stable/tests/strategy/test_strategy.py

415 lines
15 KiB
Python
Raw Normal View History

2018-01-28 07:38:41 +00:00
# pragma pylint: disable=missing-docstring, protected-access, C0103
2018-01-15 08:35:11 +00:00
import logging
import warnings
from base64 import urlsafe_b64encode
2018-11-24 19:39:16 +00:00
from pathlib import Path
2018-03-24 20:56:20 +00:00
2018-03-25 14:28:04 +00:00
import pytest
from pandas import DataFrame
2018-03-25 14:28:04 +00:00
from freqtrade.exceptions import OperationalException
from freqtrade.resolvers import StrategyResolver
2018-03-24 20:56:20 +00:00
from freqtrade.strategy.interface import IStrategy
2019-09-08 07:54:15 +00:00
from tests.conftest import log_has, log_has_re
2018-01-15 08:35:11 +00:00
def test_search_strategy():
default_location = Path(__file__).parent / 'strats'
2019-07-12 20:45:49 +00:00
s, _ = StrategyResolver._search_object(
directory=default_location,
object_name='DefaultStrategy'
2018-03-24 21:16:42 +00:00
)
assert issubclass(s, IStrategy)
2019-07-12 20:45:49 +00:00
s, _ = StrategyResolver._search_object(
directory=default_location,
object_name='NotFoundStrategy'
2019-07-12 20:45:49 +00:00
)
assert s is None
2018-01-15 08:35:11 +00:00
2020-02-15 01:32:10 +00:00
def test_search_all_strategies_no_failed():
2020-02-18 19:12:10 +00:00
directory = Path(__file__).parent / "strats"
2020-02-15 01:22:21 +00:00
strategies = StrategyResolver.search_all_objects(directory, enum_failed=False)
2019-12-24 14:35:38 +00:00
assert isinstance(strategies, list)
2020-02-18 19:12:10 +00:00
assert len(strategies) == 2
2019-12-24 14:35:38 +00:00
assert isinstance(strategies[0], dict)
2020-02-15 01:32:10 +00:00
def test_search_all_strategies_with_failed():
2020-02-18 19:12:10 +00:00
directory = Path(__file__).parent / "strats"
2020-02-15 01:32:10 +00:00
strategies = StrategyResolver.search_all_objects(directory, enum_failed=True)
assert isinstance(strategies, list)
2020-02-18 19:12:10 +00:00
assert len(strategies) == 3
# with enum_failed=True search_all_objects() shall find 2 good strategies
2020-02-15 03:54:18 +00:00
# and 1 which fails to load
2020-02-18 19:12:10 +00:00
assert len([x for x in strategies if x['class'] is not None]) == 2
2020-02-15 03:54:18 +00:00
assert len([x for x in strategies if x['class'] is None]) == 1
2020-02-15 01:32:10 +00:00
2019-07-25 05:17:25 +00:00
def test_load_strategy(default_conf, result):
default_conf.update({'strategy': 'SampleStrategy',
'strategy_path': str(Path(__file__).parents[2] / 'freqtrade/templates')
})
strategy = StrategyResolver.load_strategy(default_conf)
assert 'rsi' in strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
2018-01-15 08:35:11 +00:00
2019-07-25 05:17:25 +00:00
def test_load_strategy_base64(result, caplog, default_conf):
with (Path(__file__).parents[2] / 'freqtrade/templates/sample_strategy.py').open("rb") as file:
encoded_string = urlsafe_b64encode(file.read()).decode("utf-8")
2019-08-27 04:41:07 +00:00
default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)})
2019-07-25 05:17:25 +00:00
strategy = StrategyResolver.load_strategy(default_conf)
