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merged with feat/short

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This commit is contained in:
Sam Germain
2021-09-27 23:26:20 -06:00
parent 043bfcd5ad d7ce9b9f6d
commit 1a132758d0
37 changed files with 528 additions and 300 deletions
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101
tests/strategy/test_interface.py
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@@ -21,13 +21,13 @@ from freqtrade.strategy.hyper import (BaseParameter, BooleanParameter, Categoric
DecimalParameter, IntParameter, RealParameter)
from freqtrade.strategy.interface import SellCheckTuple
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from tests.conftest import log_has, log_has_re
from tests.conftest import CURRENT_TEST_STRATEGY, TRADE_SIDES, log_has, log_has_re
from .strats.strategy_test_v2 import StrategyTestV2
from .strats.strategy_test_v3 import StrategyTestV3
# Avoid to reinit the same object again and again
_STRATEGY = StrategyTestV2(config={})
_STRATEGY = StrategyTestV3(config={})
_STRATEGY.dp = DataProvider({}, None, None)
@@ -59,7 +59,7 @@ def test_returns_latest_signal(ohlcv_history):
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, False)
mocked_history.loc[1, 'exit_long'] = 0
mocked_history.loc[1, 'enter_long'] = 1
mocked_history.loc[1, 'buy_tag'] = 'buy_signal_01'
mocked_history.loc[1, 'enter_tag'] = 'buy_signal_01'
assert _STRATEGY.get_entry_signal(
'ETH/BTC', '5m', mocked_history) == (SignalDirection.LONG, 'buy_signal_01')
@@ -70,8 +70,10 @@ def test_returns_latest_signal(ohlcv_history):
mocked_history.loc[1, 'enter_long'] = 0
mocked_history.loc[1, 'enter_short'] = 1
mocked_history.loc[1, 'exit_short'] = 0
mocked_history.loc[1, 'enter_tag'] = 'sell_signal_01'
assert _STRATEGY.get_entry_signal(
'ETH/BTC', '5m', mocked_history) == (SignalDirection.SHORT, None)
'ETH/BTC', '5m', mocked_history) == (SignalDirection.SHORT, 'sell_signal_01')
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (False, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (True, False)
@@ -177,7 +179,6 @@ def test_get_signal_no_sell_column(default_conf, mocker, caplog, ohlcv_history):
def test_ignore_expired_candle(default_conf):
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.ignore_buying_expired_candle_after = 60
@@ -224,8 +225,8 @@ def test_assert_df_raise(mocker, caplog, ohlcv_history):
def test_assert_df(ohlcv_history, caplog):
df_len = len(ohlcv_history) - 1
ohlcv_history.loc[:, 'buy'] = 0
ohlcv_history.loc[:, 'sell'] = 0
ohlcv_history.loc[:, 'enter_long'] = 0
ohlcv_history.loc[:, 'exit_long'] = 0
# Ensure it's running when passed correctly
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[df_len, 'date'])
@@ -248,8 +249,8 @@ def test_assert_df(ohlcv_history, caplog):
_STRATEGY.assert_df(None, len(ohlcv_history),
ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
with pytest.raises(StrategyError,
match="Buy column not set"):
_STRATEGY.assert_df(ohlcv_history.drop('buy', axis=1), len(ohlcv_history),
match="enter_long/buy column not set."):
_STRATEGY.assert_df(ohlcv_history.drop('enter_long', axis=1), len(ohlcv_history),
ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
_STRATEGY.disable_dataframe_checks = True
@@ -262,7 +263,6 @@ def test_assert_df(ohlcv_history, caplog):
def test_advise_all_indicators(default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange.parse_timerange('1510694220-1510700340')
@@ -273,7 +273,6 @@ def test_advise_all_indicators(default_conf, testdatadir) -> None:
def test_advise_all_indicators_copy(mocker, default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators')
timerange = TimeRange.parse_timerange('1510694220-1510700340')
@@ -291,7 +290,6 @@ def test_min_roi_reached(default_conf, fee) -> None:
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
@@ -330,7 +328,6 @@ def test_min_roi_reached2(default_conf, fee) -> None:
},
]
for roi in min_roi_list:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
@@ -365,7 +362,6 @@ def test_min_roi_reached3(default_conf, fee) -> None:
30: 0.05,
55: 0.30,
}
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
strategy.minimal_roi = min_roi
trade = Trade(
@@ -418,8 +414,6 @@ def test_min_roi_reached3(default_conf, fee) -> None:
def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, trailing, custom,
profit2, adjusted2, expected2, custom_stop) -> None:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
trade = Trade(
pair='ETH/BTC',
@@ -466,8 +460,6 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili
def test_custom_sell(default_conf, fee, caplog) -> None:
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
trade = Trade(
pair='ETH/BTC',
@@ -516,23 +508,49 @@ def test_custom_sell(default_conf, fee, caplog) -> None:
assert log_has_re('Custom sell reason returned from custom_sell is too long.*', caplog)
@pytest.mark.parametrize('side', TRADE_SIDES)
def test_leverage_callback(default_conf, side) -> None:
default_conf['strategy'] = 'StrategyTestV2'
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.leverage(
pair='XRP/USDT',
current_time=datetime.now(timezone.utc),
current_rate=2.2,
proposed_leverage=1.0,
max_leverage=5.0,
side=side,
) == 1
default_conf['strategy'] = CURRENT_TEST_STRATEGY
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.leverage(
pair='XRP/USDT',
current_time=datetime.now(timezone.utc),
current_rate=2.2,
proposed_leverage=1.0,
max_leverage=5.0,
side=side,
) == 3
def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
entry_mock = MagicMock(side_effect=lambda x, meta: x)
exit_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
advise_entry=entry_mock,
advise_exit=exit_mock,
)
strategy = StrategyTestV2({})
strategy = StrategyTestV3({})
strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert entry_mock.call_count == 1
assert entry_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
@@ -541,8 +559,8 @@ def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 2
assert buy_mock.call_count == 2
assert buy_mock.call_count == 2
assert entry_mock.call_count == 2
assert entry_mock.call_count == 2
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
@@ -550,16 +568,16 @@ def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
entry_mock = MagicMock(side_effect=lambda x, meta: x)
exit_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
advise_entry=entry_mock,
advise_exit=exit_mock,
)
strategy = StrategyTestV2({})
strategy = StrategyTestV3({})
strategy.dp = DataProvider({}, None, None)
strategy.process_only_new_candles = True
@@ -569,8 +587,8 @@ def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) ->
assert 'close' in ret.columns
assert isinstance(ret, DataFrame)
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert entry_mock.call_count == 1
assert entry_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle', caplog)
caplog.clear()
@@ -578,20 +596,19 @@ def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) ->
ret = strategy._analyze_ticker_internal(ohlcv_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert entry_mock.call_count == 1
assert entry_mock.call_count == 1
# only skipped analyze adds buy and sell columns, otherwise it's all mocked
assert 'buy' in ret.columns
assert 'sell' in ret.columns
assert ret['buy'].sum() == 0
assert ret['sell'].sum() == 0
assert 'enter_long' in ret.columns
assert 'exit_long' in ret.columns
assert ret['enter_long'].sum() == 0
assert ret['exit_long'].sum() == 0
assert not log_has('TA Analysis Launched', caplog)
assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
@pytest.mark.usefixtures("init_persistence")
def test_is_pair_locked(default_conf):
default_conf.update({'strategy': 'StrategyTestV2'})
PairLocks.timeframe = default_conf['timeframe']
PairLocks.use_db = True
strategy = StrategyResolver.load_strategy(default_conf)