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Fix some tests after drawdown calculation change

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This commit is contained in:
Matthias 2022-01-04 16:16:08 +01:00
parent 7a2b50ce8b
commit 09fae25c94
5 changed files with 15 additions and 14 deletions
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3
freqtrade/optimize/hyperopt_loss_calmar.py
View File

@ -47,10 +47,9 @@ class CalmarHyperOptLoss(IHyperOptLoss):
# calculate max drawdown
try:
_, _, _, high_val, low_val = calculate_max_drawdown(
_, _, _, _, _, max_drawdown = calculate_max_drawdown(
results, value_col="profit_abs"
)
max_drawdown = (high_val - low_val) / high_val
except ValueError:
max_drawdown = 0

3
freqtrade/plugins/protections/max_drawdown_protection.py
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@ -55,7 +55,8 @@ class MaxDrawdown(IProtection):
# Drawdown is always positive
try:
drawdown, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
# TODO: This should use absolute profit calculation, considering account balance.
drawdown, _, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
except ValueError:
return False, None, None

15
tests/data/test_btanalysis.py
View File

@ -280,23 +280,23 @@ def test_create_cum_profit1(testdatadir):
def test_calculate_max_drawdown(testdatadir):
filename = testdatadir / "backtest-result_test.json"
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
drawdown, hdate, lowdate, hval, lval = calculate_max_drawdown(bt_data)
drawdown_abs, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(bt_data, value_col="profit_abs")
assert isinstance(drawdown, float)
assert pytest.approx(drawdown) == 0.21142322
assert pytest.approx(drawdown) == 0.59495234
assert isinstance(hdate, Timestamp)
assert isinstance(lowdate, Timestamp)
assert isinstance(hval, float)
assert isinstance(lval, float)
assert hdate == Timestamp('2018-01-24 14:25:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 04:45:00', tz='UTC')
assert hdate == Timestamp('2018-01-25 01:30:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 094:45:00', tz='UTC')
underwater = calculate_underwater(bt_data)
assert isinstance(underwater, DataFrame)
with pytest.raises(ValueError, match='Trade dataframe empty.'):
drawdown, hdate, lowdate, hval, lval = calculate_max_drawdown(DataFrame())
calculate_max_drawdown(DataFrame())
with pytest.raises(ValueError, match='Trade dataframe empty.'):
calculate_underwater(DataFrame())
@ -331,12 +331,13 @@ def test_calculate_max_drawdown2():
# sort by profit and reset index
df = df.sort_values('profit').reset_index(drop=True)
df1 = df.copy()
drawdown, hdate, ldate, hval, lval = calculate_max_drawdown(
drawdown, hdate, ldate, hval, lval, drawdown_rel = calculate_max_drawdown(
df, date_col='open_date', value_col='profit')
# Ensure df has not been altered.
assert df.equals(df1)
assert isinstance(drawdown, float)
assert isinstance(drawdown_rel, float)
# High must be before low
assert hdate < ldate
# High value must be higher than low value

6
tests/optimize/test_optimize_reports.py
View File

@ -103,7 +103,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert strat_stats['backtest_end'] == max_date.strftime(DATETIME_PRINT_FORMAT)
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['max_drawdown_account'] == 0.0
# Retry with losing trade
results = {'DefStrat': {
@ -143,7 +143,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['max_drawdown'] == 0.013803
assert pytest.approx(strat_stats['max_drawdown_account']) == 1.399999e-08
assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
assert strat_stats['drawdown_end_ts'] == 1510699380000
@ -165,7 +165,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
filename1 = Path(tmpdir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown' in content
assert 'max_drawdown_account' in content
assert 'strategy' in content
assert 'pairlist' in content

2
tests/test_plotting.py
View File

@ -343,7 +343,7 @@ def test_generate_profit_graph(testdatadir):
profit = find_trace_in_fig_data(figure.data, "Profit")
assert isinstance(profit, go.Scatter)
drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 10.45%")
drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 35.69%")
assert isinstance(drawdown, go.Scatter)
parallel = find_trace_in_fig_data(figure.data, "Parallel trades")
assert isinstance(parallel, go.Scatter)