assert 'rsi' in strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
# Make sure strategy was loaded from base64 (using temp directory)!!
2019-08-27 04:41:07 +00:00
assert log_has_re(r"Using resolved strategy SampleStrategy from '"
2019-10-18 10:48:12 +00:00
r".*(/|\\).*(/|\\)SampleStrategy\.py'\.\.\.", caplog)
2019-07-25 05:17:25 +00:00
def test_load_strategy_invalid_directory(result, caplog, default_conf):
2019-11-16 13:47:44 +00:00
default_conf['strategy'] = 'DefaultStrategy'
2019-06-17 12:34:45 +00:00
extra_dir = Path.cwd() / 'some/path'
with pytest.raises(OperationalException):
StrategyResolver._load_strategy('DefaultStrategy', config=default_conf,
extra_dir=extra_dir)
assert log_has_re(r'Path .*' + r'some.*path.*' + r'.* does not exist', caplog)
2018-03-25 14:28:04 +00:00
2019-07-25 05:17:25 +00:00
def test_load_not_found_strategy(default_conf):
2019-09-21 17:54:44 +00:00
default_conf['strategy'] = 'NotFoundStrategy'
2019-07-12 20:45:49 +00:00
with pytest.raises(OperationalException,
match=r"Impossible to load Strategy 'NotFoundStrategy'. "
r"This class does not exist or contains Python code errors."):
StrategyResolver.load_strategy(default_conf)
2019-09-21 17:54:44 +00:00
def test_load_strategy_noname(default_conf):
default_conf['strategy'] = ''
with pytest.raises(OperationalException,
match="No strategy set. Please use `--strategy` to specify "
"the strategy class to use."):
StrategyResolver.load_strategy(default_conf)
2019-09-21 17:54:44 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy(result, default_conf):
default_conf.update({'strategy': 'DefaultStrategy'})
2018-01-15 08:35:11 +00:00
strategy = StrategyResolver.load_strategy(default_conf)
metadata = {'pair': 'ETH/BTC'}
assert strategy.minimal_roi[0] == 0.04
2019-07-25 05:17:25 +00:00
assert default_conf["minimal_roi"]['0'] == 0.04
2018-01-15 08:35:11 +00:00
assert strategy.stoploss == -0.10
2019-07-25 05:17:25 +00:00
assert default_conf['stoploss'] == -0.10
2020-06-02 07:36:04 +00:00
assert strategy.timeframe == '5m'
assert strategy.ticker_interval == '5m'
2020-06-01 18:47:27 +00:00
assert default_conf['timeframe'] == '5m'
2018-01-15 08:35:11 +00:00
df_indicators = strategy.advise_indicators(result, metadata=metadata)
2018-07-18 20:04:34 +00:00
assert 'adx' in df_indicators
2018-01-15 08:35:11 +00:00
dataframe = strategy.advise_buy(df_indicators, metadata=metadata)
2018-01-15 08:35:11 +00:00
assert 'buy' in dataframe.columns
dataframe = strategy.advise_sell(df_indicators, metadata=metadata)
2018-01-15 08:35:11 +00:00
assert 'sell' in dataframe.columns
2019-07-25 05:17:25 +00:00
def test_strategy_override_minimal_roi(caplog, default_conf):
2018-01-31 17:37:38 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
2018-01-15 08:35:11 +00:00
'minimal_roi': {
"0": 0.5
}
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2018-01-15 08:35:11 +00:00
assert strategy.minimal_roi[0] == 0.5
assert log_has("Override strategy 'minimal_roi' with value in config file: {'0': 0.5}.", caplog)
2018-01-15 08:35:11 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_stoploss(caplog, default_conf):
2018-01-31 17:37:38 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
2018-01-15 08:35:11 +00:00
'stoploss': -0.5
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2018-01-15 08:35:11 +00:00
assert strategy.stoploss == -0.5
assert log_has("Override strategy 'stoploss' with value in config file: -0.5.", caplog)
2019-07-25 05:17:25 +00:00
def test_strategy_override_trailing_stop(caplog, default_conf):
2019-01-05 06:10:25 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
2019-01-05 06:10:25 +00:00
'strategy': 'DefaultStrategy',
'trailing_stop': True
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2019-01-05 06:10:25 +00:00
assert strategy.trailing_stop
assert isinstance(strategy.trailing_stop, bool)
assert log_has("Override strategy 'trailing_stop' with value in config file: True.", caplog)
2019-01-05 06:10:25 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_trailing_stop_positive(caplog, default_conf):
2019-01-05 06:10:25 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
2019-01-05 06:10:25 +00:00
'strategy': 'DefaultStrategy',
'trailing_stop_positive': -0.1,
'trailing_stop_positive_offset': -0.2
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2019-01-05 06:10:25 +00:00
assert strategy.trailing_stop_positive == -0.1
assert log_has("Override strategy 'trailing_stop_positive' with value in config file: -0.1.",
caplog)
2019-01-05 06:10:25 +00:00
assert strategy.trailing_stop_positive_offset == -0.2
assert log_has("Override strategy 'trailing_stop_positive' with value in config file: -0.1.",
caplog)
2019-01-05 06:10:25 +00:00
2020-06-01 18:47:27 +00:00
def test_strategy_override_timeframe(caplog, default_conf):
2018-01-31 17:37:38 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
2020-06-01 18:47:27 +00:00
'timeframe': 60,
'stake_currency': 'ETH'
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.timeframe == 60
assert strategy.stake_currency == 'ETH'
2020-06-01 18:47:27 +00:00
assert log_has("Override strategy 'timeframe' with value in config file: 60.",
caplog)
