trade_duration": 40, "open_rate": 0.08812, "close_rate": 0.08856170426065162, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004417042606516125, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1348161597821154, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:35:00+00:00", "close_date": "2018-01-11 12:15:00+00:00", "trade_duration": 40, "open_rate": 0.02683577, "close_rate": 0.026970285137844607, "open_at_end": false, "sell_reason": "roi", "profit": 0.00013451513784460897, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7263696923919087, "profit_abs": 0.0}, {"pair": "ADA/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 14:00:00+00:00", "close_date": "2018-01-11 14:25:00+00:00", "trade_duration": 25, "open_rate": 4.919e-05, "close_rate": 5.04228320802005e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.232832080200495e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2032.9335230737956, "profit_abs": 0.0020000000000000018}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 19:25:00+00:00", "close_date": "2018-01-11 20:35:00+00:00", "trade_duration": 70, "open_rate": 0.08784896, "close_rate": 0.08828930566416039, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004403456641603881, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1383174029607181, "profit_abs": -1.3877787807814457e-17}, {"pair": "ADA/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 22:35:00+00:00", "close_date": "2018-01-11 23:30:00+00:00", "trade_duration": 55, "open_rate": 5.105e-05, "close_rate": 5.130588972431077e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.558897243107704e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1958.8638589618022, "profit_abs": -1.3877787807814457e-17}, {"pair": "XLM/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 22:55:00+00:00", "close_date": "2018-01-11 23:25:00+00:00", "trade_duration": 30, "open_rate": 3.96e-05, "close_rate": 4.019548872180451e-05, "open_at_end": false, "sell_reason": "roi", "profit": 5.954887218045116e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2525.252525252525, "profit_abs": 0.0010000000000000148}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 22:55:00+00:00", "close_date": "2018-01-11 23:35:00+00:00", "trade_duration": 40, "open_rate": 2.885e-05, "close_rate": 2.899461152882205e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.4461152882205115e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3466.204506065858, "profit_abs": -1.3877787807814457e-17}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 23:30:00+00:00", "close_date": "2018-01-12 00:05:00+00:00", "trade_duration": 35, "open_rate": 0.02645, "close_rate": 0.026847744360902256, "open_at_end": false, "sell_reason": "roi", "profit": 0.0003977443609022545, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.780718336483932, "profit_abs": 0.0010000000000000148}, {"pair": "ZEC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 23:55:00+00:00", "close_date": "2018-01-12 01:15:00+00:00", "trade_duration": 80, "open_rate": 0.048, "close_rate": 0.04824060150375939, "open_at_end": false, "sell_reason": "roi", "profit": 0.00024060150375938838, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.0833333333333335, "profit_abs": -1.3877787807814457e-17}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-12 21:15:00+00:00", "close_date": "2018-01-12 21:40:00+00:00", "trade_duration": 25, "open_rate": 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"profit_total_pct": -2.625725, "duration_avg": "3 days, 4:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "ZEC/BTC", "trades": 1, "profit_mean": -0.04815133, "profit_mean_pct": -4.815133, "profit_sum": -0.04815133, "profit_sum_pct": -4.815133, "profit_total_abs": -0.004827170578309559, "profit_total_pct": -1.6050443333333335, "duration_avg": "2 days, 19:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "TOTAL", "trades": 3, "profit_mean": -0.04894489333333333, "profit_mean_pct": -4.894489333333333, "profit_sum": -0.14683468, "profit_sum_pct": -14.683468, "profit_total_abs": -0.014720177176734003, "profit_total_pct": -4.8944893333333335, "duration_avg": "2 days, 1:25:00", "wins": 0, "draws": 0, "losses": 3}], "total_trades": 179, "backtest_start": "2018-01-30 04:45:00+00:00", "backtest_start_ts": 1517287500, "backtest_end": "2018-01-30 04:45:00+00:00", "backtest_end_ts": 1517287500, "backtest_days": 0, "trades_per_day": null, "market_change": 0.25, "stake_amount": 0.1, "max_drawdown": 0.21142322000000008, "drawdown_start": "2018-01-24 14:25:00+00:00", "drawdown_start_ts": 1516803900.0, "drawdown_end": "2018-01-30 04:45:00+00:00", "drawdown_end_ts": 1517287500.0}}, "strategy_comparison": [{"key": "DefaultStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}]} From 5b1a7ba00f8d9dbde687ba5f26ebfec3c420f38f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 15:59:22 +0200 Subject: [PATCH 035/129] Test multistrat loading --- tests/data/test_btanalysis.py | 27 ++++++++++++++++++- .../testdata/backtest-result_multistrat.json | 2 +- 2 files changed, 27 insertions(+), 2 deletions(-) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 9ae67ed58..63fe26eaa 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -32,8 +32,10 @@ def test_get_latest_backtest_filename(testdatadir, mocker): res = get_latest_backtest_filename(testdatadir) assert res == 'backtest-result_new.json' - mocker.patch("freqtrade.data.btanalysis.json_load", return_value={}) + res = get_latest_backtest_filename(str(testdatadir)) + assert res == 'backtest-result_new.json' + mocker.patch("freqtrade.data.btanalysis.json_load", return_value={}) with pytest.raises(ValueError, match=r"Invalid '.last_result.json' format."): get_latest_backtest_filename(testdatadir) @@ -70,6 +72,29 @@ def test_load_backtest_data_new_format(testdatadir): with pytest.raises(ValueError, match=r"File .* does not exist\."): load_backtest_data(str("filename") + "nofile") + with pytest.raises(ValueError, match=r"Unknown dataformat."): + load_backtest_data(testdatadir / '.last_result.json') + + +def test_load_backtest_data_multi(testdatadir): + + filename = testdatadir / "backtest-result_multistrat.json" + for strategy in ('DefaultStrategy', 'TestStrategy'): + bt_data = load_backtest_data(filename, strategy=strategy) + assert isinstance(bt_data, DataFrame) + assert set(bt_data.columns) == set(list(BacktestResult._fields) + ["profit_abs"]) + assert len(bt_data) == 179 + + # Test loading from string (must yield same result) + bt_data2 = load_backtest_data(str(filename), strategy=strategy) + assert bt_data.equals(bt_data2) + + with pytest.raises(ValueError, match=r"Strategy XYZ not available in the backtest result\."): + load_backtest_data(filename, strategy='XYZ') + + with pytest.raises(ValueError, match=r"Detected backtest result with more than one strategy.*"): + load_backtest_data(filename) + @pytest.mark.usefixtures("init_persistence") def test_load_trades_from_db(default_conf, fee, mocker): diff --git a/tests/testdata/backtest-result_multistrat.json b/tests/testdata/backtest-result_multistrat.json index a58ab28cb..88f021cb8 100644 --- a/tests/testdata/backtest-result_multistrat.json +++ b/tests/testdata/backtest-result_multistrat.json @@ -1 +1 @@ -{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "profit": 4.348872180451118e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "profit": 2.1455639097744267e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.506315789473681e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "profit": 4.3741353383458455e-06, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004726817042606385, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "profit": 0.00040896345864661204, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "profit": 0.0002323284210526272, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "profit": 1.5368421052630647e-07, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "profit": 8.471127819548868e-05, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "profit": 0.0004577728320801916, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "profit": 0.00044601518796991146, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "profit": 0.00042907308270676014, "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 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-1.9911600000000003, "profit_sum": -0.0199116, "profit_sum_pct": -1.9911600000000003, "profit_total_abs": -0.0019961383478844796, "profit_total_pct": -0.6637200000000001, "duration_avg": "5:15:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "ADA/BTC", "trades": 1, "profit_mean": -0.07877175, "profit_mean_pct": -7.877175, "profit_sum": -0.07877175, "profit_sum_pct": -7.877175, "profit_total_abs": -0.007896868250539965, "profit_total_pct": -2.625725, "duration_avg": "3 days, 4:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "ZEC/BTC", "trades": 1, "profit_mean": -0.04815133, "profit_mean_pct": -4.815133, "profit_sum": -0.04815133, "profit_sum_pct": -4.815133, "profit_total_abs": -0.004827170578309559, "profit_total_pct": -1.6050443333333335, "duration_avg": "2 days, 19:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "TOTAL", "trades": 3, "profit_mean": -0.04894489333333333, "profit_mean_pct": -4.894489333333333, "profit_sum": -0.14683468, "profit_sum_pct": -14.683468, "profit_total_abs": -0.014720177176734003, "profit_total_pct": -4.8944893333333335, "duration_avg": "2 days, 1:25:00", "wins": 0, "draws": 0, "losses": 3}], "total_trades": 179, "backtest_start": "2018-01-30 04:45:00+00:00", "backtest_start_ts": 1517287500, "backtest_end": "2018-01-30 04:45:00+00:00", "backtest_end_ts": 1517287500, "backtest_days": 0, "trades_per_day": null, "market_change": 0.25, "stake_amount": 0.1, "max_drawdown": 0.21142322000000008, "drawdown_start": "2018-01-24 14:25:00+00:00", "drawdown_start_ts": 1516803900.0, "drawdown_end": "2018-01-30 04:45:00+00:00", "drawdown_end_ts": 1517287500.0}}, "strategy_comparison": [{"key": "DefaultStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}, {"key": "TestStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}]} \ No newline at end of file From 59ac4b9c9a2d0568252c82f8b48c833cb76bfd9e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 27 Jun 2020 19:48:45 +0200 Subject: [PATCH 036/129] Test writing statistics --- tests/data/test_history.py | 2 +- tests/optimize/test_optimize_reports.py | 27 +++++++++++++++++++++++++ 2 files changed, 28 insertions(+), 1 deletion(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index c2eb2d715..8b3a3c568 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -36,7 +36,7 @@ def _backup_file(file: Path, copy_file: bool = False) -> None: """ Backup existing file to avoid deleting the user file :param file: complete path to the file - :param touch_file: create an empty file in replacement + :param copy_file: keep file in place too. :return: None """ file_swp = str(file) + '.swp' diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index c46b96ab2..690847adc 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -2,23 +2,27 @@ from datetime import datetime from pathlib import Path import pandas as pd +import re import pytest from arrow import Arrow from freqtrade.configuration import TimeRange from freqtrade.data import history from freqtrade.edge import PairInfo +from freqtrade.data.btanalysis import get_latest_backtest_filename from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_edge_table, generate_pair_metrics, generate_sell_reason_stats, generate_strategy_metrics, store_backtest_result, + store_backtest_stats, text_table_bt_results, text_table_sell_reason, text_table_strategy) from freqtrade.strategy.interface import SellType from tests.conftest import patch_exchange +from tests.data.test_history import _backup_file, _clean_test_file def test_text_table_bt_results(default_conf, mocker): @@ -115,6 +119,29 @@ def test_generate_backtest_stats(default_conf, testdatadir): assert strat_stats['drawdown_end_ts'] == 0 assert strat_stats['drawdown_start_ts'] == 0 + # Test storing stats + filename = Path(testdatadir / 'btresult.json') + filename_last = Path(testdatadir / '.last_result.json') + _backup_file(filename_last, copy_file=True) + assert not filename.is_file() + + store_backtest_stats(filename, stats) + + # get real Filename (it's btresult-.json) + last_fn = get_latest_backtest_filename(filename_last.parent) + assert re.match(r"btresult-.*\.json", last_fn) + + filename1 = (testdatadir / last_fn) + assert filename1.is_file() + content = filename1.read_text() + assert 'max_drawdown' in content + assert 'strategy' in content + + assert filename_last.is_file() + + _clean_test_file(filename_last) + filename1.unlink() + def test_generate_pair_metrics(default_conf, mocker): From 59e0ca0aaab0543933d8bcd0961a62bb37db8916 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 28 Jun 2020 09:04:19 +0200 Subject: [PATCH 037/129] Add pairlist to backtest-result --- freqtrade/optimize/optimize_reports.py | 1 + tests/optimize/test_optimize_reports.py | 2 ++ tests/testdata/backtest-result_multistrat.json | 2 +- tests/testdata/backtest-result_new.json | 2 +- 4 files changed, 5 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 6f9d3f34e..b93e60dca 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -250,6 +250,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_days': backtest_days, 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, 'market_change': market_change, + 'pairlist': list(btdata.keys()), 'stake_amount': config['stake_amount'] } result['strategy'][strategy] = strat_stats diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 690847adc..f908677d7 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -118,6 +118,7 @@ def test_generate_backtest_stats(default_conf, testdatadir): assert strat_stats['drawdown_end'] == Arrow.fromtimestamp(0).datetime assert strat_stats['drawdown_end_ts'] == 0 assert strat_stats['drawdown_start_ts'] == 0 + assert strat_stats['pairlist'] == ['UNITTEST/BTC'] # Test storing stats filename = Path(testdatadir / 'btresult.json') @@ -136,6 +137,7 @@ def test_generate_backtest_stats(default_conf, testdatadir): content = filename1.read_text() assert 'max_drawdown' in content assert 'strategy' in content + assert 'pairlist' in content assert filename_last.is_file() diff --git a/tests/testdata/backtest-result_multistrat.json b/tests/testdata/backtest-result_multistrat.json index 88f021cb8..0e5386ef3 100644 --- a/tests/testdata/backtest-result_multistrat.json +++ b/tests/testdata/backtest-result_multistrat.json @@ -1 +1 @@ -{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 22:50:00+00:00", "close_date": "2018-01-10 23:20:00+00:00", "trade_duration": 30, "open_rate": 0.00249083, "close_rate": 0.0025282860902255634, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 40.147260150231055, "profit_abs": 0.000999999999999987}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 23:15:00+00:00", "close_date": "2018-01-11 00:15:00+00:00", "trade_duration": 60, "open_rate": 3.022e-05, "close_rate": 3.037147869674185e-05, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3309.0668431502318, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-10 23:40:00+00:00", "close_date": "2018-01-11 00:05:00+00:00", "trade_duration": 25, "open_rate": 0.002437, "close_rate": 0.0024980776942355883, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.03405826836274, "profit_abs": 0.001999999999999974}, {"pair": "ZEC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 00:00:00+00:00", "close_date": "2018-01-11 00:35:00+00:00", "trade_duration": 35, "open_rate": 0.04771803, "close_rate": 0.04843559436090225, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.0956439316543456, "profit_abs": 0.0010000000000000009}, {"pair": "XLM/BTC", "profit_percent": -0.10448878, "open_date": "2018-01-11 03:40:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 45, "open_rate": 3.651e-05, "close_rate": 3.2859000000000005e-05, "open_at_end": false, "sell_reason": "stop_loss", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2738.9756231169545, "profit_abs": -0.01047499999999997}, {"pair": "ETH/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 03:55:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 30, "open_rate": 0.08824105, "close_rate": 0.08956798308270676, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1332594070446804, "profit_abs": 0.0010000000000000009}, {"pair": "ETC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 04:00:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 50, "open_rate": 0.00243, "close_rate": 0.002442180451127819, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 41.1522633744856, "profit_abs": -1.3877787807814457e-17}, {"pair": "ZEC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:55:00+00:00", "trade_duration": 25, "open_rate": 0.04545064, "close_rate": 0.046589753784461146, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2.200189040242338, "profit_abs": 0.001999999999999988}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 20, "open_rate": 3.372e-05, "close_rate": 3.456511278195488e-05, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 2965.599051008304, "profit_abs": 0.001999999999999988}, {"pair": "XMR/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:55:00+00:00", "close_date": "2018-01-11 05:15:00+00:00", "trade_duration": 20, "open_rate": 0.02644, "close_rate": 0.02710265664160401, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 3.7821482602118004, "profit_abs": 0.001999999999999988}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:20:00+00:00", "close_date": "2018-01-11 12:00:00+00:00", "trade_duration": 40, "open_rate": 0.08812, "close_rate": 0.08856170426065162, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 1.1348161597821154, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:35:00+00:00", "close_date": "2018-01-11 12:15:00+00:00", "trade_duration": 40, "open_rate": 0.02683577, "close_rate": 0.026970285137844607, "open_at_end": false, "sell_reason": "roi", "open_fee": 0.0025, "close_fee": 0.0025, "amount": 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"duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}], "sell_reason_summary": [{"sell_reason": "roi", "trades": 170, "wins": 73, "draws": 54, "losses": 43, "profit_mean": 0.005398268352941177, "profit_mean_pct": 0.54, "profit_sum": 0.91770562, "profit_sum_pct": 91.77, "profit_total_abs": 0.09199999999999964, "profit_pct_total": 30.59}, {"sell_reason": "stop_loss", "trades": 6, "wins": 0, "draws": 0, "losses": 6, "profit_mean": -0.10448878000000002, "profit_mean_pct": -10.45, "profit_sum": -0.6269326800000001, "profit_sum_pct": -62.69, "profit_total_abs": -0.06284999999999992, "profit_pct_total": -20.9}, {"sell_reason": "force_sell", "trades": 3, "wins": 0, "draws": 0, "losses": 3, "profit_mean": -0.04894489333333333, "profit_mean_pct": -4.89, "profit_sum": -0.14683468, "profit_sum_pct": -14.68, "profit_total_abs": -0.014720177176734003, "profit_pct_total": -4.89}], "left_open_trades": [{"key": "TRX/BTC", "trades": 1, "profit_mean": -0.0199116, "profit_mean_pct": -1.9911600000000003, "profit_sum": -0.0199116, "profit_sum_pct": -1.9911600000000003, "profit_total_abs": -0.0019961383478844796, "profit_total_pct": -0.6637200000000001, "duration_avg": "5:15:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "ADA/BTC", "trades": 1, "profit_mean": -0.07877175, "profit_mean_pct": -7.877175, "profit_sum": -0.07877175, "profit_sum_pct": -7.877175, "profit_total_abs": -0.007896868250539965, "profit_total_pct": -2.625725, "duration_avg": "3 days, 4:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "ZEC/BTC", "trades": 1, "profit_mean": -0.04815133, "profit_mean_pct": -4.815133, "profit_sum": -0.04815133, "profit_sum_pct": -4.815133, "profit_total_abs": -0.004827170578309559, "profit_total_pct": -1.6050443333333335, "duration_avg": "2 days, 19:00:00", "wins": 0, "draws": 0, "losses": 1}, {"key": "TOTAL", "trades": 3, "profit_mean": -0.04894489333333333, "profit_mean_pct": -4.894489333333333, "profit_sum": -0.14683468, "profit_sum_pct": -14.683468, "profit_total_abs": -0.014720177176734003, "profit_total_pct": -4.8944893333333335, "duration_avg": "2 days, 1:25:00", "wins": 0, "draws": 0, "losses": 3}], "total_trades": 179, "backtest_start": "2018-01-30 04:45:00+00:00", "backtest_start_ts": 1517287500, "backtest_end": "2018-01-30 04:45:00+00:00", "backtest_end_ts": 1517287500, "backtest_days": 0, "trades_per_day": null, "market_change": 0.25, "stake_amount": 0.1, "max_drawdown": 0.21142322000000008, "drawdown_start": "2018-01-24 14:25:00+00:00", "drawdown_start_ts": 1516803900.0, "drawdown_end": "2018-01-30 04:45:00+00:00", "drawdown_end_ts": 1517287500.0, "pairlist": ["TRX/BTC", "ADA/BTC", "XLM/BTC", "ETH/BTC", "XMR/BTC", "ZEC/BTC","NXT/BTC", "LTC/BTC", "ETC/BTC", "DASH/BTC"]}}, "strategy_comparison": [{"key": "DefaultStrategy", "trades": 179, "profit_mean": 0.0008041243575418989, "profit_mean_pct": 0.0804124357541899, "profit_sum": 0.1439382599999999, "profit_sum_pct": 14.39382599999999, "profit_total_abs": 0.014429822823265714, "profit_total_pct": 4.797941999999996, "duration_avg": "3:40:00", "wins": 73, "draws": 54, "losses": 52}]} From 2ed808da1f4f45342a0a8fd41b158fb7b0e26b0d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 28 Jun 2020 09:27:19 +0200 Subject: [PATCH 038/129] Extract .last_result.json to constant --- freqtrade/constants.py | 2 ++ freqtrade/data/btanalysis.py | 5 +-- freqtrade/optimize/optimize_reports.py | 5 ++- tests/data/test_btanalysis.py | 3 +- tests/optimize/test_optimize_reports.py | 46 ++++++++++++------------- 5 files changed, 32 insertions(+), 29 deletions(-) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index ccb05a60f..1b414adb4 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -33,6 +33,8 @@ DEFAULT_DATAFRAME_COLUMNS = ['date', 'open', 'high', 'low', 'close', 'volume'] # it has wide consequences for stored trades files DEFAULT_TRADES_COLUMNS = ['timestamp', 'id', 'type', 'side', 'price', 'amount', 'cost'] +LAST_BT_RESULT_FN = '.last_result.json' + USERPATH_HYPEROPTS = 'hyperopts' USERPATH_STRATEGIES = 'strategies' USERPATH_NOTEBOOKS = 'notebooks' diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 17d3fed14..0ae1809f3 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -10,6 +10,7 @@ import pandas as pd from datetime import timezone from freqtrade import persistence +from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.misc import json_load from freqtrade.persistence import Trade @@ -34,7 +35,7 @@ def get_latest_backtest_filename(directory: Union[Path, str]) -> str: directory = Path(directory) if not directory.is_dir(): raise ValueError(f"Directory '{directory}' does not exist.") - filename = directory / '.last_result.json' + filename = directory / LAST_BT_RESULT_FN if not filename.is_file(): raise ValueError(f"Directory '{directory}' does not seem to contain backtest statistics yet.") @@ -43,7 +44,7 @@ def get_latest_backtest_filename(directory: Union[Path, str]) -> str: data = json_load(file) if 'latest_backtest' not in data: - raise ValueError("Invalid '.last_result.json' format.") + raise ValueError(f"Invalid '{LAST_BT_RESULT_FN}' format.") return data['latest_backtest'] diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index b93e60dca..d1c45bd94 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -7,7 +7,7 @@ from arrow import Arrow from pandas import DataFrame from tabulate import tabulate -from freqtrade.constants import DATETIME_PRINT_FORMAT +from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN from freqtrade.data.btanalysis import calculate_max_drawdown, calculate_market_change from freqtrade.misc import file_dump_json @@ -21,8 +21,7 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N ).with_suffix(recordfilename.suffix) file_dump_json(filename, stats) - latest_filename = Path.joinpath(recordfilename.parent, - '.last_result.json') + latest_filename = Path.joinpath(recordfilename.parent, LAST_BT_RESULT_FN) file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 63fe26eaa..144dc5162 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -6,6 +6,7 @@ from arrow import Arrow from pandas import DataFrame, DateOffset, Timestamp, to_datetime from freqtrade.configuration import TimeRange +from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_market_change, @@ -73,7 +74,7 @@ def test_load_backtest_data_new_format(testdatadir): load_backtest_data(str("filename") + "nofile") with pytest.raises(ValueError, match=r"Unknown dataformat."): - load_backtest_data(testdatadir / '.last_result.json') + load_backtest_data(testdatadir / LAST_BT_RESULT_FN) def test_load_backtest_data_multi(testdatadir): diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index f908677d7..2431fa716 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -1,15 +1,15 @@ -from datetime import datetime +import re from pathlib import Path import pandas as pd -import re import pytest from arrow import Arrow from freqtrade.configuration import TimeRange +from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.data import history -from freqtrade.edge import PairInfo from freqtrade.data.btanalysis import get_latest_backtest_filename +from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_edge_table, generate_pair_metrics, @@ -93,25 +93,25 @@ def test_generate_backtest_stats(default_conf, testdatadir): # Above sample had no loosing trade assert strat_stats['max_drawdown'] == 0.0 - results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", - "UNITTEST/BTC", "UNITTEST/BTC"], - "profit_percent": [0.003312, 0.010801, -0.013803, 0.002780], - "profit_abs": [0.000003, 0.000011, -0.000014, 0.000003], - "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, - Arrow(2017, 11, 14, 21, 36, 00).datetime, - Arrow(2017, 11, 14, 22, 12, 00).datetime, - Arrow(2017, 11, 14, 22, 44, 00).datetime], - "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, - Arrow(2017, 11, 14, 22, 10, 00).datetime, - Arrow(2017, 11, 14, 22, 43, 00).datetime, - Arrow(2017, 11, 14, 22, 58, 00).datetime], - "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], - "close_rate": [0.002546, 0.003014, 0.0032903, 0.003217], - "trade_duration": [123, 34, 31, 14], - "open_at_end": [False, False, False, True], - "sell_reason": [SellType.ROI, SellType.STOP_LOSS, - SellType.ROI, SellType.FORCE_SELL] - })} + results = {'DefStrat': pd.DataFrame( + {"pair": ["UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_percent": [0.003312, 0.010801, -0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, -0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.0032903, 0.003217], + "trade_duration": [123, 