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Fix some tests

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This commit is contained in:
Matthias 2021-08-24 06:45:09 +02:00
parent 7a977a8eaf
commit 11bd8e912e
6 changed files with 44 additions and 27 deletions
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10
freqtrade/optimize/backtesting.py
View File

@ -233,12 +233,12 @@ class Backtesting:
if not pair_data.empty:
# Cleanup from prior runs
pair_data.loc[:, 'buy'] = 0 # TODO: Should be renamed to enter_long
pair_data.loc[:, 'enter_long'] = 0
pair_data.loc[:, 'enter_short'] = 0
pair_data.loc[:, 'sell'] = 0 # TODO: should be renamed to exit_long
pair_data.loc[:, 'exit_long'] = 0
pair_data.loc[:, 'exit_short'] = 0
pair_data.loc[:, 'long_tag'] = None # cleanup if buy_tag is exist
pair_data.loc[:, 'short_tag'] = None # cleanup if short_tag is exist
pair_data.loc[:, 'long_tag'] = None
pair_data.loc[:, 'short_tag'] = None
df_analyzed = self.strategy.advise_sell(
self.strategy.advise_buy(pair_data, {'pair': pair}),
@ -255,8 +255,6 @@ class Backtesting:
df_analyzed.loc[:, 'exit_short'] = df_analyzed.loc[:, 'exit_short'].shift(1)
df_analyzed.loc[:, 'long_tag'] = df_analyzed.loc[:, 'long_tag'].shift(1)
df_analyzed.drop(df_analyzed.head(1).index, inplace=True)
# Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)

3
freqtrade/strategy/interface.py
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@ -871,7 +871,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return df
def leverage(self, pair: str, current_time: datetime, current_rate: float,
proposed_leverage: float, max_leverage: float,
proposed_leverage: float, max_leverage: float, side: str,
**kwargs) -> float:
"""
Customize leverage for each new trade. This method is not called when edge module is
@ -882,6 +882,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param proposed_leverage: A leverage proposed by the bot.
:param max_leverage: Max leverage allowed on this pair
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:return: A leverage amount, which is between 1.0 and max_leverage.
"""
return 1.0

6
tests/optimize/__init__.py
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@ -56,6 +56,8 @@ def _build_backtest_dataframe(data):
# Ensure floats are in place
for column in ['open', 'high', 'low', 'close', 'volume']:
frame[column] = frame[column].astype('float64')
if 'buy_tag' not in columns:
frame['buy_tag'] = None
if 'long_tag' not in columns:
frame['long_tag'] = None
if 'short_tag' not in columns:
frame['short_tag'] = None
return frame

2
tests/optimize/test_backtest_detail.py
View File

@ -521,7 +521,7 @@ tc32 = BTContainer(data=[
tc33 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 0, 0, 'buy_signal_01'],
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, 0, 0, None], # enter trade (signal on last candle) and stop
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, 0, 0, None], # enter trade and stop
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, 0, 0, None],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 0, None],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0, None]],

40
tests/optimize/test_backtesting.py
View File

@ -123,12 +123,14 @@ def _trend(signals, buy_value, sell_value):
n = len(signals['low'])
buy = np.zeros(n)
sell = np.zeros(n)
for i in range(0, len(signals['buy'])):
for i in range(0, len(signals['enter_long'])):
if random.random() > 0.5: # Both buy and sell signals at same timeframe
buy[i] = buy_value
sell[i] = sell_value
signals['buy'] = buy
signals['sell'] = sell
signals['enter_long'] = buy
signals['exit_long'] = sell
signals['enter_short'] = 0
signals['exit_short'] = 0
return signals
@ -143,8 +145,10 @@ def _trend_alternate(dataframe=None, metadata=None):
buy[i] = 1
else:
sell[i] = 1
signals['buy'] = buy
signals['sell'] = sell
signals['enter_long'] = buy
signals['exit_long'] = sell
signals['enter_short'] = 0
signals['exit_short'] = 0
return dataframe
@ -499,41 +503,47 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
0.0012, # High
'', # Buy Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isinstance(trade, LocalTrade)
assert trade.stake_amount == 495
# Fake 2 trades, so there's not enough amount for the next trade left.
LocalTrade.trades_open.append(trade)
LocalTrade.trades_open.append(trade)
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
LocalTrade.trades_open.pop()
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is not None
backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 123.5
# In case of error - use proposed stake
backtesting.strategy.custom_stake_amount = lambda **kwargs: 20 / 0
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 495
assert trade.is_short is False
trade = backtesting._enter_trade(pair, row=row, direction='short')
assert trade
assert trade.stake_amount == 495
assert trade.is_short is True
# Stake-amount too high!
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
# Stake-amount throwing error
mocker.patch("freqtrade.wallets.Wallets.get_trade_stake_amount",
side_effect=DependencyException)
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
backtesting.cleanup()
@ -766,8 +776,10 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
multi = 20
else:
multi = 18
dataframe['buy'] = np.where(dataframe.index % multi == 0, 1, 0)
dataframe['sell'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
dataframe['enter_long'] = np.where(dataframe.index % multi == 0, 1, 0)
dataframe['exit_long'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
dataframe['enter_short'] = 0
dataframe['exit_short'] = 0
return dataframe
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)

10
tests/strategy/test_strategy_loading.py
View File

@ -394,7 +394,8 @@ def test_call_deprecated_function(result, monkeypatch, default_conf, caplog):
caplog)
def test_strategy_interface_versioning(result, monkeypatch, default_conf):
def test_strategy_interface_versioning(result, default_conf):
# Tests interface compatibility with Interface version 2.
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
metadata = {'pair': 'ETH/BTC'}
@ -411,8 +412,11 @@ def test_strategy_interface_versioning(result, monkeypatch, default_conf):
enterdf = strategy.advise_buy(result, metadata=metadata)
assert isinstance(enterdf, DataFrame)
assert 'buy' in enterdf.columns
assert 'buy' not in enterdf.columns
assert 'enter_long' in enterdf.columns
exitdf = strategy.advise_sell(result, metadata=metadata)
assert isinstance(exitdf, DataFrame)
assert 'sell' in exitdf
assert 'sell' not in exitdf
assert 'exit_long' in exitdf