stable/tests/optimize/test_hyperopt.py

1054 lines
42 KiB
Python
Raw Normal View History

2017-12-26 08:08:10 +00:00
# pragma pylint: disable=missing-docstring,W0212,C0103
2019-11-06 18:33:15 +00:00
import locale
2019-04-26 17:51:24 +00:00
from datetime import datetime
2019-09-08 07:54:15 +00:00
from pathlib import Path
2019-07-21 13:56:44 +00:00
from unittest.mock import MagicMock, PropertyMock
2018-03-17 21:44:47 +00:00
import pandas as pd
import pytest
from arrow import Arrow
from filelock import Timeout
from freqtrade.exceptions import OperationalException
from freqtrade.data.converter import parse_ticker_dataframe
2018-12-13 05:35:28 +00:00
from freqtrade.data.history import load_tickerdata_file
from freqtrade.optimize import setup_configuration, start_hyperopt
from freqtrade.optimize.default_hyperopt import DefaultHyperOpt
2019-07-16 04:50:25 +00:00
from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss
2019-07-21 14:07:06 +00:00
from freqtrade.optimize.hyperopt import Hyperopt
2019-09-08 07:54:15 +00:00
from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver,
HyperOptResolver)
from freqtrade.state import RunMode
from freqtrade.strategy.interface import SellType
2019-09-08 07:54:15 +00:00
from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
patched_configuration_load_config_file)
@pytest.fixture(scope='function')
def hyperopt(default_conf, mocker):
default_conf.update({
'spaces': ['default'],
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
})
patch_exchange(mocker)
return Hyperopt(default_conf)
2017-12-26 08:08:10 +00:00
@pytest.fixture(scope='function')
def hyperopt_results():
return pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
2019-09-16 12:05:39 +00:00
'profit_percent': [-0.1, 0.2, 0.3],
'profit_abs': [-0.2, 0.4, 0.6],
'trade_duration': [10, 30, 10],
2019-09-16 12:05:39 +00:00
'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.ROI]
}
)
# Functions for recurrent object patching
2019-09-08 07:54:15 +00:00
def create_trials(mocker, hyperopt, testdatadir) -> None:
"""
When creating trials, mock the hyperopt Trials so that *by default*
- we don't create any pickle'd files in the filesystem
- we might have a pickle'd file so make sure that we return
false when looking for it
"""
2019-09-08 08:07:09 +00:00
hyperopt.trials_file = testdatadir / 'optimize/ut_trials.pickle'
2019-07-21 13:56:44 +00:00
mocker.patch.object(Path, "is_file", MagicMock(return_value=False))
stat_mock = MagicMock()
stat_mock.st_size = PropertyMock(return_value=1)
mocker.patch.object(Path, "stat", MagicMock(return_value=False))
mocker.patch.object(Path, "unlink", MagicMock(return_value=True))
2018-07-03 19:51:48 +00:00
mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
2018-06-24 12:27:53 +00:00
return [{'loss': 1, 'result': 'foo', 'params': {}}]
2017-12-26 08:08:10 +00:00
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
args = [
2019-09-16 04:44:07 +00:00
'hyperopt',
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
]
config = setup_configuration(get_args(args), RunMode.HYPEROPT)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
assert 'ticker_interval' in config
assert not log_has_re('Parameter -i/--ticker-interval detected .*', caplog)
assert 'position_stacking' not in config
assert not log_has('Parameter --enable-position-stacking detected ...', caplog)
assert 'timerange' not in config
assert 'runmode' in config
assert config['runmode'] == RunMode.HYPEROPT
def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
2019-07-11 22:41:09 +00:00
mocker.patch(
2019-07-12 00:26:27 +00:00
'freqtrade.configuration.configuration.create_datadir',
lambda c, x: x
2019-07-11 22:41:09 +00:00
)
args = [
2019-09-16 04:44:07 +00:00
'hyperopt',
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
'--datadir', '/foo/bar',
'--ticker-interval', '1m',
'--timerange', ':100',
'--enable-position-stacking',
'--disable-max-market-positions',
'--epochs', '1000',
2019-11-07 22:55:14 +00:00
'--spaces', 'default',
'--print-all'
]
config = setup_configuration(get_args(args), RunMode.HYPEROPT)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert config['runmode'] == RunMode.HYPEROPT
assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
assert 'ticker_interval' in config
2019-04-24 19:24:00 +00:00
assert log_has('Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...',
caplog)
assert 'position_stacking' in config
assert log_has('Parameter --enable-position-stacking detected ...', caplog)
assert 'use_max_market_positions' in config
assert log_has('Parameter --disable-max-market-positions detected ...', caplog)
assert log_has('max_open_trades set to unlimited ...', caplog)
assert 'timerange' in config
assert log_has('Parameter --timerange detected: {} ...'.format(config['timerange']), caplog)
assert 'epochs' in config
2019-04-24 19:12:23 +00:00
assert log_has('Parameter --epochs detected ... Will run Hyperopt with for 1000 epochs ...',
caplog)
assert 'spaces' in config
assert log_has('Parameter -s/--spaces detected: {}'.format(config['spaces']), caplog)
assert 'print_all' in config
assert log_has('Parameter --print-all detected ...', caplog)
2019-01-06 18:38:32 +00:00
def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
2019-07-11 21:39:42 +00:00
patched_configuration_load_config_file(mocker, default_conf)
2019-01-06 18:38:32 +00:00
hyperopt = DefaultHyperOpt
2019-11-02 13:17:15 +00:00
delattr(hyperopt, 'populate_indicators')
delattr(hyperopt, 'populate_buy_trend')
delattr(hyperopt, 'populate_sell_trend')
2019-01-06 18:38:32 +00:00
mocker.patch(
2019-12-24 12:54:46 +00:00
'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver.load_object',
MagicMock(return_value=hyperopt(default_conf))
2019-01-06 18:38:32 +00:00
)
2019-10-20 17:54:38 +00:00
default_conf.update({'hyperopt': 'DefaultHyperOpt'})
x = HyperOptResolver.load_hyperopt(default_conf)
2019-11-02 13:17:15 +00:00
assert not hasattr(x, 'populate_indicators')
2019-01-06 18:38:32 +00:00
assert not hasattr(x, 'populate_buy_trend')
assert not hasattr(x, 'populate_sell_trend')
2019-11-02 13:17:15 +00:00
assert log_has("Hyperopt class does not provide populate_indicators() method. "
"Using populate_indicators from the strategy.", caplog)
2019-09-18 19:57:37 +00:00
assert log_has("Hyperopt class does not provide populate_sell_trend() method. "
"Using populate_sell_trend from the strategy.", caplog)
assert log_has("Hyperopt class does not provide populate_buy_trend() method. "
"Using populate_buy_trend from the strategy.", caplog)
assert hasattr(x, "ticker_interval")
2019-01-06 18:38:32 +00:00
2019-07-28 13:19:17 +00:00
def test_hyperoptresolver_wrongname(mocker, default_conf, caplog) -> None:
default_conf.update({'hyperopt': "NonExistingHyperoptClass"})
with pytest.raises(OperationalException, match=r'Impossible to load Hyperopt.*'):
HyperOptResolver.load_hyperopt(default_conf)
def test_hyperoptresolver_noname(default_conf):
default_conf['hyperopt'] = ''
with pytest.raises(OperationalException,
2019-10-14 17:42:28 +00:00
match="No Hyperopt set. Please use `--hyperopt` to specify "
"the Hyperopt class to use."):
HyperOptResolver.load_hyperopt(default_conf)
2019-07-28 13:19:17 +00:00
2019-07-16 04:50:25 +00:00
def test_hyperoptlossresolver(mocker, default_conf, caplog) -> None:
hl = DefaultHyperOptLoss
mocker.patch(
2019-12-24 12:54:46 +00:00
'freqtrade.resolvers.hyperopt_resolver.HyperOptLossResolver.load_object',
2019-07-16 04:50:25 +00:00
MagicMock(return_value=hl)
)
x = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-28 13:19:17 +00:00
assert hasattr(x, "hyperopt_loss_function")
def test_hyperoptlossresolver_wrongname(mocker, default_conf, caplog) -> None:
default_conf.update({'hyperopt_loss': "NonExistingLossClass"})
with pytest.raises(OperationalException, match=r'Impossible to load HyperoptLoss.*'):
HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-16 04:50:25 +00:00
2019-09-25 09:54:57 +00:00
def test_start_not_installed(mocker, default_conf, caplog, import_fails) -> None:
2019-09-24 12:39:28 +00:00
start_mock = MagicMock()
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
patch_exchange(mocker)
args = [
'hyperopt',
2019-09-29 14:25:25 +00:00
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
2019-09-24 12:39:28 +00:00
'--epochs', '5'
]
args = get_args(args)
