Merge pull request freqtrade#1037 from freqtrade/fix/backtest-comment

replace --realistic with 2 separate flags

docs/backtesting.md

@@ -29,25 +29,25 @@ The backtesting is very easy with freqtrade.
 #### With 5 min tickers (Per default)
 
 ```bash
-python3 ./freqtrade/main.py backtesting --realistic-simulation
+python3 ./freqtrade/main.py backtesting
 ```
 
 #### With 1 min tickers
 
 ```bash
-python3 ./freqtrade/main.py backtesting --realistic-simulation --ticker-interval 1m
+python3 ./freqtrade/main.py backtesting --ticker-interval 1m
 ```
 
 #### Update cached pairs with the latest data
 
 ```bash
-python3 ./freqtrade/main.py backtesting --realistic-simulation --refresh-pairs-cached
+python3 ./freqtrade/main.py backtesting --refresh-pairs-cached
 ```
 
 #### With live data (do not alter your testdata files)
 
 ```bash
-python3 ./freqtrade/main.py backtesting --realistic-simulation --live
+python3 ./freqtrade/main.py backtesting --live
 ```
 
 #### Using a different on-disk ticker-data source

docs/bot-usage.md

@@ -117,18 +117,21 @@ python3 ./freqtrade/main.py -c config.json --db-url sqlite:///tradesv3.dry_run.s
 Backtesting also uses the config specified via `-c/--config`.
 
 ```
-usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--realistic-simulation]
-                           [--timerange TIMERANGE] [-l] [-r] [--export EXPORT]
-                           [--export-filename EXPORTFILENAME]
-
+usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--eps] [--dmmp]
+                             [--timerange TIMERANGE] [-l] [-r]
+                             [--export EXPORT] [--export-filename PATH]
 
 optional arguments:
   -h, --help            show this help message and exit
   -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
                         specify ticker interval (1m, 5m, 30m, 1h, 1d)
-  --realistic-simulation
-                        uses max_open_trades from config to simulate real
-                        world limitations
+  --eps, --enable-position-stacking
+                        Allow buying the same pair multiple times (position
+                        stacking)
+  --dmmp, --disable-max-market-positions
+                        Disable applying `max_open_trades` during backtest
+                        (same as setting `max_open_trades` to a very high
+                        number)
   --timerange TIMERANGE
                         specify what timerange of data to use.
   -l, --live            using live data
@@ -138,11 +141,13 @@ optional arguments:
                         run your backtesting with up-to-date data.
   --export EXPORT       export backtest results, argument are: trades Example
                         --export=trades
-  --export-filename EXPORTFILENAME
+  --export-filename PATH
                         Save backtest results to this filename requires
                         --export to be set as well Example --export-
-                        filename=backtest_today.json (default: backtest-
-                        result.json
+                        filename=user_data/backtest_data/backtest_today.json
+                        (default: user_data/backtest_data/backtest-
+                        result.json)
+
 ```
 
 ### How to use --refresh-pairs-cached parameter?
@@ -164,22 +169,28 @@ To optimize your strategy, you can use hyperopt parameter hyperoptimization
 to find optimal parameter values for your stategy.
 
 ```
-usage: main.py hyperopt [-h] [-i TICKER_INTERVAL] [--realistic-simulation]
-                        [--timerange TIMERANGE] [-e INT]
-                        [-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]]
+usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--eps] [--dmmp]
+                          [--timerange TIMERANGE] [-e INT]
+                          [-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]]
 
 optional arguments:
   -h, --help            show this help message and exit
   -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
                         specify ticker interval (1m, 5m, 30m, 1h, 1d)
-  --realistic-simulation
-                        uses max_open_trades from config to simulate real
-                        world limitations
-  --timerange TIMERANGE specify what timerange of data to use.
+  --eps, --enable-position-stacking
+                        Allow buying the same pair multiple times (position
+                        stacking)
+  --dmmp, --disable-max-market-positions
+                        Disable applying `max_open_trades` during backtest
+                        (same as setting `max_open_trades` to a very high
+                        number)
+  --timerange TIMERANGE
+                        specify what timerange of data to use.
   -e INT, --epochs INT  specify number of epochs (default: 100)
   -s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...], --spaces {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]
                         Specify which parameters to hyperopt. Space separate
                         list. Default: all
+
 ```
 
