Merge branch 'develop' into align_userdata
This commit is contained in:
Matthias
@@ -14,9 +14,8 @@ from freqtrade.tests.optimize import (BTContainer, BTrade,
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_get_frame_time_from_offset,
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tests_ticker_interval)
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# Test 0 Sell signal sell
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# Test 0: Sell with signal sell in candle 3
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# Test with Stop-loss at 1%
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# TC0: Sell signal in candle 3
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tc0 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -29,9 +28,8 @@ tc0 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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# Test 1 Minus 8% Close
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# Test 1: Stop-Loss Triggered 1% loss
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# Test with Stop-loss at 1%
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# TC1: Stop-Loss Triggered 1% loss
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tc1 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -45,9 +43,8 @@ tc1 = BTContainer(data=[
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)
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# Test 2 Minus 4% Low, minus 1% close
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# Test 2: Minus 4% Low, minus 1% close
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# Test with Stop-Loss at 3%
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# TC2: Stop-Loss Triggered 3% Loss
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tc2 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -61,12 +58,12 @@ tc2 = BTContainer(data=[
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)
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# Test 3 Candle drops 4%, Recovers 1%.
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# Entry Criteria Met
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# Candle drops 20%
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# Test with Stop-Loss at 2%
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# TC3: Trade-A: Stop-Loss Triggered 2% Loss
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# Trade-B: Stop-Loss Triggered 2% Loss
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# Test 3: Multiple trades.
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# Candle drops 4%, Recovers 1%.
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# Entry Criteria Met
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# Candle drops 20%
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# Trade-A: Stop-Loss Triggered 2% Loss
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# Trade-B: Stop-Loss Triggered 2% Loss
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tc3 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -81,10 +78,10 @@ tc3 = BTContainer(data=[
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
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)
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# Test 4 Minus 3% / recovery +15%
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# Test 4: Minus 3% / recovery +15%
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# Candle Data for test 3 – Candle drops 3% Closed 15% up
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# Test with Stop-loss at 2% ROI 6%
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# TC4: Stop-Loss Triggered 2% Loss
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# Stop-Loss Triggered 2% Loss
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tc4 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -97,9 +94,8 @@ tc4 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 5 / Drops 0.5% Closes +20%
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# Set stop-loss at 1% ROI 3%
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# TC5: ROI triggers 3% Gain
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# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
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# stop-loss: 1%, ROI: 3%
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tc5 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
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@@ -112,9 +108,8 @@ tc5 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
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# Set stop-loss at 2% ROI at 5%
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# TC6: Stop-Loss triggers 2% Loss
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# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
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# stop-loss: 2% ROI: 5%
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tc6 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -127,9 +122,8 @@ tc6 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 7 - 6% Positive / 1% Negative / Close 1% Positve
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# Set stop-loss at 2% ROI at 3%
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# TC7: ROI Triggers 3% Gain
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# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
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# stop-loss: 2% ROI: 3%
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tc7 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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@@ -143,9 +137,8 @@ tc7 = BTContainer(data=[
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)
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# Test 8 - trailing_stop should raise so candle 3 causes a stoploss.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC8: Trailing stoploss - stoploss should be adjusted candle 2
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# Test 8: trailing_stop should raise so candle 3 causes a stoploss.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2
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tc8 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@@ -158,10 +151,8 @@ tc8 = BTContainer(data=[
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)
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# Test 9 - trailing_stop should raise - high and low in same candle.
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# Candle Data for test 9
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC9: Trailing stoploss - stoploss should be adjusted candle 3
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# Test 9: trailing_stop should raise - high and low in same candle.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
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tc9 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@@ -173,10 +164,9 @@ tc9 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 10 - trailing_stop should raise so candle 3 causes a stoploss
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# Test 10: trailing_stop should raise so candle 3 causes a stoploss
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# without applying trailing_stop_positive since stoploss_offset is at 10%.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC10: Trailing stoploss - stoploss should be adjusted candle 2
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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tc10 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@@ -190,10 +180,9 @@ tc10 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
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)
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# Test 11 - trailing_stop should raise so candle 3 causes a stoploss
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# Test 11: trailing_stop should raise so candle 3 causes a stoploss
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# applying a positive trailing stop of 3% since stop_positive_offset is reached.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC11: Trailing stoploss - stoploss should be adjusted candle 2,
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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tc11 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@@ -207,10 +196,9 @@ tc11 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 12 - trailing_stop should raise in candle 2 and cause a stoploss in the same candle
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# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
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# applying a positive trailing stop of 3% since stop_positive_offset is reached.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC12: Trailing stoploss - stoploss should be adjusted candle 2,
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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tc12 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@@ -224,6 +212,47 @@ tc12 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 13: Buy and sell ROI on same candle
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# stop-loss: 10% (should not apply), ROI: 1%
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tc13 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5100, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi=0.01, profit_perc=0.01,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
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)
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# Test 14 - Buy and Stoploss on same candle
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# stop-loss: 5%, ROI: 10% (should not apply)
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tc14 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5100, 4600, 5100, 6172, 0, 0],
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[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.05, roi=0.10, profit_perc=-0.05,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
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)
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# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
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# stop-loss: 5%, ROI: 10% (should not apply)
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tc15 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5100, 4900, 5100, 6172, 1, 0],
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[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.05, roi=0.01, profit_perc=-0.04,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
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)
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TESTS = [
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tc0,
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tc1,
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@@ -238,6 +267,9 @@ TESTS = [
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tc10,
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tc11,
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tc12,
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tc13,
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tc14,
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tc15,
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]
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@@ -9,7 +9,7 @@ import pandas as pd
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import pytest
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from arrow import Arrow
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from freqtrade import DependencyException, constants
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from freqtrade import DependencyException, OperationalException, constants
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from freqtrade.configuration import TimeRange
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from freqtrade.data import history
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from freqtrade.data.btanalysis import evaluate_result_multi
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@@ -21,7 +21,8 @@ from freqtrade.optimize.backtesting import Backtesting
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from freqtrade.state import RunMode
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from freqtrade.strategy.default_strategy import DefaultStrategy
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from freqtrade.strategy.interface import SellType
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from freqtrade.tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
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from freqtrade.tests.conftest import (get_args, log_has, log_has_re,
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patch_exchange,
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patched_configuration_load_config_file)
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@@ -345,6 +346,23 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
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assert not backtesting.strategy.order_types["stoploss_on_exchange"]
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def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> None:
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"""
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Check that stoploss_on_exchange is set to False while backtesting
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since backtesting assumes a perfect stoploss anyway.
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"""
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patch_exchange(mocker)
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del default_conf['ticker_interval']
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default_conf['strategy_list'] = ['DefaultStrategy',
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'TestStrategy']
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mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
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with pytest.raises(OperationalException):
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Backtesting(default_conf)
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log_has("Ticker-interval needs to be set in either configuration "
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"or as cli argument `--ticker-interval 5m`", caplog.record_tuples)
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def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None:
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patch_exchange(mocker)
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timerange = TimeRange(None, 'line', 0, -100)
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@@ -618,8 +636,9 @@ def test_processed(default_conf, mocker) -> None:
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def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
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# TODO: Evaluate usefullness of this, the patterns and buy-signls are unrealistic
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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tests = [['raise', 19], ['lower', 0], ['sine', 18]]
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tests = [['raise', 19], ['lower', 0], ['sine', 35]]
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# We need to enable sell-signal - otherwise it sells on ROI!!
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default_conf['experimental'] = {"use_sell_signal": True}
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