with pytest.raises(OperationalException, match=r"Please ensure that the hyperopt dependencies"):
start_hyperopt(args)
2018-03-06 06:02:03 +00:00
def test_start(mocker, default_conf, caplog) -> None:
start_mock = MagicMock()
2019-07-11 21:39:42 +00:00
patched_configuration_load_config_file(mocker, default_conf)
2018-03-06 06:02:03 +00:00
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
2018-06-17 20:32:56 +00:00
patch_exchange(mocker)
2018-03-06 06:02:03 +00:00
args = [
'hyperopt',
2019-09-16 04:44:07 +00:00
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
2018-03-06 06:02:03 +00:00
'--epochs', '5'
]
args = get_args(args)
start_hyperopt(args)
2018-03-06 06:02:03 +00:00
assert log_has('Starting freqtrade in Hyperopt mode', caplog)
2018-03-06 06:02:03 +00:00
assert start_mock.call_count == 1
def test_start_no_data(mocker, default_conf, caplog) -> None:
2019-07-11 21:39:42 +00:00
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch('freqtrade.data.history.load_pair_history', MagicMock(return_value=pd.DataFrame))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
args = [
'hyperopt',
2019-09-16 04:44:07 +00:00
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
'--epochs', '5'
]
args = get_args(args)
2019-10-23 18:27:51 +00:00
with pytest.raises(OperationalException, match='No data found. Terminating.'):
start_hyperopt(args)
def test_start_filelock(mocker, default_conf, caplog) -> None:
2019-07-21 14:07:06 +00:00
start_mock = MagicMock(side_effect=Timeout(Hyperopt.get_lock_filename(default_conf)))
2019-07-11 21:39:42 +00:00
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
patch_exchange(mocker)
args = [
'hyperopt',
2019-09-16 04:44:07 +00:00
'--config', 'config.json',
2019-10-20 17:54:38 +00:00
'--hyperopt', 'DefaultHyperOpt',
'--epochs', '5'
]
args = get_args(args)
start_hyperopt(args)
assert log_has("Another running instance of freqtrade Hyperopt detected.", caplog)
2019-07-16 04:45:13 +00:00
def test_loss_calculation_prefer_correct_trade_count(default_conf, hyperopt_results) -> None:
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-16 04:45:13 +00:00
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(hyperopt_results, 600 + 100)
under = hl.hyperopt_loss_function(hyperopt_results, 600 - 100)
assert over > correct
assert under > correct
2017-12-26 08:08:10 +00:00
2019-07-16 04:45:13 +00:00
def test_loss_calculation_prefer_shorter_trades(default_conf, hyperopt_results) -> None:
resultsb = hyperopt_results.copy()
2019-07-27 20:24:06 +00:00
resultsb.loc[1, 'trade_duration'] = 20
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-16 04:45:13 +00:00
longer = hl.hyperopt_loss_function(hyperopt_results, 100)
shorter = hl.hyperopt_loss_function(resultsb, 100)
assert shorter < longer
2017-12-26 08:08:10 +00:00
2019-07-16 04:45:13 +00:00
def test_loss_calculation_has_limited_profit(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-16 04:45:13 +00:00
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(results_over, 600)
under = hl.hyperopt_loss_function(results_under, 600)
2019-07-15 20:52:33 +00:00
assert over < correct
assert under > correct
2019-07-15 20:59:28 +00:00
2019-07-15 20:52:33 +00:00
2019-07-16 04:45:13 +00:00
def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
2019-07-15 20:52:33 +00:00
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
2019-07-16 04:45:13 +00:00
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-25 17:54:12 +00:00
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
assert over < correct
assert under > correct
def test_onlyprofit_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
default_conf.update({'hyperopt_loss': 'OnlyProfitHyperOptLoss'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
2019-07-16 04:45:13 +00:00
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
assert over < correct
assert under > correct
2017-12-26 08:08:10 +00:00
def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
hyperopt.current_best_loss = 2
2019-07-30 08:47:46 +00:00
hyperopt.total_epochs = 2
2019-11-27 19:52:43 +00:00
hyperopt.print_results(
{
2019-12-01 14:44:14 +00:00
'is_best': True,
'loss': 1,
2019-11-23 09:00:43 +00:00
'current_epoch': 2, # This starts from 1 (in a human-friendly manner)
