1) extracting edge_conf to a fixture
2) test cased adjusted to Backtesting 3) Formatted backtesting_details a bit
This commit is contained in:
misagh
parent
aefc20738a
commit
12e735e831
@ -156,21 +156,6 @@ def default_conf():
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"NEO/BTC"
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]
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},
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"edge": {
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"enabled": False,
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"process_throttle_secs": 1800,
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"calculate_since_number_of_days": 14,
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"total_capital_in_stake_currency": 0.5,
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"allowed_risk": 0.01,
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"stoploss_range_min": -0.01,
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"stoploss_range_max": -0.1,
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"stoploss_range_step": -0.01,
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"maximum_winrate": 0.80,
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"minimum_expectancy": 0.20,
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"min_trade_number": 15,
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"max_trade_duration_minute": 1440,
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"remove_pumps": True
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},
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"telegram": {
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"enabled": True,
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"token": "token",
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@ -794,3 +779,23 @@ def buy_order_fee():
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'status': 'closed',
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'fee': None
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}
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@pytest.fixture(scope="function")
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def edge_conf(default_conf):
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default_conf['edge'] = {
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"enabled": False,
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"process_throttle_secs": 1800,
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"calculate_since_number_of_days": 14,
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"total_capital_in_stake_currency": 0.5,
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"allowed_risk": 0.01,
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"stoploss_range_min": -0.01,
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"stoploss_range_max": -0.1,
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"stoploss_range_step": -0.01,
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"maximum_winrate": 0.80,
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"minimum_expectancy": 0.20,
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"min_trade_number": 15,
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"max_trade_duration_minute": 1440,
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"remove_pumps": False
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}
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return default_conf
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@ -1,17 +1,20 @@
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# pragma pylint: disable=missing-docstring, C0103
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# pragma pylint: disable=missing-docstring, C0103, C0330
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# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
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import pytest
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import logging
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from freqtrade.tests.conftest import get_patched_freqtradebot
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from freqtrade.edge import Edge
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from pandas import DataFrame, to_datetime
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from freqtrade.strategy.interface import SellType
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from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe,
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_get_frame_time_from_offset)
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import arrow
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import numpy as np
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import math
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from unittest.mock import MagicMock
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# Cases to be tested:
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# 1) Open trade should be removed from the end
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# 2) Two complete trades within dataframe (with sell hit for all)
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@ -25,6 +28,101 @@ ticker_interval_in_minute = 60
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_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
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# Open trade should be removed from the end
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tc0 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1]], # enter trade (signal on last candle)
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stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
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trades=[]
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)
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# Two complete trades within dataframe(with sell hit for all)
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tc1 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
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[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
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[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
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[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
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[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
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],
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stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2),
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BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)]
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)
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# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
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tc2 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
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)
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# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
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tc3 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
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)
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#5) Stoploss and sell are hit. should sell on stoploss
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tc4=BTContainer(data = [
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss = -0.03, roi = float('inf'), profit_perc = -0.03,
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trades = [BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
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)
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TESTS = [
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tc0,
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tc1,
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tc2,
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tc3,
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tc4
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]
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@pytest.mark.parametrize("data", TESTS)
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def test_edge_results(edge_conf, mocker, caplog, data) -> None:
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"""
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run functional tests
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"""
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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frame = _build_backtest_dataframe(data.data)
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caplog.set_level(logging.DEBUG)
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edge.fee = 0
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trades = edge._find_trades_for_stoploss_range(frame, 'TEST/BTC', [data.stop_loss])
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results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
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print(results)
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assert len(trades) == len(data.trades)
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if not results.empty:
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assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3)
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for c, trade in enumerate(data.trades):
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res = results.iloc[c]
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assert res.exit_type == trade.sell_reason
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assert res.open_time == _get_frame_time_from_offset(trade.open_tick)
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assert res.close_time == _get_frame_time_from_offset(trade.close_tick)
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def test_adjust(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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@ -94,10 +192,10 @@ def _time_on_candle(number):
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minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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def test_edge_heartbeat_calculate(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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heartbeat = default_conf['edge']['process_throttle_secs']
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def test_edge_heartbeat_calculate(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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heartbeat = edge_conf['edge']['process_throttle_secs']
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# should not recalculate if heartbeat not reached
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edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
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@ -148,15 +246,15 @@ def test_edge_process_downloaded_data(mocker, default_conf):
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assert edge._last_updated <= arrow.utcnow().timestamp + 2
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def test_process_expectancy(mocker, default_conf):
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default_conf['edge']['min_trade_number'] = 2
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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def test_process_expectancy(mocker, edge_conf):
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edge_conf['edge']['min_trade_number'] = 2
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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def get_fee():
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return 0.001
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freqtrade.exchange.get_fee = get_fee
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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trades = [
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{'pair': 'TEST/BTC',
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@ -210,157 +308,3 @@ def test_process_expectancy(mocker, default_conf):
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assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
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assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
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assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
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# 1) Open trade should be removed from the end
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def test_case_1(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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stoploss = -0.99 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[3, 1, 12, 25, 11, 20, 0], # ->
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[4, 0, 20, 30, 19, 25, 1], # -> should enter the trade
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# No trade should be found
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assert len(trades) == 0
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# 2) Two complete trades within dataframe (with sell hit for all)
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def test_case_2(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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stoploss = -0.99 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle
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[2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle
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[3, 1, 12, 25, 11, 20, 0], # -> no action
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[4, 0, 20, 30, 19, 25, 0], # -> should enter the trade
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[5, 0, 25, 27, 22, 26, 1], # -> no action
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[6, 0, 26, 36, 25, 35, 0], # -> should sell
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 2
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == ticker[2][_ohlc['open']]
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assert trades[0]['exit_type'] == SellType.SELL_SIGNAL
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##############################################################
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# Second trade check
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assert trades[1]['open_time'] == _time_on_candle(4)
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assert trades[1]['close_time'] == _time_on_candle(6)
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assert trades[1]['open_rate'] == ticker[4][_ohlc['open']]
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assert trades[1]['close_rate'] == ticker[6][_ohlc['open']]
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assert trades[1]['exit_type'] == SellType.SELL_SIGNAL
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##############################################################
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# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
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def test_case_3(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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stoploss = -0.01 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 14, 15, 11, 12, 0], # -> enter to trade, stoploss hit
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[2, 1, 12, 25, 11, 20, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(1)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
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def test_case_4(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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stoploss = -0.03 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
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[2, 0, 16, 17, 14.4, 15.5, 0], # -> stoploss hit
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[3, 0, 17, 25, 16.9, 22, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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# 5) Stoploss and sell are hit. should sell on stoploss
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def test_case_5(mocker, default_conf):
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
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stoploss = -0.03 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
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[2, 0, 16, 17, 14.4, 15.5, 1], # -> stoploss hit and also sell signal
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[3, 0, 17, 25, 16.9, 22, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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@ -1,4 +1,4 @@
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# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
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# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
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import logging
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from unittest.mock import MagicMock
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@ -42,7 +42,7 @@ tc1 = BTContainer(data=[
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.03, roi=1, profit_perc=-0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
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)
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)
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# Test 3 Candle drops 4%, Recovers 1%.
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@ -127,7 +127,7 @@ tc6 = BTContainer(data=[
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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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,
|
||||
|
||||
Loading…
Reference in New Issue
Block a user