34, 31, 14], + "open_at_end": [False, False, False, True], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + })} assert strat_stats['max_drawdown'] == 0.0 assert strat_stats['drawdown_start'] == Arrow.fromtimestamp(0).datetime @@ -122,7 +122,7 @@ def test_generate_backtest_stats(default_conf, testdatadir): # Test storing stats filename = Path(testdatadir / 'btresult.json') - filename_last = Path(testdatadir / '.last_result.json') + filename_last = Path(testdatadir / LAST_BT_RESULT_FN) _backup_file(filename_last, copy_file=True) assert not filename.is_file() From 7c5587aeaafb0948e507d34cac6914a89b09af0e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 28 Jun 2020 09:45:23 +0200 Subject: [PATCH 039/129] exportfilename can be a file or directory --- freqtrade/configuration/configuration.py | 2 +- freqtrade/data/btanalysis.py | 7 +++++-- freqtrade/optimize/optimize_reports.py | 13 +++++++++---- 3 files changed, 15 insertions(+), 7 deletions(-) diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 139e42084..bbd6ce747 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -199,7 +199,7 @@ class Configuration: config['exportfilename'] = Path(config['exportfilename']) else: config['exportfilename'] = (config['user_data_dir'] - / 'backtest_results/backtest-result.json') + / 'backtest_results') def _process_optimize_options(self, config: Dict[str, Any]) -> None: diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 0ae1809f3..07834d729 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -38,7 +38,8 @@ def get_latest_backtest_filename(directory: Union[Path, str]) -> str: filename = directory / LAST_BT_RESULT_FN if not filename.is_file(): - raise ValueError(f"Directory '{directory}' does not seem to contain backtest statistics yet.") + raise ValueError( + f"Directory '{directory}' does not seem to contain backtest statistics yet.") with filename.open() as file: data = json_load(file) @@ -57,9 +58,11 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: """ if isinstance(filename, str): filename = Path(filename) + if filename.is_dir(): + filename = get_latest_backtest_filename(filename) if not filename.is_file(): raise ValueError(f"File {filename} does not exist.") - + logger.info(f"Loading backtest result from {filename}") with filename.open() as file: data = json_load(file) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index d1c45bd94..d0e29d98f 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -16,12 +16,17 @@ logger = logging.getLogger(__name__) def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> None: - filename = Path.joinpath(recordfilename.parent, - f'{recordfilename.stem}-{datetime.now().isoformat()}' - ).with_suffix(recordfilename.suffix) + if recordfilename.is_dir(): + filename = recordfilename / \ + f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}.json' + else: + filename = Path.joinpath( + recordfilename.parent, + f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}' + ).with_suffix(recordfilename.suffix) file_dump_json(filename, stats) - latest_filename = Path.joinpath(recordfilename.parent, LAST_BT_RESULT_FN) + latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) From d999fa2a7e82b3e1fb1c9e0da9b726379f1dc52d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 28 Jun 2020 09:51:49 +0200 Subject: [PATCH 040/129] Test autogetting result filename --- freqtrade/data/btanalysis.py | 2 +- tests/data/test_btanalysis.py | 4 ++++ 2 files changed, 5 insertions(+), 1 deletion(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 07834d729..6931b1685 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -59,7 +59,7 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: if isinstance(filename, str): filename = Path(filename) if filename.is_dir(): - filename = get_latest_backtest_filename(filename) + filename = filename / get_latest_backtest_filename(filename) if not filename.is_file(): raise ValueError(f"File {filename} does not exist.") logger.info(f"Loading backtest result from {filename}") diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 144dc5162..5e44b7d87 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -70,6 +70,10 @@ def test_load_backtest_data_new_format(testdatadir): bt_data2 = load_backtest_data(str(filename)) assert bt_data.equals(bt_data2) + # Test loading from folder (must yield same result) + bt_data3 = load_backtest_data(testdatadir) + assert bt_data.equals(bt_data3) + with pytest.raises(ValueError, match=r"File .* does not exist\."): load_backtest_data(str("filename") + "nofile") From 16a842f9f60f1c916d77a243e2f2e169dc0611fc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 28 Jun 2020 10:17:08 +0200 Subject: [PATCH 041/129] Have plotting support folder-based exportfilename --- freqtrade/plot/plotting.py | 14 +++++++++----- 1 file changed, 9 insertions(+), 5 deletions(-) diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index eee338a42..16afaec3b 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -8,7 +8,9 @@ from freqtrade.configuration import TimeRange from freqtrade.data.btanalysis import (calculate_max_drawdown, combine_dataframes_with_mean, create_cum_profit, - extract_trades_of_period, load_trades) + extract_trades_of_period, + get_latest_backtest_filename, + load_trades) from freqtrade.data.converter import trim_dataframe from freqtrade.data.history import load_data from freqtrade.exceptions import OperationalException @@ -51,16 +53,18 @@ def init_plotscript(config): ) no_trades = False + filename = config.get('exportfilename') if config.get('no_trades', False): no_trades = True - elif not config['exportfilename'].is_file() and config['trade_source'] == 'file': - logger.warning("Backtest file is missing skipping trades.") - no_trades = True + elif config['trade_source'] == 'file': + if not filename.is_dir() and not filename.is_file(): + logger.warning("Backtest file is missing skipping trades.") + no_trades = True trades = load_trades( config['trade_source'], db_url=config.get('db_url'), - exportfilename=config.get('exportfilename'), + exportfilename=filename, no_trades=no_trades ) trades = trim_dataframe(trades, timerange, 'open_date') From 619eb183fe2454bce969760129385e142946ec4e Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 06:58:06 +0200 Subject: [PATCH 042/129] Allow strategy for plot-profit to allow loading of multi-backtest files --- docs/plotting.md | 8 +++++++- freqtrade/commands/arguments.py | 2 +- freqtrade/plot/plotting.py | 4 ++-- 3 files changed, 10 insertions(+), 4 deletions(-) diff --git a/docs/plotting.md b/docs/plotting.md index d3a2df1c1..7de5626b2 100644 --- a/docs/plotting.md +++ b/docs/plotting.md @@ -224,7 +224,8 @@ Possible options for the `freqtrade plot-profit` subcommand: ``` usage: freqtrade plot-profit [-h] [-v] [--logfile FILE] [-V] [-c PATH] - [-d PATH] [--userdir PATH] [-p PAIRS [PAIRS ...]] + [-d PATH] [--userdir PATH] [-s NAME] + [--strategy-path PATH] [-p PAIRS [PAIRS ...]] [--timerange TIMERANGE] [--export EXPORT] [--export-filename PATH] [--db-url PATH] [--trade-source {DB,file}] [-i TIMEFRAME] @@ -270,6 +271,11 @@ Common arguments: --userdir PATH, --user-data-dir PATH Path to userdata directory. +Strategy arguments: + -s NAME, --strategy NAME + Specify strategy class name which will be used by the + bot. + --strategy-path PATH Specify additional strategy lookup path. ``` The `-p/--pairs` argument, can be used to limit the pairs that are considered for this calculation. diff --git a/freqtrade/commands/arguments.py b/freqtrade/commands/arguments.py index 72f2a02f0..6114fc589 100644 --- a/freqtrade/commands/arguments.py +++ b/freqtrade/commands/arguments.py @@ -354,7 +354,7 @@ class Arguments: plot_profit_cmd = subparsers.add_parser( 'plot-profit', help='Generate plot showing profits.', - parents=[_common_parser], + parents=[_common_parser, _strategy_parser], ) plot_profit_cmd.set_defaults(func=start_plot_profit) self._build_args(optionlist=ARGS_PLOT_PROFIT, parser=plot_profit_cmd) diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 16afaec3b..b11f093d9 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -9,7 +9,6 @@ from freqtrade.data.btanalysis import (calculate_max_drawdown, combine_dataframes_with_mean, create_cum_profit, extract_trades_of_period, - get_latest_backtest_filename, load_trades) from freqtrade.data.converter import trim_dataframe from freqtrade.data.history import load_data @@ -65,7 +64,8 @@ def init_plotscript(config): config['trade_source'], db_url=config.get('db_url'), exportfilename=filename, - no_trades=no_trades + no_trades=no_trades, + strategy=config.get("strategy"), ) trades = trim_dataframe(trades, timerange, 'open_date') From d56f9655e2b019cf95af75c613257b9049661944 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 07:20:43 +0200 Subject: [PATCH 043/129] Update notebook with new statistics example --- docs/plotting.md | 2 +- docs/strategy_analysis_example.md | 44 +++++++++++++++-- freqtrade/data/btanalysis.py | 2 +- .../templates/strategy_analysis_example.ipynb | 47 +++++++++++++++++-- 4 files changed, 85 insertions(+), 10 deletions(-) diff --git a/docs/plotting.md b/docs/plotting.md index 7de5626b2..09eb6ddb5 100644 --- a/docs/plotting.md +++ b/docs/plotting.md @@ -285,7 +285,7 @@ Examples: Use custom backtest-export file ``` bash -freqtrade plot-profit -p LTC/BTC --export-filename user_data/backtest_results/backtest-result-Strategy005.json +freqtrade plot-profit -p LTC/BTC --export-filename user_data/backtest_results/backtest-result.json ``` Use custom database diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md index 6b4ad567f..8915ebe37 100644 --- a/docs/strategy_analysis_example.md +++ b/docs/strategy_analysis_example.md @@ -18,7 +18,7 @@ config = Configuration.from_files([]) # config = Configuration.from_files(["config.json"]) # Define some constants -config["timeframe"] = "5m" +config["ticker_interval"] = "5m" # Name of the strategy class config["strategy"] = "SampleStrategy" # Location of the data @@ -33,7 +33,7 @@ pair = "BTC_USDT" from freqtrade.data.history import load_pair_history candles = load_pair_history(datadir=data_location, - timeframe=config["timeframe"], + timeframe=config["ticker_interval"], pair=pair) # Confirm success @@ -85,10 +85,44 @@ Analyze a trades dataframe (also used below for plotting) ```python -from freqtrade.data.btanalysis import load_backtest_data +from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats -# Load backtest results -trades = load_backtest_data(config["user_data_dir"] / "backtest_results/backtest-result.json") +# if backtest_dir points to a directory, it'll automatically load the last backtest file. +backtest_dir = config["user_data_dir"] / "backtest_results" +# backtest_dir can also point to a specific file +# backtest_dir = config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json" +``` + + +```python +# You can get the full backtest statistics by using the following command. +# This contains all information used to generate the backtest result. +stats = load_backtest_stats(backtest_dir) + +strategy = 'SampleStrategy' +# All statistics are available per strategy, so if `--strategy-list` was used during backtest, this will be reflected here as well. +# Example usages: +print(stats['strategy'][strategy]['results_per_pair']) +# Get pairlist used for this backtest +print(stats['strategy'][strategy]['pairlist']) +# Get market change (average change of all pairs from start to end of the backtest period) +print(stats['strategy'][strategy]['market_change']) +# Maximum drawdown () +print(stats['strategy'][strategy]['max_drawdown']) +# Maximum drawdown start and end +print(stats['strategy'][strategy]['drawdown_start']) +print(stats['strategy'][strategy]['drawdown_end']) + + +# Get strategy comparison (only relevant if multiple strategies were compared) +print(stats['strategy_comparison']) + +``` + + +```python +# Load backtested trades as dataframe +trades = load_backtest_data(backtest_dir) # Show value-counts per pair trades.groupby("pair")["sell_reason"].value_counts() diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index 6931b1685..cf6e18e64 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -72,7 +72,7 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]: def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame: """ Load backtest data file. - :param filename: pathlib.Path object, or string pointing to the file. + :param filename: pathlib.Path object, or string pointing to a file or directory :param strategy: Strategy to load - mainly relevant for multi-strategy backtests Can also serve as protection to load the correct result. :return: a dataframe with the analysis results diff --git a/freqtrade/templates/strategy_analysis_example.ipynb b/freqtrade/templates/strategy_analysis_example.ipynb index dffa308ce..31a5b536a 100644 --- a/freqtrade/templates/strategy_analysis_example.ipynb +++ b/freqtrade/templates/strategy_analysis_example.ipynb @@ -136,10 +136,51 @@ "metadata": {}, "outputs": [], "source": [ - "from freqtrade.data.btanalysis import load_backtest_data\n", + "from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats\n", "\n", - "# Load backtest results\n", - "trades = load_backtest_data(config[\"user_data_dir\"] / \"backtest_results/backtest-result.json\")\n", + "# if backtest_dir points to a directory, it'll automatically load the last backtest file.\n", + "backtest_dir = config[\"user_data_dir\"] / \"backtest_results\"\n", + "# backtest_dir can also point to a specific file \n", + "# backtest_dir = config[\"user_data_dir\"] / \"backtest_results/backtest-result-2020-07-01_20-04-22.json\"" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "# You can get the full backtest statistics by using the following command.\n", + "# This contains all information used to generate the backtest result.\n", + "stats = load_backtest_stats(backtest_dir)\n", + "\n", + "strategy = 'SampleStrategy'\n", + "# All statistics are available per strategy, so if `--strategy-list` was used during backtest, this will be reflected here as well.\n", + "# Example usages:\n", + "print(stats['strategy'][strategy]['results_per_pair'])\n", + "# Get pairlist used for this backtest\n", + "print(stats['strategy'][strategy]['pairlist'])\n", + "# Get market change (average change of all pairs from start to end of the backtest period)\n", + "print(stats['strategy'][strategy]['market_change'])\n", + "# Maximum drawdown ()\n", + "print(stats['strategy'][strategy]['max_drawdown'])\n", + "# Maximum drawdown start and end\n", + "print(stats['strategy'][strategy]['drawdown_start'])\n", + "print(stats['strategy'][strategy]['drawdown_end'])\n", + "\n", + "\n", + "# Get strategy comparison (only relevant if multiple strategies were compared)\n", + "print(stats['strategy_comparison'])\n" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "# Load backtested trades as dataframe\n", + "trades = load_backtest_data(backtest_dir)\n", "\n", "# Show value-counts per pair\n", "trades.groupby(\"pair\")[\"sell_reason\"].value_counts()" From 804c42933d5d1eb58e102dbbcb66e55f801b0bc8 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 08:02:27 +0200 Subject: [PATCH 044/129] Document summary-statistics --- docs/backtesting.md | 69 ++++++++++++++++++++++++++++++++++++++++----- 1 file changed, 62 insertions(+), 7 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index ecd48bdc9..52506215d 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -157,17 +157,28 @@ A backtesting result will look like that: | ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 | | LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 | | TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 | +============ SUMMARY METRICS ============= +| Metric | Value | +|------------------+---------------------| +| Total trades | 429 | +| First trade | 2019-01-01 18:30:00 | +| First trade Pair | EOS/USDT | +| Backtesting from | 2019-01-01 00:00:00 | +| Backtesting to | 2019-05-01 00:00:00 | +| Trades per day | 3.575 | +| | | +| Max Drawdown | 50.63% | +| Drawdown Start | 2019-02-15 14:10:00 | +| Drawdown End | 2019-04-11 18:15:00 | +| Market change | -5.88% | +========================================== + ``` +### Backtesting report table + The 1st table contains all trades the bot made, including "left open trades". -The 2nd table contains a recap of sell reasons. -This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that). - -The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture. -This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. -These trades are also included in the first table, but are extracted separately for clarity. - The last line will give you the overall performance of your strategy, here: @@ -196,6 +207,50 @@ On the other hand, if you set a too high `minimal_roi` like `"0": 0.55` (55%), there is almost no chance that the bot will ever reach this profit. Hence, keep in mind that your performance is an integral mix of all different elements of the strategy, your configuration, and the crypto-currency pairs you have set up. +### Sell reasons table + +The 2nd table contains a recap of sell reasons. +This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that). + +### Left open trades table + +The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture. +This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. +These trades are also included in the first table, but are extracted separately for clarity. + +### Summary metrics + +The last element of the backtest report is the summary metrics table. +It contains some useful key metrics about your strategy. + +``` +============ SUMMARY METRICS ============= +| Metric | Value | +|------------------+---------------------| +| Total trades | 429 | +| First trade | 2019-01-01 18:30:00 | +| First trade Pair | EOS/USDT | +| Backtesting from | 2019-01-01 00:00:00 | +| Backtesting to | 2019-05-01 00:00:00 | +| Trades per day | 3.575 | +| | | +| Max Drawdown | 50.63% | +| Drawdown Start | 2019-02-15 14:10:00 | +| Drawdown End | 2019-04-11 18:15:00 | +| Market change | -5.88% | +========================================== + +``` + +- `Total trades`: Identical to the total trades of the backtest output table. +- `First trade`: First trade entered. +- `First trade pair`: Which pair was part of the first trade +- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`) +- `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy) +- `Max Drawdown`: Maximum drawown experienced. a value of 50% means that from highest to subsequent lowest point, a 50% drop was experiened). +- `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand) +- `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. + ### Assumptions made by backtesting Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: From 42868ad24ac8812ec295867fd5f9728aaad9635a Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 19:30:29 +0200 Subject: [PATCH 045/129] Add best / worst day to statistics --- docs/backtesting.md | 11 +++++++---- freqtrade/optimize/optimize_reports.py | 8 ++++++++ 2 files changed, 15 insertions(+), 4 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 52506215d..6c01e1c62 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -233,6 +233,8 @@ It contains some useful key metrics about your strategy. | Backtesting from | 2019-01-01 00:00:00 | | Backtesting to | 2019-05-01 00:00:00 | | Trades per day | 3.575 | +| Best day | 25.27% | +| Worst day | -30.67% | | | | | Max Drawdown | 50.63% | | Drawdown Start | 2019-02-15 14:10:00 | @@ -244,11 +246,12 @@ It contains some useful key metrics about your strategy. - `Total trades`: Identical to the total trades of the backtest output table. - `First trade`: First trade entered. -- `First trade pair`: Which pair was part of the first trade -- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`) -- `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy) +- `First trade pair`: Which pair was part of the first trade. +- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`). +- `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy). +- `Best day` / `Worst day`: Best and worst day based on daily profit. - `Max Drawdown`: Maximum drawown experienced. a value of 50% means that from highest to subsequent lowest point, a 50% drop was experiened). -- `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand) +- `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand). - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. ### Assumptions made by backtesting diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index d0e29d98f..4f169c53a 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -239,6 +239,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], max_open_trades=max_open_trades, results=results.loc[results['open_at_end']], skip_nan=True) + daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum() + worst = min(daily_profit) + best = max(daily_profit) backtest_days = (max_date - min_date).days strat_stats = { @@ -252,6 +255,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_end': max_date.datetime, 'backtest_end_ts': max_date.timestamp, 'backtest_days': backtest_days, + 'backtest_best_day': best, + 'backtest_worst_day': worst, + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, 'market_change': market_change, 'pairlist': list(btdata.keys()), @@ -366,6 +372,8 @@ def text_table_add_metrics(strat_results: Dict) -> str: ('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), ('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), ('Trades per day', strat_results['trades_per_day']), + ('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"), + ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), ('', ''), # Empty line to improve readability ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"), ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), From 8e0ff4bd86effd9d44fb0d0fd82c10ce246c6141 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 19:45:45 +0200 Subject: [PATCH 046/129] Add Win / draw / losing days --- freqtrade/optimize/optimize_reports.py | 28 ++++++++++++++++++++------ 1 file changed, 22 insertions(+), 6 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 4f169c53a..33157d50a 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -210,6 +210,23 @@ def generate_edge_table(results: dict) -> str: floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore +def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: + daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum() + worst = min(daily_profit) + best = max(daily_profit) + winning_days = sum(daily_profit > 0) + draw_days = sum(daily_profit == 0) + losing_days = sum(daily_profit < 0) + + return { + 'backtest_best_day': best, + 'backtest_worst_day': worst, + 'winning_days': winning_days, + 'draw_days': draw_days, + 'losing_days': losing_days, + } + + def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], all_results: Dict[str, DataFrame], min_date: Arrow, max_date: Arrow @@ -239,9 +256,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], max_open_trades=max_open_trades, results=results.loc[results['open_at_end']], skip_nan=True) - daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum() - worst = min(daily_profit) - best = max(daily_profit) + daily_stats = generate_daily_stats(results) backtest_days = (max_date - min_date).days strat_stats = { @@ -255,13 +270,12 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_end': max_date.datetime, 'backtest_end_ts': max_date.timestamp, 'backtest_days': backtest_days, - 'backtest_best_day': best, - 'backtest_worst_day': worst, 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, 'market_change': market_change, 'pairlist': list(btdata.keys()), - 'stake_amount': config['stake_amount'] + 'stake_amount': config['stake_amount'], + **daily_stats, } result['strategy'][strategy] = strat_stats @@ -374,6 +388,8 @@ def text_table_add_metrics(strat_results: Dict) -> str: ('Trades per day', strat_results['trades_per_day']), ('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"), ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), + ('Days win/draw/lose', f"{strat_results['winning_days']} / " + f"{strat_results['draw_days']} / {strat_results['losing_days']}"), ('', ''), # Empty line to improve readability ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"), ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), From 987188e41f15e5914686c2637f4ddee418af9be8 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 19:58:02 +0200 Subject: [PATCH 047/129] Add avgduration for winners and losers --- docs/backtesting.md | 40 ++++++++++++++------------ freqtrade/optimize/optimize_reports.py | 9 ++++++ 2 files changed, 31 insertions(+), 18 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 6c01e1c62..cb20c3e43 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -224,23 +224,26 @@ The last element of the backtest report is the summary metrics table. It contains some useful key metrics about your strategy. ``` -============ SUMMARY METRICS ============= -| Metric | Value | -|------------------+---------------------| -| Total trades | 429 | -| First trade | 2019-01-01 18:30:00 | -| First trade Pair | EOS/USDT | -| Backtesting from | 2019-01-01 00:00:00 | -| Backtesting to | 2019-05-01 00:00:00 | -| Trades per day | 3.575 | -| Best day | 25.27% | -| Worst day | -30.67% | -| | | -| Max Drawdown | 50.63% | -| Drawdown Start | 2019-02-15 14:10:00 | -| Drawdown End | 2019-04-11 18:15:00 | -| Market change | -5.88% | -========================================== +=============== SUMMARY METRICS =============== +| Metric | Value | +|-----------------------+---------------------| + +| Total trades | 429 | +| First trade | 2019-01-01 18:30:00 | +| First trade Pair | EOS/USDT | +| Backtesting from | 2019-01-01 00:00:00 | +| Backtesting to | 2019-05-01 00:00:00 | +| Trades per day | 3.575 | +| Best day | 25.27% | +| Worst day | -30.67% | +| Avg. Duration Winners | 4:23:00 | +| Avg. Duration Loser | 6:55:00 | +| | | +| Max Drawdown | 50.63% | +| Drawdown Start | 2019-02-15 14:10:00 | +| Drawdown End | 2019-04-11 18:15:00 | +| Market change | -5.88% | +=============================================== ``` @@ -250,10 +253,11 @@ It contains some useful key metrics about your strategy. - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`). - `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy). - `Best day` / `Worst day`: Best and worst day based on daily profit. +- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. - `Max Drawdown`: Maximum drawown experienced. a value of 50% means that from highest to subsequent lowest point, a 50% drop was experiened). - `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand). - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. - + ### Assumptions