 ## A parameter missing in the configuration?

freqtrade/arguments.py

@@ -176,11 +176,22 @@ def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
             type=str,
         )
         parser.add_argument(
-            '--realistic-simulation',
-            help='uses max_open_trades from config to simulate real world limitations',
+            '--eps', '--enable-position-stacking',
+            help='Allow buying the same pair multiple times (position stacking)',
             action='store_true',
-            dest='realistic_simulation',
+            dest='position_stacking',
+            default=False
         )
+
+        parser.add_argument(
+            '--dmmp', '--disable-max-market-positions',
+            help='Disable applying `max_open_trades` during backtest '
+                 '(same as setting `max_open_trades` to a very high number)',
+            action='store_false',
+            dest='use_max_market_positions',
+            default=True
+        )
+
         parser.add_argument(
             '--timerange',
             help='specify what timerange of data to use.',

freqtrade/configuration.py

@@ -155,11 +155,18 @@ def _load_backtesting_config(self, config: Dict[str, Any]) -> Dict[str, Any]:
             config.update({'live': True})
             logger.info('Parameter -l/--live detected ...')
 
-        # If --realistic-simulation is used we add it to the configuration
-        if 'realistic_simulation' in self.args and self.args.realistic_simulation:
-            config.update({'realistic_simulation': True})
-            logger.info('Parameter --realistic-simulation detected ...')
-        logger.info('Using max_open_trades: %s ...', config.get('max_open_trades'))
+        # If --enable-position-stacking is used we add it to the configuration
+        if 'position_stacking' in self.args and self.args.position_stacking:
+            config.update({'position_stacking': True})
+            logger.info('Parameter --enable-position-stacking detected ...')
+
+        # If --disable-max-market-positions is used we add it to the configuration
+        if 'use_max_market_positions' in self.args and not self.args.use_max_market_positions:
+            config.update({'use_max_market_positions': False})
+            logger.info('Parameter --disable-max-market-positions detected ...')
+            logger.info('max_open_trades set to unlimited ...')
+        else:
+            logger.info('Using max_open_trades: %s ...', config.get('max_open_trades'))
 
         # If --timerange is used we add it to the configuration
         if 'timerange' in self.args and self.args.timerange:
@@ -195,7 +202,7 @@ def _load_hyperopt_config(self, config: Dict[str, Any]) -> Dict[str, Any]:
         Extract information for sys.argv and load Hyperopt configuration
         :return: configuration as dictionary
         """
-        # If --realistic-simulation is used we add it to the configuration
+        # If --epochs is used we add it to the configuration
         if 'epochs' in self.args and self.args.epochs:
             config.update({'epochs': self.args.epochs})
             logger.info('Parameter --epochs detected ...')

freqtrade/optimize/backtesting.py

@@ -202,13 +202,13 @@ def backtest(self, args: Dict) -> DataFrame:
             stake_amount: btc amount to use for each trade
             processed: a processed dictionary with format {pair, data}
             max_open_trades: maximum number of concurrent trades (default: 0, disabled)
-            realistic: do we try to simulate realistic trades? (default: True)
+            position_stacking: do we allow position stacking? (default: False)
         :return: DataFrame
         """
         headers = ['date', 'buy', 'open', 'close', 'sell']
         processed = args['processed']
         max_open_trades = args.get('max_open_trades', 0)
-        realistic = args.get('realistic', False)
+        position_stacking = args.get('position_stacking', False)
         trades = []
         trade_count_lock: Dict = {}
         for pair, pair_data in processed.items():
@@ -232,7 +232,7 @@ def backtest(self, args: Dict) -> DataFrame:
                 if row.buy == 0 or row.sell == 1:
                     continue  # skip rows where no buy signal or that would immediately sell off
 
-                if realistic:
+                if not position_stacking:
                     if lock_pair_until is not None and row.date <= lock_pair_until:
                         continue
                 if max_open_trades > 0:
@@ -286,11 +286,11 @@ def start(self) -> None:
         if not data:
             logger.critical("No data found. Terminating.")
             return
-        # Ignore max_open_trades in backtesting, except realistic flag was passed
-        if self.config.get('realistic_simulation', False):
+        # 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 (realistic_simulation not set) ...')
+            logger.info('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
             max_open_trades = 0
 
         preprocessed = self.tickerdata_to_dataframe(data)
@@ -310,7 +310,7 @@ def start(self) -> None:
                 'stake_amount': self.config.get('stake_amount'),
                 'processed': preprocessed,
                 'max_open_trades': max_open_trades,
-                'realistic': self.config.get('realistic_simulation', False),
+                'position_stacking': self.config.get('position_stacking', False),
             }
         )
 

freqtrade/optimize/hyperopt.py

@@ -280,7 +280,7 @@ def generate_optimizer(self, _params) -> Dict:
             {
                 'stake_amount': self.config['stake_amount'],
                 'processed': processed,
-                'realistic': self.config.get('realistic_simulation', False),
+                'position_stacking': self.config.get('position_stacking', True),
             }
         )
         result_explanation = self.format_results(results)