2018-07-18 19:45:04 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_process_only_new_candles(caplog, default_conf):
2018-08-09 18:12:45 +00:00
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
2018-08-09 18:12:45 +00:00
'strategy': 'DefaultStrategy',
'process_only_new_candles': True
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2018-08-09 18:12:45 +00:00
assert strategy.process_only_new_candles
assert log_has("Override strategy 'process_only_new_candles' with value in config file: True.",
caplog)
2018-08-09 18:12:45 +00:00
2018-08-09 18:17:55 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_order_types(caplog, default_conf):
caplog.set_level(logging.INFO)
order_types = {
'buy': 'market',
'sell': 'limit',
2018-11-25 18:03:28 +00:00
'stoploss': 'limit',
'stoploss_on_exchange': True,
}
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
'order_types': order_types
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.order_types
2018-11-25 18:03:28 +00:00
for method in ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']:
assert strategy.order_types[method] == order_types[method]
assert log_has("Override strategy 'order_types' with value in config file:"
" {'buy': 'market', 'sell': 'limit', 'stoploss': 'limit',"
" 'stoploss_on_exchange': True}.", caplog)
2019-07-25 05:17:25 +00:00
default_conf.update({
2018-11-17 12:12:11 +00:00
'strategy': 'DefaultStrategy',
'order_types': {'buy': 'market'}
2019-07-25 05:17:25 +00:00
})
2018-11-17 12:12:11 +00:00
# Raise error for invalid configuration
with pytest.raises(ImportError,
match=r"Impossible to load Strategy 'DefaultStrategy'. "
r"Order-types mapping is incomplete."):
StrategyResolver.load_strategy(default_conf)
2018-11-17 12:12:11 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_order_tif(caplog, default_conf):
2018-12-10 18:17:56 +00:00
caplog.set_level(logging.INFO)
order_time_in_force = {
'buy': 'fok',
'sell': 'gtc',
}
2019-07-25 05:17:25 +00:00
default_conf.update({
2018-12-10 18:17:56 +00:00
'strategy': 'DefaultStrategy',
'order_time_in_force': order_time_in_force
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
2018-12-10 18:17:56 +00:00
assert strategy.order_time_in_force
2018-12-10 18:17:56 +00:00
for method in ['buy', 'sell']:
assert strategy.order_time_in_force[method] == order_time_in_force[method]
2018-12-10 18:17:56 +00:00
assert log_has("Override strategy 'order_time_in_force' with value in config file:"
" {'buy': 'fok', 'sell': 'gtc'}.", caplog)
2018-12-10 18:17:56 +00:00
2019-07-25 05:17:25 +00:00
default_conf.update({
2018-12-10 18:17:56 +00:00
'strategy': 'DefaultStrategy',
'order_time_in_force': {'buy': 'fok'}
2019-07-25 05:17:25 +00:00
})
2018-12-10 18:17:56 +00:00
# Raise error for invalid configuration
with pytest.raises(ImportError,
match=r"Impossible to load Strategy 'DefaultStrategy'. "
r"Order-time-in-force mapping is incomplete."):
StrategyResolver.load_strategy(default_conf)
2018-12-10 18:17:56 +00:00
2019-07-25 05:17:25 +00:00
def test_strategy_override_use_sell_signal(caplog, default_conf):
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.use_sell_signal
assert isinstance(strategy.use_sell_signal, bool)
# must be inserted to configuration
assert 'use_sell_signal' in default_conf['ask_strategy']
assert default_conf['ask_strategy']['use_sell_signal']
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
'ask_strategy': {
'use_sell_signal': False,
},
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert not strategy.use_sell_signal
assert isinstance(strategy.use_sell_signal, bool)
assert log_has("Override strategy 'use_sell_signal' with value in config file: False.", caplog)
2019-07-25 05:17:25 +00:00
def test_strategy_override_use_sell_profit_only(caplog, default_conf):
caplog.set_level(logging.INFO)
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert not strategy.sell_profit_only
assert isinstance(strategy.sell_profit_only, bool)
# must be inserted to configuration
assert 'sell_profit_only' in default_conf['ask_strategy']
assert not default_conf['ask_strategy']['sell_profit_only']
2019-07-25 05:17:25 +00:00
default_conf.update({
'strategy': 'DefaultStrategy',
'ask_strategy': {
'sell_profit_only': True,
},
2019-07-25 05:17:25 +00:00
})
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.sell_profit_only
assert isinstance(strategy.sell_profit_only, bool)
assert log_has("Override strategy 'sell_profit_only' with value in config file: True.", caplog)
@pytest.mark.filterwarnings("ignore:deprecated")
2019-07-25 05:17:25 +00:00
def test_deprecate_populate_indicators(result, default_conf):
2020-02-18 19:12:10 +00:00
default_location = Path(__file__).parent / "strats"
2019-07-25 05:17:25 +00:00
default_conf.update({'strategy': 'TestStrategyLegacy',
'strategy_path': default_location})
strategy = StrategyResolver.load_strategy(default_conf)
2018-07-18 19:45:04 +00:00
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
indicators = strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
2018-07-18 19:45:04 +00:00
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
2018-07-18 19:45:04 +00:00
with warnings.catch_warnings(record=True) as w:
2019-01-31 05:51:03 +00:00
# Cause all warnings to always be triggered.
2018-07-18 19:45:04 +00:00
warnings.simplefilter("always")
strategy.advise_buy(indicators, {'pair': 'ETH/BTC'})
2018-07-18 19:45:04 +00:00
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
2018-07-18 19:45:04 +00:00
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
strategy.advise_sell(indicators, {'pair': 'ETH_BTC'})
2018-07-18 19:45:04 +00:00
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
@pytest.mark.filterwarnings("ignore:deprecated")
2020-06-02 11:08:21 +00:00
def test_call_deprecated_function(result, monkeypatch, default_conf, caplog):
2020-02-18 19:12:10 +00:00
default_location = Path(__file__).parent / "strats"
2020-06-02 11:08:21 +00:00
del default_conf['timeframe']
2019-07-25 05:17:25 +00:00
default_conf.update({'strategy': 'TestStrategyLegacy',
'strategy_path': default_location})
strategy = StrategyResolver.load_strategy(default_conf)
metadata = {'pair': 'ETH/BTC'}
# Make sure we are using a legacy function
assert strategy._populate_fun_len == 2
assert strategy._buy_fun_len == 2
assert strategy._sell_fun_len == 2
assert strategy.INTERFACE_VERSION == 1
2020-06-02 08:11:50 +00:00
assert strategy.timeframe == '5m'
assert strategy.ticker_interval == '5m'
2019-08-26 17:44:33 +00:00
indicator_df = strategy.advise_indicators(result, metadata=metadata)
2019-08-26 17:44:33 +00:00
assert isinstance(indicator_df, DataFrame)
assert 'adx' in indicator_df.columns
buydf = strategy.advise_buy(result, metadata=metadata)
2019-08-26 17:44:33 +00:00
assert isinstance(buydf, DataFrame)
assert 'buy' in buydf.columns
selldf = strategy.advise_sell(result, metadata=metadata)
2019-08-26 17:44:33 +00:00
assert isinstance(selldf, DataFrame)
assert 'sell' in selldf
2020-06-02 11:08:21 +00:00
assert log_has('DEPRECATED: Please migrate to using timeframe instead of ticker_interval.',
caplog)
2019-08-26 17:44:33 +00:00
def test_strategy_interface_versioning(result, monkeypatch, default_conf):
2019-08-26 17:44:33 +00:00
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
2019-08-26 17:44:33 +00:00
metadata = {'pair': 'ETH/BTC'}
# Make sure we are using a legacy function
assert strategy._populate_fun_len == 3
assert strategy._buy_fun_len == 3
assert strategy._sell_fun_len == 3
assert strategy.INTERFACE_VERSION == 2
indicator_df = strategy.advise_indicators(result, metadata=metadata)
2018-11-25 18:03:28 +00:00
assert isinstance(indicator_df, DataFrame)
assert 'adx' in indicator_df.columns
buydf = strategy.advise_buy(result, metadata=metadata)
2018-11-25 18:03:28 +00:00
assert isinstance(buydf, DataFrame)
assert 'buy' in buydf.columns
selldf = strategy.advise_sell(result, metadata=metadata)
2018-11-25 18:03:28 +00:00
assert isinstance(selldf, DataFrame)
assert 'sell' in selldf