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Merge branch 'develop' into pr/nicolaspapp/6715

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This commit is contained in:
Matthias
2022-04-30 14:21:12 +02:00
parent bc5048e4f3 2acb68e6e2
commit 4262f84744
101 changed files with 5536 additions and 5053 deletions
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36
tests/commands/test_commands.py
View File

@@ -847,7 +847,7 @@ def test_start_convert_trades(mocker, caplog):
assert convert_mock.call_count == 1
def test_start_list_strategies(mocker, caplog, capsys):
def test_start_list_strategies(capsys):
args = [
"list-strategies",
@@ -859,8 +859,8 @@ def test_start_list_strategies(mocker, caplog, capsys):
# pargs['config'] = None
start_list_strategies(pargs)
captured = capsys.readouterr()
assert "TestStrategyLegacyV1" in captured.out
assert "legacy_strategy_v1.py" not in captured.out
assert "StrategyTestV2" in captured.out
assert "strategy_test_v2.py" not in captured.out
assert CURRENT_TEST_STRATEGY in captured.out
# Test regular output
@@ -874,8 +874,8 @@ def test_start_list_strategies(mocker, caplog, capsys):
# pargs['config'] = None
start_list_strategies(pargs)
captured = capsys.readouterr()
assert "TestStrategyLegacyV1" in captured.out
assert "legacy_strategy_v1.py" in captured.out
assert "StrategyTestV2" in captured.out
assert "strategy_test_v2.py" in captured.out
assert CURRENT_TEST_STRATEGY in captured.out
# Test color output
@@ -888,10 +888,30 @@ def test_start_list_strategies(mocker, caplog, capsys):
# pargs['config'] = None
start_list_strategies(pargs)
captured = capsys.readouterr()
assert "TestStrategyLegacyV1" in captured.out
assert "legacy_strategy_v1.py" in captured.out
assert "StrategyTestV2" in captured.out
assert "strategy_test_v2.py" in captured.out
assert CURRENT_TEST_STRATEGY in captured.out
assert "LOAD FAILED" in captured.out
# Recursive
assert "TestStrategyNoImplements" not in captured.out
# Test recursive
args = [
"list-strategies",
"--strategy-path",
str(Path(__file__).parent.parent / "strategy" / "strats"),
'--no-color',
'--recursive-strategy-search'
]
pargs = get_args(args)
# pargs['config'] = None
start_list_strategies(pargs)
captured = capsys.readouterr()
assert "StrategyTestV2" in captured.out
assert "strategy_test_v2.py" in captured.out
assert "StrategyTestV2" in captured.out
assert "TestStrategyNoImplements" in captured.out
assert str(Path("broken_strats/broken_futures_strategies.py")) in captured.out
def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys):
@@ -1429,7 +1449,7 @@ def test_backtesting_show(mocker, testdatadir, capsys):
args = [
"backtesting-show",
"--export-filename",
f"{testdatadir / 'backtest-result_new.json'}",
f"{testdatadir / 'backtest_results/backtest-result_new.json'}",
"--show-pair-list"
]
pargs = get_args(args)

