Add test to show behavior reported in #7978
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@ -935,6 +935,75 @@ def test_backtest_one_detail_futures(
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# assert late_entry > 0
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@pytest.mark.parametrize('use_detail', [True, False])
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def test_backtest_one_detail_futures_funding_fees(
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default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
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default_conf_usdt['use_exit_signal'] = False
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default_conf_usdt['trading_mode'] = 'futures'
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default_conf_usdt['margin_mode'] = 'isolated'
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default_conf_usdt['candle_type_def'] = CandleType.FUTURES
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default_conf_usdt['minimal_roi'] = {'0': 1}
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default_conf_usdt['dry_run_wallet'] = 100000
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['XRP/USDT:USDT']))
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mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
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return_value=(0.01, 0.01))
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default_conf_usdt['timeframe'] = '1h'
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if use_detail:
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default_conf_usdt['timeframe_detail'] = '5m'
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patch_exchange(mocker)
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def advise_entry(df, *args, **kwargs):
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# Mock function to force several entries
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df.loc[:, 'enter_long'] = 1
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return df
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def adjust_trade_position(trade, current_time, **kwargs):
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if current_time > datetime(2021, 11, 18, 2, 0, 0, tzinfo=timezone.utc):
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return None
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return default_conf_usdt['stake_amount']
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default_conf_usdt['max_open_trades'] = 1
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backtesting = Backtesting(default_conf_usdt)
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backtesting._set_strategy(backtesting.strategylist[0])
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backtesting.strategy.populate_entry_trend = advise_entry
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backtesting.strategy.adjust_trade_position = adjust_trade_position
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backtesting.strategy.leverage = lambda **kwargs: 1
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backtesting.strategy.position_adjustment_enable = True
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pair = 'XRP/USDT:USDT'
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# Pick a timerange adapted to the pair we use to test
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timerange = TimeRange.parse_timerange('20211117-20211119')
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data = history.load_data(datadir=Path(testdatadir), timeframe='1h', pairs=[pair],
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timerange=timerange, candle_type=CandleType.FUTURES)
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backtesting.load_bt_data_detail()
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processed = backtesting.strategy.advise_all_indicators(data)
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min_date, max_date = get_timerange(processed)
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result = backtesting.backtest(
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processed=deepcopy(processed),
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start_date=min_date,
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end_date=max_date,
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)
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results = result['results']
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assert not results.empty
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# Only one result - as we're not selling.
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assert len(results) == 1
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assert 'orders' in results.columns
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for t in Trade.trades:
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# At least 4 adjustment orders
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assert t.nr_of_successful_entries >= 6
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# Funding fees will vary depending on the number of adjustment orders
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# That number is a lot higher with detail data.
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assert -20 < t.funding_fees < -0.1
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def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir) -> None:
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# This strategy intentionally places unfillable orders.
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default_conf['strategy'] = 'StrategyTestV3CustomEntryPrice'
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