def test_generate_profit_graph():
filename = history.make_testdata_path(None) / "backtest-result_test.json"
trades = load_backtest_data(filename)
timerange = Arguments.parse_timerange("20180110-20180112")
pairs = ["POWR/BTC", "XLM/BTC"]
tickers = history.load_data(datadir=None,
pairs=pairs,
ticker_interval='5m',
timerange=timerange)
trades = trades[trades['pair'].isin(pairs)]
fig = generate_profit_graph(pairs, tickers, trades)
assert isinstance(fig, go.Figure)
assert fig.layout.title.text == "Profit plot"
figure = fig.layout.figure
assert len(figure.data) == 4
avgclose = find_trace_in_fig_data(figure.data, "Avg close price")
assert isinstance(avgclose, go.Scattergl)
profit = find_trace_in_fig_data(figure.data, "Profit")
assert isinstance(profit, go.Scattergl)
for pair in pairs:
profit_pair = find_trace_in_fig_data(figure.data, f"Profit {pair}")
assert isinstance(profit_pair, go.Scattergl)
def test_create_cum_profit():
filename = make_testdata_path(None) / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = Arguments.parse_timerange("20180110-20180112")
df = load_pair_history(pair="POWR/BTC",
ticker_interval='5m',
datadir=None,
timerange=timerange)
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'POWR/BTC'],
"cum_profits")
assert "cum_profits" in cum_profits.columns
assert cum_profits.iloc[0]['cum_profits'] == 0
assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
# Reset keys for edge
self.config['exchange']['key'] = ''
self.config['exchange']['secret'] = ''
self.config['exchange']['password'] = ''
self.config['exchange']['uid'] = ''
self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
self.config['dry_run'] = True
self.exchange = Exchange(self.config)
self.strategy = StrategyResolver(self.config).strategy
self.edge = Edge(config, self.exchange, self.strategy)
self.edge._refresh_pairs = self.config.get('refresh_pairs', False)
self.timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
self.edge._timerange = self.timerange
def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
self.config = config
self.exchange = exchange
self.strategy = strategy
self.edge_config = self.config.get('edge', {})
self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
self._final_pairs: list = []
# checking max_open_trades. it should be -1 as with Edge
# the number of trades is determined by position size
if self.config['max_open_trades'] != float('inf'):
logger.critical('max_open_trades should be -1 in config !')
if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
raise OperationalException('Edge works only with unlimited stake amount')
self._capital_percentage: float = self.edge_config.get('capital_available_percentage')
self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time
self._refresh_pairs = True
self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
# calculating stoploss range
self._stoploss_range = np.arange(
self._stoploss_range_min,
self._stoploss_range_max,
self._stoploss_range_step
)
self._timerange: TimeRange = Arguments.parse_timerange("%s-" % arrow.now().shift(
days=-1 * self._since_number_of_days).format('YYYYMMDD'))
self.fee = self.exchange.get_fee()
def init_plotscript(config):
"""
Initialize objects needed for plotting
:return: Dict with tickers, trades, pairs and strategy
"""
exchange: Optional[Exchange] = None
# Exchange is only needed when downloading data!
if config.get("live", False) or config.get("refresh_pairs", False):
exchange = ExchangeResolver(config.get('exchange', {}).get('name'),
config).exchange
strategy = StrategyResolver(config).strategy
if "pairs" in config:
pairs = config["pairs"].split(',')
else:
pairs = config["exchange"]["pair_whitelist"]
# Set timerange to use
timerange = Arguments.parse_timerange(config.get("timerange"))
tickers = history.load_data(
datadir=Path(str(config.get("datadir"))),
pairs=pairs,
ticker_interval=config['ticker_interval'],
refresh_pairs=config.get('refresh_pairs', False),
timerange=timerange,
exchange=exchange,
live=config.get("live", False),
)
trades = load_trades(config)
return {"tickers": tickers,
"trades": trades,
"pairs": pairs,
"strategy": strategy,
}
def test_add_profit():
filename = history.make_testdata_path(None) / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = Arguments.parse_timerange("20180110-20180112")
df = history.load_pair_history(pair="POWR/BTC",
ticker_interval='5m',
datadir=None,
timerange=timerange)
fig = generage_empty_figure()
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'POWR/BTC'],
"cum_profits")
fig1 = add_profit(fig,
row=2,
data=cum_profits,
column='cum_profits',
name='Profits')
figure = fig1.layout.figure
profits = find_trace_in_fig_data(figure.data, "Profits")
assert isinstance(profits, go.Scattergl)
assert profits.yaxis == "y2"
def test_parse_timerange_incorrect() -> None:
assert TimeRange(None, 'line', 0,
-200) == Arguments.parse_timerange('-200')
assert TimeRange('line', None, 200, 0) == Arguments.parse_timerange('200-')
assert TimeRange('index', 'index', 200,
500) == Arguments.parse_timerange('200-500')
assert TimeRange('date', None, 1274486400,
0) == Arguments.parse_timerange('20100522-')
assert TimeRange(None, 'date', 0,
1274486400) == Arguments.parse_timerange('-20100522')
timerange = Arguments.parse_timerange('20100522-20150730')
assert timerange == TimeRange('date', 'date', 1274486400, 1438214400)
# Added test for unix timestamp - BTC genesis date
assert TimeRange('date', None, 1231006505,
0) == Arguments.parse_timerange('1231006505-')
assert TimeRange(None, 'date', 0,
1233360000) == Arguments.parse_timerange('-1233360000')
timerange = Arguments.parse_timerange('1231006505-1233360000')
assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange
# TODO: Find solution for the following case (passing timestamp in ms)
timerange = Arguments.parse_timerange('1231006505000-1233360000000')
assert TimeRange('date', 'date', 1231006505, 1233360000) != timerange
with pytest.raises(Exception, match=r'Incorrect syntax.*'):
Arguments.parse_timerange('-')
def start(self) -> None:
"""
Run a backtesting end-to-end
:return: None
"""
data: Dict[str, Any] = {}
pairs = self.config['exchange']['pair_whitelist']
logger.info('Using stake_currency: %s ...',
self.config['stake_currency'])
logger.info('Using stake_amount: %s ...', self.config['stake_amount'])
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = history.load_data(datadir=Path(self.config['datadir'])
if self.config.get('datadir') else None,
pairs=pairs,
ticker_interval=self.ticker_interval,
refresh_pairs=self.config.get(
'refresh_pairs', False),
exchange=self.exchange,
timerange=timerange,
live=self.config.get('live', False))
if not data:
logger.critical("No data found. Terminating.")
return
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
max_open_trades = self.config['max_open_trades']
else:
logger.info(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...'
)
max_open_trades = 0
all_results = {}
min_date, max_date = history.get_timeframe(data)
logger.info('Backtesting with data from %s up to %s (%s days)..',
min_date.isoformat(), max_date.isoformat(),
(max_date - min_date).days)
for strat in self.strategylist:
logger.info("Running backtesting for Strategy %s",
strat.get_strategy_name())
self._set_strategy(strat)
# need to reprocess data every time to populate signals
preprocessed = self.strategy.tickerdata_to_dataframe(data)
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest({
'stake_amount':
self.config.get('stake_amount'),
'processed':
preprocessed,
'max_open_trades':
max_open_trades,
'position_stacking':
self.config.get('position_stacking', False),
'start_date':
min_date,
'end_date':
max_date,
})
for strategy, results in all_results.items():
if self.config.get('export', False):
self._store_backtest_result(
self.config['exportfilename'], results,
strategy if len(self.strategylist) > 1 else None)
print(f"Result for strategy {strategy}")
print(' BACKTESTING REPORT '.center(133, '='))
print(self._generate_text_table(data, results))
print(' SELL REASON STATS '.center(133, '='))
print(self._generate_text_table_sell_reason(data, results))
print(' LEFT OPEN TRADES REPORT '.center(133, '='))
print(
self._generate_text_table(data,
results.loc[results.open_at_end],
True))
print()
if len(all_results) > 1:
# Print Strategy summary table
print(' Strategy Summary '.center(133, '='))
print(self._generate_text_table_strategy(all_results))
print('\nFor more details, please look at the detail tables above')
if not pairs or args.pairs_file:
logger.info(f'Reading pairs file "{pairs_file}".')
# Download pairs from the pairs file if no config is specified
# or if pairs file is specified explicitely
if not pairs_file.exists():
sys.exit(f'No pairs file found with path "{pairs_file}".')
with pairs_file.open() as file:
pairs = list(set(json.load(file)))
pairs.sort()
timerange = TimeRange()
if args.days:
time_since = arrow.utcnow().shift(days=-args.days).strftime("%Y%m%d")
timerange = arguments.parse_timerange(f'{time_since}-')
logger.info(f'About to download pairs: {pairs}, intervals: {timeframes} to {dl_path}')
pairs_not_available = []
try:
# Init exchange
exchange = Exchange(config)
for pair in pairs:
if pair not in exchange._api.markets:
pairs_not_available.append(pair)
logger.info(f"Skipping pair {pair}...")
continue
for ticker_interval in timeframes:
def start(self) -> None:
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = load_data(datadir=Path(self.config['datadir'])
if self.config.get('datadir') else None,
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,
refresh_pairs=self.config.get('refresh_pairs', False),
exchange=self.exchange,
timerange=timerange)
if not data:
logger.critical("No data found. Terminating.")
return
min_date, max_date = get_timeframe(data)
logger.info('Hyperopting with data from %s up to %s (%s days)..',
min_date.isoformat(), max_date.isoformat(),
(max_date - min_date).days)
self.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
preprocessed = self.strategy.tickerdata_to_dataframe(data)
dump(preprocessed, TICKERDATA_PICKLE)
# We don't need exchange instance anymore while running hyperopt
self.exchange = None # type: ignore
self.load_previous_results()
cpus = cpu_count()
logger.info(f'Found {cpus} CPU cores. Let\'s make them scream!')
config_jobs = self.config.get('hyperopt_jobs', -1)
logger.info(f'Number of parallel jobs set as: {config_jobs}')
opt = self.get_optimizer(config_jobs)
try:
with Parallel(n_jobs=config_jobs) as parallel:
jobs = parallel._effective_n_jobs()
logger.info(
f'Effective number of parallel workers used: {jobs}')
EVALS = max(self.total_tries // jobs, 1)
for i in range(EVALS):
asked = opt.ask(n_points=jobs)
f_val = self.run_optimizer_parallel(parallel, asked)
opt.tell(asked, [i['loss'] for i in f_val])
self.trials += f_val
for j in range(jobs):
current = i * jobs + j
self.log_results({
'loss': f_val[j]['loss'],
'current_tries': current,
'initial_point': current < INITIAL_POINTS,
'total_tries': self.total_tries,
'result': f_val[j]['result'],
})
logger.debug(f"Optimizer params: {f_val[j]['params']}")
for j in range(jobs):
logger.debug(
f"Optimizer state: Xi: {opt.Xi[-j-1]}, yi: {opt.yi[-j-1]}"
)
except KeyboardInterrupt:
print('User interrupted..')
self.save_trials()
self.log_trials_result()
