adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'develop' into align_userdata

Browse Source
This commit is contained in:
Matthias
2019-08-10 20:15:07 +02:00
parent 383b24ab84 8ba7657007
commit 2c5a499a8b
33 changed files with 1007 additions and 368 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/tests/conftest.py
View File

@@ -45,7 +45,7 @@ def get_args(args):
def patched_configuration_load_config_file(mocker, config) -> None:
mocker.patch(
'freqtrade.configuration.configuration.Configuration._load_config_file',
'freqtrade.configuration.configuration.load_config_file',
lambda *args, **kwargs: config
)

15
freqtrade/tests/exchange/test_exchange.py
View File

@@ -2,7 +2,7 @@
# pragma pylint: disable=protected-access
import copy
import logging
from datetime import datetime
from datetime import datetime, timezone
from random import randint
from unittest.mock import MagicMock, Mock, PropertyMock
@@ -11,8 +11,8 @@ import ccxt
import pytest
from pandas import DataFrame
from freqtrade import (DependencyException, OperationalException,
TemporaryError, InvalidOrderException)
from freqtrade import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Binance, Exchange, Kraken
from freqtrade.exchange.exchange import API_RETRY_COUNT
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
@@ -1361,7 +1361,7 @@ def test_name(default_conf, mocker, exchange_name):
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_get_trades_for_order(default_conf, mocker, exchange_name):
order_id = 'ABCD-ABCD'
since = datetime(2018, 5, 5)
since = datetime(2018, 5, 5, tzinfo=timezone.utc)
default_conf["dry_run"] = False
mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True)
api_mock = MagicMock()
@@ -1391,6 +1391,13 @@ def test_get_trades_for_order(default_conf, mocker, exchange_name):
orders = exchange.get_trades_for_order(order_id, 'LTC/BTC', since)
assert len(orders) == 1
assert orders[0]['price'] == 165
assert api_mock.fetch_my_trades.call_count == 1
# since argument should be
assert isinstance(api_mock.fetch_my_trades.call_args[0][1], int)
assert api_mock.fetch_my_trades.call_args[0][0] == 'LTC/BTC'
# Same test twice, hardcoded number and doing the same calculation
assert api_mock.fetch_my_trades.call_args[0][1] == 1525478395000
assert api_mock.fetch_my_trades.call_args[0][1] == int(since.timestamp() - 5) * 1000
ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name,
'get_trades_for_order', 'fetch_my_trades',

110
freqtrade/tests/optimize/test_backtest_detail.py
View File

@@ -14,9 +14,8 @@ from freqtrade.tests.optimize import (BTContainer, BTrade,
_get_frame_time_from_offset,
tests_ticker_interval)
# Test 0 Sell signal sell
# Test 0: Sell with signal sell in candle 3
# Test with Stop-loss at 1%
# TC0: Sell signal in candle 3
tc0 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -29,9 +28,8 @@ tc0 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 1 Minus 8% Close
# Test 1: Stop-Loss Triggered 1% loss
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc1 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -45,9 +43,8 @@ tc1 = BTContainer(data=[
)
# Test 2 Minus 4% Low, minus 1% close
# Test 2: Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc2 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -61,12 +58,12 @@ tc2 = BTContainer(data=[
)
# Test 3 Candle drops 4%, Recovers 1%.
# Entry Criteria Met
# Candle drops 20%
# Test with Stop-Loss at 2%
# TC3: Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss
# Test 3: Multiple trades.
# Candle drops 4%, Recovers 1%.
# Entry Criteria Met
# Candle drops 20%
# Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -81,10 +78,10 @@ tc3 = BTContainer(data=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
)
# Test 4 Minus 3% / recovery +15%
# Test 4: Minus 3% / recovery +15%
# Candle Data for test 3 – Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss
# Stop-Loss Triggered 2% Loss
tc4 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -97,9 +94,8 @@ tc4 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 5 / Drops 0.5% Closes +20%
# Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain
# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
# stop-loss: 1%, ROI: 3%
tc5 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
@@ -112,9 +108,8 @@ tc5 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
# Set stop-loss at 2% ROI at 5%
# TC6: Stop-Loss triggers 2% Loss
# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
# stop-loss: 2% ROI: 5%
tc6 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -127,9 +122,8 @@ tc6 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve
# Set stop-loss at 2% ROI at 3%
# TC7: ROI Triggers 3% Gain
# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
# stop-loss: 2% ROI: 3%
tc7 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@@ -143,9 +137,8 @@ tc7 = BTContainer(data=[
)
# Test 8 - trailing_stop should raise so candle 3 causes a stoploss.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC8: Trailing stoploss - stoploss should be adjusted candle 2
# Test 8: trailing_stop should raise so candle 3 causes a stoploss.
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2
tc8 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -158,10 +151,8 @@ tc8 = BTContainer(data=[
)
# Test 9 - trailing_stop should raise - high and low in same candle.
# Candle Data for test 9
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC9: Trailing stoploss - stoploss should be adjusted candle 3
# Test 9: trailing_stop should raise - high and low in same candle.
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
tc9 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -173,10 +164,9 @@ tc9 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 10 - trailing_stop should raise so candle 3 causes a stoploss
# Test 10: trailing_stop should raise so candle 3 causes a stoploss
# without applying trailing_stop_positive since stoploss_offset is at 10%.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC10: Trailing stoploss - stoploss should be adjusted candle 2
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
tc10 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -190,10 +180,9 @@ tc10 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
)
# Test 11 - trailing_stop should raise so candle 3 causes a stoploss
# Test 11: trailing_stop should raise so candle 3 causes a stoploss
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC11: Trailing stoploss - stoploss should be adjusted candle 2,
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
tc11 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -207,10 +196,9 @@ tc11 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 12 - trailing_stop should raise in candle 2 and cause a stoploss in the same candle
# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC12: Trailing stoploss - stoploss should be adjusted candle 2,
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
tc12 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -224,6 +212,47 @@ tc12 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 13: Buy and sell ROI on same candle
# stop-loss: 10% (should not apply), ROI: 1%
tc13 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5100, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.01, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
)
# Test 14 - Buy and Stoploss on same candle
# stop-loss: 5%, ROI: 10% (should not apply)
tc14 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5100, 4600, 5100, 6172, 0, 0],
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi=0.10, profit_perc=-0.05,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
# stop-loss: 5%, ROI: 10% (should not apply)
tc15 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5100, 4900, 5100, 6172, 1, 0],
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi=0.01, profit_perc=-0.04,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
)
TESTS = [
tc0,
tc1,
@@ -238,6 +267,9 @@ TESTS = [
tc10,
tc11,
tc12,
tc13,
tc14,
tc15,
]

