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Add long/short support to backtesting

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This commit is contained in:
Matthias
2021-11-18 20:34:59 +01:00
parent f40221dd9f
commit 0a50017c84
5 changed files with 19 additions and 2 deletions
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8
tests/optimize/test_backtesting.py
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@@ -698,7 +698,8 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'min_rate': [0.10370188, 0.10300000000000001],
'max_rate': [0.10501, 0.1038888],
'is_open': [False, False],
'buy_tag': [None, None]
'buy_tag': [None, None],
"is_short": [False, False],
})
pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair]
@@ -1074,6 +1075,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
"is_short": [False, False],
'sell_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
@@ -1091,6 +1094,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
"is_short": [False, False, False],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
@@ -1180,6 +1184,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'2018-01-30 05:35:00', ], utc=True),
'trade_duration': [235, 40],
'is_open': [False, False],
'is_short': [False, False],
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
@@ -1197,6 +1202,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'2018-01-30 08:30:00'], utc=True),
'trade_duration': [47, 40, 20],
'is_open': [False, False, False],
'is_short': [False, False, False],
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],

2
tests/optimize/test_hyperopt.py
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@@ -344,6 +344,7 @@ def test_hyperopt_format_results(hyperopt):
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
@@ -412,6 +413,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]

2
tests/optimize/test_optimize_reports.py
View File

@@ -76,6 +76,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
@@ -124,6 +125,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.ROI,
SellType.STOP_LOSS, SellType.FORCE_SELL]