55
tests/conftest.py
View File

@@ -1632,40 +1632,6 @@ def limit_buy_order(limit_buy_order_open):
return order
@pytest.fixture(scope='function')
def market_buy_order():
return {
'id': 'mocked_market_buy',
'type': 'market',
'side': 'buy',
'symbol': 'mocked',
'timestamp': arrow.utcnow().int_timestamp * 1000,
'datetime': arrow.utcnow().isoformat(),
'price': 0.00004099,
'amount': 91.99181073,
'filled': 91.99181073,
'remaining': 0.0,
'status': 'closed'
}
@pytest.fixture
def market_sell_order():
return {
'id': 'mocked_limit_sell',
'type': 'market',
'side': 'sell',
'symbol': 'mocked',
'timestamp': arrow.utcnow().int_timestamp * 1000,
'datetime': arrow.utcnow().isoformat(),
'price': 0.00004173,
'amount': 91.99181073,
'filled': 91.99181073,
'remaining': 0.0,
'status': 'closed'
}
@pytest.fixture
def limit_buy_order_old():
return {
@@ -2672,6 +2638,7 @@ def saved_hyperopt_results():
'total_profit': -0.00125625,
'current_epoch': 1,
'is_initial_point': True,
'is_random': False,
'is_best': True,
}, {
@@ -2688,6 +2655,7 @@ def saved_hyperopt_results():
'total_profit': 6.185e-05,
'current_epoch': 2,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 14.241196856510731,
@@ -2698,6 +2666,7 @@ def saved_hyperopt_results():
'total_profit': -0.13639474,
'current_epoch': 3,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 100000,
@@ -2705,7 +2674,7 @@ def saved_hyperopt_results():
'params_details': {'buy': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.411946348378729, 215: 0.2052334363683207, 891: 0.06264755784937427, 2293: 0}, 'stoploss': {'stoploss': -0.11818343570194478}}, # noqa: E501
'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit': 0.0, 'holding_avg': timedelta()}, # noqa: E501
'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501
'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_best': False
'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_random': False, 'is_best': False # noqa: E501
}, {
'loss': 0.22195522184191518,
'params_dict': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 1269, 'roi_t2': 601, 'roi_t3': 444, 'roi_p1': 0.07280999507931168, 'roi_p2': 0.08946698095898986, 'roi_p3': 0.1454876733325284, 'stoploss': -0.18181041180901014}, # noqa: E501
@@ -2715,6 +2684,7 @@ def saved_hyperopt_results():
'total_profit': -0.002480140000000001,
'current_epoch': 5,
'is_initial_point': True,
'is_random': False,
'is_best': True
}, {
'loss': 0.545315889154162,
@@ -2725,6 +2695,7 @@ def saved_hyperopt_results():
'total_profit': -0.0041773,
'current_epoch': 6,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 4.713497421432944,
@@ -2737,6 +2708,7 @@ def saved_hyperopt_results():
'total_profit': -0.06339929,
'current_epoch': 7,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 20.0, # noqa: E501
@@ -2747,6 +2719,7 @@ def saved_hyperopt_results():
'total_profit': 0.0,
'current_epoch': 8,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 2.4731817780991223,
@@ -2757,6 +2730,7 @@ def saved_hyperopt_results():
'total_profit': -0.044050070000000004, # noqa: E501
'current_epoch': 9,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': -0.2604606005845212, # noqa: E501
@@ -2767,6 +2741,7 @@ def saved_hyperopt_results():
'total_profit': 0.00021629,
'current_epoch': 10,
'is_initial_point': True,
'is_random': False,
'is_best': True
}, {
'loss': 4.876465945994304, # noqa: E501
@@ -2778,6 +2753,7 @@ def saved_hyperopt_results():
'total_profit': -0.07436117,
'current_epoch': 11,
'is_initial_point': True,
'is_random': False,
'is_best': False
}, {
'loss': 100000,
@@ -2788,6 +2764,7 @@ def saved_hyperopt_results():
'total_profit': 0,
'current_epoch': 12,
'is_initial_point': True,
'is_random': False,
'is_best': False
}
]
@@ -2935,14 +2912,6 @@ def limit_order(limit_buy_order_usdt, limit_sell_order_usdt):
}
@pytest.fixture(scope='function')
def market_order(market_buy_order_usdt, market_sell_order_usdt):
return {
'buy': market_buy_order_usdt,
'sell': market_sell_order_usdt
}
@pytest.fixture(scope='function')
def limit_order_open(limit_buy_order_usdt_open, limit_sell_order_usdt_open):
return {

54
tests/data/test_btanalysis.py
View File

@@ -8,13 +8,13 @@ from pandas import DataFrame, DateOffset, Timestamp, to_datetime
from freqtrade.configuration import TimeRange
from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_csum,
calculate_market_change, calculate_max_drawdown,
calculate_underwater, combine_dataframes_with_mean,
create_cum_profit, extract_trades_of_period,
get_latest_backtest_filename, get_latest_hyperopt_file,
load_backtest_data, load_backtest_metadata, load_trades,
load_trades_from_db)
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_cagr,
calculate_csum, calculate_market_change,
calculate_max_drawdown, calculate_underwater,
combine_dataframes_with_mean, create_cum_profit,
extract_trades_of_period, get_latest_backtest_filename,
get_latest_hyperopt_file, load_backtest_data,
load_backtest_metadata, load_trades, load_trades_from_db)
from freqtrade.data.history import load_data, load_pair_history
from freqtrade.exceptions import OperationalException
from tests.conftest import CURRENT_TEST_STRATEGY, create_mock_trades
@@ -27,18 +27,19 @@ def test_get_latest_backtest_filename(testdatadir, mocker):
with pytest.raises(ValueError,
match=r"Directory .* does not seem to contain .*"):
get_latest_backtest_filename(testdatadir.parent)
get_latest_backtest_filename(testdatadir)
res = get_latest_backtest_filename(testdatadir)
testdir_bt = testdatadir / "backtest_results"
res = get_latest_backtest_filename(testdir_bt)
assert res == 'backtest-result_new.json'
res = get_latest_backtest_filename(str(testdatadir))
res = get_latest_backtest_filename(str(testdir_bt))
assert res == 'backtest-result_new.json'
mocker.patch("freqtrade.data.btanalysis.json_load", return_value={})
with pytest.raises(ValueError, match=r"Invalid '.last_result.json' format."):
get_latest_backtest_filename(testdatadir)
get_latest_backtest_filename(testdir_bt)
def test_get_latest_hyperopt_file(testdatadir):
@@ -81,7 +82,7 @@ def test_load_backtest_data_old_format(testdatadir, mocker):
def test_load_backtest_data_new_format(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
assert isinstance(bt_data, DataFrame)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
@@ -92,19 +93,19 @@ def test_load_backtest_data_new_format(testdatadir):
assert bt_data.equals(bt_data2)
# Test loading from folder (must yield same result)
bt_data3 = load_backtest_data(testdatadir)
bt_data3 = load_backtest_data(testdatadir / "backtest_results")
assert bt_data.equals(bt_data3)
with pytest.raises(ValueError, match=r"File .* does not exist\."):
load_backtest_data(str("filename") + "nofile")
with pytest.raises(ValueError, match=r"Unknown dataformat."):
load_backtest_data(testdatadir / LAST_BT_RESULT_FN)
load_backtest_data(testdatadir / "backtest_results" / LAST_BT_RESULT_FN)
def test_load_backtest_data_multi(testdatadir):
filename = testdatadir / "backtest-result_multistrat.json"
filename = testdatadir / "backtest_results/backtest-result_multistrat.json"
for strategy in ('StrategyTestV2', 'TestStrategy'):
bt_data = load_backtest_data(filename, strategy=strategy)
assert isinstance(bt_data, DataFrame)
@@ -182,7 +183,7 @@ def test_extract_trades_of_period(testdatadir):
def test_analyze_trade_parallelism(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
res = analyze_trade_parallelism(bt_data, "5m")
@@ -256,7 +257,7 @@ def test_combine_dataframes_with_mean_no_data(testdatadir):
def test_create_cum_profit(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
@@ -272,7 +273,7 @@ def test_create_cum_profit(testdatadir):
def test_create_cum_profit1(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
# Move close-time to "off" the candle, to make sure the logic still works
bt_data.loc[:, 'close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(seconds=20)
@@ -294,7 +295,7 @@ def test_create_cum_profit1(testdatadir):
def test_calculate_max_drawdown(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
_, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
bt_data, value_col="profit_abs")
@@ -318,7 +319,7 @@ def test_calculate_max_drawdown(testdatadir):
def test_calculate_csum(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
csum_min, csum_max = calculate_csum(bt_data)
@@ -335,6 +336,19 @@ def test_calculate_csum(testdatadir):
csum_min, csum_max = calculate_csum(DataFrame())
@pytest.mark.parametrize('start,end,days, expected', [
(64900, 176000, 3 * 365, 0.3945),
(64900, 176000, 365, 1.7119),
(1000, 1000, 365, 0.0),
(1000, 1500, 365, 0.5),
(1000, 1500, 100, 3.3927), # sub year
(0.01000000, 0.01762792, 120, 4.6087), # sub year BTC values
])
def test_calculate_cagr(start, end, days, expected):
assert round(calculate_cagr(days, start, end), 4) == expected
def test_calculate_max_drawdown2():
values = [0.011580, 0.010048, 0.011340, 0.012161, 0.010416, 0.010009, 0.020024,
-0.024662, -0.022350, 0.020496, -0.029859, -0.030511, 0.010041, 0.010872,

