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Do not use ticker where it's not a ticker

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This commit is contained in:
hroff-1902
2020-03-08 13:35:31 +03:00
parent 77944175e2
commit 3208faf7ed
43 changed files with 459 additions and 452 deletions
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10
tests/optimize/__init__.py
View File

@@ -6,7 +6,7 @@ from pandas import DataFrame
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.strategy.interface import SellType
ticker_start_time = arrow.get(2018, 10, 3)
tests_start_time = arrow.get(2018, 10, 3)
tests_timeframe = '1h'
@@ -36,14 +36,14 @@ class BTContainer(NamedTuple):
def _get_frame_time_from_offset(offset):
return ticker_start_time.shift(minutes=(offset * timeframe_to_minutes(tests_timeframe))
).datetime
minutes = offset * timeframe_to_minutes(tests_timeframe)
return tests_start_time.shift(minutes=minutes).datetime
def _build_backtest_dataframe(ticker_with_signals):
def _build_backtest_dataframe(data):
columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell']
frame = DataFrame.from_records(ticker_with_signals, columns=columns)
frame = DataFrame.from_records(data, columns=columns)
frame['date'] = frame['date'].apply(_get_frame_time_from_offset)
# Ensure floats are in place
for column in ['open', 'high', 'low', 'close', 'volume']:

44
tests/optimize/test_backtesting.py
View File

@@ -84,7 +84,7 @@ def simple_backtest(config, contour, num_results, mocker, testdatadir) -> None:
backtesting = Backtesting(config)
data = load_data_test(contour, testdatadir)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
assert isinstance(processed, dict)
results = backtesting.backtest(
@@ -105,7 +105,7 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
data = trim_dictlist(data, -201)
patch_exchange(mocker)
backtesting = Backtesting(conf)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
return {
'processed': processed,
@@ -275,7 +275,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
backtesting = Backtesting(default_conf)
assert backtesting.config == default_conf
assert backtesting.timeframe == '5m'
assert callable(backtesting.strategy.tickerdata_to_dataframe)
assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
assert callable(backtesting.strategy.advise_buy)
assert callable(backtesting.strategy.advise_sell)
assert isinstance(backtesting.strategy.dp, DataProvider)
@@ -297,7 +297,7 @@ def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> No
"or as cli argument `--ticker-interval 5m`", caplog)
def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None:
def test_data_with_fee(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
default_conf['fee'] = 0.1234
@@ -307,21 +307,21 @@ def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None:
assert fee_mock.call_count == 0
def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
timerange = TimeRange.parse_timerange('1510694220-1510700340')
tickerlist = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
data = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
backtesting = Backtesting(default_conf)
data = backtesting.strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 102
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
assert len(processed['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
data2 = strategy.tickerdata_to_dataframe(tickerlist)
assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
processed2 = strategy.ohlcvdata_to_dataframe(data)
assert processed['UNITTEST/BTC'].equals(processed2['UNITTEST/BTC'])
def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
@@ -329,7 +329,6 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', MagicMock())
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', MagicMock(return_value=1))
@@ -360,7 +359,6 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
mocker.patch('freqtrade.data.history.history_utils.load_pair_history',
MagicMock(return_value=pd.DataFrame()))
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', MagicMock())
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', MagicMock(return_value=1))
@@ -385,10 +383,10 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
timerange = TimeRange('date', None, 1517227800, 0)
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=timerange)
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(data_processed)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=data_processed,
processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date,
end_date=max_date,
@@ -416,7 +414,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
'sell_reason': [SellType.ROI, SellType.ROI]
})
pd.testing.assert_frame_equal(results, expected)
data_pair = data_processed[pair]
data_pair = processed[pair]
for _, t in results.iterrows():
ln = data_pair.loc[data_pair["date"] == t["open_time"]]
# Check open trade rate alignes to open rate
@@ -439,7 +437,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) -
timerange = TimeRange.parse_timerange('1510688220-1510700340')
data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=processed,
@@ -458,7 +456,7 @@ def test_processed(default_conf, mocker, testdatadir) -> None:
backtesting = Backtesting(default_conf)
dict_of_tickerrows = load_data_test('raise', testdatadir)
dataframes = backtesting.strategy.tickerdata_to_dataframe(dict_of_tickerrows)
dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows)
dataframe = dataframes['UNITTEST/BTC']
cols = dataframe.columns
# assert the dataframe got some of the indicator columns
@@ -557,10 +555,10 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtesting.strategy.advise_buy = _trend_alternate_hold # Override
backtesting.strategy.advise_sell = _trend_alternate_hold # Override
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(data_processed)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
backtest_conf = {
'processed': data_processed,
'processed': processed,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date,
'end_date': max_date,
@@ -576,7 +574,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
assert len(evaluate_result_multi(results, '5m', 3)) == 0
backtest_conf = {
'processed': data_processed,
'processed': processed,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date,
'end_date': max_date,

44
tests/optimize/test_hyperopt.py
View File

@@ -524,7 +524,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
}])
)
patch_exchange(mocker)
# Co-test loading ticker-interval from strategy
# Co-test loading timeframe from strategy
del default_conf['ticker_interval']
default_conf.update({'config': 'config.json.example',
'hyperopt': 'DefaultHyperOpt',
@@ -534,7 +534,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@@ -544,7 +544,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
@@ -630,8 +630,8 @@ def test_has_space(hyperopt, spaces, expected_results):
def test_populate_indicators(hyperopt, testdatadir) -> None:
tickerlist = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.tickerdata_to_dataframe(tickerlist)
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@@ -642,8 +642,8 @@ def test_populate_indicators(hyperopt, testdatadir) -> None:
def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
tickerlist = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.tickerdata_to_dataframe(tickerlist)
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@@ -783,7 +783,7 @@ def test_clean_hyperopt(mocker, default_conf, caplog):
h = Hyperopt(default_conf)
assert unlinkmock.call_count == 2
assert log_has(f"Removing `{h.tickerdata_pickle}`.", caplog)
assert log_has(f"Removing `{h.data_pickle_file}`.", caplog)
def test_continue_hyperopt(mocker, default_conf, caplog):
@@ -845,7 +845,7 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
})
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@@ -859,7 +859,7 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
)
assert result_str in out # noqa: E501
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
@@ -903,7 +903,7 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None
})
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@@ -913,7 +913,7 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None
out, err = capsys.readouterr()
assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null}' in out # noqa: E501
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
@@ -953,7 +953,7 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
})
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@@ -963,7 +963,7 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
out, err = capsys.readouterr()
assert '{"minimal_roi":{},"stoploss":null}' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
@@ -1000,7 +1000,7 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys)
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
@@ -1015,7 +1015,7 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys)
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
@@ -1043,7 +1043,7 @@ def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) -
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
@@ -1088,7 +1088,7 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: sell_strategy_generator() is actually not called because
@@ -1103,7 +1103,7 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
@@ -1145,7 +1145,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: buy_strategy_generator() is actually not called because
@@ -1160,7 +1160,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
@@ -1194,7 +1194,7 @@ def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, metho
'hyperopt_jobs': 1, })
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
delattr(hyperopt.custom_hyperopt.__class__, method)