2019-07-30 08:47:46 +00:00
'results_explanation': 'foo.',
'is_initial_point': False
}
)
out, err = capsys.readouterr()
2019-05-11 07:17:46 +00:00
assert ' 2/2: foo. Objective: 1.00000' in out
2017-12-26 08:08:10 +00:00
def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
hyperopt.current_best_loss = 2
2019-11-27 19:52:43 +00:00
hyperopt.print_results(
{
2019-11-27 19:52:43 +00:00
'is_best': False,
'loss': 3,
2019-11-23 09:00:43 +00:00
'current_epoch': 1,
}
)
assert caplog.record_tuples == []
2019-09-08 08:07:09 +00:00
def test_save_trials_saves_trials(mocker, hyperopt, testdatadir, caplog) -> None:
trials = create_trials(mocker, hyperopt, testdatadir)
2018-07-03 19:51:48 +00:00
mock_dump = mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
2019-09-08 08:07:09 +00:00
trials_file = testdatadir / 'optimize' / 'ut_trials.pickle'
2019-11-23 09:30:49 +00:00
hyperopt.trials = trials
hyperopt.save_trials(final=True)
assert log_has("Saving 1 epoch.", caplog)
assert log_has(f"1 epoch saved to '{trials_file}'.", caplog)
mock_dump.assert_called_once()
2019-11-23 09:30:49 +00:00
hyperopt.trials = trials + trials
hyperopt.save_trials(final=True)
assert log_has("Saving 2 epochs.", caplog)
assert log_has(f"2 epochs saved to '{trials_file}'.", caplog)
2019-09-08 08:07:09 +00:00
def test_read_trials_returns_trials_file(mocker, hyperopt, testdatadir, caplog) -> None:
trials = create_trials(mocker, hyperopt, testdatadir)
2018-07-03 19:51:48 +00:00
mock_load = mocker.patch('freqtrade.optimize.hyperopt.load', return_value=trials)
2019-09-08 08:07:09 +00:00
trials_file = testdatadir / 'optimize' / 'ut_trials.pickle'
2019-11-27 19:52:43 +00:00
hyperopt_trial = hyperopt._read_trials(trials_file)
2019-09-08 08:07:09 +00:00
assert log_has(f"Reading Trials from '{trials_file}'", caplog)
assert hyperopt_trial == trials
mock_load.assert_called_once()
2018-01-25 08:45:53 +00:00
def test_roi_table_generation(hyperopt) -> None:
2018-01-25 08:45:53 +00:00
params = {
'roi_t1': 5,
'roi_t2': 10,
'roi_t3': 15,
'roi_p1': 1,
'roi_p2': 2,
'roi_p3': 3,
}
assert hyperopt.custom_hyperopt.generate_roi_table(params) == {0: 6, 15: 3, 25: 1, 30: 0}
2019-07-30 08:47:46 +00:00
def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
2018-06-24 12:27:53 +00:00
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
2019-08-20 20:28:16 +00:00
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result',
'params': {'buy': {}, 'sell': {}, 'roi': {}, 'stoploss': 0.0}}])
2018-06-24 12:27:53 +00:00
)
2018-06-17 20:32:56 +00:00
patch_exchange(mocker)
# Co-test loading ticker-interval from strategy
del default_conf['ticker_interval']
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
2019-11-07 22:55:14 +00:00
'spaces': 'default',
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
2019-08-23 21:10:55 +00:00
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
2019-08-01 20:57:50 +00:00
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
2019-07-30 08:47:46 +00:00
2018-06-24 12:27:53 +00:00
parallel.assert_called_once()
2019-07-30 08:47:46 +00:00
out, err = capsys.readouterr()
2019-08-03 08:19:36 +00:00
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-09-18 19:57:37 +00:00
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']
2019-07-16 03:50:27 +00:00
assert hasattr(hyperopt, "position_stacking")
def test_format_results(hyperopt):
# Test with BTC as stake_currency
trades = [
('ETH/BTC', 2, 2, 123),
('LTC/BTC', 1, 1, 123),
('XPR/BTC', -1, -2, -246)
]
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
df = pd.DataFrame.from_records(trades, columns=labels)
2019-11-27 19:52:43 +00:00
results_metrics = hyperopt._calculate_results_metrics(df)
2019-12-01 15:01:59 +00:00
results_explanation = hyperopt._format_results_explanation_string(results_metrics)
total_profit = results_metrics['total_profit']
results = {
'loss': 0.0,
'params_dict': None,
'params_details': None,
'results_metrics': results_metrics,
'results_explanation': results_explanation,
'total_profit': total_profit,
'current_epoch': 1,
'is_initial_point': True,
}
2019-12-01 15:01:59 +00:00
result = hyperopt._format_explanation_string(results, 1)
