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Merge branch 'develop' into support_multiple_ticker

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This commit is contained in:
Jean-Baptiste LE STANG
2018-01-20 19:25:47 +01:00
parent c9e1fd3fc4 a7e561b55f
commit 36797cda30
22 changed files with 767 additions and 253 deletions
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52
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -11,6 +11,13 @@ from freqtrade.optimize.backtesting import backtest, generate_text_table, get_ti
import freqtrade.optimize.backtesting as backtesting
def trim_dictlist(dl, num):
new = {}
for pair, pair_data in dl.items():
new[pair] = pair_data[num:]
return new
def test_generate_text_table():
results = pd.DataFrame(
{
@@ -43,8 +50,11 @@ def test_backtest(default_conf, mocker):
exchange._API = Bittrex({'key': '', 'secret': ''})
data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
data = trim_dictlist(data, -200)
results = backtest({'stake_amount': default_conf['stake_amount'],
'processed': optimize.preprocess(data),
'max_open_trades': 10,
'realistic': True})
assert not results.empty
@@ -54,21 +64,17 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
# Run a backtesting for an exiting 5min ticker_interval
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 1, True)
data = trim_dictlist(data, -200)
results = backtest({'stake_amount': default_conf['stake_amount'],
'processed': optimize.preprocess(data),
'max_open_trades': 1,
'realistic': True})
assert not results.empty
def trim_dictlist(dl, num):
new = {}
for pair, pair_data in dl.items():
new[pair] = pair_data[num:]
return new
def load_data_test(what):
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
data = trim_dictlist(data, -100)
timerange = ((None, 'line'), None, -100)
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'], timerange=timerange)
pair = data['BTC_UNITEST']
datalen = len(pair)
# Depending on the what parameter we now adjust the
@@ -113,7 +119,10 @@ def simple_backtest(config, contour, num_results):
data = load_data_test(contour)
processed = optimize.preprocess(data)
assert isinstance(processed, dict)
results = backtest(config['stake_amount'], processed, 1, True)
results = backtest({'stake_amount': config['stake_amount'],
'processed': processed,
'max_open_trades': 1,
'realistic': True})
# results :: <class 'pandas.core.frame.DataFrame'>
assert len(results) == num_results
@@ -125,8 +134,11 @@ def simple_backtest(config, contour, num_results):
def test_backtest2(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
data = trim_dictlist(data, -200)
results = backtest({'stake_amount': default_conf['stake_amount'],
'processed': optimize.preprocess(data),
'max_open_trades': 10,
'realistic': True})
assert not results.empty
@@ -149,10 +161,10 @@ def test_backtest_pricecontours(default_conf, mocker):
simple_backtest(default_conf, contour, numres)
def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False):
tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1)
def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False, timerange=None):
tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1, timerange=timerange)
pairdata = {'BTC_UNITEST': tickerdata}
return trim_dictlist(pairdata, -100)
return pairdata
def test_backtest_start(default_conf, mocker, caplog):
@@ -166,6 +178,8 @@ def test_backtest_start(default_conf, mocker, caplog):
args.level = 10
args.live = False
args.datadir = None
args.export = None
args.timerange = '-100' # needed due to MagicMock malleability
backtesting.start(args)
# check the logs, that will contain the backtest result
exists = ['Using max_open_trades: 1 ...',

22
freqtrade/tests/optimize/test_hyperopt.py
View File

@@ -54,6 +54,7 @@ def create_trials(mocker):
def test_start_calls_fmin(mocker):
trials = create_trials(mocker)
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.hyperopt.TRIALS', return_value=trials)
mocker.patch('freqtrade.optimize.hyperopt.sorted',
return_value=trials.results)
@@ -61,7 +62,8 @@ def test_start_calls_fmin(mocker):
mocker.patch('freqtrade.optimize.load_data')
mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False)
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False,
timerange=None)
start(args)
mock_fmin.assert_called_once()
@@ -70,11 +72,12 @@ def test_start_calls_fmin(mocker):
def test_start_uses_mongotrials(mocker):
mock_mongotrials = mocker.patch('freqtrade.optimize.hyperopt.MongoTrials',
return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True)
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True,
timerange=None)
start(args)
mock_mongotrials.assert_called_once()
@@ -125,11 +128,12 @@ def test_fmin_best_results(mocker, caplog):
}
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result)
args = mocker.Mock(epochs=1, config='config.json.example')
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
@@ -147,11 +151,12 @@ def test_fmin_best_results(mocker, caplog):
def test_fmin_throw_value_error(mocker, caplog):
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', side_effect=ValueError())
args = mocker.Mock(epochs=1, config='config.json.example')
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
@@ -185,7 +190,8 @@ def test_resuming_previous_hyperopt_results_succeeds(mocker):
return_value={})
args = mocker.Mock(epochs=1,
config='config.json.example',
mongodb=False)
mongodb=False,
timerange=None)
start(args)

19
freqtrade/tests/optimize/test_optimize.py
View File

@@ -129,22 +129,25 @@ def test_download_pairs(default_conf, ticker_history, mocker):
_backup_file(file1_5)
_backup_file(file2_1)
_backup_file(file2_5)
assert os.path.isfile(file1_1) is False
assert os.path.isfile(file2_1) is False
assert download_pairs(None, pairs=['BTC-MEME', 'BTC-CFI'], ticker_interval=1) is True
assert os.path.isfile(file1_1) is True
assert os.path.isfile(file1_5) is False
assert os.path.isfile(file2_1) is True
assert os.path.isfile(file2_5) is False
# clean files freshly downloaded
_clean_test_file(file1_1)
_clean_test_file(file2_1)
assert os.path.isfile(file1_5) is False
assert os.path.isfile(file2_5) is False
assert download_pairs(None, pairs=['BTC-MEME', 'BTC-CFI'], ticker_interval=5) is True
assert os.path.isfile(file1_1) is False
assert os.path.isfile(file1_5) is True
assert os.path.isfile(file2_1) is False
assert os.path.isfile(file2_5) is True
# clean files freshly downloaded
@@ -199,3 +202,11 @@ def test_load_tickerdata_file():
assert not load_tickerdata_file(None, 'BTC_UNITEST', 7)
tickerdata = load_tickerdata_file(None, 'BTC_UNITEST', 1)
assert _btc_unittest_length == len(tickerdata)
def test_tickerdata_to_dataframe():
timerange = ((None, 'line'), None, -100)
tick = load_tickerdata_file(None, 'BTC_UNITEST', 1, timerange=timerange)
tickerlist = {'BTC_UNITEST': tick}
data = optimize.tickerdata_to_dataframe(tickerlist)
assert 100 == len(data['BTC_UNITEST'])