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Merge pull request #7707 from freqtrade/bt/full_detail

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backtesting - use full detail timeframe
This commit is contained in:
Matthias
2022-11-27 16:09:23 +01:00
committed by GitHub
parent cf000a4c00 2c1330a4e2
commit 2219d2f491
3 changed files with 126 additions and 71 deletions
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123
tests/optimize/test_backtesting.py
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@@ -663,30 +663,9 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
'', # Exit Signal Name
]
row_detail = pd.DataFrame(
[
[
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
200, 200.1, 197, 199, 1, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=1, tzinfo=timezone.utc),
199, 199.7, 199, 199.5, 0, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=2, tzinfo=timezone.utc),
199.5, 200.8, 199, 200.9, 0, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=3, tzinfo=timezone.utc),
200.5, 210.5, 193, 210.5, 0, 0, 0, 0, '', '', '', # ROI sell (?)
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=4, tzinfo=timezone.utc),
200, 200.1, 193, 199, 0, 0, 0, 0, '', '', '',
],
], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag']
)
# No data available.
res = backtesting._get_exit_trade_entry(trade, row_sell)
res = backtesting._get_exit_trade_entry(trade, row_sell, True)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@@ -699,20 +678,9 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_exit_trade_entry(trade, row)
res = backtesting._get_exit_trade_entry(trade, row, True)
assert res is None
# Assign backtest-detail data
backtesting.detail_data[pair] = row_detail
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
# Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
sell_order = res.select_order('sell', True)
assert sell_order is not None
def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
@@ -788,17 +756,98 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
for _, t in results.iterrows():
assert len(t['orders']) == 2
ln = data_pair.loc[data_pair["date"] == t["open_date"]]
# Check open trade rate alignes to open rate
# Check open trade rate aligns to open rate
assert not ln.empty
assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
# check close trade rate alignes to close rate or is between high and low
# check close trade rate aligns to close rate or is between high and low
ln1 = data_pair.loc[data_pair["date"] == t["close_date"]]
assert not ln1.empty
assert (round(ln1.iloc[0]["open"], 6) == round(t["close_rate"], 6) or
round(ln1.iloc[0]["low"], 6) < round(
t["close_rate"], 6) < round(ln1.iloc[0]["high"], 6))
@pytest.mark.parametrize('use_detail', [True, False])
def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_detail) -> None:
default_conf_usdt['use_exit_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
if use_detail:
default_conf_usdt['timeframe_detail'] = '1m'
patch_exchange(mocker)
def advise_entry(df, *args, **kwargs):
# Mock function to force several entries
df.loc[(df['rsi'] < 40), 'enter_long'] = 1
return df
def custom_entry_price(proposed_rate, **kwargs):
return proposed_rate * 0.997
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.populate_entry_trend = advise_entry
backtesting.strategy.custom_entry_price = custom_entry_price
pair = 'XRP/ETH'
# Pick a timerange adapted to the pair we use to test
timerange = TimeRange.parse_timerange('20191010-20191013')
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['XRP/ETH'],
timerange=timerange)
if use_detail:
data_1m = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['XRP/ETH'],
timerange=timerange)
backtesting.detail_data = data_1m
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
result = backtesting.backtest(
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
)
results = result['results']
assert not results.empty
# Timeout settings from default_conf = entry: 10, exit: 30
assert len(results) == (2 if use_detail else 3)
assert 'orders' in results.columns
data_pair = processed[pair]
data_1m_pair = data_1m[pair] if use_detail else pd.DataFrame()
late_entry = 0
for _, t in results.iterrows():
assert len(t['orders']) == 2
entryo = t['orders'][0]
entry_ts = datetime.fromtimestamp(entryo['order_filled_timestamp'] // 1000, tz=timezone.utc)
if entry_ts > t['open_date']:
late_entry += 1
# Get "entry fill" candle
ln = (data_1m_pair.loc[data_1m_pair["date"] == entry_ts]
if use_detail else data_pair.loc[data_pair["date"] == entry_ts])
# Check open trade rate aligns to open rate
assert not ln.empty
# assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
assert round(ln.iloc[0]["low"], 6) <= round(
t["open_rate"], 6) <= round(ln.iloc[0]["high"], 6)
# check close trade rate aligns to close rate or is between high and low
ln1 = data_pair.loc[data_pair["date"] == t["close_date"]]
if use_detail:
ln1_1m = data_1m_pair.loc[data_1m_pair["date"] == t["close_date"]]
assert not ln1.empty or not ln1_1m.empty
else:
assert not ln1.empty
ln2 = ln1_1m if ln1.empty else ln1
assert (round(ln2.iloc[0]["low"], 6) <= round(
t["close_rate"], 6) <= round(ln2.iloc[0]["high"], 6))
assert late_entry > 0
def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir) -> None:
# This strategy intentionally places unfillable orders.
default_conf['strategy'] = 'StrategyTestV3CustomEntryPrice'