45
tests/edge/test_edge.py
View File

@@ -8,7 +8,7 @@ from unittest.mock import MagicMock
import arrow
import numpy as np
import pytest
from pandas import DataFrame, to_datetime
from pandas import DataFrame
from freqtrade.data.converter import ohlcv_to_dataframe
from freqtrade.edge import Edge, PairInfo
@@ -30,49 +30,6 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
tests_start_time = arrow.get(2018, 10, 3)
timeframe_in_minute = 60
# Helpers for this test file
def _validate_ohlc(buy_ohlc_sell_matrice):
for index, ohlc in enumerate(buy_ohlc_sell_matrice):
# if not high < open < low or not high < close < low
if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
return True
def _build_dataframe(buy_ohlc_sell_matrice):
_validate_ohlc(buy_ohlc_sell_matrice)
data = []
for ohlc in buy_ohlc_sell_matrice:
d = {
'date': tests_start_time.shift(
minutes=(
ohlc[0] *
timeframe_in_minute)).int_timestamp *
1000,
'buy': ohlc[1],
'open': ohlc[2],
'high': ohlc[3],
'low': ohlc[4],
'close': ohlc[5],
'sell': ohlc[6]}
data.append(d)
frame = DataFrame(data)
frame['date'] = to_datetime(frame['date'],
unit='ms',
utc=True,
infer_datetime_format=True)
return frame
def _time_on_candle(number):
return np.datetime64(tests_start_time.shift(
minutes=(number * timeframe_in_minute)).int_timestamp * 1000, 'ms')
# End helper functions
# Open trade should be removed from the end
tc0 = BTContainer(data=[

104
tests/exchange/test_binance.py
View File

@@ -169,90 +169,90 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
'ADA/BUSD': [
{
"tier": 1,
"notionalFloor": 0,
"notionalCap": 100000,
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "1",
"initialLeverage": "20",
"notionalCap": "100000",
"notionalFloor": "0",
"maxNotional": "100000",
"minNotional": "0",
"maintMarginRatio": "0.025",
"cum": "0.0"
}
},
{
"tier": 2,
"notionalFloor": 100000,
"notionalCap": 500000,
"minNotional": 100000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"info": {
"bracket": "2",
"initialLeverage": "10",
"notionalCap": "500000",
"notionalFloor": "100000",
"maxNotional": "500000",
"minNotional": "100000",
"maintMarginRatio": "0.05",
"cum": "2500.0"
}
},
{
"tier": 3,
"notionalFloor": 500000,
"notionalCap": 1000000,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"info": {
"bracket": "3",
"initialLeverage": "5",
"notionalCap": "1000000",
"notionalFloor": "500000",
"maxNotional": "1000000",
"minNotional": "500000",
"maintMarginRatio": "0.1",
"cum": "27500.0"
}
},
{
"tier": 4,
"notionalFloor": 1000000,
"notionalCap": 2000000,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.15,
"maxLeverage": 3,
"info": {
"bracket": "4",
"initialLeverage": "3",
"notionalCap": "2000000",
"notionalFloor": "1000000",
"maxNotional": "2000000",
"minNotional": "1000000",
"maintMarginRatio": "0.15",
"cum": "77500.0"
}
},
{
"tier": 5,
"notionalFloor": 2000000,
"notionalCap": 5000000,
"minNotional": 2000000,
"maxNotional": 5000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"info": {
"bracket": "5",
"initialLeverage": "2",
"notionalCap": "5000000",
"notionalFloor": "2000000",
"maxNotional": "5000000",
"minNotional": "2000000",
"maintMarginRatio": "0.25",
"cum": "277500.0"
}
},
{
"tier": 6,
"notionalFloor": 5000000,
"notionalCap": 30000000,
"minNotional": 5000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"info": {
"bracket": "6",
"initialLeverage": "1",
"notionalCap": "30000000",
"notionalFloor": "5000000",
"maxNotional": "30000000",
"minNotional": "5000000",
"maintMarginRatio": "0.5",
"cum": "1527500.0"
}
@@ -261,105 +261,105 @@ def test_fill_leverage_tiers_binance(default_conf, mocker):
"ZEC/USDT": [
{
"tier": 1,
"notionalFloor": 0,
"notionalCap": 50000,
"minNotional": 0,
"maxNotional": 50000,
"maintenanceMarginRate": 0.01,
"maxLeverage": 50,
"info": {
"bracket": "1",
"initialLeverage": "50",
"notionalCap": "50000",
"notionalFloor": "0",
"maxNotional": "50000",
"minNotional": "0",
"maintMarginRatio": "0.01",
"cum": "0.0"
}
},
{
"tier": 2,
"notionalFloor": 50000,
"notionalCap": 150000,
"minNotional": 50000,
"maxNotional": 150000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "2",
"initialLeverage": "20",
"notionalCap": "150000",
"notionalFloor": "50000",
"maxNotional": "150000",
"minNotional": "50000",
"maintMarginRatio": "0.025",
"cum": "750.0"
}
},
{
"tier": 3,
"notionalFloor": 150000,
"notionalCap": 250000,
"minNotional": 150000,
"maxNotional": 250000,
"maintenanceMarginRate": 0.05,
"maxLeverage": 10,
"info": {
"bracket": "3",
"initialLeverage": "10",
"notionalCap": "250000",
"notionalFloor": "150000",
"maxNotional": "250000",
"minNotional": "150000",
"maintMarginRatio": "0.05",
"cum": "4500.0"
}
},
{
"tier": 4,
"notionalFloor": 250000,
"notionalCap": 500000,
"minNotional": 250000,
"maxNotional": 500000,
"maintenanceMarginRate": 0.1,
"maxLeverage": 5,
"info": {
"bracket": "4",
"initialLeverage": "5",
"notionalCap": "500000",
"notionalFloor": "250000",
"maxNotional": "500000",
"minNotional": "250000",
"maintMarginRatio": "0.1",
"cum": "17000.0"
}
},
{
"tier": 5,
"notionalFloor": 500000,
"notionalCap": 1000000,
"minNotional": 500000,
"maxNotional": 1000000,
"maintenanceMarginRate": 0.125,
"maxLeverage": 4,
"info": {
"bracket": "5",
"initialLeverage": "4",
"notionalCap": "1000000",
"notionalFloor": "500000",
"maxNotional": "1000000",
"minNotional": "500000",
"maintMarginRatio": "0.125",
"cum": "29500.0"
}
},
{
"tier": 6,
"notionalFloor": 1000000,
"notionalCap": 2000000,
"minNotional": 1000000,
"maxNotional": 2000000,
"maintenanceMarginRate": 0.25,
"maxLeverage": 2,
"info": {
"bracket": "6",
"initialLeverage": "2",
"notionalCap": "2000000",
"notionalFloor": "1000000",
"maxNotional": "2000000",
"minNotional": "1000000",
"maintMarginRatio": "0.25",
"cum": "154500.0"
}
},
{
"tier": 7,
"notionalFloor": 2000000,
"notionalCap": 30000000,
"minNotional": 2000000,
"maxNotional": 30000000,
"maintenanceMarginRate": 0.5,
"maxLeverage": 1,
"info": {
"bracket": "7",
"initialLeverage": "1",
"notionalCap": "30000000",
"notionalFloor": "2000000",
"maxNotional": "30000000",
"minNotional": "2000000",
"maintMarginRatio": "0.5",
"cum": "654500.0"
}

16
tests/exchange/test_ccxt_compat.py
View File

@@ -369,25 +369,25 @@ class TestCCXTExchange():
pair_tiers = leverage_tiers[futures_pair]
assert len(pair_tiers) > 0
oldLeverage = float('inf')
oldMaintenanceMarginRate = oldNotionalFloor = oldNotionalCap = -1
oldMaintenanceMarginRate = oldminNotional = oldmaxNotional = -1
for tier in pair_tiers:
for key in [
'maintenanceMarginRate',
'notionalFloor',
'notionalCap',
'minNotional',
'maxNotional',
'maxLeverage'
]:
assert key in tier
assert tier[key] >= 0.0
assert tier['notionalCap'] > tier['notionalFloor']
assert tier['maxNotional'] > tier['minNotional']
assert tier['maxLeverage'] <= oldLeverage
assert tier['maintenanceMarginRate'] >= oldMaintenanceMarginRate
assert tier['notionalFloor'] > oldNotionalFloor
assert tier['notionalCap'] > oldNotionalCap
assert tier['minNotional'] > oldminNotional
assert tier['maxNotional'] > oldmaxNotional
oldLeverage = tier['maxLeverage']
oldMaintenanceMarginRate = tier['maintenanceMarginRate']
oldNotionalFloor = tier['notionalFloor']
oldNotionalCap = tier['notionalCap']
oldminNotional = tier['minNotional']
oldmaxNotional = tier['maxNotional']
def test_ccxt_dry_run_liquidation_price(self, exchange_futures):
futures, futures_name = exchange_futures

28
tests/exchange/test_exchange.py
View File

@@ -231,6 +231,10 @@ def test_validate_order_time_in_force(default_conf, mocker, caplog):
(2.34559, 2, 3, 1, 2.345, 'spot'),
(2.9999, 2, 3, 1, 2.999, 'spot'),
(2.9909, 2, 3, 1, 2.990, 'spot'),
(2.9909, 2, 0, 1, 2, 'spot'),
(29991.5555, 2, 0, 1, 29991, 'spot'),
(29991.5555, 2, -1, 1, 29990, 'spot'),
(29991.5555, 2, -2, 1, 29900, 'spot'),
# Tests for Tick-size
(2.34559, 4, 0.0001, 1, 2.3455, 'spot'),
(2.34559, 4, 0.00001, 1, 2.34559, 'spot'),
@@ -905,7 +909,7 @@ def test_validate_timeframes_emulated_ohlcv_1(default_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
with pytest.raises(OperationalException,
match=r'The ccxt library does not provide the list of timeframes '
r'for the exchange ".*" and this exchange '
r'for the exchange .* and this exchange '
r'is therefore not supported. *'):
Exchange(default_conf)
@@ -926,7 +930,7 @@ def test_validate_timeframes_emulated_ohlcvi_2(default_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
with pytest.raises(OperationalException,
match=r'The ccxt library does not provide the list of timeframes '
r'for the exchange ".*" and this exchange '
r'for the exchange .* and this exchange '
r'is therefore not supported. *'):
Exchange(default_conf)
@@ -4503,8 +4507,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -4544,8 +4548,8 @@ def test_load_leverage_tiers(mocker, default_conf, leverage_tiers, exchange_name
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -4580,15 +4584,15 @@ def test_parse_leverage_tier(mocker, default_conf):
tier = {
"tier": 1,
"notionalFloor": 0,
"notionalCap": 100000,
"minNotional": 0,
"maxNotional": 100000,
"maintenanceMarginRate": 0.025,
"maxLeverage": 20,
"info": {
"bracket": "1",
"initialLeverage": "20",
"notionalCap": "100000",
"notionalFloor": "0",
"maxNotional": "100000",
"minNotional": "0",
"maintMarginRatio": "0.025",
"cum": "0.0"
}
@@ -4604,8 +4608,8 @@ def test_parse_leverage_tier(mocker, default_conf):
tier2 = {
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {

48
tests/exchange/test_okx.py
View File

@@ -19,8 +19,8 @@ def test_get_maintenance_ratio_and_amt_okx(
'ETH/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {
@@ -39,8 +39,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 2,
'notionalFloor': 2001,
'notionalCap': 4000,
'minNotional': 2001,
'maxNotional': 4000,
'maintenanceMarginRate': 0.015,
'maxLeverage': 50,
'info': {
@@ -59,8 +59,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 3,
'notionalFloor': 4001,
'notionalCap': 8000,
'minNotional': 4001,
'maxNotional': 8000,
'maintenanceMarginRate': 0.02,
'maxLeverage': 20,
'info': {
@@ -81,8 +81,8 @@ def test_get_maintenance_ratio_and_amt_okx(
'ADA/USDT:USDT': [
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -101,8 +101,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 2,
'notionalFloor': 501,
'notionalCap': 1000,
'minNotional': 501,
'maxNotional': 1000,
'maintenanceMarginRate': 0.025,
'maxLeverage': 50,
'info': {
@@ -121,8 +121,8 @@ def test_get_maintenance_ratio_and_amt_okx(
},
{
'tier': 3,
'notionalFloor': 1001,
'notionalCap': 2000,
'minNotional': 1001,
'maxNotional': 2000,
'maintenanceMarginRate': 0.03,
'maxLeverage': 20,
'info': {
@@ -180,8 +180,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
[
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 500,
'minNotional': 0,
'maxNotional': 500,
'maintenanceMarginRate': 0.02,
'maxLeverage': 75,
'info': {
@@ -200,8 +200,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 2,
'notionalFloor': 501,
'notionalCap': 1000,
'minNotional': 501,
'maxNotional': 1000,
'maintenanceMarginRate': 0.025,
'maxLeverage': 50,
'info': {
@@ -220,8 +220,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 3,
'notionalFloor': 1001,
'notionalCap': 2000,
'minNotional': 1001,
'maxNotional': 2000,
'maintenanceMarginRate': 0.03,
'maxLeverage': 20,
'info': {
@@ -242,8 +242,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
[
{
'tier': 1,
'notionalFloor': 0,
'notionalCap': 2000,
'minNotional': 0,
'maxNotional': 2000,
'maintenanceMarginRate': 0.01,
'maxLeverage': 75,
'info': {
@@ -262,8 +262,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 2,
'notionalFloor': 2001,
'notionalCap': 4000,
'minNotional': 2001,
'maxNotional': 4000,
'maintenanceMarginRate': 0.015,
'maxLeverage': 50,
'info': {
@@ -282,8 +282,8 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
},
{
'tier': 3,
'notionalFloor': 4001,
'notionalCap': 8000,
'minNotional': 4001,
'maxNotional': 8000,
'maintenanceMarginRate': 0.02,
'maxLeverage': 20,
'info': {

