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Merge pull request #6231 from freqtrade/funding_rate_backtest

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Funding rate backtest
This commit is contained in:
Matthias
2022-01-27 17:01:28 +01:00
committed by GitHub
parent 13978e9893 88ccfedd32
commit 108018b30b
13 changed files with 312 additions and 82 deletions
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8
tests/commands/test_commands.py
View File

@@ -1372,10 +1372,10 @@ def test_start_list_data(testdatadir, capsys):
start_list_data(pargs)
captured = capsys.readouterr()
assert "Found 3 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT | 1h | mark |\n" in captured.out
assert "Found 5 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT | 1h, 8h | mark |\n" in captured.out
@pytest.mark.usefixtures("init_persistence")

8
tests/data/test_history.py
View File

@@ -81,7 +81,7 @@ def test_load_data_7min_timeframe(mocker, caplog, default_conf, testdatadir) ->
assert isinstance(ld, DataFrame)
assert ld.empty
assert log_has(
'No history data for pair: "UNITTEST/BTC", timeframe: 7m. '
'No history for UNITTEST/BTC, spot, 7m found. '
'Use `freqtrade download-data` to download the data', caplog
)
@@ -138,8 +138,8 @@ def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
'Use `freqtrade download-data` to download the data', caplog
f"No history for MEME/BTC, {candle_type}, 1m found. "
"Use `freqtrade download-data` to download the data", caplog
)
# download a new pair if refresh_pairs is set
@@ -744,6 +744,8 @@ def test_datahandler_ohlcv_get_available_data(testdatadir):
('UNITTEST/USDT', '1h', 'mark'),
('XRP/USDT', '1h', 'futures'),
('XRP/USDT', '1h', 'mark'),
('XRP/USDT', '8h', 'mark'),
('XRP/USDT', '8h', 'funding_rate'),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, 'spot')

3
tests/exchange/test_ccxt_compat.py
View File

@@ -280,7 +280,8 @@ class TestCCXTExchange():
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = datetime.now(timezone.utc) - timedelta(days=5)
funding_fee = exchange._calculate_funding_fees(pair, 20, open_date=since)
funding_fee = exchange._fetch_and_calculate_funding_fees(
pair, 20, is_short=False, open_date=since)
assert isinstance(funding_fee, float)
# assert funding_fee > 0

55
tests/exchange/test_exchange.py
View File

@@ -3540,7 +3540,7 @@ def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
(10, 0.0002, 2.0, 0.01, 0.004, 0.00004),
(10, 0.0002, 2.5, None, 0.005, None),
])
def test__get_funding_fee(
def test_calculate_funding_fees(
default_conf,
mocker,
size,
@@ -3552,14 +3552,47 @@ def test__get_funding_fee(
):
exchange = get_patched_exchange(mocker, default_conf)
kraken = get_patched_exchange(mocker, default_conf, id="kraken")
prior_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc) - timedelta(hours=1))
trade_date = timeframe_to_prev_date('1h', datetime.now(timezone.utc))
funding_rates = DataFrame([
{'date': prior_date, 'open': funding_rate}, # Line not used.
{'date': trade_date, 'open': funding_rate},
])
mark_rates = DataFrame([
{'date': prior_date, 'open': mark_price},
{'date': trade_date, 'open': mark_price},
])
df = exchange.combine_funding_and_mark(funding_rates, mark_rates)
assert exchange._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == funding_fee
assert exchange.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == funding_fee
if (kraken_fee is None):
with pytest.raises(OperationalException):
kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio)
kraken.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
)
else:
assert kraken._get_funding_fee(size, funding_rate, mark_price, time_in_ratio) == kraken_fee
assert kraken.calculate_funding_fees(
df,
amount=size,
is_short=True,
open_date=trade_date,
close_date=trade_date,
time_in_ratio=time_in_ratio,
) == kraken_fee
@pytest.mark.parametrize('exchange,rate_start,rate_end,d1,d2,amount,expected_fees', [
@@ -3588,7 +3621,7 @@ def test__get_funding_fee(
# ('kraken', "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, -0.0024895),
('ftx', 0, 9, "2021-09-01 00:00:00", "2021-09-01 08:00:00", 50.0, 0.0016680000000000002),
])
def test__calculate_funding_fees(
def test__fetch_and_calculate_funding_fees(
mocker,
default_conf,
funding_rate_history_hourly,
@@ -3651,15 +3684,20 @@ def test__calculate_funding_fees(
type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
funding_fees = exchange._calculate_funding_fees('ADA/USDT', amount, d1, d2)
funding_fees = exchange._fetch_and_calculate_funding_fees(
pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2)
assert pytest.approx(funding_fees) == expected_fees
# Fees for Longs are inverted
funding_fees = exchange._fetch_and_calculate_funding_fees(
pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2)
assert pytest.approx(funding_fees) == -expected_fees
@pytest.mark.parametrize('exchange,expected_fees', [
('binance', -0.0009140999999999999),
('gateio', -0.0009140999999999999),
])
def test__calculate_funding_fees_datetime_called(
def test__fetch_and_calculate_funding_fees_datetime_called(
mocker,
default_conf,
funding_rate_history_octohourly,
@@ -3679,7 +3717,8 @@ def test__calculate_funding_fees_datetime_called(
d1 = datetime.strptime("2021-09-01 00:00:00 +0000", '%Y-%m-%d %H:%M:%S %z')
time_machine.move_to("2021-09-01 08:00:00 +00:00")
funding_fees = exchange._calculate_funding_fees('ADA/USDT', 30.0, d1)
# TODO-lev: test this for longs
funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', 30.0, True, d1)
assert funding_fees == expected_fees

102
tests/optimize/test_backtesting.py
View File

@@ -1169,6 +1169,108 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
assert 'STRATEGY SUMMARY' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
caplog, testdatadir, capsys):
# Tests detail-data loading
default_conf_usdt.update({
"trading_mode": "futures",
"collateral": "isolated",
"use_sell_signal": True,
"sell_profit_only": False,
"sell_profit_offset": 0.0,
"ignore_roi_if_buy_signal": False,
"strategy": CURRENT_TEST_STRATEGY,
})
patch_exchange(mocker)
result1 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date': pd.to_datetime(['2021-11-18 18:00:00',
'2021-11-18 03:00:00', ], utc=True
),
'close_date': pd.to_datetime(['2021-11-18 20:00:00',
'2021-11-18 05:00:00', ], 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],
'sell_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_date': pd.to_datetime(['2021-11-19 18:00:00',
'2021-11-19 03:00:00',
'2021-11-19 05:00:00'], utc=True
),
'close_date': pd.to_datetime(['2021-11-19 20:00:00',
'2021-11-19 05:00:00',
'2021-11-19 08:00:00'], 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],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
'results': result1,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
},
{
'results': result2,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
}
])
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1h',
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1h ...',
f'Using data directory: {testdatadir} ...',
'Loading data from 2021-11-17 01:00:00 '
'up to 2021-11-21 03:00:00 (4 days).',
'Backtesting with data from 2021-11-17 21:00:00 '
'up to 2021-11-21 03:00:00 (3 days).',
'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
]
for line in exists:
assert log_has(line, caplog)
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
caplog, testdatadir, capsys):

