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1) extracting edge_conf to a fixture

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2) test cased adjusted to Backtesting
3) Formatted backtesting_details a bit
This commit is contained in:
misagh 2018-11-09 20:51:15 +01:00
parent aefc20738a
commit 12e735e831
3 changed files with 137 additions and 188 deletions
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35
freqtrade/tests/conftest.py
View File

@ -156,21 +156,6 @@ def default_conf():
"NEO/BTC"
]
},
"edge": {
"enabled": False,
"process_throttle_secs": 1800,
"calculate_since_number_of_days": 14,
"total_capital_in_stake_currency": 0.5,
"allowed_risk": 0.01,
"stoploss_range_min": -0.01,
"stoploss_range_max": -0.1,
"stoploss_range_step": -0.01,
"maximum_winrate": 0.80,
"minimum_expectancy": 0.20,
"min_trade_number": 15,
"max_trade_duration_minute": 1440,
"remove_pumps": True
},
"telegram": {
"enabled": True,
"token": "token",
@ -794,3 +779,23 @@ def buy_order_fee():
'status': 'closed',
'fee': None
}
@pytest.fixture(scope="function")
def edge_conf(default_conf):
default_conf['edge'] = {
"enabled": False,
"process_throttle_secs": 1800,
"calculate_since_number_of_days": 14,
"total_capital_in_stake_currency": 0.5,
"allowed_risk": 0.01,
"stoploss_range_min": -0.01,
"stoploss_range_max": -0.1,
"stoploss_range_step": -0.01,
"maximum_winrate": 0.80,
"minimum_expectancy": 0.20,
"min_trade_number": 15,
"max_trade_duration_minute": 1440,
"remove_pumps": False
}
return default_conf

272
freqtrade/tests/edge/test_edge.py
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@ -1,17 +1,20 @@
# pragma pylint: disable=missing-docstring, C0103
# pragma pylint: disable=missing-docstring, C0103, C0330
# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
import pytest
import logging
from freqtrade.tests.conftest import get_patched_freqtradebot
from freqtrade.edge import Edge
from pandas import DataFrame, to_datetime
from freqtrade.strategy.interface import SellType
from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe,
_get_frame_time_from_offset)
import arrow
import numpy as np
import math
from unittest.mock import MagicMock
# Cases to be tested:
# 1) Open trade should be removed from the end
# 2) Two complete trades within dataframe (with sell hit for all)
@ -25,6 +28,101 @@ ticker_interval_in_minute = 60
_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
# Open trade should be removed from the end
tc0 = 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, 1]], # enter trade (signal on last candle)
stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
trades=[]
)
# Two complete trades within dataframe(with sell hit for all)
tc1 = 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, 1], # enter trade (signal on last candle)
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
],
stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2),
BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)]
)
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
tc2 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
tc3 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
#5) Stoploss and sell are hit. should sell on stoploss
tc4=BTContainer(data = [
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss = -0.03, roi = float('inf'), profit_perc = -0.03,
trades = [BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
TESTS = [
tc0,
tc1,
tc2,
tc3,
tc4
]
@pytest.mark.parametrize("data", TESTS)
def test_edge_results(edge_conf, mocker, caplog, data) -> None:
"""
run functional tests
"""
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
frame = _build_backtest_dataframe(data.data)
caplog.set_level(logging.DEBUG)
edge.fee = 0
trades = edge._find_trades_for_stoploss_range(frame, 'TEST/BTC', [data.stop_loss])
results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
print(results)
assert len(trades) == len(data.trades)
if not results.empty:
assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3)
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.exit_type == trade.sell_reason
assert res.open_time == _get_frame_time_from_offset(trade.open_tick)
assert res.close_time == _get_frame_time_from_offset(trade.close_tick)
def test_adjust(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
@ -94,10 +192,10 @@ def _time_on_candle(number):
minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
def test_edge_heartbeat_calculate(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
heartbeat = default_conf['edge']['process_throttle_secs']
def test_edge_heartbeat_calculate(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
heartbeat = edge_conf['edge']['process_throttle_secs']
# should not recalculate if heartbeat not reached
edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
@ -148,15 +246,15 @@ def test_edge_process_downloaded_data(mocker, default_conf):
assert edge._last_updated <= arrow.utcnow().timestamp + 2
def test_process_expectancy(mocker, default_conf):
default_conf['edge']['min_trade_number'] = 2
freqtrade = get_patched_freqtradebot(mocker, default_conf)
def test_process_expectancy(mocker, edge_conf):
edge_conf['edge']['min_trade_number'] = 2
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
def get_fee():
return 0.001
freqtrade.exchange.get_fee = get_fee
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
trades = [
{'pair': 'TEST/BTC',
@ -210,157 +308,3 @@ def test_process_expectancy(mocker, default_conf):
assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
# 1) Open trade should be removed from the end
def test_case_1(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[3, 1, 12, 25, 11, 20, 0], # ->
[4, 0, 20, 30, 19, 25, 1], # -> should enter the trade
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# No trade should be found
assert len(trades) == 0
# 2) Two complete trades within dataframe (with sell hit for all)
def test_case_2(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle
[2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle
[3, 1, 12, 25, 11, 20, 0], # -> no action
[4, 0, 20, 30, 19, 25, 0], # -> should enter the trade
[5, 0, 25, 27, 22, 26, 1], # -> no action
[6, 0, 26, 36, 25, 35, 0], # -> should sell
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 2
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == ticker[2][_ohlc['open']]
assert trades[0]['exit_type'] == SellType.SELL_SIGNAL
##############################################################
# Second trade check
assert trades[1]['open_time'] == _time_on_candle(4)
assert trades[1]['close_time'] == _time_on_candle(6)
assert trades[1]['open_rate'] == ticker[4][_ohlc['open']]
assert trades[1]['close_rate'] == ticker[6][_ohlc['open']]
assert trades[1]['exit_type'] == SellType.SELL_SIGNAL
##############################################################
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
def test_case_3(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
stoploss = -0.01 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 14, 15, 11, 12, 0], # -> enter to trade, stoploss hit
[2, 1, 12, 25, 11, 20, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(1)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
def test_case_4(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
stoploss = -0.03 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
[2, 0, 16, 17, 14.4, 15.5, 0], # -> stoploss hit
[3, 0, 17, 25, 16.9, 22, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################
# 5) Stoploss and sell are hit. should sell on stoploss
def test_case_5(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
stoploss = -0.03 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
[2, 0, 16, 17, 14.4, 15.5, 1], # -> stoploss hit and also sell signal
[3, 0, 17, 25, 16.9, 22, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################

18
freqtrade/tests/optimize/test_backtest_detail.py
View File

@ -1,4 +1,4 @@
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
import logging
from unittest.mock import MagicMock
@ -34,15 +34,15 @@ tc0 = BTContainer(data=[
# TC2: Stop-Loss Triggered 3% Loss
tc1 = 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)
[2, 4987, 5012, 4962, 4975, 6172, 0, 0],
[3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4962, 4975, 6172, 0, 0],
[3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.03, roi=1, profit_perc=-0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
)
)
# Test 3 Candle drops 4%, Recovers 1%.
@ -127,7 +127,7 @@ tc6 = BTContainer(data=[
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi=0.03, profit_perc=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
)
TESTS = [
tc0,