assert result.find(' 66.67%')
assert result.find('Total profit 1.00000000 BTC')
assert result.find('2.0000Σ %')
# Test with EUR as stake_currency
trades = [
('ETH/EUR', 2, 2, 123),
('LTC/EUR', 1, 1, 123),
('XPR/EUR', -1, -2, -246)
]
df = pd.DataFrame.from_records(trades, columns=labels)
2019-11-27 19:52:43 +00:00
results_metrics = hyperopt._calculate_results_metrics(df)
2019-12-01 15:01:59 +00:00
results['total_profit'] = results_metrics['total_profit']
result = hyperopt._format_explanation_string(results, 1)
assert result.find('Total profit 1.00000000 EUR')
2019-11-07 22:55:14 +00:00
@pytest.mark.parametrize("spaces, expected_results", [
(['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
(['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
(['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
(['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
(['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
(['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
(['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
(['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
(['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
(['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
])
def test_has_space(hyperopt, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
hyperopt.config.update({'spaces': spaces})
assert hyperopt.has_space(s) == expected_results[s]
2018-03-05 08:35:42 +00:00
2019-09-07 18:56:03 +00:00
def test_populate_indicators(hyperopt, testdatadir) -> None:
tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
fill_missing=True)}
2019-08-23 21:10:55 +00:00
dataframes = hyperopt.backtesting.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
2018-03-05 08:35:42 +00:00
# Check if some indicators are generated. We will not test all of them
assert 'adx' in dataframe
2018-06-24 12:27:53 +00:00
assert 'mfi' in dataframe
assert 'rsi' in dataframe
2018-03-05 08:35:42 +00:00
2019-09-07 18:56:03 +00:00
def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
fill_missing=True)}
2019-08-23 21:10:55 +00:00
dataframes = hyperopt.backtesting.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
2018-03-05 08:35:42 +00:00
populate_buy_trend = hyperopt.custom_hyperopt.buy_strategy_generator(
2018-03-05 08:35:42 +00:00
{
2018-06-24 12:27:53 +00:00
'adx-value': 20,
'fastd-value': 20,
'mfi-value': 20,
'rsi-value': 20,
'adx-enabled': True,
'fastd-enabled': True,
'mfi-enabled': True,
'rsi-enabled': True,
'trigger': 'bb_lower'
2018-03-05 08:35:42 +00:00
}
)
result = populate_buy_trend(dataframe, {'pair': 'UNITTEST/BTC'})
2018-03-05 08:35:42 +00:00
# Check if some indicators are generated. We will not test all of them
2018-03-06 06:02:03 +00:00
assert 'buy' in result
assert 1 in result['buy']
def test_generate_optimizer(mocker, default_conf) -> None:
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'timerange': None,
'spaces': 'all',
'hyperopt_min_trades': 1,
})
2018-03-06 06:02:03 +00:00
trades = [
('TRX/BTC', 0.023117, 0.000233, 100)
2018-03-06 06:02:03 +00:00
]
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
2018-03-06 06:02:03 +00:00
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
mocker.patch(
2019-08-23 21:10:55 +00:00
'freqtrade.optimize.hyperopt.Backtesting.backtest',
2018-03-06 06:02:03 +00:00
MagicMock(return_value=backtest_result)
)
2018-10-16 18:32:33 +00:00
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
2018-10-16 18:32:33 +00:00
)
2018-06-17 20:32:56 +00:00
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock())
2018-03-06 06:02:03 +00:00
optimizer_param = {
2018-06-24 12:27:53 +00:00
'adx-value': 0,
'fastd-value': 35,
'mfi-value': 0,
'rsi-value': 0,
'adx-enabled': False,
'fastd-enabled': True,
'mfi-enabled': False,
'rsi-enabled': False,
'trigger': 'macd_cross_signal',
'sell-adx-value': 0,
'sell-fastd-value': 75,
'sell-mfi-value': 0,
'sell-rsi-value': 0,
'sell-adx-enabled': False,
'sell-fastd-enabled': True,
'sell-mfi-enabled': False,
'sell-rsi-enabled': False,
'sell-trigger': 'macd_cross_signal',
2018-03-06 06:02:03 +00:00
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
2018-06-24 12:27:53 +00:00
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