16
tests/test_freqtradebot.py
View File

@@ -4901,17 +4901,17 @@ def test_update_funding_fees(
freqtrade = get_patched_freqtradebot(mocker, default_conf)
# initial funding fees,
freqtrade.execute_entry('ETH/BTC', 123)
freqtrade.execute_entry('LTC/BTC', 2.0)
freqtrade.execute_entry('XRP/BTC', 123)
freqtrade.execute_entry('ETH/BTC', 123, is_short=is_short)
freqtrade.execute_entry('LTC/BTC', 2.0, is_short=is_short)
freqtrade.execute_entry('XRP/BTC', 123, is_short=is_short)
multipl = 1 if is_short else -1
trades = Trade.get_open_trades()
assert len(trades) == 3
for trade in trades:
assert pytest.approx(trade.funding_fees) == (
trade.amount *
mark_prices[trade.pair].iloc[0]['open'] *
funding_rates[trade.pair].iloc[0]['open']
funding_rates[trade.pair].iloc[0]['open'] * multipl
)
mocker.patch('freqtrade.exchange.Exchange.create_order', return_value=open_exit_order)
time_machine.move_to("2021-09-01 08:00:00 +00:00")
@@ -4926,7 +4926,7 @@ def test_update_funding_fees(
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open']
funding_rates[trade.pair].iloc[0:2]['open'] * multipl
))
else:
@@ -4936,7 +4936,9 @@ def test_update_funding_fees(
for trade in trades:
assert trade.funding_fees == pytest.approx(sum(
trade.amount *
mark_prices[trade.pair].iloc[0:2]['open'] * funding_rates[trade.pair].iloc[0:2]['open']
mark_prices[trade.pair].iloc[0:2]['open'] *
funding_rates[trade.pair].iloc[0:2]['open'] *
multipl
))

