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Commit 4c60488

Browse files
arkershawkernc
andauthored
BUG: Restore original scale in FractionalBacktest plot (#1247)
* Restore original unit of fractional backtest for results/plot. * Add pytest requirement. * Add modified values to test. * Revert "Add pytest requirement." This reverts commit 9092e19. * Add test for indicator scaling. * Test params for fractional backtest plot. * Refactor scaling of OHLC data to avoid duplication. * REF: Fractionalize data df JIT before bt.run * TST: Simplify test * TST: Simplify another test --------- Co-authored-by: arkershaw <721253+arkershaw@users.noreply.github.com> Co-authored-by: Kernc <kerncece@gmail.com>
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‎backtesting/lib.py‎

Lines changed: 23 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -25,7 +25,7 @@
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from ._plotting import plot_heatmaps as _plot_heatmaps
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from ._stats import compute_stats as _compute_stats
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from ._util import SharedMemoryManager, _Array, _as_str, _batch, _tqdm
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from ._util import SharedMemoryManager, _Array, _as_str, _batch, _tqdm, patch
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from .backtesting import Backtest, Strategy
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__pdoc__ = {}
@@ -533,10 +533,28 @@ def __init__(self,
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'Use `FractionalBacktest(..., fractional_unit=)`.',
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category=DeprecationWarning, stacklevel=2)
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fractional_unit = 1 / kwargs.pop('satoshi')
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data = data.copy()
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data[['Open', 'High', 'Low', 'Close']] *= fractional_unit
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data['Volume'] /= fractional_unit
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super().__init__(data, *args, **kwargs)
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self._fractional_unit = fractional_unit
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with warnings.catch_warnings(record=True):
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warnings.filterwarnings(action='ignore', message='frac')
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super().__init__(data, *args, **kwargs)
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def run(self, **kwargs) -> pd.Series:
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data = self._data.copy()
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data[['Open', 'High', 'Low', 'Close']] *= self._fractional_unit
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data['Volume'] /= self._fractional_unit
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with patch(self, '_data', data):
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result = super().run(**kwargs)
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trades: pd.DataFrame = result['_trades']
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trades['Size'] *= self._fractional_unit
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trades[['EntryPrice', 'ExitPrice', 'TP', 'SL']] /= self._fractional_unit
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indicators = result['_strategy']._indicators
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for indicator in indicators:
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if indicator._opts['overlay']:
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indicator /= self._fractional_unit
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return result
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# Prevent pdoc3 documenting __init__ signature of Strategy subclasses

‎backtesting/test/_test.py‎

Lines changed: 5 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -934,6 +934,11 @@ def test_FractionalBacktest(self):
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ubtc_bt = FractionalBacktest(BTCUSD['2015':], SmaCross, fractional_unit=1 / 1e6, cash=100)
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stats = ubtc_bt.run(fast=2, slow=3)
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self.assertEqual(stats['# Trades'], 41)
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trades = stats['_trades']
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self.assertEqual(len(trades), 41)
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trade = trades.iloc[0]
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self.assertAlmostEqual(trade['EntryPrice'], 236.69)
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self.assertAlmostEqual(stats['_strategy']._indicators[0][trade['EntryBar']], 234.14)
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def test_MultiBacktest(self):
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import backtesting

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