freqtrade/tests/optimize/test_backtesting.py

@@ -96,7 +96,7 @@ def simple_backtest(config, contour, num_results, mocker) -> None:
             'stake_amount': config['stake_amount'],
             'processed': processed,
             'max_open_trades': 1,
-            'realistic': True
+            'position_stacking': False
         }
     )
     # results :: <class 'pandas.core.frame.DataFrame'>
@@ -127,7 +127,7 @@ def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
         'stake_amount': conf['stake_amount'],
         'processed': backtesting.tickerdata_to_dataframe(data),
         'max_open_trades': 10,
-        'realistic': True,
+        'position_stacking': False,
         'record': record
     }
 
@@ -193,8 +193,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
     assert 'live' not in config
     assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
 
-    assert 'realistic_simulation' not in config
-    assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
+    assert 'position_stacking' not in config
+    assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
 
     assert 'refresh_pairs' not in config
     assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
@@ -218,7 +218,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
         'backtesting',
         '--ticker-interval', '1m',
         '--live',
-        '--realistic-simulation',
+        '--enable-position-stacking',
+        '--disable-max-market-positions',
         '--refresh-pairs-cached',
         '--timerange', ':100',
         '--export', '/bar/foo',
@@ -246,9 +247,12 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
     assert 'live' in config
     assert log_has('Parameter -l/--live detected ...', caplog.record_tuples)
 
-    assert 'realistic_simulation' in config
-    assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
-    assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples)
+    assert 'position_stacking' in config
+    assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
+
+    assert 'use_max_market_positions' in config
+    assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples)
+    assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples)
 
     assert 'refresh_pairs' in config
     assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
@@ -491,7 +495,7 @@ def test_backtest(default_conf, fee, mocker) -> None:
             'stake_amount': default_conf['stake_amount'],
             'processed': data_processed,
             'max_open_trades': 10,
-            'realistic': True
+            'position_stacking': False
         }
     )
     assert not results.empty
@@ -539,7 +543,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
             'stake_amount': default_conf['stake_amount'],
             'processed': backtesting.tickerdata_to_dataframe(data),
             'max_open_trades': 1,
-            'realistic': True
+            'position_stacking': False
         }
     )
     assert not results.empty
@@ -714,7 +718,8 @@ def test_backtest_start_live(default_conf, mocker, caplog):
         '--ticker-interval', '1m',
         '--live',
         '--timerange', '-100',
-        '--realistic-simulation'
+        '--enable-position-stacking',
+        '--disable-max-market-positions'
     ]
     args = get_args(args)
     start(args)
@@ -723,14 +728,14 @@ def test_backtest_start_live(default_conf, mocker, caplog):
         'Parameter -i/--ticker-interval detected ...',
         'Using ticker_interval: 1m ...',
         'Parameter -l/--live detected ...',
-        'Using max_open_trades: 1 ...',
+        'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
         'Parameter --timerange detected: -100 ...',
         'Using data folder: freqtrade/tests/testdata ...',
         'Using stake_currency: BTC ...',
         'Using stake_amount: 0.001 ...',
         'Downloading data for all pairs in whitelist ...',
         'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
-        'Parameter --realistic-simulation detected ...'
+        'Parameter --enable-position-stacking detected ...'
     ]
 
     for line in exists:

freqtrade/tests/test_configuration.py

@@ -276,8 +276,8 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
     assert 'live' not in config
     assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
 
-    assert 'realistic_simulation' not in config
-    assert not log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
+    assert 'position_stacking' not in config
+    assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
 
     assert 'refresh_pairs' not in config
     assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
@@ -301,7 +301,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
         'backtesting',
         '--ticker-interval', '1m',
         '--live',
-        '--realistic-simulation',
+        '--enable-position-stacking',
+        '--disable-max-market-positions',
         '--refresh-pairs-cached',
         '--timerange', ':100',
         '--export', '/bar/foo'
@@ -331,9 +332,12 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
     assert 'live' in config
     assert log_has('Parameter -l/--live detected ...', caplog.record_tuples)
 
-    assert 'realistic_simulation'in config
-    assert log_has('Parameter --realistic-simulation detected ...', caplog.record_tuples)
-    assert log_has('Using max_open_trades: 1 ...', caplog.record_tuples)
+    assert 'position_stacking'in config
+    assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
+
+    assert 'use_max_market_positions' in config
+    assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples)
+    assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples)
 
     assert 'refresh_pairs'in config
     assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)