25
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -9,7 +9,7 @@ import pandas as pd
import pytest
from arrow import Arrow
from freqtrade import DependencyException, constants
from freqtrade import DependencyException, OperationalException, constants
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.data.btanalysis import evaluate_result_multi
@@ -21,7 +21,8 @@ from freqtrade.optimize.backtesting import Backtesting
from freqtrade.state import RunMode
from freqtrade.strategy.default_strategy import DefaultStrategy
from freqtrade.strategy.interface import SellType
from freqtrade.tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
from freqtrade.tests.conftest import (get_args, log_has, log_has_re,
patch_exchange,
patched_configuration_load_config_file)
@@ -345,6 +346,23 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
assert not backtesting.strategy.order_types["stoploss_on_exchange"]
def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> None:
"""
Check that stoploss_on_exchange is set to False while backtesting
since backtesting assumes a perfect stoploss anyway.
"""
patch_exchange(mocker)
del default_conf['ticker_interval']
default_conf['strategy_list'] = ['DefaultStrategy',
'TestStrategy']
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
with pytest.raises(OperationalException):
Backtesting(default_conf)
log_has("Ticker-interval needs to be set in either configuration "
"or as cli argument `--ticker-interval 5m`", caplog.record_tuples)
def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None:
patch_exchange(mocker)
timerange = TimeRange(None, 'line', 0, -100)
@@ -618,8 +636,9 @@ def test_processed(default_conf, mocker) -> None:
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
# TODO: Evaluate usefullness of this, the patterns and buy-signls are unrealistic
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
tests = [['raise', 19], ['lower', 0], ['sine', 18]]
tests = [['raise', 19], ['lower', 0], ['sine', 35]]
# We need to enable sell-signal - otherwise it sells on ROI!!
default_conf['experimental'] = {"use_sell_signal": True}

14
freqtrade/tests/test_configuration.py
View File

@@ -15,6 +15,7 @@ from freqtrade.configuration import Arguments, Configuration
from freqtrade.configuration.check_exchange import check_exchange
from freqtrade.configuration.directory_operations import create_datadir, create_userdata_dir
from freqtrade.configuration.json_schema import validate_config_schema
from freqtrade.configuration.load_config import load_config_file
from freqtrade.constants import DEFAULT_DB_DRYRUN_URL, DEFAULT_DB_PROD_URL
from freqtrade.loggers import _set_loggers
from freqtrade.state import RunMode
@@ -26,8 +27,7 @@ from freqtrade.tests.conftest import (log_has, log_has_re,
def all_conf():
config_file = Path(__file__).parents[2] / "config_full.json.example"
print(config_file)
configuration = Configuration(Namespace())
conf = configuration._load_config_file(str(config_file))
conf = load_config_file(str(config_file))
return conf
@@ -54,12 +54,11 @@ def test_load_config_incorrect_stake_amount(default_conf) -> None:
def test_load_config_file(default_conf, mocker, caplog) -> None:
del default_conf['user_data_dir']
file_mock = mocker.patch('freqtrade.configuration.configuration.open', mocker.mock_open(
file_mock = mocker.patch('freqtrade.configuration.load_config.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
configuration = Configuration(Namespace())
validated_conf = configuration._load_config_file('somefile')
validated_conf = load_config_file('somefile')
assert file_mock.call_count == 1
assert validated_conf.items() >= default_conf.items()
@@ -115,7 +114,7 @@ def test_load_config_combine_dicts(default_conf, mocker, caplog) -> None:
configsmock = MagicMock(side_effect=config_files)
mocker.patch(
'freqtrade.configuration.configuration.Configuration._load_config_file',
'freqtrade.configuration.configuration.load_config_file',
configsmock
)
@@ -155,10 +154,9 @@ def test_load_config_file_exception(mocker) -> None:
'freqtrade.configuration.configuration.open',
MagicMock(side_effect=FileNotFoundError('File not found'))
)
configuration = Configuration(Namespace())
with pytest.raises(OperationalException, match=r'.*Config file "somefile" not found!*'):
configuration._load_config_file('somefile')
load_config_file('somefile')
def test_load_config(default_conf, mocker) -> None: