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Merge pull request #5299 from kevinjulian/feat/kevinjulian/add-buy-signal-name

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Add buy signal name
This commit is contained in:
Matthias
2021-07-30 08:23:11 +02:00
committed by GitHub
parent 71838dc51a aa34889c04
commit 138b126d03
23 changed files with 261 additions and 115 deletions
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2
tests/optimize/__init__.py
View File

@@ -18,6 +18,7 @@ class BTrade(NamedTuple):
sell_reason: SellType
open_tick: int
close_tick: int
buy_tag: Optional[str] = None
class BTContainer(NamedTuple):
@@ -44,6 +45,7 @@ def _get_frame_time_from_offset(offset):
def _build_backtest_dataframe(data):
columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell']
columns = columns + ['buy_tag'] if len(data[0]) == 9 else columns
frame = DataFrame.from_records(data, columns=columns)
frame['date'] = frame['date'].apply(_get_frame_time_from_offset)

22
tests/optimize/test_backtest_detail.py
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@@ -516,6 +516,26 @@ tc32 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 33: trailing_stop should be triggered immediately on trade open candle.
# stop-loss: 1%, ROI: 10% (should not apply)
tc33 = BTContainer(data=[
# D O H L C V B S BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 'buy_signal_01'],
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, None], # enter trade (signal on last candle) and stop
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, None],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, None],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, None]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(
sell_reason=SellType.TRAILING_STOP_LOSS,
open_tick=1,
close_tick=1,
buy_tag='buy_signal_01'
)]
)
TESTS = [
tc0,
tc1,
@@ -550,6 +570,7 @@ TESTS = [
tc30,
tc31,
tc32,
tc33,
]
@@ -599,5 +620,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.sell_reason == trade.sell_reason.value
assert res.buy_tag == trade.buy_tag
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)

4
tests/optimize/test_backtesting.py
View File

@@ -496,6 +496,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
0, # Sell
0.00099, # Low
0.0012, # High
'', # Buy Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
assert isinstance(trade, LocalTrade)
@@ -583,6 +584,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'min_rate': [0.1038, 0.10302485],
'max_rate': [0.10501, 0.1038888],
'is_open': [False, False],
'buy_tag': [None, None],
})
pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair]
@@ -858,7 +860,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
})
})
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)