1
tests/testdata/futures/XRP_USDT-8h-funding_rate.json vendored Normal file
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@@ -0,0 +1 @@
[[1637193600017,0.0001,0.0,0.0,0.0,0.0],[1637222400007,0.0001,0.0,0.0,0.0,0.0],[1637251200011,0.0001,0.0,0.0,0.0,0.0],[1637280000000,0.0001,0.0,0.0,0.0,0.0],[1637308800000,0.0001,0.0,0.0,0.0,0.0],[1637337600005,0.0001,0.0,0.0,0.0,0.0],[1637366400012,0.00013046,0.0,0.0,0.0,0.0],[1637395200000,0.0001,0.0,0.0,0.0,0.0],[1637424000007,0.0001,0.0,0.0,0.0,0.0],[1637452800000,0.00013862,0.0,0.0,0.0,0.0],[1637481600006,0.0001,0.0,0.0,0.0,0.0],[1637510400000,0.00019881,0.0,0.0,0.0,0.0],[1637539200004,0.00013991,0.0,0.0,0.0,0.0],[1637568000000,0.0001,0.0,0.0,0.0,0.0],[1637596800000,0.0001,0.0,0.0,0.0,0.0],[1637625600004,0.0001,0.0,0.0,0.0,0.0],[1637654400010,0.0001,0.0,0.0,0.0,0.0],[1637683200005,0.00017402,0.0,0.0,0.0,0.0],[1637712000001,0.00016775,0.0,0.0,0.0,0.0],[1637740800003,0.00033523,0.0,0.0,0.0,0.0],[1637769600010,0.0001,0.0,0.0,0.0,0.0],[1637798400000,0.00020066,0.0,0.0,0.0,0.0],[1637827200010,0.00034381,0.0,0.0,0.0,0.0],[1637856000000,0.00032096,0.0,0.0,0.0,0.0],[1637884800000,0.00058316,0.0,0.0,0.0,0.0],[1637913600000,0.0001646,0.0,0.0,0.0,0.0],[1637942400016,0.0001,0.0,0.0,0.0,0.0],[1637971200005,0.0001,0.0,0.0,0.0,0.0],[1638000000008,0.0001,0.0,0.0,0.0,0.0],[1638028800007,0.0001,0.0,0.0,0.0,0.0],[1638057600018,0.0001,0.0,0.0,0.0,0.0],[1638086400000,0.0001,0.0,0.0,0.0,0.0],[1638115200004,0.0001,0.0,0.0,0.0,0.0],[1638144000002,0.0001,0.0,0.0,0.0,0.0],[1638172800004,0.0001,0.0,0.0,0.0,0.0],[1638201600000,0.0001,0.0,0.0,0.0,0.0],[1638230400000,0.0001,0.0,0.0,0.0,0.0],[1638259200006,0.0001,0.0,0.0,0.0,0.0],[1638288000000,0.0001,0.0,0.0,0.0,0.0],[1638316800000,0.0001,0.0,0.0,0.0,0.0],[1638345600000,0.0001,0.0,0.0,0.0,0.0],[1638374400001,0.0001,0.0,0.0,0.0,0.0],[1638403200000,0.0001,0.0,0.0,0.0,0.0],[1638432000007,0.0001,0.0,0.0,0.0,0.0],[1638460800008,0.0001,0.0,0.0,0.0,0.0],[1638489600004,0.0001,0.0,0.0,0.0,0.0],[1638518400002,0.0001,0.0,0.0,0.0,0.0],[1638547200006,0.0001,0.0,0.0,0.0,0.0],[1638576000006,0.0001,0.0,0.0,0.0,0.0],[1638604800004,-0.00219334,0.0,0.0,0.0,0.0],[1638633600000,0.0001,0.0,0.0,0.0,0.0],[1638662400003,0.00006147,0.0,0.0,0.0,0.0],[1638691200008,0.0001,0.0,0.0,0.0,0.0],[1638720000007,0.0001,0.0,0.0,0.0,0.0],[1638748800009,0.0001,0.0,0.0,0.0,0.0],[1638777600001,0.0001,0.0,0.0,0.0,0.0],[1638806400000,0.0001,0.0,0.0,0.0,0.0],[1638835200018,0.0001,0.0,0.0,0.0,0.0],[1638864000000,0.0001,0.0,0.0,0.0,0.0],[1638892800000,0.0001,0.0,0.0,0.0,0.0],[1638921600000,0.0001,0.0,0.0,0.0,0.0],[1638950400018,0.0001,0.0,0.0,0.0,0.0],[1638979200010,0.0001,0.0,0.0,0.0,0.0],[1639008000010,0.0001,0.0,0.0,0.0,0.0],[1639036800000,0.0001,0.0,0.0,0.0,0.0],[1639065600000,0.0001,0.0,0.0,0.0,0.0],[1639094400000,0.0001,0.0,0.0,0.0,0.0],[1639123200008,0.0001,0.0,0.0,0.0,0.0],[1639152000012,0.00008995,0.0,0.0,0.0,0.0],[1639180800009,0.0001,0.0,0.0,0.0,0.0],[1639209600008,-0.00002574,0.0,0.0,0.0,0.0],[1639238400000,-0.00002024,0.0,0.0,0.0,0.0],[1639267200001,-0.00008282,0.0,0.0,0.0,0.0],[1639296000015,0.0001,0.0,0.0,0.0,0.0],[1639324800011,0.00008752,0.0,0.0,0.0,0.0],[1639353600006,0.0001,0.0,0.0,0.0,0.0],[1639382400019,0.0001,0.0,0.0,0.0,0.0],[1639411200000,0.0001,0.0,0.0,0.0,0.0],[1639440000004,0.00007825,0.0,0.0,0.0,0.0],[1639468800000,0.00007108,0.0,0.0,0.0,0.0],[1639497600015,0.0001,0.0,0.0,0.0,0.0],[1639526400000,0.0001,0.0,0.0,0.0,0.0],[1639555200008,0.0001,0.0,0.0,0.0,0.0],[1639584000005,0.0001,0.0,0.0,0.0,0.0],[1639612800006,0.0001,0.0,0.0,0.0,0.0],[1639641600009,0.0001,0.0,0.0,0.0,0.0],[1639670400000,0.0001,0.0,0.0,0.0,0.0],[1639699200000,0.0001,0.0,0.0,0.0,0.0],[1639728000005,0.0001,0.0,0.0,0.0,0.0],[1639756800006,0.0001,0.0,0.0,0.0,0.0],[1639785600014,0.0001,0.0,0.0,0.0,0.0]]

1
tests/testdata/futures/XRP_USDT-8h-mark.json vendored Normal file
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