made by backtesting Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 33157d50a..f9b38caf0 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -218,12 +218,19 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: draw_days = sum(daily_profit == 0) losing_days = sum(daily_profit < 0) + winning_trades = results.loc[results['profit_percent'] > 0] + losing_trades = results.loc[results['profit_percent'] < 0] + return { 'backtest_best_day': best, 'backtest_worst_day': worst, 'winning_days': winning_days, 'draw_days': draw_days, 'losing_days': losing_days, + 'winner_holding_avg': (timedelta(minutes=round(winning_trades['trade_duration'].mean())) + if not winning_trades.empty else '0:00'), + 'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean())) + if not losing_trades.empty else '0:00'), } @@ -390,6 +397,8 @@ def text_table_add_metrics(strat_results: Dict) -> str: ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), ('Days win/draw/lose', f"{strat_results['winning_days']} / " f"{strat_results['draw_days']} / {strat_results['losing_days']}"), + ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), + ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), ('', ''), # Empty line to improve readability ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"), ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), From 523437d9707e941c8ddd2e7a5585c97199300c80 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 20:03:33 +0200 Subject: [PATCH 048/129] Add tst for daily stats --- tests/optimize/test_optimize_reports.py | 20 +++++++++++++++++++- 1 file changed, 19 insertions(+), 1 deletion(-) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 2431fa716..6c1009e22 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -1,4 +1,5 @@ import re +from datetime import timedelta from pathlib import Path import pandas as pd @@ -8,9 +9,11 @@ from arrow import Arrow from freqtrade.configuration import TimeRange from freqtrade.constants import LAST_BT_RESULT_FN from freqtrade.data import history -from freqtrade.data.btanalysis import get_latest_backtest_filename +from freqtrade.data.btanalysis import (get_latest_backtest_filename, + load_backtest_data) from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import (generate_backtest_stats, + generate_daily_stats, generate_edge_table, generate_pair_metrics, generate_sell_reason_stats, @@ -170,6 +173,21 @@ def test_generate_pair_metrics(default_conf, mocker): pytest.approx(pair_results[-1]['profit_sum_pct']) == pair_results[-1]['profit_sum'] * 100) +def test_generate_daily_stats(testdatadir): + + filename = testdatadir / "backtest-result_new.json" + bt_data = load_backtest_data(filename) + res = generate_daily_stats(bt_data) + assert isinstance(res, dict) + assert round(res['backtest_best_day'], 4) == 0.1796 + assert round(res['backtest_worst_day'], 4) == -0.1468 + assert res['winning_days'] == 14 + assert res['draw_days'] == 4 + assert res['losing_days'] == 3 + assert res['winner_holding_avg'] == timedelta(seconds=1440) + assert res['loser_holding_avg'] == timedelta(days=1, seconds=21420) + + def test_text_table_sell_reason(default_conf): results = pd.DataFrame( From 0d15a87af8de45799677a221c7311390b7dbb7b3 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 20:15:20 +0200 Subject: [PATCH 049/129] Remove old store_backtest method --- freqtrade/optimize/backtesting.py | 2 - freqtrade/optimize/optimize_reports.py | 20 ------- tests/optimize/test_backtesting.py | 1 + tests/optimize/test_optimize_reports.py | 74 ------------------------- 4 files changed, 1 insertion(+), 96 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 18881f9db..3cd4f4fa2 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -21,7 +21,6 @@ from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results, - store_backtest_result, store_backtest_stats) from freqtrade.pairlist.pairlistmanager import PairListManager from freqtrade.persistence import Trade @@ -421,7 +420,6 @@ class Backtesting: stats = generate_backtest_stats(self.config, data, all_results, min_date=min_date, max_date=max_date) if self.config.get('export', False): - store_backtest_result(self.config['exportfilename'], all_results) store_backtest_stats(self.config['exportfilename'], stats) # Show backtest results diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index f9b38caf0..67c8e3077 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -30,26 +30,6 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) -def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame]) -> None: - """ - Stores backtest results to file (one file per strategy) - :param recordfilename: Destination filename - :param all_results: Dict of Dataframes, one results dataframe per strategy - """ - for strategy, results in all_results.items(): - records = backtest_result_to_list(results) - - if records: - filename = recordfilename - if len(all_results) > 1: - # Inject strategy to filename - filename = Path.joinpath( - recordfilename.parent, - f'{recordfilename.stem}-{strategy}').with_suffix(recordfilename.suffix) - logger.info(f'Dumping backtest results to {filename}') - file_dump_json(filename, records) - - def backtest_result_to_list(results: DataFrame) -> List[List]: """ Converts a list of Backtest-results to list diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 2c855fbc0..04417848f 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -703,6 +703,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): generate_pair_metrics=MagicMock(), generate_sell_reason_stats=sell_reason_mock, generate_strategy_metrics=strat_summary, + generate_daily_stats=MagicMock(), ) patched_configuration_load_config_file(mocker, default_conf) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 6c1009e22..2fab4578c 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -18,13 +18,11 @@ from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_pair_metrics, generate_sell_reason_stats, generate_strategy_metrics, - store_backtest_result, store_backtest_stats, text_table_bt_results, text_table_sell_reason, text_table_strategy) from freqtrade.strategy.interface import SellType -from tests.conftest import patch_exchange from tests.data.test_history import _backup_file, _clean_test_file @@ -308,75 +306,3 @@ def test_generate_edge_table(edge_conf, mocker): assert generate_edge_table(results).count('| ETH/BTC |') == 1 assert generate_edge_table(results).count( '| Risk Reward Ratio | Required Risk Reward | Expectancy |') == 1 - - -def test_backtest_record(default_conf, fee, mocker): - names = [] - records = [] - patch_exchange(mocker) - mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) - mocker.patch( - 'freqtrade.optimize.optimize_reports.file_dump_json', - new=lambda n, r: (names.append(n), records.append(r)) - ) - - results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", - "UNITTEST/BTC", "UNITTEST/BTC"], - "profit_percent": [0.003312, 0.010801, 0.013803, 0.002780], - "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], - "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, - Arrow(2017, 11, 14, 21, 36, 00).datetime, - Arrow(2017, 11, 14, 22, 12, 00).datetime, - Arrow(2017, 11, 14, 22, 44, 00).datetime], - "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, - Arrow(2017, 11, 14, 22, 10, 00).datetime, - Arrow(2017, 11, 14, 22, 43, 00).datetime, - Arrow(2017, 11, 14, 22, 58, 00).datetime], - "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], - "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], - "trade_duration": [123, 34, 31, 14], - "open_at_end": [False, False, False, True], - "sell_reason": [SellType.ROI, SellType.STOP_LOSS, - SellType.ROI, SellType.FORCE_SELL] - })} - store_backtest_result(Path("backtest-result.json"), results) - # Assert file_dump_json was only called once - assert names == [Path('backtest-result.json')] - records = records[0] - # Ensure records are of correct type - assert len(records) == 4 - - # reset test to test with strategy name - names = [] - records = [] - results['Strat'] = results['DefStrat'] - results['Strat2'] = results['DefStrat'] - store_backtest_result(Path("backtest-result.json"), results) - assert names == [ - Path('backtest-result-DefStrat.json'), - Path('backtest-result-Strat.json'), - Path('backtest-result-Strat2.json'), - ] - records = records[0] - # Ensure records are of correct type - assert len(records) == 4 - - # ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117) - # Below follows just a typecheck of the schema/type of trade-records - oix = None - for (pair, profit, date_buy, date_sell, buy_index, dur, - openr, closer, open_at_end, sell_reason) in records: - assert pair == 'UNITTEST/BTC' - assert isinstance(profit, float) - # FIX: buy/sell should be converted to ints - assert isinstance(date_buy, float) - assert isinstance(date_sell, float) - assert isinstance(openr, float) - assert isinstance(closer, float) - assert isinstance(open_at_end, bool) - assert isinstance(sell_reason, str) - isinstance(buy_index, pd._libs.tslib.Timestamp) - if oix: - assert buy_index > oix - oix = buy_index - assert dur > 0 From ea5e47657a9bf4d3969db4a762ea73d283d3abc3 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 20:26:55 +0200 Subject: [PATCH 050/129] Remove ticker_interval from jupyter notebook --- docs/strategy_analysis_example.md | 4 ++-- freqtrade/templates/strategy_analysis_example.ipynb | 4 ++-- 2 files changed, 4 insertions(+), 4 deletions(-) diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md index 8915ebe37..90e39fd76 100644 --- a/docs/strategy_analysis_example.md +++ b/docs/strategy_analysis_example.md @@ -18,7 +18,7 @@ config = Configuration.from_files([]) # config = Configuration.from_files(["config.json"]) # Define some constants -config["ticker_interval"] = "5m" +config["timeframe"] = "5m" # Name of the strategy class config["strategy"] = "SampleStrategy" # Location of the data @@ -33,7 +33,7 @@ pair = "BTC_USDT" from freqtrade.data.history import load_pair_history candles = load_pair_history(datadir=data_location, - timeframe=config["ticker_interval"], + timeframe=config["timeframe"], pair=pair) # Confirm success diff --git a/freqtrade/templates/strategy_analysis_example.ipynb b/freqtrade/templates/strategy_analysis_example.ipynb index 31a5b536a..c6e64c74e 100644 --- a/freqtrade/templates/strategy_analysis_example.ipynb +++ b/freqtrade/templates/strategy_analysis_example.ipynb @@ -34,7 +34,7 @@ "# config = Configuration.from_files([\"config.json\"])\n", "\n", "# Define some constants\n", - "config[\"ticker_interval\"] = \"5m\"\n", + "config[\"timeframe\"] = \"5m\"\n", "# Name of the strategy class\n", "config[\"strategy\"] = \"SampleStrategy\"\n", "# Location of the data\n", @@ -53,7 +53,7 @@ "from freqtrade.data.history import load_pair_history\n", "\n", "candles = load_pair_history(datadir=data_location,\n", - " timeframe=config[\"ticker_interval\"],\n", + " timeframe=config[\"timeframe\"],\n", " pair=pair)\n", "\n", "# Confirm success\n", From 1fc4451d2f59e7631131c9409a101c3c6abf63e1 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 3 Jul 2020 20:32:04 +0200 Subject: [PATCH 051/129] Avoid \ linebreak --- freqtrade/optimize/optimize_reports.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 67c8e3077..63fbfb48c 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -17,8 +17,8 @@ logger = logging.getLogger(__name__) def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> None: if recordfilename.is_dir(): - filename = recordfilename / \ - f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}.json' + filename = (recordfilename / + f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}.json') else: filename = Path.joinpath( recordfilename.parent, From 2417898d0078143be347d50cecacfe04a9900fae Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 14 Jul 2020 19:27:52 +0200 Subject: [PATCH 052/129] Apply documentation suggestions from code review Co-authored-by: hroff-1902 <47309513+hroff-1902@users.noreply.github.com> --- docs/backtesting.md | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index cb20c3e43..7d6759df0 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -210,18 +210,18 @@ Hence, keep in mind that your performance is an integral mix of all different el ### Sell reasons table The 2nd table contains a recap of sell reasons. -This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that). +This table can tell you which area needs some additional work (e,g. all or many of the `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that). ### Left open trades table -The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture. +The 3rd table contains all trades the bot had to `forcesell` at the end of the backtesting period to present you the full picture. This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. -These trades are also included in the first table, but are extracted separately for clarity. +These trades are also included in the first table, but are also shown separately in this table for clarity. ### Summary metrics The last element of the backtest report is the summary metrics table. -It contains some useful key metrics about your strategy. +It contains some useful key metrics about performance of your strategy on backtesting data. ``` =============== SUMMARY METRICS =============== @@ -250,12 +250,12 @@ It contains some useful key metrics about your strategy. - `Total trades`: Identical to the total trades of the backtest output table. - `First trade`: First trade entered. - `First trade pair`: Which pair was part of the first trade. -- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`). -- `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy). +- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option). +- `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy). - `Best day` / `Worst day`: Best and worst day based on daily profit. - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. -- `Max Drawdown`: Maximum drawown experienced. a value of 50% means that from highest to subsequent lowest point, a 50% drop was experiened). -- `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand). +- `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced). +- `Drawdown Start` / `Drawdown End`: Start and end datetimes for this largest drawdown (can also be visualized via the `plot-dataframe` subcommand). - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. ### Assumptions made by backtesting From bdf611352e7e516d6789cb6b5a40f89c38953f59 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 14 Jul 2020 19:34:01 +0200 Subject: [PATCH 053/129] Update summary-metrics output --- docs/backtesting.md | 40 ++++++++++++++------------ freqtrade/optimize/optimize_reports.py | 4 +-- 2 files changed, 23 insertions(+), 21 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 7d6759df0..b1dcd5dba 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -157,22 +157,25 @@ A backtesting result will look like that: | ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 | | LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 | | TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 | -============ SUMMARY METRICS ============= -| Metric | Value | -|------------------+---------------------| -| Total trades | 429 | -| First trade | 2019-01-01 18:30:00 | -| First trade Pair | EOS/USDT | -| Backtesting from | 2019-01-01 00:00:00 | -| Backtesting to | 2019-05-01 00:00:00 | -| Trades per day | 3.575 | -| | | -| Max Drawdown | 50.63% | -| Drawdown Start | 2019-02-15 14:10:00 | -| Drawdown End | 2019-04-11 18:15:00 | -| Market change | -5.88% | -========================================== - +=============== SUMMARY METRICS =============== +| Metric | Value | +|-----------------------+---------------------| +| Backtesting from | 2019-01-01 00:00:00 | +| Backtesting to | 2019-05-01 00:00:00 | +| Total trades | 429 | +| First trade | 2019-01-01 18:30:00 | +| First trade Pair | EOS/USDT | +| Trades per day | 3.575 | +| Best day | 25.27% | +| Worst day | -30.67% | +| Avg. Duration Winners | 4:23:00 | +| Avg. Duration Loser | 6:55:00 | +| | | +| Max Drawdown | 50.63% | +| Drawdown Start | 2019-02-15 14:10:00 | +| Drawdown End | 2019-04-11 18:15:00 | +| Market change | -5.88% | +=============================================== ``` ### Backtesting report table @@ -227,12 +230,11 @@ It contains some useful key metrics about performance of your strategy on backte =============== SUMMARY METRICS =============== | Metric | Value | |-----------------------+---------------------| - +| Backtesting from | 2019-01-01 00:00:00 | +| Backtesting to | 2019-05-01 00:00:00 | | Total trades | 429 | | First trade | 2019-01-01 18:30:00 | | First trade Pair | EOS/USDT | -| Backtesting from | 2019-01-01 00:00:00 | -| Backtesting to | 2019-05-01 00:00:00 | | Trades per day | 3.575 | | Best day | 25.27% | | Worst day | -30.67% | diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 63fbfb48c..3a42ba4a9 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -367,11 +367,11 @@ def text_table_add_metrics(strat_results: Dict) -> str: if len(strat_results['trades']) > 0: min_trade = min(strat_results['trades'], key=lambda x: x['open_date']) metrics = [ + ('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), + ('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), ('Total trades', strat_results['total_trades']), ('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)), ('First trade Pair', min_trade['pair']), - ('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)), - ('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)), ('Trades per day', strat_results['trades_per_day']), ('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"), ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), From f6bde8bd9cbad8a50b75d5c26c16011b3d5448d0 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 21:43:15 +0300 Subject: [PATCH 054/129] Improve exception message wordings --- freqtrade/pairlist/AgeFilter.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/pairlist/AgeFilter.py b/freqtrade/pairlist/AgeFilter.py index 7b6b126c3..d199154ba 100644 --- a/freqtrade/pairlist/AgeFilter.py +++ b/freqtrade/pairlist/AgeFilter.py @@ -26,9 +26,9 @@ class AgeFilter(IPairList): self._min_days_listed = pairlistconfig.get('min_days_listed', 10) if self._min_days_listed < 1: - raise OperationalException("AgeFilter requires min_days_listed must be >= 1") + raise OperationalException("AgeFilter requires min_days_listed be >= 1") if self._min_days_listed > exchange.ohlcv_candle_limit: - raise OperationalException("AgeFilter requires min_days_listed must not exceed " + raise OperationalException("AgeFilter requires min_days_listed be not exceeding " "exchange max request size " f"({exchange.ohlcv_candle_limit})") self._enabled = self._min_days_listed >= 1 From 5213abf510de8a3b43b671c9cfab65a6f81896b1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 21:44:39 +0300 Subject: [PATCH 055/129] AgeFilter is always enabled --- freqtrade/pairlist/AgeFilter.py | 1 - 1 file changed, 1 deletion(-) diff --git a/freqtrade/pairlist/AgeFilter.py b/freqtrade/pairlist/AgeFilter.py index d199154ba..56e56ceeb 100644 --- a/freqtrade/pairlist/AgeFilter.py +++ b/freqtrade/pairlist/AgeFilter.py @@ -31,7 +31,6 @@ class AgeFilter(IPairList): raise OperationalException("AgeFilter requires min_days_listed be not exceeding " "exchange max request size " f"({exchange.ohlcv_candle_limit})") - self._enabled = self._min_days_listed >= 1 @property def needstickers(self) -> bool: From daee414d7a83e15123e025d4c6107ad0435f9d0f Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 21:51:25 +0300 Subject: [PATCH 056/129] Fix docs formatting --- docs/configuration.md | 1 + 1 file changed, 1 insertion(+) diff --git a/docs/configuration.md b/docs/configuration.md index a200d6411..0e3d23927 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -663,6 +663,7 @@ Filters low-value coins which would not allow setting stoplosses. #### PriceFilter The `PriceFilter` allows filtering of pairs by price. Currently the following price filters are supported: + * `min_price` * `max_price` * `low_price_ratio` From a1e292f56a068a2183aa59e59036bb5ce8abe0c5 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 22:09:30 +0300 Subject: [PATCH 057/129] Improve docs --- docs/configuration.md | 12 +++++++----- 1 file changed, 7 insertions(+), 5 deletions(-) diff --git a/docs/configuration.md b/docs/configuration.md index 0e3d23927..f39a3c62d 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -669,19 +669,21 @@ The `PriceFilter` allows filtering of pairs by price. Currently the following pr * `low_price_ratio` The `min_price` setting removes pairs where the price is below the specified price. This is useful if you wish to avoid trading very low-priced pairs. -This option is disabled by default, and will only apply if set to <> 0. +This option is disabled by default (or set to 0), and will only apply if set to > 0. The `max_price` setting removes pairs where the price is above the specified price. This is useful if you wish to trade only low-priced pairs. -This option is disabled by default, and will only apply if set to <> 0. +This option is disabled by default (or set to 0), and will only apply if set to > 0. The `low_price_ratio` setting removes pairs where a raise of 1 price unit (pip) is above the `low_price_ratio` ratio. -This option is disabled by default, and will only apply if set to <> 0. +This option is disabled by default (or set to 0), and will only apply if set to > 0. + +For `PriceFiler` at least one of its `min_price`, `max_price` or `low_price_ratio` settings must be applied. Calculation example: -Min price precision is 8 decimals. If price is 0.00000011 - one step would be 0.00000012 - which is almost 10% higher than the previous value. +Min price precision for SHITCOIN/BTC is 8 decimals. If its price is 0.00000011 - one price step above would be 0.00000012, which is ~9% higher than the previous price value. You may filter out this pair by using PriceFilter with `low_price_ratio` set to 0.09 (9%) or with `min_price` set to 0.00000011, correspondingly. -These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses. +Low priced pairs are dangerous since they are often illiquid and it may also be impossible to place the desired stoploss, which can often result in high losses. Consider using PriceFilter with `low_price_ratio` set to a value which is less than the absolute value of your stoploss (for example, if your stoploss is -5% (-0.05), then the value for `low_price_ratio` can be 0.04 or even 0.02). #### ShuffleFilter From c78199d3d9fdd3c2a040a0fb476c053d60b6d7a1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 22:21:30 +0300 Subject: [PATCH 058/129] Add checks for parameters of PriceFilter --- freqtrade/pairlist/PriceFilter.py | 13 ++++++++++--- 1 file changed, 10 insertions(+), 3 deletions(-) diff --git a/freqtrade/pairlist/PriceFilter.py b/freqtrade/pairlist/PriceFilter.py index b3b2f43dc..ae3ab9230 100644 --- a/freqtrade/pairlist/PriceFilter.py +++ b/freqtrade/pairlist/PriceFilter.py @@ -4,6 +4,7 @@ Price pair list filter import logging from typing import Any, Dict +from freqtrade.exceptions import OperationalException from freqtrade.pairlist.IPairList import IPairList @@ -18,11 +19,17 @@ class PriceFilter(IPairList): super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0) + if self._low_price_ratio < 0: + raise OperationalException("PriceFilter requires low_price_ratio be >= 0") self._min_price = pairlistconfig.get('min_price', 0) + if self._min_price < 0: + raise OperationalException("PriceFilter requires min_price be >= 0") self._max_price = pairlistconfig.get('max_price', 0) - self._enabled = ((self._low_price_ratio != 0) or - (self._min_price != 0) or - (self._max_price != 0)) + if self._max_price < 0: + raise OperationalException("PriceFilter requires max_price be >= 0") + self._enabled = ((self._low_price_ratio > 0) or + (self._min_price > 0) or + (self._max_price > 0)) @property def needstickers(self) -> bool: From 5c2481082ef11633c56bd5d631550b746b18d271 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 22:46:30 +0300 Subject: [PATCH 059/129] Add tests for PriceFilter --- tests/pairlist/test_pairlist.py | 56 +++++++++++++++++++++++---------- 1 file changed, 40 insertions(+), 16 deletions(-) diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index efe4a784b..5a9472ef9 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -590,34 +590,58 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_3, tickers, ohlcv_his assert freqtrade.exchange.get_historic_ohlcv.call_count == previous_call_count -@pytest.mark.parametrize("pairlistconfig,expected", [ +@pytest.mark.parametrize("pairlistconfig,desc_expected,exception_expected", [ ({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010, - "max_price": 1.0}, "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below " - "0.1% or below 0.00000010 or above 1.00000000.'}]" - ), + "max_price": 1.0}, + "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below " + "0.1% or below 0.00000010 or above 1.00000000.'}]", + None + ), ({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010}, - "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or below 0.00000010.'}]" - ), + "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or below 0.00000010.'}]", + None + ), ({"method": "PriceFilter", "low_price_ratio": 0.001, "max_price": 1.00010000}, - "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or above 1.00010000.'}]" - ), + "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or above 1.00010000.'}]", + None + ), ({"method": "PriceFilter", "min_price": 0.00002000}, - "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]" - ), + "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]", + None + ), ({"method": "PriceFilter"}, - "[{'PriceFilter': 'PriceFilter - No price filters configured.'}]" - ), + "[{'PriceFilter': 'PriceFilter - No price filters configured.'