2018-03-06 06:02:03 +00:00
'stoploss': -0.4,
2019-11-13 20:32:37 +00:00
'trailing_stop': True,
'trailing_stop_positive': 0.02,
2019-12-10 11:06:17 +00:00
'trailing_stop_positive_offset_p1': 0.05,
2019-11-13 20:32:37 +00:00
'trailing_only_offset_is_reached': False,
2018-03-06 06:02:03 +00:00
}
response_expected = {
'loss': 1.9840569076926293,
2019-11-27 19:52:43 +00:00
'results_explanation': (' 1 trades. Avg profit 2.31%. Total profit 0.00023300 BTC '
2019-12-11 06:12:37 +00:00
'( 2.31\N{GREEK CAPITAL LETTER SIGMA}%). Avg duration 100.0 min.'
2019-11-06 18:33:15 +00:00
).encode(locale.getpreferredencoding(), 'replace').decode('utf-8'),
2019-11-27 19:52:43 +00:00
'params_details': {'buy': {'adx-enabled': False,
'adx-value': 0,
'fastd-enabled': True,
'fastd-value': 35,
'mfi-enabled': False,
'mfi-value': 0,
'rsi-enabled': False,
'rsi-value': 0,
'trigger': 'macd_cross_signal'},
'roi': {0: 0.12000000000000001,
20.0: 0.02,
50.0: 0.01,
110.0: 0},
'sell': {'sell-adx-enabled': False,
'sell-adx-value': 0,
'sell-fastd-enabled': True,
'sell-fastd-value': 75,
'sell-mfi-enabled': False,
'sell-mfi-value': 0,
'sell-rsi-enabled': False,
'sell-rsi-value': 0,
'sell-trigger': 'macd_cross_signal'},
2019-12-04 22:08:38 +00:00
'stoploss': {'stoploss': -0.4},
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
2019-12-10 11:06:17 +00:00
'trailing_stop_positive_offset': 0.07}},
2019-11-27 19:52:43 +00:00
'params_dict': optimizer_param,
'results_metrics': {'avg_profit': 2.3117,
'duration': 100.0,
'profit': 2.3117,
'total_profit': 0.000233,
'trade_count': 1},
2019-08-03 16:13:18 +00:00
'total_profit': 0.00023300
2018-03-06 06:02:03 +00:00
}
hyperopt = Hyperopt(default_conf)
2019-09-16 18:53:19 +00:00
hyperopt.dimensions = hyperopt.hyperopt_space()
2018-06-24 12:27:53 +00:00
generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values()))
2018-03-06 06:02:03 +00:00
assert generate_optimizer_value == response_expected
2019-07-15 18:27:34 +00:00
def test_clean_hyperopt(mocker, default_conf, caplog):
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
2019-07-15 18:27:34 +00:00
'epochs': 1,
'timerange': None,
2019-11-07 22:55:14 +00:00
'spaces': 'default',
2019-07-15 18:27:34 +00:00
'hyperopt_jobs': 1,
})
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
2019-07-21 14:07:06 +00:00
h = Hyperopt(default_conf)
2019-07-15 18:27:34 +00:00
assert unlinkmock.call_count == 2
assert log_has(f"Removing `{h.tickerdata_pickle}`.", caplog)
2019-07-16 03:50:27 +00:00
def test_continue_hyperopt(mocker, default_conf, caplog):
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
2019-07-16 03:50:27 +00:00
'epochs': 1,
'timerange': None,
2019-11-07 22:55:14 +00:00
'spaces': 'default',
2019-07-16 03:50:27 +00:00
'hyperopt_jobs': 1,
'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)
assert unlinkmock.call_count == 0
assert log_has(f"Continuing on previous hyperopt results.", caplog)
2019-08-15 21:49:49 +00:00
def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
2019-08-16 01:20:12 +00:00
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
2019-08-15 21:49:49 +00:00
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
2019-08-15 21:49:49 +00:00
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
2019-12-01 15:34:25 +00:00
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
2019-12-04 22:08:38 +00:00
'roi': {}, 'stoploss': {'stoploss': None},
'trailing': {'trailing_stop': None}}}])
2019-08-15 21:49:49 +00:00
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
2019-08-15 21:49:49 +00:00
'epochs': 1,
'timerange': None,
'spaces': 'all',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(default_conf)
2019-08-23 21:10:55 +00:00
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
2019-08-15 21:49:49 +00:00
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
2019-12-04 22:08:38 +00:00
assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null,"trailing_stop":null}' in out # noqa: E501
2019-08-16 01:20:12 +00:00
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-08-15 21:49:49 +00:00
2019-11-13 20:09:05 +00:00
def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
2019-11-13 20:09:05 +00:00