74
tests/optimize/test_backtesting.py
View File

@@ -22,7 +22,7 @@ from freqtrade.data.history import get_timerange
from freqtrade.enums import ExitType, RunMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.misc import get_strategy_run_id
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import LocalTrade
from freqtrade.resolvers import StrategyResolver
@@ -312,6 +312,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
get_fee.assert_called()
assert backtesting.fee == 0.5
assert not backtesting.strategy.order_types["stoploss_on_exchange"]
assert backtesting.strategy.bot_started is True
def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
@@ -384,14 +385,16 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
sbs = mocker.patch('freqtrade.optimize.backtesting.store_backtest_stats')
sbc = mocker.patch('freqtrade.optimize.backtesting.store_backtest_signal_candles')
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['timeframe'] = '1m'
default_conf['datadir'] = testdatadir
default_conf['export'] = 'trades'
default_conf['export'] = 'signals'
default_conf['exportfilename'] = 'export.txt'
default_conf['timerange'] = '-1510694220'
default_conf['runmode'] = RunMode.BACKTEST
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -407,6 +410,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
assert backtesting.strategy.dp._pairlists is not None
assert backtesting.strategy.bot_loop_start.call_count == 1
assert sbs.call_count == 1
assert sbc.call_count == 1
def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) -> None:
@@ -497,7 +501,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
Backtesting(default_conf)
# Multiple strategies
default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY, 'TestStrategyLegacyV1']
default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY, 'StrategyTestV2']
with pytest.raises(OperationalException,
match='PrecisionFilter not allowed for backtesting multiple strategies.'):
Backtesting(default_conf)
@@ -711,7 +715,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
)
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
@@ -724,13 +728,13 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_sell_trade_entry(trade, row)
res = backtesting._get_exit_trade_entry(trade, row)
assert res is None
# Assign backtest-detail data
backtesting.detail_data[pair] = row_detail
res = backtesting._get_sell_trade_entry(trade, row_sell)
res = backtesting._get_exit_trade_entry(trade, row_sell)
assert res is not None
assert res.exit_reason == ExitType.ROI.value
# Sell at minute 3 (not available above!)
@@ -1195,7 +1199,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'--disable-max-market-positions',
'--strategy-list',
CURRENT_TEST_STRATEGY,
'TestStrategyLegacyV1',
'StrategyTestV2',
]
args = get_args(args)
start_backtesting(args)
@@ -1218,14 +1222,13 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Running backtesting for Strategy StrategyTestV2',
]
for line in exists:
assert log_has(line, caplog)
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys):
default_conf.update({
"use_exit_signal": True,
@@ -1307,7 +1310,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--breakdown', 'day',
'--strategy-list',
CURRENT_TEST_STRATEGY,
'TestStrategyLegacyV1',
'StrategyTestV2',
]
args = get_args(args)
start_backtesting(args)
@@ -1324,7 +1327,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Running backtesting for Strategy StrategyTestV2',
]
for line in exists:
@@ -1339,6 +1342,39 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
assert 'STRATEGY SUMMARY' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_futures_noliq(default_conf_usdt, mocker,
caplog, testdatadir, capsys):
# Tests detail-data loading
default_conf_usdt.update({
"trading_mode": "futures",
"margin_mode": "isolated",
"use_exit_signal": True,
"exit_profit_only": False,
"exit_profit_offset": 0.0,
"ignore_roi_if_entry_signal": False,
"strategy": CURRENT_TEST_STRATEGY,
})
patch_exchange(mocker)
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
# mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1h',
]
args = get_args(args)
with pytest.raises(OperationalException, match=r"Pairs .* got no leverage tiers available\."):
start_backtesting(args)
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
caplog, testdatadir, capsys):
@@ -1589,7 +1625,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
min_backtest_date = now - timedelta(weeks=4)
load_backtest_metadata = MagicMock(return_value={
'StrategyTestV2': {'run_id': '1', 'backtest_start_time': now.timestamp()},
'TestStrategyLegacyV1': {'run_id': run_id, 'backtest_start_time': start_time.timestamp()}
'StrategyTestV3': {'run_id': run_id, 'backtest_start_time': start_time.timestamp()}
})
load_backtest_stats = MagicMock(side_effect=[
{
@@ -1598,9 +1634,9 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
'strategy_comparison': [{'key': 'StrategyTestV2'}]
},
{
'metadata': {'TestStrategyLegacyV1': {'run_id': '2'}},
'strategy': {'TestStrategyLegacyV1': {}},
'strategy_comparison': [{'key': 'TestStrategyLegacyV1'}]
'metadata': {'StrategyTestV3': {'run_id': '2'}},
'strategy': {'StrategyTestV3': {}},
'strategy_comparison': [{'key': 'StrategyTestV3'}]
}
])
mocker.patch('pathlib.Path.glob', return_value=[
@@ -1624,7 +1660,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
'--cache', cache,
'--strategy-list',
'StrategyTestV2',
'TestStrategyLegacyV1',
'StrategyTestV3',
]
args = get_args(args)
start_backtesting(args)
@@ -1646,7 +1682,7 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
assert backtestmock.call_count == 2
exists = [
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Running backtesting for Strategy StrategyTestV3',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
]
@@ -1654,12 +1690,12 @@ def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testda
assert backtestmock.call_count == 0
exists = [
'Reusing result of previous backtest for StrategyTestV2',
'Reusing result of previous backtest for TestStrategyLegacyV1',
'Reusing result of previous backtest for StrategyTestV3',
]
else:
exists = [
'Reusing result of previous backtest for StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Running backtesting for Strategy StrategyTestV3',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
]