}]", + None + ), + ({"method": "PriceFilter", "low_price_ratio": -0.001}, + None, + "PriceFilter requires low_price_ratio be >= 0" + ), # OperationalException expected + ({"method": "PriceFilter", "min_price": -0.00000010}, + None, + "PriceFilter requires min_price be >= 0" + ), # OperationalException expected + ({"method": "PriceFilter", "max_price": -1.00010000}, + None, + "PriceFilter requires max_price be >= 0" + ), # OperationalException expected ]) -def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, expected): +def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, + desc_expected, exception_expected): mocker.patch.multiple('freqtrade.exchange.Exchange', markets=PropertyMock(return_value=markets), exchange_has=MagicMock(return_value=True) ) whitelist_conf['pairlists'] = [pairlistconfig] - freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) - short_desc = str(freqtrade.pairlists.short_desc()) - assert short_desc == expected + if desc_expected is not None: + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + short_desc = str(freqtrade.pairlists.short_desc()) + assert short_desc == desc_expected + else: # # OperationalException expected + with pytest.raises(OperationalException, + match=exception_expected): + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) def test_pairlistmanager_no_pairlist(mocker, markets, whitelist_conf, caplog): From 50767cd5694a79a4ac10ccba28f677470eb16725 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 22:48:29 +0300 Subject: [PATCH 060/129] Adjust tests for AgeFilter --- tests/pairlist/test_pairlist.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index 5a9472ef9..27b13bf69 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -547,7 +547,7 @@ def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tick ) with pytest.raises(OperationalException, - match=r'AgeFilter requires min_days_listed must be >= 1'): + match=r'AgeFilter requires min_days_listed be >= 1'): get_patched_freqtradebot(mocker, default_conf) @@ -562,7 +562,7 @@ def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tick ) with pytest.raises(OperationalException, - match=r'AgeFilter requires min_days_listed must not exceed ' + match=r'AgeFilter requires min_days_listed be not exceeding ' r'exchange max request size \([0-9]+\)'): get_patched_freqtradebot(mocker, default_conf) From f48250b4142acbe91c43e18f246b9f5889263095 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 22 Jul 2020 22:56:24 +0300 Subject: [PATCH 061/129] Make flake happy --- tests/pairlist/test_pairlist.py | 18 +++++++++--------- 1 file changed, 9 insertions(+), 9 deletions(-) diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index 27b13bf69..c235367be 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -596,35 +596,35 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_3, tickers, ohlcv_his "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below " "0.1% or below 0.00000010 or above 1.00000000.'}]", None - ), + ), ({"method": "PriceFilter", "low_price_ratio": 0.001, "min_price": 0.00000010}, "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or below 0.00000010.'}]", None - ), + ), ({"method": "PriceFilter", "low_price_ratio": 0.001, "max_price": 1.00010000}, "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.1% or above 1.00010000.'}]", None - ), + ), ({"method": "PriceFilter", "min_price": 0.00002000}, "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]", None - ), + ), ({"method": "PriceFilter"}, "[{'PriceFilter': 'PriceFilter - No price filters configured.'}]", None - ), + ), ({"method": "PriceFilter", "low_price_ratio": -0.001}, None, "PriceFilter requires low_price_ratio be >= 0" - ), # OperationalException expected + ), # OperationalException expected ({"method": "PriceFilter", "min_price": -0.00000010}, None, "PriceFilter requires min_price be >= 0" - ), # OperationalException expected + ), # OperationalException expected ({"method": "PriceFilter", "max_price": -1.00010000}, None, "PriceFilter requires max_price be >= 0" - ), # OperationalException expected + ), # OperationalException expected ]) def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, desc_expected, exception_expected): @@ -638,7 +638,7 @@ def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) short_desc = str(freqtrade.pairlists.short_desc()) assert short_desc == desc_expected - else: # # OperationalException expected + else: # OperationalException expected with pytest.raises(OperationalException, match=exception_expected): freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) From 902e8fa62fce59c77bc809f4edad640e727c6f15 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Jul 2020 14:39:00 +0200 Subject: [PATCH 062/129] Fix wrong spelling in one subcomponent --- freqtrade/optimize/optimize_reports.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 3a42ba4a9..7e0a60566 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -142,7 +142,7 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List 'profit_sum': profit_sum, 'profit_sum_pct': round(profit_sum * 100, 2), 'profit_total_abs': result['profit_abs'].sum(), - 'profit_pct_total': profit_percent_tot, + 'profit_total_pct': profit_percent_tot, } ) return tabular_data @@ -338,7 +338,7 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren output = [[ t['sell_reason'], t['trades'], t['wins'], t['draws'], t['losses'], - t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_pct_total'], + t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_total_pct'], ] for t in sell_reason_stats] return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right") From 9ed5fed88738214c5b22acfe0fb0c8b7d72cc2ac Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Jul 2020 15:17:54 +0200 Subject: [PATCH 063/129] Fix output format to be of an identical type --- freqtrade/optimize/optimize_reports.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 7e0a60566..2db941db4 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -208,9 +208,9 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: 'draw_days': draw_days, 'losing_days': losing_days, 'winner_holding_avg': (timedelta(minutes=round(winning_trades['trade_duration'].mean())) - if not winning_trades.empty else '0:00'), + if not winning_trades.empty else timedelta()), 'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean())) - if not losing_trades.empty else '0:00'), + if not losing_trades.empty else timedelta()), } From 8d0f338bf2eed48e5ec9d61a9a98ddf0ec575502 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Jul 2020 15:23:21 +0200 Subject: [PATCH 064/129] Timestamps should be in ms --- freqtrade/optimize/optimize_reports.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 2db941db4..c0e1347cc 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -253,9 +253,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'left_open_trades': left_open_results, 'total_trades': len(results), 'backtest_start': min_date.datetime, - 'backtest_start_ts': min_date.timestamp, + 'backtest_start_ts': min_date.timestamp * 1000, 'backtest_end': max_date.datetime, - 'backtest_end_ts': max_date.timestamp, + 'backtest_end_ts': max_date.timestamp * 1000, 'backtest_days': backtest_days, 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, @@ -272,9 +272,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], strat_stats.update({ 'max_drawdown': max_drawdown, 'drawdown_start': drawdown_start, - 'drawdown_start_ts': drawdown_start.timestamp(), + 'drawdown_start_ts': drawdown_start.timestamp() * 1000, 'drawdown_end': drawdown_end, - 'drawdown_end_ts': drawdown_end.timestamp(), + 'drawdown_end_ts': drawdown_end.timestamp() * 1000, }) except ValueError: strat_stats.update({ From 454046f74596123f7b0b3ba3f2a96f3d8dce32ef Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Jul 2020 15:55:54 +0200 Subject: [PATCH 065/129] Add stake_currency and max_opeN_trades to backtest result --- freqtrade/optimize/optimize_reports.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index c0e1347cc..587ed303d 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -262,6 +262,8 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'market_change': market_change, 'pairlist': list(btdata.keys()), 'stake_amount': config['stake_amount'], + 'stake_currency': config['stake_currency'], + 'max_open_trades': config['max_open_trades'], **daily_stats, } result['strategy'][strategy] = strat_stats From 977a6d4e9cd8388eaf9a926aa7beaeb688573b3d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 26 Jul 2020 16:10:48 +0200 Subject: [PATCH 066/129] Add profit_total to results line --- freqtrade/optimize/optimize_reports.py | 1 + 1 file changed, 1 insertion(+) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 587ed303d..6e0f9acea 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -72,6 +72,7 @@ def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: 'profit_sum': result['profit_percent'].sum(), 'profit_sum_pct': result['profit_percent'].sum() * 100.0, 'profit_total_abs': result['profit_abs'].sum(), + 'profit_total': result['profit_percent'].sum() / max_open_trades, 'profit_total_pct': result['profit_percent'].sum() * 100.0 / max_open_trades, 'duration_avg': str(timedelta( minutes=round(result['trade_duration'].mean())) From aab5596fa6ed145a5bf3afb9a700272704bffd9b Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 27 Jul 2020 07:20:40 +0200 Subject: [PATCH 067/129] Convert trade open / close to timestamp (to allow uniform analysis of backtest and real trade data - while giving control of date-formatting to the endsystem. --- freqtrade/optimize/optimize_reports.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 6e0f9acea..f917e7cab 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -5,6 +5,7 @@ from typing import Any, Dict, List from arrow import Arrow from pandas import DataFrame +from numpy import int64 from tabulate import tabulate from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN @@ -246,6 +247,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], skip_nan=True) daily_stats = generate_daily_stats(results) + results['open_timestamp'] = results['open_date'].astype(int64) // 1e6 + results['close_timestamp'] = results['close_date'].astype(int64) // 1e6 + backtest_days = (max_date - min_date).days strat_stats = { 'trades': results.to_dict(orient='records'), From 8b6d10daf1cf3b384eb4732597e5835b97ced143 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 Aug 2020 08:50:41 +0200 Subject: [PATCH 068/129] Move DefaultHyperopt to test folder (aligned to strategy) --- .../optimize => tests/optimize/hyperopts}/default_hyperopt.py | 0 1 file changed, 0 insertions(+), 0 deletions(-) rename {freqtrade/optimize => tests/optimize/hyperopts}/default_hyperopt.py (100%) diff --git a/freqtrade/optimize/default_hyperopt.py b/tests/optimize/hyperopts/default_hyperopt.py similarity index 100% rename from freqtrade/optimize/default_hyperopt.py rename to tests/optimize/hyperopts/default_hyperopt.py From 081625c5dcf14206683daa7c73f9a1848a157d9a Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 Aug 2020 08:51:01 +0200 Subject: [PATCH 069/129] Have hyperopt tests use new hyperopt location --- tests/optimize/test_hyperopt.py | 235 ++++++++++++++------------------ 1 file changed, 106 insertions(+), 129 deletions(-) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 564725709..2f9f9bc56 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -3,6 +3,7 @@ import locale import logging from datetime import datetime from pathlib import Path +from copy import deepcopy from typing import Dict, List from unittest.mock import MagicMock, PropertyMock @@ -16,7 +17,6 @@ from freqtrade.commands.optimize_commands import (setup_optimize_configuration, start_hyperopt) from freqtrade.data.history import load_data from freqtrade.exceptions import DependencyException, OperationalException -from freqtrade.optimize.default_hyperopt import DefaultHyperOpt from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, @@ -26,15 +26,28 @@ from freqtrade.strategy.interface import SellType from tests.conftest import (get_args, log_has, log_has_re, patch_exchange, patched_configuration_load_config_file) +from .hyperopts.default_hyperopt import DefaultHyperOpt + @pytest.fixture(scope='function') -def hyperopt(default_conf, mocker): - default_conf.update({ - 'spaces': ['default'], - 'hyperopt': 'DefaultHyperOpt', - }) +def hyperopt_conf(default_conf): + hyperconf = deepcopy(default_conf) + hyperconf.update({ + 'hyperopt': 'DefaultHyperOpt', + 'hyperopt_path': str(Path(__file__).parent / 'hyperopts'), + 'epochs': 1, + 'timerange': None, + 'spaces': ['default'], + 'hyperopt_jobs': 1, + }) + return hyperconf + + +@pytest.fixture(scope='function') +def hyperopt(hyperopt_conf, mocker): + patch_exchange(mocker) - return Hyperopt(default_conf) + return Hyperopt(hyperopt_conf) @pytest.fixture(scope='function') @@ -160,7 +173,7 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo assert log_has('Parameter --print-all detected ...', caplog) -def test_setup_hyperopt_configuration_unlimited_stake_amount(mocker, default_conf, caplog) -> None: +def test_setup_hyperopt_configuration_unlimited_stake_amount(mocker, default_conf) -> None: default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT patched_configuration_load_config_file(mocker, default_conf) @@ -201,7 +214,7 @@ def test_hyperoptresolver(mocker, default_conf, caplog) -> None: assert hasattr(x, "timeframe") -def test_hyperoptresolver_wrongname(mocker, default_conf, caplog) -> None: +def test_hyperoptresolver_wrongname(default_conf) -> None: default_conf.update({'hyperopt': "NonExistingHyperoptClass"}) with pytest.raises(OperationalException, match=r'Impossible to load Hyperopt.*'): @@ -216,7 +229,7 @@ def test_hyperoptresolver_noname(default_conf): HyperOptResolver.load_hyperopt(default_conf) -def test_hyperoptlossresolver(mocker, default_conf, caplog) -> None: +def test_hyperoptlossresolver(mocker, default_conf) -> None: hl = DefaultHyperOptLoss mocker.patch( @@ -227,14 +240,14 @@ def test_hyperoptlossresolver(mocker, default_conf, caplog) -> None: assert hasattr(x, "hyperopt_loss_function") -def test_hyperoptlossresolver_wrongname(mocker, default_conf, caplog) -> None: +def test_hyperoptlossresolver_wrongname(default_conf) -> None: default_conf.update({'hyperopt_loss': "NonExistingLossClass"}) with pytest.raises(OperationalException, match=r'Impossible to load HyperoptLoss.*'): HyperOptLossResolver.load_hyperoptloss(default_conf) -def test_start_not_installed(mocker, default_conf, caplog, import_fails) -> None: +def test_start_not_installed(mocker, default_conf) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, default_conf) @@ -253,9 +266,9 @@ def test_start_not_installed(mocker, default_conf, caplog, import_fails) -> None start_hyperopt(pargs) -def test_start(mocker, default_conf, caplog) -> None: +def test_start(mocker, hyperopt_conf, caplog) -> None: start_mock = MagicMock() - patched_configuration_load_config_file(mocker, default_conf) + patched_configuration_load_config_file(mocker, hyperopt_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) patch_exchange(mocker) @@ -272,8 +285,8 @@ def test_start(mocker, default_conf, caplog) -> None: assert start_mock.call_count == 1 -def test_start_no_data(mocker, default_conf, caplog) -> None: - patched_configuration_load_config_file(mocker, default_conf) +def test_start_no_data(mocker, hyperopt_conf) -> None: + patched_configuration_load_config_file(mocker, hyperopt_conf) mocker.patch('freqtrade.data.history.load_pair_history', MagicMock(return_value=pd.DataFrame)) mocker.patch( 'freqtrade.optimize.hyperopt.get_timerange', @@ -293,9 +306,9 @@ def test_start_no_data(mocker, default_conf, caplog) -> None: start_hyperopt(pargs) -def test_start_filelock(mocker, default_conf, caplog) -> None: - start_mock = MagicMock(side_effect=Timeout(Hyperopt.get_lock_filename(default_conf))) - patched_configuration_load_config_file(mocker, default_conf) +def test_start_filelock(mocker, hyperopt_conf, caplog) -> None: + start_mock = MagicMock(side_effect=Timeout(Hyperopt.get_lock_filename(hyperopt_conf))) + patched_configuration_load_config_file(mocker, hyperopt_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) patch_exchange(mocker) @@ -519,7 +532,7 @@ def test_roi_table_generation(hyperopt) -> None: assert hyperopt.custom_hyperopt.generate_roi_table(params) == {0: 6, 15: 3, 25: 1, 30: 0} -def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None: +def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -545,15 +558,9 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None: ) patch_exchange(mocker) # Co-test loading timeframe from strategy - del default_conf['timeframe'] - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'default', - 'hyperopt_jobs': 1, }) + del hyperopt_conf['timeframe'] - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -569,7 +576,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None: assert hasattr(hyperopt.backtesting.strategy, "advise_sell") assert hasattr(hyperopt.backtesting.strategy, "advise_buy") assert hasattr(hyperopt, "max_open_trades") - assert hyperopt.max_open_trades == default_conf['max_open_trades'] + assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades'] assert hasattr(hyperopt, "position_stacking") @@ -686,13 +693,36 @@ def test_buy_strategy_generator(hyperopt, testdatadir) -> None: assert 1 in result['buy'] -def test_generate_optimizer(mocker, default_conf) -> None: - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'timerange': None, - 'spaces': 'all', - 'hyperopt_min_trades': 1, - }) +def test_sell_strategy_generator(hyperopt, testdatadir) -> None: + data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True) + dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data) + dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], + {'pair': 'UNITTEST/BTC'}) + + populate_sell_trend = hyperopt.custom_hyperopt.sell_strategy_generator( + { + 'sell-adx-value': 20, + 'sell-fastd-value': 75, + 'sell-mfi-value': 80, + 'sell-rsi-value': 20, + 'sell-adx-enabled': True, + 'sell-fastd-enabled': True, + 'sell-mfi-enabled': True, + 'sell-rsi-enabled': True, + 'sell-trigger': 'sell-bb_upper' + } + ) + result = populate_sell_trend(dataframe, {'pair': 'UNITTEST/BTC'}) + # Check if some indicators are generated. We will not test all of them + print(result) + assert 'sell' in result + assert 1 in result['sell'] + + +def test_generate_optimizer(mocker, hyperopt_conf) -> None: + hyperopt_conf.update({'spaces': 'all', + 'hyperopt_min_trades': 1, + }) trades = [ ('TRX/BTC', 0.023117, 0.000233, 100) @@ -783,48 +813,35 @@ def test_generate_optimizer(mocker, default_conf) -> None: 'total_profit': 0.00023300 } - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.dimensions = hyperopt.hyperopt_space() generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values())) assert generate_optimizer_value == response_expected -def test_clean_hyperopt(mocker, default_conf, caplog): +def test_clean_hyperopt(mocker, hyperopt_conf, caplog): patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'default', - 'hyperopt_jobs': 1, - }) + mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True)) unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock()) - h = Hyperopt(default_conf) + h = Hyperopt(hyperopt_conf) assert unlinkmock.call_count == 2 assert log_has(f"Removing `{h.data_pickle_file}`.", caplog) -def test_continue_hyperopt(mocker, default_conf, caplog): +def test_continue_hyperopt(mocker, hyperopt_conf, caplog): patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'default', - 'hyperopt_jobs': 1, - 'hyperopt_continue': True - }) + hyperopt_conf.update({'hyperopt_continue': True}) mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True)) unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock()) - Hyperopt(default_conf) + Hyperopt(hyperopt_conf) assert unlinkmock.call_count == 0 assert log_has("Continuing on previous hyperopt results.", caplog) -def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None: +def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -855,16 +872,12 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None: ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'all', - 'hyperopt_jobs': 1, - 'print_json': True, - }) + hyperopt_conf.update({'spaces': 'all', + 'hyperopt_jobs': 1, + 'print_json': True, + }) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -883,7 +896,7 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None: assert dumper.call_count == 2 -def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None: +def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -913,16 +926,9 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'default', - 'hyperopt_jobs': 1, - 'print_json': True, - }) + hyperopt_conf.update({'print_json': True}) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -937,7 +943,7 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None assert dumper.call_count == 2 -def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) -> None: +def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -963,16 +969,12 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) -> ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'roi stoploss', - 'hyperopt_jobs': 1, - 'print_json': True, - }) + hyperopt_conf.update({'spaces': 'roi stoploss', + 'hyperopt_jobs': 1, + 'print_json': True, + }) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -987,7 +989,7 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) -> assert dumper.call_count == 2 -def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) -> None: +def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -1012,14 +1014,9 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'roi stoploss', - 'hyperopt_jobs': 1, }) + hyperopt_conf.update({'spaces': 'roi stoploss'}) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -1040,11 +1037,11 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) assert hasattr(hyperopt.backtesting.strategy, "advise_sell") assert hasattr(hyperopt.backtesting.strategy, "advise_buy") assert hasattr(hyperopt, "max_open_trades") - assert hyperopt.max_open_trades == default_conf['max_open_trades'] + assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades'] assert hasattr(hyperopt, "position_stacking") -def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) -> None: +def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None: mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -1055,14 +1052,9 @@ def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) - patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'all', - 'hyperopt_jobs': 1, }) + hyperopt_conf.update({'spaces': 'all', }) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -1075,7 +1067,7 @@ def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) - hyperopt.start() -def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None: +def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -1100,14 +1092,9 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None: ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'buy', - 'hyperopt_jobs': 1, }) + hyperopt_conf.update({'spaces': 'buy'}) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -1128,11 +1115,11 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None: assert hasattr(hyperopt.backtesting.strategy, "advise_sell") assert hasattr(hyperopt.backtesting.strategy, "advise_buy") assert hasattr(hyperopt, "max_open_trades") - assert hyperopt.max_open_trades == default_conf['max_open_trades'] + assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades'] assert hasattr(hyperopt, "position_stacking") -def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None: +def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -1157,14 +1144,9 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None ) patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': 'sell', - 'hyperopt_jobs': 1, }) + hyperopt_conf.update({'spaces': 'sell', }) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) @@ -1185,7 +1167,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None assert hasattr(hyperopt.backtesting.strategy, "advise_sell") assert hasattr(hyperopt.backtesting.strategy, "advise_buy") assert hasattr(hyperopt, "max_open_trades") - assert hyperopt.max_open_trades == default_conf['max_open_trades'] + assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades'] assert hasattr(hyperopt, "position_stacking") @@ -1195,7 +1177,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None ('sell_strategy_generator', 'sell'), ('sell_indicator_space', 'sell'), ]) -def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, method, space) -> None: +def test_simplified_interface_failed(mocker, hyperopt_conf, method, space) -> None: mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', MagicMock(return_value=(MagicMock(), None))) @@ -1206,14 +1188,9 @@ def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, metho patch_exchange(mocker) - default_conf.update({'config': 'config.json.example', - 'hyperopt': 'DefaultHyperOpt', - 'epochs': 1, - 'timerange': None, - 'spaces': space, - 'hyperopt_jobs': 1, }) + hyperopt_conf.update({'spaces': space}) - hyperopt = Hyperopt(default_conf) + hyperopt = Hyperopt(hyperopt_conf) hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) From 59370672b811aba5bcee1f3597f59375c5df2994 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 Aug 2020 09:00:28 +0200 Subject: [PATCH 070/129] Fix more tests --- tests/commands/test_commands.py | 5 ++--- tests/optimize/test_hyperopt.py | 4 +++- 2 files changed, 5 insertions(+), 4 deletions(-) diff --git a/tests/commands/test_commands.py b/tests/commands/test_commands.py index 3ec7e4798..6837ebe98 100644 --- a/tests/commands/test_commands.py +++ b/tests/commands/test_commands.py @@ -667,7 +667,7 @@ def test_start_list_hyperopts(mocker, caplog, capsys): args = [ "list-hyperopts", "--hyperopt-path", - str(Path(__file__).parent.parent / "optimize"), + str(Path(__file__).parent.parent / "optimize" / "hyperopts"), "-1" ] pargs = get_args(args) @@ -683,7 +683,7 @@ def test_start_list_hyperopts(mocker, caplog, capsys): args = [ "list-hyperopts", "--hyperopt-path", - str(Path(__file__).parent.parent / "optimize"), + str(Path(__file__).parent.parent / "optimize" / "hyperopts"), ] pargs = get_args(args) # pargs['config'] = None @@ -692,7 +692,6 @@ def test_start_list_hyperopts(mocker, caplog, capsys): assert "TestHyperoptLegacy" not in captured.out assert "legacy_hyperopt.py" not in captured.out assert "DefaultHyperOpt" in captured.out - assert "test_hyperopt.py" in captured.out def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 2f9f9bc56..0d2ebf213 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -247,7 +247,7 @@ def test_hyperoptlossresolver_wrongname(default_conf) -> None: HyperOptLossResolver.load_hyperoptloss(default_conf) -def test_start_not_installed(mocker, default_conf) -> None: +def test_start_not_installed(mocker, default_conf, import_fails) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, default_conf) @@ -258,6 +258,8 @@ def test_start_not_installed(mocker, default_conf) -> None: 'hyperopt', '--config', 'config.json', '--hyperopt', 'DefaultHyperOpt', + '--hyperopt-path', + str(Path(__file__).parent / "hyperopts"), '--epochs', '5' ] pargs = get_args(args) From 995d3e1ed5ee8548e55e5f5075b4533b6ff5d907 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 Aug 2020 09:07:48 +0200 Subject: [PATCH 071/129] Don't search internal path for Hyperopt files --- freqtrade/resolvers/hyperopt_resolver.