Merge branch 'develop' into feat/short

2022-02-11 17:02:04 +01:00
parent 7237aa7edb 6a59103869
commit 0c6d92a7a6
63 changed files with 1158 additions and 349 deletions
--- a/tests/optimize/init.py
+++ b/tests/optimize/init.py
@@ -36,6 +36,8 @@ class BTContainer(NamedTuple):
    trailing_stop_positive_offset: float = 0.0
    use_sell_signal: bool = False
    use_custom_stoploss: bool = False
+    custom_entry_price: Optional[float] = None
+    custom_exit_price: Optional[float] = None
    leverage: float = 1.0


--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@@ -1,5 +1,6 @@
 # pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
 import logging
+from unittest.mock import MagicMock

 import pytest

@@ -534,11 +535,84 @@ tc33 = BTContainer(data=[
    )]
 )

-# Test 34: (copy of test25 with leverage)
+# Test 34: Custom-entry-price below all candles should timeout - so no trade happens.
+tc34 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # timeout
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
+    custom_entry_price=4200, trades=[]
+)
+
+# Test 35: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
+tc35 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # Timeout
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
+    custom_entry_price=7200, trades=[
+        BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
+    ]
+)
+
+# Test 36: Custom-entry-price around candle low
+# Causes immediate ROI exit. This is currently expected behavior (#6261)
+# https://github.com/freqtrade/freqtrade/issues/6261
+# But may change at a later point.
+tc36 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],    # Enter and immediate ROI
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.1,
+    custom_entry_price=4952,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
+)
+
+
+# Test 37: Custom exit price below all candles
+# Price adjusted to candle Low.
+tc37 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],
+    [2, 4900, 5250, 4900, 5100, 6172, 0, 1],  # exit - but timeout
+    [3, 5100, 5100, 4950, 4950, 6172, 0, 0],
+    [4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01,
+    use_sell_signal=True,
+    custom_exit_price=4552,
+    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=3)]
+)
+
+# Test 38: Custom exit price above all candles
+# causes sell signal timeout
+tc38 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S   BT
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 4951, 5000, 6172, 0, 0],
+    [2, 4900, 5250, 4900, 5100, 6172, 0, 1],  # exit - but timeout
+    [3, 5100, 5100, 4950, 4950, 6172, 0, 0],
+    [4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
+    use_sell_signal=True,
+    custom_exit_price=6052,
+    trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)]
+)
+
+# Test 39: (copy of test25 with leverage)
 # Sell with signal sell in candle 3 (stoploss also triggers on this candle)
 # Stoploss at 1%.
 # Sell-signal wins over stoploss
-tc34 = BTContainer(data=[
+tc39 = BTContainer(data=[
    # D  O     H     L     C     V    B  S
    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
@@ -551,6 +625,7 @@ tc34 = BTContainer(data=[
    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
 )

+
 TESTS = [
    tc0,
    tc1,
@@ -587,6 +662,11 @@ TESTS = [
    tc32,
    tc33,
    tc34,
+    tc35,
+    tc36,
+    tc37,
+    tc38,
+    tc39,
    # TODO-lev: Add tests for short here
 ]

@@ -621,6 +701,10 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
        backtesting._can_short = True
    backtesting.strategy.advise_entry = lambda a, m: frame
    backtesting.strategy.advise_exit = lambda a, m: frame
+    if data.custom_entry_price:
+        backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
+    if data.custom_exit_price:
+        backtesting.strategy.custom_exit_price = MagicMock(return_value=data.custom_exit_price)
    backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
    backtesting.strategy.leverage = lambda **kwargs: data.leverage
    caplog.set_level(logging.DEBUG)
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -21,6 +21,7 @@ from freqtrade.data.dataprovider import DataProvider
 from freqtrade.data.history import get_timerange
 from freqtrade.enums import RunMode, SellType
 from freqtrade.exceptions import DependencyException, OperationalException
+from freqtrade.exchange.exchange import timeframe_to_next_date
 from freqtrade.misc import get_strategy_run_id
 from freqtrade.optimize.backtesting import Backtesting
 from freqtrade.persistence import LocalTrade
@@ -524,6 +525,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
    # Fake 2 trades, so there's not enough amount for the next trade left.
    LocalTrade.trades_open.append(trade)
    LocalTrade.trades_open.append(trade)
+    backtesting.wallets.update()
    trade = backtesting._enter_trade(pair, row=row, direction='long')
    assert trade is None
    LocalTrade.trades_open.pop()
@@ -531,6 +533,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
    assert trade is not None

    backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
+    backtesting.wallets.update()
    trade = backtesting._enter_trade(pair, row=row, direction='long')
    assert trade
    assert trade.stake_amount == 123.5
@@ -659,7 +662,8 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
    assert res.sell_reason == SellType.ROI.value
    # Sell at minute 3 (not available above!)
    assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
-    assert round(res.close_rate, 3) == round(209.0225, 3)
+    sell_order = res.select_order('sell', True)
+    assert sell_order is not None


 def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
@@ -676,6 +680,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
                             timerange=timerange)
    processed = backtesting.strategy.advise_all_indicators(data)
    min_date, max_date = get_timerange(processed)
+
    result = backtesting.backtest(
        processed=deepcopy(processed),
        start_date=min_date,
@@ -769,6 +774,47 @@ def test_processed(default_conf, mocker, testdatadir) -> None:
        assert col in cols


+def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadir) -> None:
+    default_conf['use_sell_signal'] = False
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
+    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
+    mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=100000)
+    patch_exchange(mocker)
+    backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
+    timerange = TimeRange('date', None, 1517227800, 0)
+    data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
+                             timerange=timerange)
+    processed = backtesting.strategy.advise_all_indicators(data)
+    min_date, max_date = get_timerange(processed)
+
+    global count
+    count = 0
+
+    def tmp_confirm_entry(pair, current_time, **kwargs):
+        dp = backtesting.strategy.dp
+        df, _ = dp.get_analyzed_dataframe(pair, backtesting.strategy.timeframe)
+        current_candle = df.iloc[-1].squeeze()
+        assert current_candle['enter_long'] == 1
+
+        candle_date = timeframe_to_next_date(backtesting.strategy.timeframe, current_candle['date'])
+        assert candle_date == current_time
+        # These asserts don't properly raise as they are nested,
+        # therefore we increment count and assert for that.
+        global count
+        count = count + 1
+
+    backtesting.strategy.confirm_trade_entry = tmp_confirm_entry
+    backtesting.backtest(
+        processed=deepcopy(processed),
+        start_date=min_date,
+        end_date=max_date,
+        max_open_trades=10,
+        position_stacking=False,
+    )
+    assert count == 5
+
+
 def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatadir) -> None:
    # While this test IS a copy of test_backtest_pricecontours, it's needed to ensure
    # results do not carry-over to the next run, which is not given by using parametrize.
@@ -1013,6 +1059,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
        'config': default_conf,
        'locks': [],
        'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'final_balance': 1000,
    })
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -1124,6 +1172,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        },
        {
@@ -1131,6 +1181,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        }
    ])
@@ -1238,6 +1290,8 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
            'config': default_conf_usdt,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        },
        {
@@ -1245,6 +1299,8 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
            'config': default_conf_usdt,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        }
    ])
@@ -1337,6 +1393,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        },
        {
@@ -1344,6 +1402,8 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
+            'timedout_entry_orders': 0,
+            'timedout_exit_orders': 0,
            'final_balance': 1000,
        }
    ])
@@ -1405,6 +1465,8 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
        'config': default_conf,
        'locks': [],
        'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'final_balance': 1000,
    })
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -365,6 +365,8 @@ def test_hyperopt_format_results(hyperopt):
        'locks': [],
        'final_balance': 0.02,
        'rejected_signals': 2,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'backtest_start_time': 1619718665,
        'backtest_end_time': 1619718665,
    }
@@ -433,6 +435,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
        'config': hyperopt_conf,
        'locks': [],
        'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'final_balance': 1000,
    }

--- a/tests/optimize/test_hyperoptloss.py
+++ b/tests/optimize/test_hyperoptloss.py
@@ -86,6 +86,7 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
    "SharpeHyperOptLossDaily",
    "MaxDrawDownHyperOptLoss",
    "CalmarHyperOptLoss",
+    "ProfitDrawDownHyperOptLoss",

 ])
 def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
@@ -106,7 +107,7 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
        config=default_conf,
        processed=None,
        backtest_stats={'profit_total': hyperopt_results['profit_abs'].sum()}
-        )
+    )
    over = hl.hyperopt_loss_function(
        results_over,
        trade_count=len(results_over),
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -84,6 +84,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
        'locks': [],
        'final_balance': 1000.02,
        'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'backtest_start_time': Arrow.utcnow().int_timestamp,
        'backtest_end_time': Arrow.utcnow().int_timestamp,
        'run_id': '123',
@@ -134,6 +136,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
        'locks': [],
        'final_balance': 1000.02,
        'rejected_signals': 20,
+        'timedout_entry_orders': 0,
+        'timedout_exit_orders': 0,
        'backtest_start_time': Arrow.utcnow().int_timestamp,
        'backtest_end_time': Arrow.utcnow().int_timestamp,
        'run_id': '124',