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
2019-12-04 22:08:38 +00:00
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None}}}])
2019-11-13 20:09:05 +00:00
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-11-23 01:03:47 +00:00
'hyperopt': 'DefaultHyperOpt',
2019-11-13 20:09:05 +00:00
'epochs': 1,
'timerange': None,
'spaces': 'default',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
2019-12-01 15:34:25 +00:00
assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null}' in out # noqa: E501
2019-11-13 20:09:05 +00:00
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-08-15 21:49:49 +00:00
def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
2019-08-16 01:20:12 +00:00
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
2019-08-15 21:49:49 +00:00
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
2019-08-15 21:49:49 +00:00
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
2019-11-27 19:52:43 +00:00
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {},
2019-12-04 20:15:19 +00:00
'params_details': {'roi': {}, 'stoploss': {'stoploss': None}}}])
2019-08-15 21:49:49 +00:00
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
2019-08-15 21:49:49 +00:00
'epochs': 1,
'timerange': None,
'spaces': 'roi stoploss',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(default_conf)
2019-08-23 21:10:55 +00:00
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
2019-08-15 21:49:49 +00:00
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert '{"minimal_roi":{},"stoploss":null}' in out
2019-08-16 01:20:12 +00:00
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0}}])
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
'spaces': 'roi stoploss',
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
del hyperopt.custom_hyperopt.__class__.indicator_space
del hyperopt.custom_hyperopt.__class__.sell_indicator_space
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-09-18 19:57:37 +00:00
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 hasattr(hyperopt, "position_stacking")
def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
'spaces': 'all',
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
del hyperopt.custom_hyperopt.__class__.indicator_space
del hyperopt.custom_hyperopt.__class__.sell_indicator_space
with pytest.raises(OperationalException, match=r"The 'buy' space is included into *"):
hyperopt.start()
def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
'spaces': 'buy',
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: sell_strategy_generator() is actually not called because
# run_optimizer_parallel() is mocked
del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
del hyperopt.custom_hyperopt.__class__.sell_indicator_space
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-09-18 19:57:37 +00:00
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 hasattr(hyperopt, "position_stacking")
def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
'spaces': 'sell',
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: buy_strategy_generator() is actually not called because
# run_optimizer_parallel() is mocked
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
del hyperopt.custom_hyperopt.__class__.indicator_space
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
2019-09-18 19:57:37 +00:00
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 hasattr(hyperopt, "position_stacking")
@pytest.mark.parametrize("method,space", [
('buy_strategy_generator', 'buy'),
('indicator_space', 'buy'),
('sell_strategy_generator', 'sell'),
('sell_indicator_space', 'sell'),
])
def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, method, space) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
2019-10-27 09:56:38 +00:00
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
2019-12-17 22:06:03 +00:00
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
2019-10-20 17:54:38 +00:00
'hyperopt': 'DefaultHyperOpt',
'epochs': 1,
'timerange': None,
'spaces': space,
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
delattr(hyperopt.custom_hyperopt.__class__, method)
with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
hyperopt.start()