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index abbfee6ed..5dcf73d67 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -23,7 +23,7 @@ class HyperOptResolver(IResolver): object_type = IHyperOpt object_type_str = "Hyperopt" user_subdir = USERPATH_HYPEROPTS - initial_search_path = Path(__file__).parent.parent.joinpath('optimize').resolve() + initial_search_path = None @staticmethod def load_hyperopt(config: Dict) -> IHyperOpt: From d01070dba81b19e3e3f9fc715e4d22022259e4b4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 Aug 2020 09:22:41 +0200 Subject: [PATCH 072/129] Increase coverage of edge_cli --- tests/optimize/test_edge_cli.py | 14 ++++++++++++++ 1 file changed, 14 insertions(+) diff --git a/tests/optimize/test_edge_cli.py b/tests/optimize/test_edge_cli.py index acec51f66..188b4aa5f 100644 --- a/tests/optimize/test_edge_cli.py +++ b/tests/optimize/test_edge_cli.py @@ -105,3 +105,17 @@ def test_edge_init_fee(mocker, edge_conf) -> None: edge_cli = EdgeCli(edge_conf) assert edge_cli.edge.fee == 0.1234 assert fee_mock.call_count == 0 + + +def test_edge_start(mocker, edge_conf) -> None: + mock_calculate = mocker.patch('freqtrade.edge.edge_positioning.Edge.calculate', + return_value=True) + table_mock = mocker.patch('freqtrade.optimize.edge_cli.generate_edge_table') + + patch_exchange(mocker) + edge_conf['stake_amount'] = 20 + + edge_cli = EdgeCli(edge_conf) + edge_cli.start() + assert mock_calculate.call_count == 1 + assert table_mock.call_count == 1 From dd430455e411bdfae6bef3162d03e3c893b2e883 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 Aug 2020 17:04:32 +0200 Subject: [PATCH 073/129] Enable dataprovier for hyperopt --- freqtrade/optimize/backtesting.py | 5 ++--- freqtrade/optimize/hyperopt.py | 15 +++++++++------ 2 files changed, 11 insertions(+), 9 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 214c92e0e..d058493cf 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -65,9 +65,8 @@ class Backtesting: self.strategylist: List[IStrategy] = [] self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) - if self.config.get('runmode') != RunMode.HYPEROPT: - self.dataprovider = DataProvider(self.config, self.exchange) - IStrategy.dp = self.dataprovider + dataprovider = DataProvider(self.config, self.exchange) + IStrategy.dp = dataprovider if self.config.get('strategy_list', None): for strat in list(self.config['strategy_list']): diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 153ae3861..9bc0dadc0 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -4,26 +4,26 @@ This module contains the hyperopt logic """ +import io import locale import logging import random import warnings -from math import ceil from collections import OrderedDict +from math import ceil from operator import itemgetter +from os import path from pathlib import Path from pprint import pformat from typing import Any, Dict, List, Optional +import progressbar import rapidjson +import tabulate from colorama import Fore, Style from joblib import (Parallel, cpu_count, delayed, dump, load, wrap_non_picklable_objects) -from pandas import DataFrame, json_normalize, isna -import progressbar -import tabulate -from os import path -import io +from pandas import DataFrame, isna, json_normalize from freqtrade.data.converter import trim_dataframe from freqtrade.data.history import get_timerange @@ -35,6 +35,7 @@ from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401 from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401 from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, HyperOptResolver) +from freqtrade.strategy import IStrategy # Suppress scikit-learn FutureWarnings from skopt with warnings.catch_warnings(): @@ -634,6 +635,8 @@ class Hyperopt: # We don't need exchange instance anymore while running hyperopt self.backtesting.exchange = None # type: ignore self.backtesting.pairlists = None # type: ignore + self.backtesting.strategy.dp = None # type: ignore + IStrategy.dp = None # type: ignore self.epochs = self.load_previous_results(self.results_file) From 5e1032c4af168aa744dccc626a17ee339219450f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 Aug 2020 17:08:38 +0200 Subject: [PATCH 074/129] Simplify strategy documentation, move "substrategies" to advanced page --- docs/strategy-advanced.md | 21 +++++++++ docs/strategy-customization.md | 78 +++++++++------------------------- 2 files changed, 42 insertions(+), 57 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index e4bab303e..359280694 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -199,3 +199,24 @@ class Awesomestrategy(IStrategy): return True ``` + +## Derived strategies + +The strategies can be derived from other strategies. This avoids duplication of your custom strategy code. You can use this technique to override small parts of your main strategy, leaving the rest untouched: + +``` python +class MyAwesomeStrategy(IStrategy): + ... + stoploss = 0.13 + trailing_stop = False + # All other attributes and methods are here as they + # should be in any custom strategy... + ... + +class MyAwesomeStrategy2(MyAwesomeStrategy): + # Override something + stoploss = 0.08 + trailing_stop = True +``` + +Both attributes and methods may be overriden, altering behavior of the original strategy in a way you need. diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 98c71b4b2..ec521470a 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -355,7 +355,7 @@ def informative_pairs(self): *** -### Additional data (DataProvider) +## Additional data (DataProvider) The strategy provides access to the `DataProvider`. This allows you to get additional data to use in your strategy. @@ -363,7 +363,7 @@ All methods return `None` in case of failure (do not raise an exception). Please always check the mode of operation to select the correct method to get data (samples see below). -#### Possible options for DataProvider +### Possible options for DataProvider - [`available_pairs`](#available_pairs) - Property with tuples listing cached pairs with their intervals (pair, interval). - [`current_whitelist()`](#current_whitelist) - Returns a current list of whitelisted pairs. Useful for accessing dynamic whitelists (ie. VolumePairlist) @@ -376,9 +376,9 @@ Please always check the mode of operation to select the correct method to get da - [`ticker(pair)`](#tickerpair) - Returns current ticker data for the pair. See [ccxt documentation](https://github.com/ccxt/ccxt/wiki/Manual#price-tickers) for more details on the Ticker data structure. - `runmode` - Property containing the current runmode. -#### Example Usages: +### Example Usages -#### *available_pairs* +### *available_pairs* ``` python if self.dp: @@ -386,7 +386,7 @@ if self.dp: print(f"available {pair}, {timeframe}") ``` -#### *current_whitelist()* +### *current_whitelist()* Imagine you've developed a strategy that trades the `5m` timeframe using signals generated from a `1d` timeframe on the top 10 volume pairs by volume. @@ -420,7 +420,7 @@ class SampleStrategy(IStrategy): inf_tf = '1d' # Get the informative pair - informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1d') + informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=inf_tf) # Get the 14 day rsi informative['rsi'] = ta.RSI(informative, timeperiod=14) @@ -455,7 +455,7 @@ class SampleStrategy(IStrategy): ``` -#### *get_pair_dataframe(pair, timeframe)* +### *get_pair_dataframe(pair, timeframe)* ``` python # fetch live / historical candle (OHLCV) data for the first informative pair @@ -468,12 +468,9 @@ if self.dp: !!! Warning "Warning about backtesting" Be careful when using dataprovider in backtesting. `historic_ohlcv()` (and `get_pair_dataframe()` for the backtesting runmode) provides the full time-range in one go, - so please be aware of it and make sure to not "look into the future" to avoid surprises when running in dry/live mode). + so please be aware of it and make sure to not "look into the future" to avoid surprises when running in dry/live mode. -!!! Warning "Warning in hyperopt" - This option cannot currently be used during hyperopt. - -#### *get_analyzed_dataframe(pair, timeframe)* +### *get_analyzed_dataframe(pair, timeframe)* This method is used by freqtrade internally to determine the last signal. It can also be used in specific callbacks to get the signal that caused the action (see [Advanced Strategy Documentation](strategy-advanced.md) for more details on available callbacks). @@ -489,10 +486,7 @@ if self.dp: Returns an empty dataframe if the requested pair was not cached. This should not happen when using whitelisted pairs. -!!! Warning "Warning in hyperopt" - This option cannot currently be used during hyperopt. - -#### *orderbook(pair, maximum)* +### *orderbook(pair, maximum)* ``` python if self.dp: @@ -503,10 +497,9 @@ if self.dp: ``` !!! Warning - The order book is not part of the historic data which means backtesting and hyperopt will not work if this - method is used. + The order book is not part of the historic data which means backtesting and hyperopt will not work correctly if this method is used. -#### *ticker(pair)* +### *ticker(pair)* ``` python if self.dp: @@ -525,7 +518,7 @@ if self.dp: *** -### Additional data (Wallets) +## Additional data (Wallets) The strategy provides access to the `Wallets` object. This contains the current balances on the exchange. @@ -541,7 +534,7 @@ if self.wallets: total_eth = self.wallets.get_total('ETH') ``` -#### Possible options for Wallets +### Possible options for Wallets - `get_free(asset)` - currently available balance to trade - `get_used(asset)` - currently tied up balance (open orders) @@ -549,7 +542,7 @@ if self.wallets: *** -### Additional data (Trades) +## Additional data (Trades) A history of Trades can be retrieved in the strategy by querying the database. @@ -595,13 +588,13 @@ Sample return value: ETH/BTC had 5 trades, with a total profit of 1.5% (ratio of !!! Warning Trade history is not available during backtesting or hyperopt. -### Prevent trades from happening for a specific pair +## Prevent trades from happening for a specific pair Freqtrade locks pairs automatically for the current candle (until that candle is over) when a pair is sold, preventing an immediate re-buy of that pair. Locked pairs will show the message `Pair is currently locked.`. -#### Locking pairs from within the strategy +### Locking pairs from within the strategy Sometimes it may be desired to lock a pair after certain events happen (e.g. multiple losing trades in a row). @@ -618,7 +611,7 @@ To verify if a pair is currently locked, use `self.is_pair_locked(pair)`. !!! Warning Locking pairs is not functioning during backtesting. -##### Pair locking example +#### Pair locking example ``` python from freqtrade.persistence import Trade @@ -640,7 +633,7 @@ if self.config['runmode'].value in ('live', 'dry_run'): self.lock_pair(metadata['pair'], until=datetime.now(timezone.utc) + timedelta(hours=12)) ``` -### Print created dataframe +## Print created dataframe To inspect the created dataframe, you can issue a print-statement in either `populate_buy_trend()` or `populate_sell_trend()`. You may also want to print the pair so it's clear what data is currently shown. @@ -664,36 +657,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: Printing more than a few rows is also possible (simply use `print(dataframe)` instead of `print(dataframe.tail())`), however not recommended, as that will be very verbose (~500 lines per pair every 5 seconds). -### Specify custom strategy location - -If you want to use a strategy from a different directory you can pass `--strategy-path` - -```bash -freqtrade trade --strategy AwesomeStrategy --strategy-path /some/directory -``` - -### Derived strategies - -The strategies can be derived from other strategies. This avoids duplication of your custom strategy code. You can use this technique to override small parts of your main strategy, leaving the rest untouched: - -``` python -class MyAwesomeStrategy(IStrategy): - ... - stoploss = 0.13 - trailing_stop = False - # All other attributes and methods are here as they - # should be in any custom strategy... - ... - -class MyAwesomeStrategy2(MyAwesomeStrategy): - # Override something - stoploss = 0.08 - trailing_stop = True -``` - -Both attributes and methods may be overriden, altering behavior of the original strategy in a way you need. - -### Common mistakes when developing strategies +## Common mistakes when developing strategies Backtesting analyzes the whole time-range at once for performance reasons. Because of this, strategy authors need to make sure that strategies do not look-ahead into the future. This is a common pain-point, which can cause huge differences between backtesting and dry/live run methods, since they all use data which is not available during dry/live runs, so these strategies will perform well during backtesting, but will fail / perform badly in real conditions. @@ -705,7 +669,7 @@ The following lists some common patterns which should be avoided to prevent frus - don't use `dataframe['volume'].mean()`. This uses the full DataFrame for backtesting, including data from the future. Use `dataframe['volume'].rolling().mean()` instead - don't use `.resample('1h')`. This uses the left border of the interval, so moves data from an hour to the start of the hour. Use `.resample('1h', label='right')` instead. -### Further strategy ideas +## Further strategy ideas To get additional Ideas for strategies, head over to our [strategy repository](https://github.com/freqtrade/freqtrade-strategies). Feel free to use them as they are - but results will depend on the current market situation, pairs used etc. - therefore please backtest the strategy for your exchange/desired pairs first, evaluate carefully, use at your own risk. Feel free to use any of them as inspiration for your own strategies. From 09aa954b68f5ca64ffec9508ff94cfb0998a97df Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 Aug 2020 17:24:19 +0200 Subject: [PATCH 075/129] Update strategy-customization documentation --- docs/strategy-customization.md | 141 ++++++++++++++++++++------------- 1 file changed, 84 insertions(+), 57 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index ec521470a..633b82385 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -58,12 +58,12 @@ file as reference.** !!! Note "Strategies and Backtesting" To avoid problems and unexpected differences between Backtesting and dry/live modes, please be aware - that during backtesting the full time-interval is passed to the `populate_*()` methods at once. + that during backtesting the full time range is passed to the `populate_*()` methods at once. It is therefore best to use vectorized operations (across the whole dataframe, not loops) and avoid index referencing (`df.iloc[-1]`), but instead use `df.shift()` to get to the previous candle. !!! Warning "Warning: Using future data" - Since backtesting passes the full time interval to the `populate_*()` methods, the strategy author + Since backtesting passes the full time range to the `populate_*()` methods, the strategy author needs to take care to avoid having the strategy utilize data from the future. Some common patterns for this are listed in the [Common Mistakes](#common-mistakes-when-developing-strategies) section of this document. @@ -251,7 +251,7 @@ minimal_roi = { While technically not completely disabled, this would sell once the trade reaches 10000% Profit. To use times based on candle duration (timeframe), the following snippet can be handy. -This will allow you to change the ticket_interval for the strategy, and ROI times will still be set as candles (e.g. after 3 candles ...) +This will allow you to change the timeframe for the strategy, and ROI times will still be set as candles (e.g. after 3 candles ...) ``` python from freqtrade.exchange import timeframe_to_minutes @@ -285,7 +285,7 @@ If your exchange supports it, it's recommended to also set `"stoploss_on_exchang For more information on order_types please look [here](configuration.md#understand-order_types). -### Timeframe (ticker interval) +### Timeframe (formerly ticker interval) This is the set of candles the bot should download and use for the analysis. Common values are `"1m"`, `"5m"`, `"15m"`, `"1h"`, however all values supported by your exchange should work. @@ -333,10 +333,10 @@ class Awesomestrategy(IStrategy): #### Get data for non-tradeable pairs Data for additional, informative pairs (reference pairs) can be beneficial for some strategies. -Ohlcv data for these pairs will be downloaded as part of the regular whitelist refresh process and is available via `DataProvider` just as other pairs (see below). +OHLCV data for these pairs will be downloaded as part of the regular whitelist refresh process and is available via `DataProvider` just as other pairs (see below). These parts will **not** be traded unless they are also specified in the pair whitelist, or have been selected by Dynamic Whitelisting. -The pairs need to be specified as tuples in the format `("pair", "interval")`, with pair as the first and time interval as the second argument. +The pairs need to be specified as tuples in the format `("pair", "timeframe")`, with pair as the first and timeframe as the second argument. Sample: @@ -349,8 +349,8 @@ def informative_pairs(self): !!! Warning As these pairs will be refreshed as part of the regular whitelist refresh, it's best to keep this list short. - All intervals and all pairs can be specified as long as they are available (and active) on the used exchange. - It is however better to use resampling to longer time-intervals when possible + All timeframes and all pairs can be specified as long as they are available (and active) on the used exchange. + It is however better to use resampling to longer timeframes whenever possible to avoid hammering the exchange with too many requests and risk being blocked. *** @@ -363,10 +363,14 @@ All methods return `None` in case of failure (do not raise an exception). Please always check the mode of operation to select the correct method to get data (samples see below). +!!! Warning "Hyperopt" + Dataprovider is available during hyperopt, however it can only be used in `populate_indicators()`. + It is not available in `populate_buy()` and `populate_sell()` methods. + ### Possible options for DataProvider -- [`available_pairs`](#available_pairs) - Property with tuples listing cached pairs with their intervals (pair, interval). -- [`current_whitelist()`](#current_whitelist) - Returns a current list of whitelisted pairs. Useful for accessing dynamic whitelists (ie. VolumePairlist) +- [`available_pairs`](#available_pairs) - Property with tuples listing cached pairs with their timeframe (pair, timeframe). +- [`current_whitelist()`](#current_whitelist) - Returns a current list of whitelisted pairs. Useful for accessing dynamic whitelists (i.e. VolumePairlist) - [`get_pair_dataframe(pair, timeframe)`](#get_pair_dataframepair-timeframe) - This is a universal method, which returns either historical data (for backtesting) or cached live data (for the Dry-Run and Live-Run modes). - [`get_analyzed_dataframe(pair, timeframe)`](#get_analyzed_dataframepair-timeframe) - Returns the analyzed dataframe (after calling `populate_indicators()`, `populate_buy()`, `populate_sell()`) and the time of the latest analysis. - `historic_ohlcv(pair, timeframe)` - Returns historical data stored on disk. @@ -401,58 +405,13 @@ Since we can't resample our data we will have to use an informative pair; and si This is where calling `self.dp.current_whitelist()` comes in handy. ```python -class SampleStrategy(IStrategy): - # strategy init stuff... - - timeframe = '5m' - - # more strategy init stuff.. - def informative_pairs(self): # get access to all pairs available in whitelist. pairs = self.dp.current_whitelist() # Assign tf to each pair so they can be downloaded and cached for strategy. informative_pairs = [(pair, '1d') for pair in pairs] - return informative_pairs - - def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - - inf_tf = '1d' - # Get the informative pair - informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=inf_tf) - # Get the 14 day rsi - informative['rsi'] = ta.RSI(informative, timeperiod=14) - - # Rename columns to be unique - informative.columns = [f"{col}_{inf_tf}" for col in informative.columns] - # Assuming inf_tf = '1d' - then the columns will now be: - # date_1d, open_1d, high_1d, low_1d, close_1d, rsi_1d - - # Combine the 2 dataframes - # all indicators on the informative sample MUST be calculated before this point - dataframe = pd.merge(dataframe, informative, left_on='date', right_on=f'date_{inf_tf}', how='left') - # FFill to have the 1d value available in every row throughout the day. - # Without this, comparisons would only work once per day. - dataframe = dataframe.ffill() - # Calculate rsi of the original dataframe (5m timeframe) - dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) - - # Do other stuff - # ... - - return dataframe - - def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - - dataframe.loc[ - ( - (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 - (dataframe['rsi_1d'] < 30) & # Ensure daily RSI is < 30 - (dataframe['volume'] > 0) # Ensure this candle had volume (important for backtesting) - ), - 'buy'] = 1 - + return informative_pairs ``` ### *get_pair_dataframe(pair, timeframe)* @@ -479,7 +438,7 @@ It can also be used in specific callbacks to get the signal that caused the acti # fetch current dataframe if self.dp: dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=metadata['pair'], - timeframe=self.ticker_interval) + timeframe=self.timeframe) ``` !!! Note "No data available" @@ -516,6 +475,74 @@ if self.dp: does not always fills in the `last` field (so it can be None), etc. So you need to carefully verify the ticker data returned from the exchange and add appropriate error handling / defaults. +!!! Warning "Warning about backtesting" + This method will always return up-to-date values - so usage during backtesting / hyperopt will lead to wrong results. + +### Complete Data-provider sample + +```python +class SampleStrategy(IStrategy): + # strategy init stuff... + + timeframe = '5m' + + # more strategy init stuff.. + + def informative_pairs(self): + + # get access to all pairs available in whitelist. + pairs = self.dp.current_whitelist() + # Assign tf to each pair so they can be downloaded and cached for strategy. + informative_pairs = [(pair, '1d') for pair in pairs] + # Optionally Add additional "static" pairs + informative_pairs += [("ETH/USDT", "5m"), + ("BTC/TUSD", "15m"), + ] + return informative_pairs + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + if not self.dp: + # Don't do anything if DataProvider is not available. + return dataframe + + inf_tf = '1d' + # Get the informative pair + informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=inf_tf) + # Get the 14 day rsi + informative['rsi'] = ta.RSI(informative, timeperiod=14) + + # Rename columns to be unique + informative.columns = [f"{col}_{inf_tf}" for col in informative.columns] + # Assuming inf_tf = '1d' - then the columns will now be: + # date_1d, open_1d, high_1d, low_1d, close_1d, rsi_1d + + # Combine the 2 dataframes + # all indicators on the informative sample MUST be calculated before this point + dataframe = pd.merge(dataframe, informative, left_on='date', right_on=f'date_{inf_tf}', how='left') + # FFill to have the 1d value available in every row throughout the day. + # Without this, comparisons would only work once per day. + dataframe = dataframe.ffill() + + # Calculate rsi of the original dataframe (5m timeframe) + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + + # Do other stuff + # ... + + return dataframe + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + + dataframe.loc[ + ( + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 + (dataframe['rsi_1d'] < 30) & # Ensure daily RSI is < 30 + (dataframe['volume'] > 0) # Ensure this candle had volume (important for backtesting) + ), + 'buy'] = 1 + +``` + *** ## Additional data (Wallets) From 2afe1d5b11b1e63ee403b147fcd0572a9723a716 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 Aug 2020 17:27:22 +0200 Subject: [PATCH 076/129] Add link to full sample --- docs/strategy-customization.md | 6 ++++-- freqtrade/optimize/backtesting.py | 1 - 2 files changed, 4 insertions(+), 3 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 633b82385..73d085abd 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -328,9 +328,9 @@ class Awesomestrategy(IStrategy): *** -### Additional data (informative_pairs) +## Additional data (informative_pairs) -#### Get data for non-tradeable pairs +### Get data for non-tradeable pairs Data for additional, informative pairs (reference pairs) can be beneficial for some strategies. OHLCV data for these pairs will be downloaded as part of the regular whitelist refresh process and is available via `DataProvider` just as other pairs (see below). @@ -347,6 +347,8 @@ def informative_pairs(self): ] ``` +A full sample can be found [in the DataProvider section](#complete-data-provider-sample). + !!! Warning As these pairs will be refreshed as part of the regular whitelist refresh, it's best to keep this list short. All timeframes and all pairs can be specified as long as they are available (and active) on the used exchange. diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index d058493cf..f3070f10f 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -24,7 +24,6 @@ from freqtrade.optimize.optimize_reports import (generate_backtest_stats, from freqtrade.pairlist.pairlistmanager import PairListManager from freqtrade.persistence import Trade from freqtrade.resolvers import ExchangeResolver, StrategyResolver -from freqtrade.state import RunMode from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType logger = logging.getLogger(__name__) From fca41a44bb278b7544f6024ebff9f0fb2bd8d359 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 Aug 2020 20:20:58 +0200 Subject: [PATCH 077/129] Also logg timeframe --- freqtrade/optimize/optimize_reports.py | 1 + 1 file changed, 1 insertion(+) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index f917e7cab..8e25d9d89 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -269,6 +269,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'stake_amount': config['stake_amount'], 'stake_currency': config['stake_currency'], 'max_open_trades': config['max_open_trades'], + 'timeframe': config['timeframe'], **daily_stats, } result['strategy'][strategy] = strat_stats From 2663aede24af7e5b3eab2608f9e5be6fef3c00d5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 9 Aug 2020 10:28:11 +0200 Subject: [PATCH 078/129] Update test to reflect new column naming --- tests/edge/test_edge.py | 24 ++++++++++++------------ 1 file changed, 12 insertions(+), 12 deletions(-) diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index 969b0c44b..d35f7fcf6 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -418,8 +418,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:05:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:10:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:05:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:10:00.000000000'), 'open_index': 1, 'close_index': 1, 'trade_duration': '', @@ -431,8 +431,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:20:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:25:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), 'open_index': 4, 'close_index': 4, 'trade_duration': '', @@ -443,8 +443,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:20:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:25:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), 'open_index': 4, 'close_index': 4, 'trade_duration': '', @@ -455,8 +455,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:20:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:25:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), 'open_index': 4, 'close_index': 4, 'trade_duration': '', @@ -467,8 +467,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:20:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:25:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:20:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:25:00.000000000'), 'open_index': 4, 'close_index': 4, 'trade_duration': '', @@ -480,8 +480,8 @@ def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,): 'stoploss': -0.9, 'profit_percent': '', 'profit_abs': '', - 'open_time': np.datetime64('2018-10-03T00:30:00.000000000'), - 'close_time': np.datetime64('2018-10-03T00:40:00.000000000'), + 'open_date': np.datetime64('2018-10-03T00:30:00.000000000'), + 'close_date': np.datetime64('2018-10-03T00:40:00.000000000'), 'open_index': 6, 'close_index': 7, 'trade_duration': '', From 827c31d4bc4e7511acdf5d0f37313a1343251c8a Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Wed, 12 Aug 2020 09:42:16 -0700 Subject: [PATCH 079/129] Re-arranged the introduction to better explain the theory of operation and the limitations of Edge. Added paragraphs at the bottom of "running edge independently" to better explain Edge's order of operations processing and potential differences between historical output and live/dry-run operation. --- docs/edge.md | 14 ++++++++++---- 1 file changed, 10 insertions(+), 4 deletions(-) diff --git a/docs/edge.md b/docs/edge.md index c91e72a3a..ccbae1cb1 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -2,11 +2,13 @@ This page explains how to use Edge Positioning module in your bot in order to enter into a trade only if the trade has a reasonable win rate and risk reward ratio, and consequently adjust your position size and stoploss. -!!! Warning + !!