1
tests/optimize/test_edge_cli.py
View File

@@ -94,6 +94,7 @@ def test_edge_init(mocker, edge_conf) -> None:
assert edge_cli.config == edge_conf
assert edge_cli.config['stake_amount'] == 'unlimited'
assert callable(edge_cli.edge.calculate)
assert edge_cli.strategy.bot_started is True
def test_edge_init_fee(mocker, edge_conf) -> None:

2
tests/optimize/test_hyperopt.py
View File

@@ -41,6 +41,7 @@ def generate_result_metrics():
'max_drawdown_abs': 0.001,
'loss': 0.001,
'is_initial_point': 0.001,
'is_random': False,
'is_best': 1,
}
@@ -247,6 +248,7 @@ def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
'total_profit': 0,
'current_epoch': 2, # This starts from 1 (in a human-friendly manner)
'is_initial_point': False,
'is_random': False,
'is_best': True
}
)

2
tests/optimize/test_hyperoptloss.py
View File

@@ -4,7 +4,7 @@ from unittest.mock import MagicMock
import pytest
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
from freqtrade.optimize.hyperopt_loss.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver

68
tests/optimize/test_optimize_reports.py
View File

@@ -2,6 +2,7 @@ import re
from datetime import timedelta
from pathlib import Path
import joblib
import pandas as pd
import pytest
from arrow import Arrow
@@ -19,6 +20,7 @@ from freqtrade.optimize.optimize_reports import (_get_resample_from_period, gene
generate_periodic_breakdown_stats,
generate_strategy_comparison,
generate_trading_stats, show_sorted_pairlist,
store_backtest_signal_candles,
store_backtest_stats, text_table_bt_results,
text_table_exit_reason, text_table_strategy)
from freqtrade.resolvers.strategy_resolver import StrategyResolver
@@ -201,6 +203,62 @@ def test_store_backtest_stats(testdatadir, mocker):
assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))
def test_store_backtest_candles(testdatadir, mocker):
dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_joblib')
candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
# mock directory exporting
store_backtest_signal_candles(testdatadir, candle_dict)
assert dump_mock.call_count == 1
assert isinstance(dump_mock.call_args_list[0][0][0], Path)
assert str(dump_mock.call_args_list[0][0][0]).endswith(str('_signals.pkl'))
dump_mock.reset_mock()
# mock file exporting
filename = Path(testdatadir / 'testresult')
store_backtest_signal_candles(filename, candle_dict)
assert dump_mock.call_count == 1
assert isinstance(dump_mock.call_args_list[0][0][0], Path)
# result will be testdatadir / testresult-<timestamp>_signals.pkl
assert str(dump_mock.call_args_list[0][0][0]).endswith(str('_signals.pkl'))
dump_mock.reset_mock()
def test_write_read_backtest_candles(tmpdir):
candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
# test directory exporting
stored_file = store_backtest_signal_candles(Path(tmpdir), candle_dict)
scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp)
scp.close()
assert pickled_signal_candles.keys() == candle_dict.keys()
assert pickled_signal_candles['DefStrat'].keys() == pickled_signal_candles['DefStrat'].keys()
assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
.equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
_clean_test_file(stored_file)
# test file exporting
filename = Path(tmpdir / 'testresult')
stored_file = store_backtest_signal_candles(filename, candle_dict)
scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp)
scp.close()
assert pickled_signal_candles.keys() == candle_dict.keys()
assert pickled_signal_candles['DefStrat'].keys() == pickled_signal_candles['DefStrat'].keys()
assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
.equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
_clean_test_file(stored_file)
def test_generate_pair_metrics():
results = pd.DataFrame(
@@ -228,7 +286,7 @@ def test_generate_pair_metrics():
def test_generate_daily_stats(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
res = generate_daily_stats(bt_data)
assert isinstance(res, dict)
@@ -248,7 +306,7 @@ def test_generate_daily_stats(testdatadir):
def test_generate_trading_stats(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
res = generate_trading_stats(bt_data)
assert isinstance(res, dict)
@@ -332,7 +390,7 @@ def test_generate_sell_reason_stats():
def test_text_table_strategy(testdatadir):
filename = testdatadir / "backtest-result_multistrat.json"
filename = testdatadir / "backtest_results/backtest-result_multistrat.json"
bt_res_data = load_backtest_stats(filename)
bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
@@ -364,7 +422,7 @@ def test_generate_edge_table():
def test_generate_periodic_breakdown_stats(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename).to_dict(orient='records')
res = generate_periodic_breakdown_stats(bt_data, 'day')
@@ -392,7 +450,7 @@ def test__get_resample_from_period():
def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_stats(filename)
default_conf['backtest_show_pair_list'] = True

