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மனோஜ்குமார் பழனிச்சாமி
2022-05-18 02:08:25 +05:30
parent 2dbeb12511
commit 3dd03151a5
42 changed files with 567 additions and 162 deletions
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41
tests/optimize/test_backtest_detail.py
View File

@@ -522,7 +522,7 @@ tc32 = BTContainer(data=[
trailing_stop_positive=0.03,
trades=[
BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
]
]
)
# Test 33: trailing_stop should be triggered by low of next candle, without adjusting stoploss using
@@ -662,7 +662,7 @@ tc41 = BTContainer(data=[
custom_entry_price=4000,
trades=[
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
]
]
)
# Test 42: Custom-entry-price around candle low
@@ -762,7 +762,7 @@ tc48 = BTContainer(data=[
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087,
stop_loss=-0.2, roi={"0": 0.10}, profit_perc=-0.087,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)]
@@ -777,7 +777,7 @@ tc49 = BTContainer(data=[
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05,
stop_loss=-0.2, roi={"0": 0.10}, profit_perc=0.05,
use_exit_signal=True, timeout=1000,
custom_entry_price=5300, adjust_entry_price=5000,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
@@ -811,6 +811,35 @@ tc51 = BTContainer(data=[
trades=[]
)
# Test 52: Custom-entry-price below all candles - readjust order - stoploss
tc52 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0], # stoploss hit?
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.03, roi={"0": 0.10}, profit_perc=-0.03,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2, is_short=False)]
)
# Test 53: Custom-entry-price short above all candles - readjust order - stoploss
tc53 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # enter trade (signal on last candle)
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1], # stoploss hit?
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.03, roi={"0": 0.10}, profit_perc=-0.03,
use_exit_signal=True, timeout=1000,
custom_entry_price=5300, adjust_entry_price=5000,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2, is_short=True)]
)
TESTS = [
tc0,
tc1,
@@ -864,6 +893,8 @@ TESTS = [
tc49,
tc50,
tc51,
tc52,
tc53,
]
@@ -933,3 +964,5 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)
assert res.is_short == trade.is_short
backtesting.cleanup()
del backtesting

24
tests/optimize/test_backtesting.py
View File

@@ -1169,6 +1169,9 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
})
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -1281,6 +1284,9 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
},
{
@@ -1290,6 +1296,9 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
}
])
@@ -1432,6 +1441,9 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
},
{
@@ -1441,6 +1453,9 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
}
])
@@ -1535,6 +1550,9 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
},
{
@@ -1544,6 +1562,9 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
}
])
@@ -1607,6 +1628,9 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
})
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',

6
tests/optimize/test_hyperopt.py
View File

@@ -368,6 +368,9 @@ def test_hyperopt_format_results(hyperopt):
'rejected_signals': 2,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'backtest_start_time': 1619718665,
'backtest_end_time': 1619718665,
}
@@ -438,6 +441,9 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
}

6
tests/optimize/test_optimize_reports.py
View File

@@ -87,6 +87,9 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'backtest_start_time': Arrow.utcnow().int_timestamp,
'backtest_end_time': Arrow.utcnow().int_timestamp,
'run_id': '123',
@@ -139,6 +142,9 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'backtest_start_time': Arrow.utcnow().int_timestamp,
'backtest_end_time': Arrow.utcnow().int_timestamp,
'run_id': '124',