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. -!!! Note - Edge does not consider anything else than buy/sell/stoploss signals. So trailing stoploss, ROI, and everything else are ignored in its calculation. + !!! Note + 1. Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. + + 2. Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. ## Introduction @@ -89,7 +91,7 @@ You can also use this value to evaluate the effectiveness of modifications to th ## How does it work? -If enabled in config, Edge will go through historical data with a range of stoplosses in order to find buy and sell/stoploss signals. It then calculates win rate and expectancy over *N* trades for each stoploss. Here is an example: +Edge combines dynamic stoploss, dynamic positions, and whitelist generation into one isolated module which is then applied to the trading strategy. If enabled in config, Edge will go through historical data with a range of stoplosses in order to find buy and sell/stoploss signals. It then calculates win rate and expectancy over *N* trades for each stoploss. Here is an example: | Pair | Stoploss | Win Rate | Risk Reward Ratio | Expectancy | |----------|:-------------:|-------------:|------------------:|-----------:| @@ -186,6 +188,10 @@ An example of its output: | APPC/BTC | -0.02 | 0.44 | 2.28 | 1.27 | 0.44 | 25 | 43 | | NEBL/BTC | -0.03 | 0.63 | 1.29 | 0.58 | 0.44 | 19 | 59 | +Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. + +In live and dry-run modes, after the ``process_throttle_secs`` has passed, Edge will again process ``calculate_since_number_of_days`` against ``minimum_expectancy`` to find ``min_trade_number``. If no ``min_trade_number`` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time---or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. + ### Update cached pairs with the latest data Edge requires historic data the same way as backtesting does. From 47b215fe0aa23f6222b0b1e107e017d3009cf4e8 Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:25:53 -0700 Subject: [PATCH 080/129] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index ccbae1cb1..1695732af 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -190,7 +190,9 @@ An example of its output: Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. -In live and dry-run modes, after the ``process_throttle_secs`` has passed, Edge will again process ``calculate_since_number_of_days`` against ``minimum_expectancy`` to find ``min_trade_number``. If no ``min_trade_number`` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time---or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. +In live and dry-run modes, after the `process_throttle_secs` has passed, Edge will again process `calculate_since_number_of_days` against `minimum_expectancy` to find `min_trade_number`. If no `min_trade_number` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time - or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. + +If you encounter "whitelist empty" a lot, condsider tuning `calculate_since_number_of_days`, `minimum_expectancy` and `min_trade_number` to align to the trading frequency of your strategy. ### Update cached pairs with the latest data From a14ce9d7d9df45bf5ba9ce8e02c559ae8477c064 Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:26:28 -0700 Subject: [PATCH 081/129] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index 1695732af..dad23bfd6 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -188,7 +188,7 @@ An example of its output: | APPC/BTC | -0.02 | 0.44 | 2.28 | 1.27 | 0.44 | 25 | 43 | | NEBL/BTC | -0.03 | 0.63 | 1.29 | 0.58 | 0.44 | 19 | 59 | -Edge produced the above table by comparing ``calculate_since_number_of_days`` to ``minimum_expectancy`` to find ``min_trade_number``. Historical information based on the config file. The time frame Edge uses for its comparisons can be further limited by using the ``--timeframe`` switch. +Edge produced the above table by comparing `calculate_since_number_of_days` to `minimum_expectancy` to find `min_trade_number` historical information based on the config file. The timerange Edge uses for its comparisons can be further limited by using the `--timerange` switch. In live and dry-run modes, after the `process_throttle_secs` has passed, Edge will again process `calculate_since_number_of_days` against `minimum_expectancy` to find `min_trade_number`. If no `min_trade_number` is found, the bot will return "whitelist empty". Depending on the trade strategy being deployed, "whitelist empty" may be return much of the time - or *all* of the time. The use of Edge may also cause trading to occur in bursts, though this is rare. From f3cedc849aa223407890d4c216cfec17cdfda02d Mon Sep 17 00:00:00 2001 From: Blackhawke Date: Fri, 14 Aug 2020 09:27:04 -0700 Subject: [PATCH 082/129] Update docs/edge.md Co-authored-by: Matthias --- docs/edge.md | 7 +++---- 1 file changed, 3 insertions(+), 4 deletions(-) diff --git a/docs/edge.md b/docs/edge.md index dad23bfd6..2bc43a4e8 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -5,10 +5,9 @@ This page explains how to use Edge Positioning module in your bot in order to en !!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. - !!! Note - 1. Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. - - 2. Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. +!!! Note + Edge does not consider anything other than *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. + Therefore, it is important to understand that Edge can improve the performance of some trading strategies but *decrease* the performance of others. ## Introduction From 5d691b5ee3872129c3cd6a7bdfd70836e79e72fd Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 14 Aug 2020 19:34:22 +0200 Subject: [PATCH 083/129] Fix warning box typo --- docs/edge.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/edge.md b/docs/edge.md index 2bc43a4e8..dcb559f96 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -2,7 +2,7 @@ This page explains how to use Edge Positioning module in your bot in order to enter into a trade only if the trade has a reasonable win rate and risk reward ratio, and consequently adjust your position size and stoploss. - !!! Warning +!!! Warning Edge positioning is not compatible with dynamic (volume-based) whitelist. !!! Note From 9dd2800b980d044a07febcc00e471b4691db6a6f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 15 Aug 2020 09:08:50 +0200 Subject: [PATCH 084/129] Apply some review changes --- docs/configuration.md | 6 +++--- freqtrade/pairlist/AgeFilter.py | 4 ++-- freqtrade/pairlist/PriceFilter.py | 6 +++--- 3 files changed, 8 insertions(+), 8 deletions(-) diff --git a/docs/configuration.md b/docs/configuration.md index f39a3c62d..5fc28f3bf 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -669,13 +669,13 @@ The `PriceFilter` allows filtering of pairs by price. Currently the following pr * `low_price_ratio` The `min_price` setting removes pairs where the price is below the specified price. This is useful if you wish to avoid trading very low-priced pairs. -This option is disabled by default (or set to 0), and will only apply if set to > 0. +This option is disabled by default, and will only apply if set to > 0. The `max_price` setting removes pairs where the price is above the specified price. This is useful if you wish to trade only low-priced pairs. -This option is disabled by default (or set to 0), and will only apply if set to > 0. +This option is disabled by default, and will only apply if set to > 0. The `low_price_ratio` setting removes pairs where a raise of 1 price unit (pip) is above the `low_price_ratio` ratio. -This option is disabled by default (or set to 0), and will only apply if set to > 0. +This option is disabled by default, and will only apply if set to > 0. For `PriceFiler` at least one of its `min_price`, `max_price` or `low_price_ratio` settings must be applied. diff --git a/freqtrade/pairlist/AgeFilter.py b/freqtrade/pairlist/AgeFilter.py index 56e56ceeb..64f01cb61 100644 --- a/freqtrade/pairlist/AgeFilter.py +++ b/freqtrade/pairlist/AgeFilter.py @@ -26,9 +26,9 @@ class AgeFilter(IPairList): self._min_days_listed = pairlistconfig.get('min_days_listed', 10) if self._min_days_listed < 1: - raise OperationalException("AgeFilter requires min_days_listed be >= 1") + raise OperationalException("AgeFilter requires min_days_listed to be >= 1") if self._min_days_listed > exchange.ohlcv_candle_limit: - raise OperationalException("AgeFilter requires min_days_listed be not exceeding " + raise OperationalException("AgeFilter requires min_days_listed to not exceed " "exchange max request size " f"({exchange.ohlcv_candle_limit})") diff --git a/freqtrade/pairlist/PriceFilter.py b/freqtrade/pairlist/PriceFilter.py index ae3ab9230..8cd57ee1d 100644 --- a/freqtrade/pairlist/PriceFilter.py +++ b/freqtrade/pairlist/PriceFilter.py @@ -20,13 +20,13 @@ class PriceFilter(IPairList): self._low_price_ratio = pairlistconfig.get('low_price_ratio', 0) if self._low_price_ratio < 0: - raise OperationalException("PriceFilter requires low_price_ratio be >= 0") + raise OperationalException("PriceFilter requires low_price_ratio to be >= 0") self._min_price = pairlistconfig.get('min_price', 0) if self._min_price < 0: - raise OperationalException("PriceFilter requires min_price be >= 0") + raise OperationalException("PriceFilter requires min_price to be >= 0") self._max_price = pairlistconfig.get('max_price', 0) if self._max_price < 0: - raise OperationalException("PriceFilter requires max_price be >= 0") + raise OperationalException("PriceFilter requires max_price to be >= 0") self._enabled = ((self._low_price_ratio > 0) or (self._min_price > 0) or (self._max_price > 0)) From 142f87b68ce4bbe61d8f52581a3a44aa67ebdfae Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 15 Aug 2020 09:11:46 +0200 Subject: [PATCH 085/129] Adjust tests to new wordings --- tests/pairlist/test_pairlist.py | 10 +++++----- 1 file changed, 5 insertions(+), 5 deletions(-) diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index ad664abd2..9217abc46 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -549,7 +549,7 @@ def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tick ) with pytest.raises(OperationalException, - match=r'AgeFilter requires min_days_listed be >= 1'): + match=r'AgeFilter requires min_days_listed to be >= 1'): get_patched_freqtradebot(mocker, default_conf) @@ -564,7 +564,7 @@ def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tick ) with pytest.raises(OperationalException, - match=r'AgeFilter requires min_days_listed be not exceeding ' + match=r'AgeFilter requires min_days_listed to not exceed ' r'exchange max request size \([0-9]+\)'): get_patched_freqtradebot(mocker, default_conf) @@ -617,15 +617,15 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_3, tickers, ohlcv_his ), ({"method": "PriceFilter", "low_price_ratio": -0.001}, None, - "PriceFilter requires low_price_ratio be >= 0" + "PriceFilter requires low_price_ratio to be >= 0" ), # OperationalException expected ({"method": "PriceFilter", "min_price": -0.00000010}, None, - "PriceFilter requires min_price be >= 0" + "PriceFilter requires min_price to be >= 0" ), # OperationalException expected ({"method": "PriceFilter", "max_price": -1.00010000}, None, - "PriceFilter requires max_price be >= 0" + "PriceFilter requires max_price to be >= 0" ), # OperationalException expected ]) def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, From cc91d5138910ce1d355a7eedb801274f05d0f7a0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 15 Aug 2020 09:18:00 +0200 Subject: [PATCH 086/129] Fix wording in configuration.md --- docs/configuration.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/docs/configuration.md b/docs/configuration.md index 5fc28f3bf..a366cde12 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -683,7 +683,8 @@ Calculation example: Min price precision for SHITCOIN/BTC is 8 decimals. If its price is 0.00000011 - one price step above would be 0.00000012, which is ~9% higher than the previous price value. You may filter out this pair by using PriceFilter with `low_price_ratio` set to 0.09 (9%) or with `min_price` set to 0.00000011, correspondingly. -Low priced pairs are dangerous since they are often illiquid and it may also be impossible to place the desired stoploss, which can often result in high losses. Consider using PriceFilter with `low_price_ratio` set to a value which is less than the absolute value of your stoploss (for example, if your stoploss is -5% (-0.05), then the value for `low_price_ratio` can be 0.04 or even 0.02). +!!! Warning "Low priced pairs" + Low priced pairs with high "1 pip movements" are dangerous since they are often illiquid and it may also be impossible to place the desired stoploss, which can often result in high losses since price needs to be rounded to the next tradable price - so instead of having a stoploss of -5%, you could end up with a stoploss of -9% simply due to price rounding. #### ShuffleFilter From c2573c998b98fb295c2c29f6bc092a89c829b7c2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 15 Aug 2020 16:26:47 +0200 Subject: [PATCH 087/129] Remove Hyperopt note about windows --- docs/hyperopt.md | 3 --- 1 file changed, 3 deletions(-) diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 6330a1a5e..9acb606c3 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -370,9 +370,6 @@ By default, hyperopt prints colorized results -- epochs with positive profit are You can use the `--print-all` command line option if you would like to see all results in the hyperopt output, not only the best ones. When `--print-all` is used, current best results are also colorized by default -- they are printed in bold (bright) style. This can also be switched off with the `--no-color` command line option. -!!! Note "Windows and color output" - Windows does not support color-output nativly, therefore it is automatically disabled. To have color-output for hyperopt running under windows, please consider using WSL. - ### Understand Hyperopt ROI results If you are optimizing ROI (i.e. if optimization search-space contains 'all', 'default' or 'roi'), your result will look as follows and include a ROI table: From b9e46a3c5a0d2f2ad4f8b18af9d31385fa73e325 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 03:02:10 +0200 Subject: [PATCH 088/129] Update stoploss.md Updated documentation to simplify examples --- docs/stoploss.md | 117 +++++++++++++++++++++++++++++++++-------------- 1 file changed, 83 insertions(+), 34 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index bf7270dff..2945c18db 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -6,16 +6,10 @@ For example, value `-0.10` will cause immediate sell if the profit dips below -1 Most of the strategy files already include the optimal `stoploss` value. !!! Info - All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. Configuration values will override the strategy values. + All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. + Configuration values will override the strategy values. -## Stop Loss Types - -At this stage the bot contains the following stoploss support modes: - -1. Static stop loss. -2. Trailing stop loss. -3. Trailing stop loss, custom positive loss. -4. Trailing stop loss only once the trade has reached a certain offset. +## Stop Loss On-Exchange/Freqtrade Those stoploss modes can be *on exchange* or *off exchange*. If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled. @@ -27,19 +21,58 @@ So this parameter will tell the bot how often it should update the stoploss orde This same logic will reapply a stoploss order on the exchange should you cancel it accidentally. !!! Note - Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. + Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. + Do not set too low stoploss value if using stop loss on exhange! -## Static Stop Loss +Stop loss on exchange is controlled with this value (default False): + +``` python + 'stoploss_on_exchange': False +``` + +Example from strategy file: + +``` python +order_types = { + 'buy': 'limit', + 'sell': 'limit', + 'stoploss': 'market', + 'stoploss_on_exchange': True +} +``` + +## Stop Loss Types + +At this stage the bot contains the following stoploss support modes: + +1. Static stop loss. +2. Trailing stop loss. +3. Trailing stop loss, custom positive loss. +4. Trailing stop loss only once the trade has reached a certain offset. + +### Static Stop Loss This is very simple, you define a stop loss of x (as a ratio of price, i.e. x * 100% of price). This will try to sell the asset once the loss exceeds the defined loss. -## Trailing Stop Loss +Example of stop loss: + +``` python + stoploss = -0.10 +``` + +For example, simplified math: +* the bot buys an asset at a price of 100$ +* the stop loss is defined at -10% +* the stop loss would get triggered once the asset dropps below 90$ + +### Trailing Stop Loss The initial value for this is `stoploss`, just as you would define your static Stop loss. To enable trailing stoploss: ``` python -trailing_stop = True + stoploss = -0.10 + trailing_stop = True ``` This will now activate an algorithm, which automatically moves the stop loss up every time the price of your asset increases. @@ -47,35 +80,40 @@ This will now activate an algorithm, which automatically moves the stop loss up For example, simplified math: * the bot buys an asset at a price of 100$ -* the stop loss is defined at 2% -* the stop loss would get triggered once the asset dropps below 98$ +* the stop loss is defined at -10% +* the stop loss would get triggered once the asset dropps below 90$ * assuming the asset now increases to 102$ -* the stop loss will now be 2% of 102$ or 99.96$ -* now the asset drops in value to 101$, the stop loss will still be 99.96$ and would trigger at 99.96$. +* the stop loss will now be -10% of 102$ = 91,8$ +* now the asset drops in value to 101$, the stop loss will still be 91,8$ and would trigger at 91,8$. In summary: The stoploss will be adjusted to be always be 2% of the highest observed price. -### Custom positive stoploss +### Trailing stop loss, custom positive loss -It is also possible to have a default stop loss, when you are in the red with your buy, but once your profit surpasses a certain percentage, the system will utilize a new stop loss, which can have a different value. -For example your default stop loss is 5%, but once you have 1.1% profit, it will be changed to be only a 1% stop loss, which trails the green candles until it goes below them. +It is also possible to have a default stop loss, when you are in the red with your buy (buy - fee), but once you hit possitive result the system will utilize a new stop loss, which can have a different value. +For example your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. -Both values require `trailing_stop` to be set to true. +Both values require `trailing_stop` to be set to true and trailing_stop_positive with a value. ``` python - trailing_stop_positive = 0.01 - trailing_stop_positive_offset = 0.011 + stoploss = -0.10 + trailing_stop = True + trailing_stop_positive = 0.02 ``` -The 0.01 would translate to a 1% stop loss, once you hit 1.1% profit. +For example, simplified math: + +* the bot buys an asset at a price of 100$ +* the stop loss is defined at -10% +* the stop loss would get triggered once the asset dropps below 90$ +* assuming the asset now increases to 102$ +* the stop loss will now be -2% of 102$ = 99,96$ +* now the asset drops in value to 101$, the stop loss will still be 99,96$ and would trigger at 99,96$ + +The 0.02 would translate to a -2% stop loss. Before this, `stoploss` is used for the trailing stoploss. -Read the [next section](#trailing-only-once-offset-is-reached) to keep stoploss at 5% of the entry point. - -!!! Tip - Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. - -### Trailing only once offset is reached +### Trailing stop loss only once the trade has reached a certain offset. It is also possible to use a static stoploss until the offset is reached, and then trail the trade to take profits once the market turns. @@ -87,17 +125,28 @@ This option can be used with or without `trailing_stop_positive`, but uses `trai trailing_only_offset_is_reached = True ``` -Simplified example: +Configuration (offset is buyprice + 3%): ``` python - stoploss = 0.05 + stoploss = -0.10 + trailing_stop = True + trailing_stop_positive = 0.02 trailing_stop_positive_offset = 0.03 trailing_only_offset_is_reached = True ``` +For example, simplified math: + * the bot buys an asset at a price of 100$ -* the stop loss is defined at 5% -* the stop loss will remain at 95% until profit reaches +3% +* the stop loss is defined at -10% +* the stop loss would get triggered once the asset dropps below 90$ +* stoploss will remain at 90$ unless asset increases to or above our configured offset +* assuming the asset now increases to 103$ (where we have the offset configured) +* the stop loss will now be -2% of 103$ = 100,94$ +* now the asset drops in value to 101$, the stop loss will still be 100,94$ and would trigger at 100,94$ + +!!! Tip + Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. ## Changing stoploss on open trades From bae8e5ed1a535435a580a2f39776929adc0046cd Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:03:56 +0200 Subject: [PATCH 089/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 2945c18db..32c304e60 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -63,7 +63,7 @@ Example of stop loss: For example, simplified math: * the bot buys an asset at a price of 100$ * the stop loss is defined at -10% -* the stop loss would get triggered once the asset dropps below 90$ +* the stop loss would get triggered once the asset drops below 90$ ### Trailing Stop Loss From c60192e4bdd5440c9f1c5ff2d039c269935a71f4 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:05:07 +0200 Subject: [PATCH 090/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 32c304e60..8bb68eb1d 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -81,7 +81,7 @@ For example, simplified math: * the bot buys an asset at a price of 100$ * the stop loss is defined at -10% -* the stop loss would get triggered once the asset dropps below 90$ +* the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ * the stop loss will now be -10% of 102$ = 91,8$ * now the asset drops in value to 101$, the stop loss will still be 91,8$ and would trigger at 91,8$. From 1ce392f65208b9a1426d414eae4712ac72ed6ce1 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:05:38 +0200 Subject: [PATCH 091/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 8bb68eb1d..dbe839cab 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -37,7 +37,9 @@ order_types = { 'buy': 'limit', 'sell': 'limit', 'stoploss': 'market', - 'stoploss_on_exchange': True + 'stoploss_on_exchange': True, + 'stoploss_on_exchange_interval': 60, + 'stoploss_on_exchange_limit_ratio': 0.99 } ``` From 4ade3daa1ef1fd25e523314acd6b209a494e2c8f Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:09:19 +0200 Subject: [PATCH 092/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index dbe839cab..57d6c160e 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -85,8 +85,8 @@ For example, simplified math: * the stop loss is defined at -10% * the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ -* the stop loss will now be -10% of 102$ = 91,8$ -* now the asset drops in value to 101$, the stop loss will still be 91,8$ and would trigger at 91,8$. +* the stop loss will now be -10% of 102$ = 91.8$ +* now the asset drops in value to 101$, the stop loss will still be 91.8$ and would trigger at 91,8$. In summary: The stoploss will be adjusted to be always be 2% of the highest observed price. From 902d40a32a7a9ed9992a4743e9a16cc7226cf28d Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:13:27 +0200 Subject: [PATCH 093/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 57d6c160e..7942b4c68 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -95,7 +95,7 @@ In summary: The stoploss will be adjusted to be always be 2% of the highest obse It is also possible to have a default stop loss, when you are in the red with your buy (buy - fee), but once you hit possitive result the system will utilize a new stop loss, which can have a different value. For example your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. -Both values require `trailing_stop` to be set to true and trailing_stop_positive with a value. +Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. ``` python stoploss = -0.10 From e30a38932f47406dde2cef8ec956358ff95bbf48 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:13:40 +0200 Subject: [PATCH 094/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 7942b4c68..e6cc59c83 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -107,7 +107,7 @@ For example, simplified math: * the bot buys an asset at a price of 100$ * the stop loss is defined at -10% -* the stop loss would get triggered once the asset dropps below 90$ +* the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ * the stop loss will now be -2% of 102$ = 99,96$ * now the asset drops in value to 101$, the stop loss will still be 99,96$ and would trigger at 99,96$ From 4a0c988b678509cfe3fc61d87a015197b3d063a2 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:13:54 +0200 Subject: [PATCH 095/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index e6cc59c83..142dfd2c9 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -109,8 +109,8 @@ For example, simplified math: * the stop loss is defined at -10% * the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ -* the stop loss will now be -2% of 102$ = 99,96$ -* now the asset drops in value to 101$, the stop loss will still be 99,96$ and would trigger at 99,96$ +* the stop loss will now be -2% of 102$ = 99.96$ +* now the asset drops in value to 101$, the stop loss will still be 99.96$ and would trigger at 99.96$ The 0.02 would translate to a -2% stop loss. Before this, `stoploss` is used for the trailing stoploss. From 67e9721274aa2bd1e23654b0befadce93ade8ce0 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:14:50 +0200 Subject: [PATCH 096/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 142dfd2c9..b866a3efa 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -115,7 +115,7 @@ For example, simplified math: The 0.02 would translate to a -2% stop loss. Before this, `stoploss` is used for the trailing stoploss. -### Trailing stop loss only once the trade has reached a certain offset. +### Trailing stop loss only once the trade has reached a certain offset It is also possible to use a static stoploss until the offset is reached, and then trail the trade to take profits once the market turns. From 8b348fc247416b04149d62a378c43bb6aa4dea89 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:16:35 +0200 Subject: [PATCH 097/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index b866a3efa..30d866fff 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -92,7 +92,7 @@ In summary: The stoploss will be adjusted to be always be 2% of the highest obse ### Trailing stop loss, custom positive loss -It is also possible to have a default stop loss, when you are in the red with your buy (buy - fee), but once you hit possitive result the system will utilize a new stop loss, which can have a different value. +It is also possible to have a default stop loss, when you are in the red with your buy (buy - fee), but once you hit positive result the system will utilize a new stop loss, which can have a different value. For example your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. From 5091767276073528930d58b1f9d96b4d31da8133 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:17:01 +0200 Subject: [PATCH 098/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 30d866fff..ab3297ae9 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -141,7 +141,7 @@ For example, simplified math: * the bot buys an asset at a price of 100$ * the stop loss is defined at -10% -* the stop loss would get triggered once the asset dropps below 90$ +* the stop loss would get triggered once the asset drops below 90$ * stoploss will remain at 90$ unless asset increases to or above our configured offset * assuming the asset now increases to 103$ (where we have the offset configured) * the stop loss will now be -2% of 103$ = 100,94$ From 81a75c97cf6a17e7ff2683d9003696059993ba97 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:17:11 +0200 Subject: [PATCH 099/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index ab3297ae9..2cee88748 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -144,8 +144,8 @@ For example, simplified math: * the stop loss would get triggered once the asset drops below 90$ * stoploss will remain at 90$ unless asset increases to or above our configured offset * assuming the asset now increases to 103$ (where we have the offset configured) -* the stop loss will now be -2% of 103$ = 100,94$ -* now the asset drops in value to 101$, the stop loss will still be 100,94$ and would trigger at 100,94$ +* the stop loss will now be -2% of 103$ = 100.94$ +* now the asset drops in value to 101$, the stop loss will still be 100.94$ and would trigger at 100.94$ !!! Tip Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. From ddba999fe2a25befa5ad6705956a6c9bc1776eb8 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 13:44:32 +0200 Subject: [PATCH 100/129] Update stoploss.md --- docs/stoploss.md | 14 +++++++++----- 1 file changed, 9 insertions(+), 5 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 2cee88748..283826708 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -16,13 +16,14 @@ Those stoploss modes can be *on exchange* or *off exchange*. If the stoploss is In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary. For example, assuming the stoploss is on exchange, and trailing stoploss is enabled, and the market is going up, then the bot automatically cancels the previous stoploss order and puts a new one with a stop value higher than the previous stoploss order. -The bot cannot do this every 5 seconds (at each iteration), otherwise it would get banned by the exchange. +The bot cannot do these every 5 seconds (at each iteration), otherwise it would get banned by the exchange. So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute). This same logic will reapply a stoploss order on the exchange should you cancel it accidentally. !!! Note Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. - Do not set too low stoploss value if using stop loss on exhange! + Do not set too low stoploss value if using stop loss on exhange! +* If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work Stop loss on exchange is controlled with this value (default False): @@ -88,12 +89,15 @@ For example, simplified math: * the stop loss will now be -10% of 102$ = 91.8$ * now the asset drops in value to 101$, the stop loss will still be 91.8$ and would trigger at 91,8$. -In summary: The stoploss will be adjusted to be always be 2% of the highest observed price. +In summary: The stoploss will be adjusted to be always be -10% of the highest observed price. ### Trailing stop loss, custom positive loss It is also possible to have a default stop loss, when you are in the red with your buy (buy - fee), but once you hit positive result the system will utilize a new stop loss, which can have a different value. -For example your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. +For example, your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. + +!!! Note + If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refere to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. @@ -109,7 +113,7 @@ For example, simplified math: * the stop loss is defined at -10% * the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ -* the stop loss will now be -2% of 102$ = 99.96$ +* the stop loss will now be -2% of 102$ = 99.96$ (99.96$ stop loss will be locked in and will follow asset price increasements with -2%) * now the asset drops in value to 101$, the stop loss will still be 99.96$ and would trigger at 99.96$ The 0.02 would translate to a -2% stop loss. From f8efb87a676d872e950a496e52ef0de88d32216c Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 14:57:53 +0200 Subject: [PATCH 101/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 283826708..5a8a553e7 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -87,7 +87,7 @@ For example, simplified math: * the stop loss would get triggered once the asset drops below 90$ * assuming the asset now increases to 102$ * the stop loss will now be -10% of 102$ = 91.8$ -* now the asset drops in value to 101$, the stop loss will still be 91.8$ and would trigger at 91,8$. +* now the asset drops in value to 101$, the stop loss will still be 91.8$ and would trigger at 91.8$. In summary: The stoploss will be adjusted to be always be -10% of the highest observed price. From bd308889fcb49ba4decb7dc969d6b3886e3e49fc Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Sun, 16 Aug 2020 14:58:06 +0200 Subject: [PATCH 102/129] Update docs/stoploss.md Co-authored-by: Matthias --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 5a8a553e7..d0b7f654d 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -97,7 +97,7 @@ It is also possible to have a default stop loss, when you are in the red with yo For example, your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. !!! Note - If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refere to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). + If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refer to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. From 4619a50097074ff5686ecbff47594092fb169b5a Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Mon, 17 Aug 2020 02:07:25 +0200 Subject: [PATCH 103/129] Update configuration.md --- docs/configuration.md | 21 +++++---------------- 1 file changed, 5 insertions(+), 16 deletions(-) diff --git a/docs/configuration.md b/docs/configuration.md index a200d6411..ad18ac713 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -55,9 +55,9 @@ Mandatory parameters are marked as **Required**, which means that they are requi | `process_only_new_candles` | Enable processing of indicators only when new candles arrive. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean | `minimal_roi` | **Required.** Set the threshold as ratio the bot will use to sell a trade. [More information below](#understand-minimal_roi). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Dict | `stoploss` | **Required.** Value as ratio of the stoploss used by the bot. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Float (as ratio) -| `trailing_stop` | Enables trailing stoploss (based on `stoploss` in either configuration or strategy file). More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Boolean -| `trailing_stop_positive` | Changes stoploss once profit has been reached. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Float -| `trailing_stop_positive_offset` | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy).
*Defaults to `0.0` (no offset).*
**Datatype:** Float +| `trailing_stop` | Enables trailing stoploss (based on `stoploss` in either configuration or strategy file). More details in the [stoploss documentation](stoploss.md#trailing-stop-loss). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Boolean +| `trailing_stop_positive` | Changes stoploss once profit has been reached. More details in the [stoploss documentation](stoploss.md#trailing-stop-loss-custom-positive-loss). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Float +| `trailing_stop_positive_offset` | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md#trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). [Strategy Override](#parameters-in-the-strategy).
*Defaults to `0.0` (no offset).*
**Datatype:** Float | `trailing_only_offset_is_reached` | Only apply trailing stoploss when the offset is reached. [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean | `unfilledtimeout.buy` | **Required.** How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Integer | `unfilledtimeout.sell` | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Integer @@ -278,24 +278,13 @@ This allows to buy using limit orders, sell using limit-orders, and create stoplosses using market orders. It also allows to set the stoploss "on exchange" which means stoploss order would be placed immediately once the buy order is fulfilled. -If `stoploss_on_exchange` and `trailing_stop` are both set, then the bot will use `stoploss_on_exchange_interval` to check and update the stoploss on exchange periodically. -`order_types` can be set in the configuration file or in the strategy. + `order_types` set in the configuration file overwrites values set in the strategy as a whole, so you need to configure the whole `order_types` dictionary in one place. If this is configured, the following 4 values (`buy`, `sell`, `stoploss` and `stoploss_on_exchange`) need to be present, otherwise the bot will fail to start. -`emergencysell` is an optional value, which defaults to `market` and is used when creating stoploss on exchange orders fails. -The below is the default which is used if this is not configured in either strategy or configuration file. - -Not all Exchanges support `stoploss_on_exchange`. If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type. - -If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price. -`stoploss` defines the stop-price - and limit should be slightly below this. - -This defaults to 0.99 / 1% (configurable via `stoploss_on_exchange_limit_ratio`). -Calculation example: we bought the asset at 100$. -Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss will happen between 95$ and 94.05$. +For information on (`emergencysell`,`stoploss_on_exchange`,`stoploss_on_exchange_interval`,`stoploss_on_exchange_limit_ratio`) please see stop loss documentation [stop loss on exchange](stoploss.md) Syntax for Strategy: From 2a6faaae64f6e5e3a5d85a7cf60d4574031e7189 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Mon, 17 Aug 2020 02:07:32 +0200 Subject: [PATCH 104/129] Update stoploss.md --- docs/stoploss.md | 37 ++++++++++++++++++++++++++++++------- 1 file changed, 30 insertions(+), 7 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index d0b7f654d..ffa125fa5 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -11,25 +11,47 @@ Most of the strategy files already include the optimal `stoploss` value. ## Stop Loss On-Exchange/Freqtrade -Those stoploss modes can be *on exchange* or *off exchange*. If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled. +Those stoploss modes can be *on exchange* or *off exchange*. -In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary. +These modes can be configured with these values: + +``` python + 'emergencysell': 'market', + 'stoploss_on_exchange': False + 'stoploss_on_exchange_interval': 60, + 'stoploss_on_exchange_limit_ratio': 0.99 +``` + +### stoploss_on_exchange +Enable or Disable stop loss on exchange. +If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled. + +If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price. +`stoploss` defines the stop-price - and limit should be slightly below this. +If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type. For example, assuming the stoploss is on exchange, and trailing stoploss is enabled, and the market is going up, then the bot automatically cancels the previous stoploss order and puts a new one with a stop value higher than the previous stoploss order. + +### stoploss_on_exchange_interval +In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary. The bot cannot do these every 5 seconds (at each iteration), otherwise it would get banned by the exchange. So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute). This same logic will reapply a stoploss order on the exchange should you cancel it accidentally. +### emergencysell and stoploss_on_exchange_limit_ratio +`emergencysell` is an optional value, which defaults to `market` and is used when creating stop loss on exchange orders fails. +The below is the default which is used if this is not configured in either strategy or configuration file. + +This defaults to 0.99 / 1% (configurable via `stoploss_on_exchange_limit_ratio`). +Calculation example: we bought the asset at 100$. +Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss will happen between 95$ and 94.05$. + + !!! Note Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. Do not set too low stoploss value if using stop loss on exhange! * If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work -Stop loss on exchange is controlled with this value (default False): - -``` python - 'stoploss_on_exchange': False -``` Example from strategy file: @@ -37,6 +59,7 @@ Example from strategy file: order_types = { 'buy': 'limit', 'sell': 'limit', + 'emergencysell': 'market', 'stoploss': 'market', 'stoploss_on_exchange': True, 'stoploss_on_exchange_interval': 60, From d6ea442588a92493acaf9c9720e2f910028cc957 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Mon, 17 Aug 2020 02:10:56 +0200 Subject: [PATCH 105/129] Update stoploss.md --- docs/stoploss.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index ffa125fa5..bbb0be566 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -49,7 +49,7 @@ Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss wi !!! Note Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. - Do not set too low stoploss value if using stop loss on exhange! + Do not set too low stoploss value if using stop loss on exchange! * If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work From da6672841a1a5e5c118718e1165c9ed7e9ac1765 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 17 Aug 2020 06:24:49 +0000 Subject: [PATCH 106/129] Bump mkdocs-material from 5.5.3 to 5.5.7 Bumps [mkdocs-material](https://github.com/squidfunk/mkdocs-material) from 5.5.3 to 5.5.7. - [Release notes](https://github.com/squidfunk/mkdocs-material/releases) - [Changelog](https://github.com/squidfunk/mkdocs-material/blob/master/docs/changelog.md) - [Commits](https://github.com/squidfunk/mkdocs-material/compare/5.5.3...5.5.7) Signed-off-by: dependabot[bot] --- docs/requirements-docs.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 4068e364b..ab5aebb79 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1,2 +1,2 @@ -mkdocs-material==5.5.3 +mkdocs-material==5.5.7 mdx_truly_sane_lists==1.2 From 7af7fb261b015522ac92b51f2eea5eb468e15675 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 17 Aug 2020 06:24:50 +0000 Subject: [PATCH 107/129] Bump pytest-cov from 2.10.0 to 2.10.1 Bumps [pytest-cov](https://github.com/pytest-dev/pytest-cov) from 2.10.0 to 2.10.1. - [Release notes](https://github.com/pytest-dev/pytest-cov/releases) - [Changelog](https://github.com/pytest-dev/pytest-cov/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest-cov/compare/v2.10.0...v2.10.1) Signed-off-by: dependabot[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index c02a439d3..e51713ceb 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -10,7 +10,7 @@ flake8-tidy-imports==4.1.0 mypy==0.782 pytest==6.0.1 pytest-asyncio==0.14.0 -pytest-cov==2.10.0 +pytest-cov==2.10.1 pytest-mock==3.2.0 pytest-random-order==1.0.4 From 988bff9eaec92c3553d4997be3e8b79a02471164 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 17 Aug 2020 06:24:54 +0000 Subject: [PATCH 108/129] Bump ccxt from 1.32.88 to 1.33.18 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.32.88 to 1.33.18. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/doc/exchanges-by-country.rst) - [Commits](https://github.com/ccxt/ccxt/compare/1.32.88...1.33.18) Signed-off-by: dependabot[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index b7e71eada..df11ea3de 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,6 +1,6 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.32.88 +ccxt==1.33.18 SQLAlchemy==1.3.18 python-telegram-bot==12.8 arrow==0.15.8 From c8ddd5654adee8d69ee9243855c3cf483e0f6039 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 17 Aug 2020 06:25:04 +0000 Subject: [PATCH 109/129] Bump prompt-toolkit from 3.0.5 to 3.0.6 Bumps [prompt-toolkit](https://github.com/prompt-toolkit/python-prompt-toolkit) from 3.0.5 to 3.0.6. - [Release notes](https://github.com/prompt-toolkit/python-prompt-toolkit/releases) - [Changelog](https://github.com/prompt-toolkit/python-prompt-toolkit/blob/master/CHANGELOG) - [Commits](https://github.com/prompt-toolkit/python-prompt-toolkit/compare/3.0.5...3.0.6) Signed-off-by: dependabot[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index b7e71eada..2d7e9be3e 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -32,4 +32,4 @@ flask-cors==3.0.8 colorama==0.4.3 # Building config files interactively questionary==1.5.2 -prompt-toolkit==3.0.5 +prompt-toolkit==3.0.6 From 30a2df14cbb09e30fb12059467e951b73ce888e8 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 17 Aug 2020 06:25:10 +0000 Subject: [PATCH 110/129] Bump coveralls from 2.1.1 to 2.1.2 Bumps [coveralls](https://github.com/coveralls-clients/coveralls-python) from 2.1.1 to 2.1.2. - [Release notes](https://github.com/coveralls-clients/coveralls-python/releases) - [Changelog](https://github.com/coveralls-clients/coveralls-python/blob/master/CHANGELOG.md) - [Commits](https://github.com/coveralls-clients/coveralls-python/compare/2.1.1...2.1.2) Signed-off-by: dependabot[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index c02a439d3..41500764c 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -3,7 +3,7 @@ -r requirements-plot.txt -r requirements-hyperopt.txt -coveralls==2.1.1 +coveralls==2.1.2 flake8==3.8.3 flake8-type-annotations==0.1.0 flake8-tidy-imports==4.1.0 From ce15c55185f4c1e78ab084f26a3991c286062cd8 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 17 Aug 2020 20:24:30 +0200 Subject: [PATCH 111/129] Add libffi-dev to rpi image --- Dockerfile.armhf | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/Dockerfile.armhf b/Dockerfile.armhf index 45ed2dac9..5c5e4a885 100644 --- a/Dockerfile.armhf +++ b/Dockerfile.armhf @@ -1,7 +1,7 @@ FROM --platform=linux/arm/v7 python:3.7.7-slim-buster RUN apt-get update \ - && apt-get -y install curl build-essential libssl-dev libatlas3-base libgfortran5 sqlite3 \ + && apt-get -y install curl build-essential libssl-dev libffi-dev libatlas3-base libgfortran5 sqlite3 \ && apt-get clean \ && pip install --upgrade pip \ && echo "[global]\nextra-index-url=https://www.piwheels.org/simple" > /etc/pip.conf From aa866294cd7fb93ff25c89007b288a9c4d5e767b Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 14:02:22 +0200 Subject: [PATCH 112/129] Reformulate documentation --- docs/backtesting.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index b1dcd5dba..149d1c104 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -213,7 +213,7 @@ Hence, keep in mind that your performance is an integral mix of all different el ### Sell reasons table The 2nd table contains a recap of sell reasons. -This table can tell you which area needs some additional work (e,g. all or many of the `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that). +This table can tell you which area needs some additional work (e.g. all or many of the `sell_signal` trades are losses, so you should work on improving the sell signal, or consider disabling it). ### Left open trades table From 4eb17b4daf692041b7504a980edf84e0fd5b769a Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 15:20:37 +0200 Subject: [PATCH 113/129] Remove unneeded function --- freqtrade/data/btanalysis.py | 2 +- freqtrade/optimize/optimize_reports.py | 14 -------------- tests/optimize/test_optimize_reports.py | 19 +++++++++++++++++++ 3 files changed, 20 insertions(+), 15 deletions(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index cf6e18e64..972961b36 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -179,7 +179,7 @@ def load_trades_from_db(db_url: str, strategy: Optional[str] = None) -> pd.DataF filters = [] if strategy: - filters = Trade.strategy == strategy + filters.append(Trade.strategy == strategy) trades = pd.DataFrame([(t.pair, t.open_date.replace(tzinfo=timezone.utc), diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 8e25d9d89..c69442d46 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -31,20 +31,6 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) -def backtest_result_to_list(results: DataFrame) -> List[List]: - """ - Converts a list of Backtest-results to list - :param results: Dataframe containing results for one strategy - :return: List of Lists containing the trades - """ - # Return 0 as "index" for compatibility reasons (for now) - # TODO: Evaluate if we can remove this - return [[t.pair, t.profit_percent, t.open_date.timestamp(), - t.close_date.timestamp(), 0, t.trade_duration, - t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value] - for index, t in results.iterrows()] - - def _get_line_floatfmt() -> List[str]: """ Generate floatformat (goes in line with _generate_result_line()) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 2fab4578c..e5d98ca43 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -146,6 +146,25 @@ def test_generate_backtest_stats(default_conf, testdatadir): filename1.unlink() +def test_store_backtest_stats(testdatadir, mocker): + + dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_json') + + store_backtest_stats(testdatadir, {}) + + assert dump_mock.call_count == 2 + assert isinstance(dump_mock.call_args_list[0][0][0], Path) + assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir/'backtest-result')) + + dump_mock.reset_mock() + filename = testdatadir / 'testresult.json' + store_backtest_stats(filename, {}) + assert dump_mock.call_count == 2 + assert isinstance(dump_mock.call_args_list[0][0][0], Path) + # result will be testdatadir / testresult-.json + assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult')) + + def test_generate_pair_metrics(default_conf, mocker): results = pd.DataFrame( From 668d167adcb103309c44e8d87be97133fc7fbe87 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 16:15:24 +0200 Subject: [PATCH 114/129] Add docstring to store_backtest_stats --- freqtrade/optimize/optimize_reports.py | 8 +++++++- 1 file changed, 7 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index c69442d46..bf4e518ba 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -16,7 +16,13 @@ logger = logging.getLogger(__name__) def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> None: - + """ + Stores backtest results + :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 diectories, /backtest-result-.json will be used as filename + :param stats: Dataframe containing the backtesting statistics + """ if recordfilename.is_dir(): filename = (recordfilename / f'backtest-result-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}.json') From 9982ad2f365b715f8bf2dd225bdcff509c6d8030 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 16:59:24 +0200 Subject: [PATCH 115/129] Add profit to backtest summary output --- docs/backtesting.md | 1 + freqtrade/optimize/optimize_reports.py | 4 ++++ 2 files changed, 5 insertions(+) diff --git a/docs/backtesting.md b/docs/backtesting.md index 149d1c104..20e69f52f 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -165,6 +165,7 @@ A backtesting result will look like that: | Total trades | 429 | | First trade | 2019-01-01 18:30:00 | | First trade Pair | EOS/USDT | +| Total Profit % | 152.41% | | Trades per day | 3.575 | | Best day | 25.27% | | Worst day | -30.67% | diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index bf4e518ba..0799ebb23 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -249,6 +249,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, 'total_trades': len(results), + 'profit_mean': results['profit_percent'].mean(), + 'profit_total': results['profit_percent'].sum(), + 'profit_total_abs': results['profit_abs'].sum(), 'backtest_start': min_date.datetime, 'backtest_start_ts': min_date.timestamp * 1000, 'backtest_end': max_date.datetime, @@ -372,6 +375,7 @@ def text_table_add_metrics(strat_results: Dict) -> str: ('Total trades', strat_results['total_trades']), ('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)), ('First trade Pair', min_trade['pair']), + ('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"), ('Trades per day', strat_results['trades_per_day']), ('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"), ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), From d8e1f97465922f71128a4cffe37c582ea7721c00 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 19:44:44 +0200 Subject: [PATCH 116/129] Fix documentation typo --- docs/backtesting.md | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 20e69f52f..84911568b 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -219,7 +219,7 @@ This table can tell you which area needs some additional work (e.g. all or many ### Left open trades table The 3rd table contains all trades the bot had to `forcesell` at the end of the backtesting period to present you the full picture. -This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. +This is necessary to simulate realistic behavior, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. These trades are also included in the first table, but are also shown separately in this table for clarity. ### Summary metrics @@ -236,6 +236,7 @@ It contains some useful key metrics about performance of your strategy on backte | Total trades | 429 | | First trade | 2019-01-01 18:30:00 | | First trade Pair | EOS/USDT | +| Total Profit % | 152.41% | | Trades per day | 3.575 | | Best day | 25.27% | | Worst day | -30.67% | @@ -254,11 +255,12 @@ It contains some useful key metrics about performance of your strategy on backte - `First trade`: First trade entered. - `First trade pair`: Which pair was part of the first trade. - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option). +- `Total Profit %`: Total profit per stake amount. Aligned to the TOTAL column of the first table. - `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy). - `Best day` / `Worst day`: Best and worst day based on daily profit. - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. - `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced). -- `Drawdown Start` / `Drawdown End`: Start and end datetimes for this largest drawdown (can also be visualized via the `plot-dataframe` subcommand). +- `Drawdown Start` / `Drawdown End`: Start and end datetimes for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command). - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. ### Assumptions made by backtesting From 375e671aafc508e91c0ab4fd9b33f74d2eba7400 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 20:12:14 +0200 Subject: [PATCH 117/129] Move formatting of /daily to telegram so /daily can return numbers in the API --- freqtrade/rpc/rpc.py | 10 ++++------ freqtrade/rpc/telegram.py | 4 ++-- 2 files changed, 6 insertions(+), 8 deletions(-) diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index f4e20c16f..7be49b948 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -224,22 +224,20 @@ class RPC: ]).order_by(Trade.close_date).all() curdayprofit = sum(trade.close_profit_abs for trade in trades) profit_days[profitday] = { - 'amount': f'{curdayprofit:.8f}', + 'amount': curdayprofit, 'trades': len(trades) } data = [ { 'date': key, - 'abs_profit': f'{float(value["amount"]):.8f}', - 'fiat_value': '{value:.3f}'.format( - value=self._fiat_converter.convert_amount( + 'abs_profit': value["amount"], + 'fiat_value': self._fiat_converter.convert_amount( value['amount'], stake_currency, fiat_display_currency ) if self._fiat_converter else 0, - ), - 'trade_count': f'{value["trades"]}', + 'trade_count': value["trades"], } for key, value in profit_days.items() ] diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index f1d3cde21..809deb765 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -305,8 +305,8 @@ class Telegram(RPC): ) stats_tab = tabulate( [[day['date'], - f"{day['abs_profit']} {stats['stake_currency']}", - f"{day['fiat_value']} {stats['fiat_display_currency']}", + f"{day['abs_profit']:.8f} {stats['stake_currency']}", + f"{day['fiat_value']:.3f} {stats['fiat_display_currency']}", f"{day['trade_count']} trades"] for day in stats['data']], headers=[ 'Day', From e206cc9c216bbf7f140797c001692f41c0d7fd48 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 18 Aug 2020 20:15:41 +0200 Subject: [PATCH 118/129] Adjust tests --- tests/rpc/test_rpc.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/tests/rpc/test_rpc.py b/tests/rpc/test_rpc.py index 9bbd34672..164c825ba 100644 --- a/tests/rpc/test_rpc.py +++ b/tests/rpc/test_rpc.py @@ -255,11 +255,11 @@ def test_rpc_daily_profit(default_conf, update, ticker, fee, assert days['fiat_display_currency'] == default_conf['fiat_display_currency'] for day in days['data']: # [datetime.date(2018, 1, 11), '0.00000000 BTC', '0.000 USD'] - assert (day['abs_profit'] == '0.00000000' or - day['abs_profit'] == '0.00006217') + assert (day['abs_profit'] == 0.0 or + day['abs_profit'] == 0.00006217) - assert (day['fiat_value'] == '0.000' or - day['fiat_value'] == '0.767') + assert (day['fiat_value'] == 0.0 or + day['fiat_value'] == 0.76748865) # ensure first day is current date assert str(days['data'][0]['date']) == str(datetime.utcnow().date()) From 55c6e56762dc3d2523415641d1d25d903919de0c Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Wed, 19 Aug 2020 23:07:03 +0200 Subject: [PATCH 119/129] Update stoploss.md --- docs/stoploss.md | 13 ++++++------- 1 file changed, 6 insertions(+), 7 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index bbb0be566..2595a3f55 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -22,7 +22,7 @@ These modes can be configured with these values: 'stoploss_on_exchange_limit_ratio': 0.99 ``` -### stoploss_on_exchange +### stoploss_on_exchange and stoploss_on_exchange_limit_ratio Enable or Disable stop loss on exchange. If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled. @@ -30,6 +30,10 @@ If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the st `stoploss` defines the stop-price - and limit should be slightly below this. If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type. +If `stoploss_on_exchange` fails to fill we can use `stoploss_on_exchange_limit_ratio` that defaults to 0.99 / 1% to perform an [emergency sell](#emergencysell). +Calculation example: we bought the asset at 100$. +Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss(emergency sell) will happen between 95$ and 94.05$. + For example, assuming the stoploss is on exchange, and trailing stoploss is enabled, and the market is going up, then the bot automatically cancels the previous stoploss order and puts a new one with a stop value higher than the previous stoploss order. ### stoploss_on_exchange_interval @@ -38,15 +42,10 @@ The bot cannot do these every 5 seconds (at each iteration), otherwise it would So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute). This same logic will reapply a stoploss order on the exchange should you cancel it accidentally. -### emergencysell and stoploss_on_exchange_limit_ratio +### emergencysell `emergencysell` is an optional value, which defaults to `market` and is used when creating stop loss on exchange orders fails. The below is the default which is used if this is not configured in either strategy or configuration file. -This defaults to 0.99 / 1% (configurable via `stoploss_on_exchange_limit_ratio`). -Calculation example: we bought the asset at 100$. -Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss will happen between 95$ and 94.05$. - - !!! Note Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. Do not set too low stoploss value if using stop loss on exchange! From bca24c8b6b584e012e573b8aeb393a1e8e54ab93 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 20 Aug 2020 19:35:40 +0200 Subject: [PATCH 120/129] Clarify hyperopt dataprovider usage --- docs/strategy-customization.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 73d085abd..be08faa2d 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -366,8 +366,8 @@ All methods return `None` in case of failure (do not raise an exception). Please always check the mode of operation to select the correct method to get data (samples see below). !!! Warning "Hyperopt" - Dataprovider is available during hyperopt, however it can only be used in `populate_indicators()`. - It is not available in `populate_buy()` and `populate_sell()` methods. + Dataprovider is available during hyperopt, however it can only be used in `populate_indicators()` within a strategy. + It is not available in `populate_buy()` and `populate_sell()` methods, nor in `populate_indicators()`, if this method located in the hyperopt file. ### Possible options for DataProvider From f5a9001dc05effd378f07de663a30a88fa6201ec Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 20 Aug 2020 19:51:36 +0200 Subject: [PATCH 121/129] Handle backtest results without any trades --- freqtrade/optimize/optimize_reports.py | 15 +++++++++++++-- 1 file changed, 13 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 0799ebb23..0681eed7b 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -31,6 +31,7 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N recordfilename.parent, f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}' ).with_suffix(recordfilename.suffix) + print(stats) file_dump_json(filename, stats) latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) @@ -185,6 +186,16 @@ def generate_edge_table(results: dict) -> str: def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: + if len(results) == 0: + return { + 'backtest_best_day': 0, + 'backtest_worst_day': 0, + 'winning_days': 0, + 'draw_days': 0, + 'losing_days': 0, + 'winner_holding_avg': timedelta(), + 'loser_holding_avg': timedelta(), + } daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum() worst = min(daily_profit) best = max(daily_profit) @@ -249,7 +260,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, 'total_trades': len(results), - 'profit_mean': results['profit_percent'].mean(), + 'profit_mean': results['profit_percent'].mean() if len(results) > 0 else 0, 'profit_total': results['profit_percent'].sum(), 'profit_total_abs': results['profit_abs'].sum(), 'backtest_start': min_date.datetime, @@ -258,7 +269,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'backtest_end_ts': max_date.timestamp * 1000, 'backtest_days': backtest_days, - 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0, 'market_change': market_change, 'pairlist': list(btdata.keys()), 'stake_amount': config['stake_amount'], From 4f1179d85c3d3aa11a76768c8aaa6af922157e96 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 20 Aug 2020 19:56:41 +0200 Subject: [PATCH 122/129] Test for empty case --- freqtrade/optimize/optimize_reports.py | 1 - tests/optimize/test_optimize_reports.py | 8 ++++++++ 2 files changed, 8 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 0681eed7b..94729b6a5 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -31,7 +31,6 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N recordfilename.parent, f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}' ).with_suffix(recordfilename.suffix) - print(stats) file_dump_json(filename, stats) latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index e5d98ca43..4f62e2e23 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -204,6 +204,14 @@ def test_generate_daily_stats(testdatadir): assert res['winner_holding_avg'] == timedelta(seconds=1440) assert res['loser_holding_avg'] == timedelta(days=1, seconds=21420) + # Select empty dataframe! + res = generate_daily_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :]) + assert isinstance(res, dict) + assert round(res['backtest_best_day'], 4) == 0.0 + assert res['winning_days'] == 0 + assert res['draw_days'] == 0 + assert res['losing_days'] == 0 + def test_text_table_sell_reason(default_conf): From fa0c8fa0b332e144556851cde5de218bca77f56d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 21 Aug 2020 14:26:23 +0200 Subject: [PATCH 123/129] Readd note about windows hyperopt color output --- docs/hyperopt.md | 3 +++ 1 file changed, 3 insertions(+) diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 9acb606c3..6330a1a5e 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -370,6 +370,9 @@ By default, hyperopt prints colorized results -- epochs with positive profit are You can use the `--print-all` command line option if you would like to see all results in the hyperopt output, not only the best ones. When `--print-all` is used, current best results are also colorized by default -- they are printed in bold (bright) style. This can also be switched off with the `--no-color` command line option. +!!! Note "Windows and color output" + Windows does not support color-output nativly, therefore it is automatically disabled. To have color-output for hyperopt running under windows, please consider using WSL. + ### Understand Hyperopt ROI results If you are optimizing ROI (i.e. if optimization search-space contains 'all', 'default' or 'roi'), your result will look as follows and include a ROI table: From 3d93236709f93e0380659e074e2b44c518a1cc11 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 21 Aug 2020 14:55:47 +0200 Subject: [PATCH 124/129] Remove unused import --- freqtrade/optimize/hyperopt.py | 1 - 1 file changed, 1 deletion(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 3e7e2ca57..b9db3c09a 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -12,7 +12,6 @@ import warnings from collections import OrderedDict from math import ceil from operator import itemgetter -from os import path from pathlib import Path from pprint import pformat from typing import Any, Dict, List, Optional From 0e368b16aba83de72328b52f1e867d6ee5c9bcd1 Mon Sep 17 00:00:00 2001 From: Fredrik81 Date: Fri, 21 Aug 2020 18:25:45 +0200 Subject: [PATCH 125/129] Update stoploss.md --- docs/stoploss.md | 34 ++++++++++++++++------------------ 1 file changed, 16 insertions(+), 18 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 2595a3f55..2518df846 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -6,8 +6,8 @@ For example, value `-0.10` will cause immediate sell if the profit dips below -1 Most of the strategy files already include the optimal `stoploss` value. !!! Info - All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. - Configuration values will override the strategy values. +* All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. +* Configuration values will override the strategy values. ## Stop Loss On-Exchange/Freqtrade @@ -22,35 +22,33 @@ These modes can be configured with these values: 'stoploss_on_exchange_limit_ratio': 0.99 ``` +!!! Note +* Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. +* Do not set too low stoploss value if using stop loss on exchange! +* If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work + ### stoploss_on_exchange and stoploss_on_exchange_limit_ratio Enable or Disable stop loss on exchange. If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled. -If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price. -`stoploss` defines the stop-price - and limit should be slightly below this. -If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type. +If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price. +`stoploss` defines the stop-price where the limit order is placed - and limit should be slightly below this. +If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type. -If `stoploss_on_exchange` fails to fill we can use `stoploss_on_exchange_limit_ratio` that defaults to 0.99 / 1% to perform an [emergency sell](#emergencysell). -Calculation example: we bought the asset at 100$. -Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss(emergency sell) will happen between 95$ and 94.05$. +Calculation example: we bought the asset at 100$. +Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the limit order fill can happen between 95$ and 94.05$. For example, assuming the stoploss is on exchange, and trailing stoploss is enabled, and the market is going up, then the bot automatically cancels the previous stoploss order and puts a new one with a stop value higher than the previous stoploss order. ### stoploss_on_exchange_interval -In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary. +In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary. The bot cannot do these every 5 seconds (at each iteration), otherwise it would get banned by the exchange. So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute). This same logic will reapply a stoploss order on the exchange should you cancel it accidentally. ### emergencysell `emergencysell` is an optional value, which defaults to `market` and is used when creating stop loss on exchange orders fails. -The below is the default which is used if this is not configured in either strategy or configuration file. - -!!! Note - Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. - Do not set too low stoploss value if using stop loss on exchange! -* If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work - +The below is the default which is used if not changed in strategy or configuration file. Example from strategy file: @@ -119,7 +117,7 @@ It is also possible to have a default stop loss, when you are in the red with yo For example, your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. !!! Note - If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refer to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). +* If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refer to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. @@ -174,7 +172,7 @@ For example, simplified math: * now the asset drops in value to 101$, the stop loss will still be 100.94$ and would trigger at 100.94$ !!! Tip - Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. +* Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. ## Changing stoploss on open trades From 637147f89c59a5fe431cd6d0f91f54345922c875 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 22 Aug 2020 09:33:35 +0200 Subject: [PATCH 126/129] Update sql cheatsheet parentheses --- docs/sql_cheatsheet.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/sql_cheatsheet.md b/docs/sql_cheatsheet.md index 748b16928..cf785ced6 100644 --- a/docs/sql_cheatsheet.md +++ b/docs/sql_cheatsheet.md @@ -110,7 +110,7 @@ SET is_open=0, close_date=, close_rate=, close_profit = close_rate / open_rate - 1, - close_profit_abs = (amount * * (1 - fee_close) - (amount * (open_rate * 1 - fee_open))), + close_profit_abs = (amount * * (1 - fee_close) - (amount * (open_rate * (1 - fee_open)))), sell_reason= WHERE id=; ``` @@ -123,7 +123,7 @@ SET is_open=0, close_date='2020-06-20 03:08:45.103418', close_rate=0.19638016, close_profit=0.0496, - close_profit_abs = (amount * 0.19638016 * (1 - fee_close) - (amount * open_rate * (1 - fee_open))), + close_profit_abs = (amount * 0.19638016 * (1 - fee_close) - (amount * (open_rate * (1 - fee_open)))), sell_reason='force_sell' WHERE id=31; ``` From d8a6410fd145d38a01f40b5cbc3757f76db2ea2c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 23 Aug 2020 09:00:57 +0200 Subject: [PATCH 127/129] Fix small bug when using max-open-trades -1 in backtesting --- freqtrade/optimize/optimize_reports.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 94729b6a5..b5e5da4af 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -273,7 +273,8 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], 'pairlist': list(btdata.keys()), 'stake_amount': config['stake_amount'], 'stake_currency': config['stake_currency'], - 'max_open_trades': config['max_open_trades'], + 'max_open_trades': (config['max_open_trades'] + if config['max_open_trades'] != float('inf') else -1), 'timeframe': config['timeframe'], **daily_stats, } From 73417f11f1db843244ac321d91beaaf88ae30c83 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 23 Aug 2020 09:11:52 +0200 Subject: [PATCH 128/129] Fix rendering issue on readthedocs --- docs/stoploss.md | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) diff --git a/docs/stoploss.md b/docs/stoploss.md index 2518df846..fa888cd47 100644 --- a/docs/stoploss.md +++ b/docs/stoploss.md @@ -6,8 +6,8 @@ For example, value `-0.10` will cause immediate sell if the profit dips below -1 Most of the strategy files already include the optimal `stoploss` value. !!! Info -* All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. -* Configuration values will override the strategy values. + All stoploss properties mentioned in this file can be set in the Strategy, or in the configuration. + Configuration values will override the strategy values. ## Stop Loss On-Exchange/Freqtrade @@ -23,9 +23,9 @@ These modes can be configured with these values: ``` !!! Note -* Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. -* Do not set too low stoploss value if using stop loss on exchange! -* If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work + Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now. + Do not set too low stoploss value if using stop loss on exchange! + If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work ### stoploss_on_exchange and stoploss_on_exchange_limit_ratio Enable or Disable stop loss on exchange. @@ -117,7 +117,7 @@ It is also possible to have a default stop loss, when you are in the red with yo For example, your default stop loss is -10%, but once you have more than 0% profit (example 0.1%) a different trailing stoploss will be used. !!! Note -* If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refer to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). + If you want the stoploss to only be changed when you break even of making a profit (what most users want) please refer to next section with [offset enabled](#Trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). Both values require `trailing_stop` to be set to true and `trailing_stop_positive` with a value. @@ -172,7 +172,7 @@ For example, simplified math: * now the asset drops in value to 101$, the stop loss will still be 100.94$ and would trigger at 100.94$ !!! Tip -* Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. + Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade. ## Changing stoploss on open trades From 05ec56d906b025f15032f513a1b68b4c2fec44fb Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 23 Aug 2020 10:16:28 +0200 Subject: [PATCH 129/129] Dates should be changed to UTC to provide the correct timestamp --- freqtrade/persistence.py | 11 ++++++----- 1 file changed, 6 insertions(+), 5 deletions(-) diff --git a/freqtrade/persistence.py b/freqtrade/persistence.py index 28753ed48..9eebadd8d 100644 --- a/freqtrade/persistence.py +++ b/freqtrade/persistence.py @@ -2,7 +2,7 @@ This module contains the class to persist trades into SQLite """ import logging -from datetime import datetime +from datetime import datetime, timezone from decimal import Decimal from typing import Any, Dict, List, Optional @@ -274,7 +274,7 @@ class Trade(_DECL_BASE): 'open_date_hum': arrow.get(self.open_date).humanize(), 'open_date': self.open_date.strftime("%Y-%m-%d %H:%M:%S"), - 'open_timestamp': int(self.open_date.timestamp() * 1000), + 'open_timestamp': int(self.open_date.replace(tzinfo=timezone.utc).timestamp() * 1000), 'open_rate': self.open_rate, 'open_rate_requested': self.open_rate_requested, 'open_trade_price': round(self.open_trade_price, 8), @@ -283,7 +283,8 @@ class Trade(_DECL_BASE): if self.close_date else None), 'close_date': (self.close_date.strftime("%Y-%m-%d %H:%M:%S") if self.close_date else None), - 'close_timestamp': int(self.close_date.timestamp() * 1000) if self.close_date else None, + 'close_timestamp': int(self.close_date.replace( + tzinfo=timezone.utc).timestamp() * 1000) if self.close_date else None, 'close_rate': self.close_rate, 'close_rate_requested': self.close_rate_requested, 'close_profit': self.close_profit, @@ -298,8 +299,8 @@ class Trade(_DECL_BASE): 'stoploss_order_id': self.stoploss_order_id, 'stoploss_last_update': (self.stoploss_last_update.strftime("%Y-%m-%d %H:%M:%S") if self.stoploss_last_update else None), - 'stoploss_last_update_timestamp': (int(self.stoploss_last_update.timestamp() * 1000) - if self.stoploss_last_update else None), + 'stoploss_last_update_timestamp': int(self.stoploss_last_update.replace( + tzinfo=timezone.utc).timestamp() * 1000) if self.stoploss_last_update else None, 'initial_stop_loss': self.initial_stop_loss, # Deprecated - should not be used 'initial_stop_loss_abs': self.initial_stop_loss, 'initial_stop_loss_ratio': (self.initial_stop_loss_pct