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Improve merge_informative_pairs to properly merge correct timeframes

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explanation in #4073, closes #4073
This commit is contained in:
Matthias
2021-01-04 13:47:16 +01:00
parent d1804dee6b
commit 07bc0c3fce
2 changed files with 23 additions and 5 deletions
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15
tests/strategy/test_strategy_helpers.py
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@@ -1,5 +1,6 @@
import numpy as np
import pandas as pd
import pytest
from freqtrade.strategy import merge_informative_pair, timeframe_to_minutes
@@ -47,17 +48,17 @@ def test_merge_informative_pair():
assert 'volume_1h' in result.columns
assert result['volume'].equals(data['volume'])
# First 4 rows are empty
# First 3 rows are empty
assert result.iloc[0]['date_1h'] is pd.NaT
assert result.iloc[1]['date_1h'] is pd.NaT
assert result.iloc[2]['date_1h'] is pd.NaT
assert result.iloc[3]['date_1h'] is pd.NaT
# Next 4 rows contain the starting date (0:00)
assert result.iloc[3]['date_1h'] == result.iloc[0]['date']
assert result.iloc[4]['date_1h'] == result.iloc[0]['date']
assert result.iloc[5]['date_1h'] == result.iloc[0]['date']
assert result.iloc[6]['date_1h'] == result.iloc[0]['date']
assert result.iloc[7]['date_1h'] == result.iloc[0]['date']
# Next 4 rows contain the next Hourly date original date row 4
assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
assert result.iloc[8]['date_1h'] == result.iloc[4]['date']
@@ -86,3 +87,11 @@ def test_merge_informative_pair_same():
# Dates match 1:1
assert result['date_15m'].equals(result['date'])
def test_merge_informative_pair_lower():
data = generate_test_data('1h', 40)
informative = generate_test_data('15m', 40)
with pytest.raises(ValueError, match=r"Tried to merge a faster timeframe .*"):
merge_informative_pair(data, informative, '1h', '15m', ffill=True)