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Merge pull request #2624 from freqtrade/backtest_refactor

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handle and document ROI=-1
This commit is contained in:
hroff-1902
2019-12-14 23:11:36 +03:00
committed by GitHub
parent e26f563f4b de33ec4250
commit 1cc174c007
5 changed files with 118 additions and 25 deletions
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67
tests/optimize/test_backtest_detail.py
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@@ -265,6 +265,69 @@ tc16 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 17: Buy, hold for 120 mins, then forcesell using roi=-1
# Causes negative profit even though sell-reason is ROI.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# Uses open as sell-rate (special case) - since the roi-time is a multiple of the ticker interval.
tc17 = 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],
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
[3, 4980, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 18: Buy, hold for 120 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses open_rate as sell-price
tc18 = 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],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5200, 5220, 4940, 4962, 6172, 0, 0], # Sell on ROI (sells on open)
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
tc19 = 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],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5000, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
tc20 = 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],
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
[3, 5200, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
TESTS = [
tc0,
tc1,
@@ -283,6 +346,10 @@ TESTS = [
tc14,
tc15,
tc16,
tc17,
tc18,
tc19,
tc20,
]