36
tests/rpc/test_rpc_apiserver.py
View File

@@ -13,7 +13,6 @@ import uvicorn
from fastapi import FastAPI
from fastapi.exceptions import HTTPException
from fastapi.testclient import TestClient
from numpy import isnan
from requests.auth import _basic_auth_str
from freqtrade.__init__ import __version__
@@ -985,7 +984,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets, is_short,
assert_response(rc)
resp_values = rc.json()
assert len(resp_values) == 4
assert isnan(resp_values[0]['profit_abs'])
assert resp_values[0]['profit_abs'] is None
def test_api_version(botclient):
@@ -1389,7 +1388,6 @@ def test_api_strategies(botclient):
'StrategyTestV2',
'StrategyTestV3',
'StrategyTestV3Futures',
'TestStrategyLegacyV1',
]}
@@ -1581,6 +1579,38 @@ def test_api_backtesting(botclient, mocker, fee, caplog, tmpdir):
assert result['status_msg'] == 'Backtest reset'
def test_api_backtest_history(botclient, mocker, testdatadir):
ftbot, client = botclient
mocker.patch('freqtrade.data.btanalysis._get_backtest_files',
return_value=[
testdatadir / 'backtest_results/backtest-result_multistrat.json',
testdatadir / 'backtest_results/backtest-result_new.json'
])
rc = client_get(client, f"{BASE_URI}/backtest/history")
assert_response(rc, 502)
ftbot.config['user_data_dir'] = testdatadir
ftbot.config['runmode'] = RunMode.WEBSERVER
rc = client_get(client, f"{BASE_URI}/backtest/history")
assert_response(rc)
result = rc.json()
assert len(result) == 3
fn = result[0]['filename']
assert fn == "backtest-result_multistrat.json"
strategy = result[0]['strategy']
rc = client_get(client, f"{BASE_URI}/backtest/history/result?filename={fn}&strategy={strategy}")
assert_response(rc)
result2 = rc.json()
assert result2
assert result2['status'] == 'ended'
assert not result2['running']
assert result2['progress'] == 1
# Only one strategy loaded - even though we use multiresult
assert len(result2['backtest_result']['strategy']) == 1
assert result2['backtest_result']['strategy'][strategy]
def test_health(botclient):
ftbot, client = botclient

30
tests/strategy/strats/broken_strats/legacy_strategy_v1.py Normal file
View File

@@ -0,0 +1,30 @@
# type: ignore
from pandas import DataFrame
from freqtrade.strategy import IStrategy
# Dummy strategy - no longer loads but raises an exception.
class TestStrategyLegacyV1(IStrategy):
minimal_roi = {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"0": 0.04
}
stoploss = -0.10
timeframe = '5m'
def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
return dataframe
def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
return dataframe
def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
return dataframe

85
tests/strategy/strats/legacy_strategy_v1.py
View File

@@ -1,85 +0,0 @@
# --- Do not remove these libs ---
# Add your lib to import here
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.strategy import IStrategy
# --------------------------------
# This class is a sample. Feel free to customize it.
class TestStrategyLegacyV1(IStrategy):
"""
This is a test strategy using the legacy function headers, which will be
removed in a future update.
Please do not use this as a template, but refer to user_data/strategy/sample_strategy.py
for a uptodate version of this template.
"""
# Minimal ROI designed for the strategy.
# This attribute will be overridden if the config file contains "minimal_roi"
minimal_roi = {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"0": 0.04
}
# Optimal stoploss designed for the strategy
# This attribute will be overridden if the config file contains "stoploss"
stoploss = -0.10
timeframe = '5m'
def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
Performance Note: For the best performance be frugal on the number of indicators
you are using. Let uncomment only the indicator you are using in your strategies
or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
"""
# Momentum Indicator
# ------------------------------------
# ADX
dataframe['adx'] = ta.ADX(dataframe)
# TEMA - Triple Exponential Moving Average
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
return dataframe
def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
"""
Based on TA indicators, populates the buy signal for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with buy column
"""
dataframe.loc[
(
(dataframe['adx'] > 30) &
(dataframe['tema'] > dataframe['tema'].shift(1)) &
(dataframe['volume'] > 0)
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with buy column
"""
dataframe.loc[
(
(dataframe['adx'] > 70) &
(dataframe['tema'] < dataframe['tema'].shift(1)) &
(dataframe['volume'] > 0)
),
'sell'] = 1
return dataframe

13
tests/strategy/strats/strategy_test_v2.py
View File

@@ -56,19 +56,6 @@ class StrategyTestV2(IStrategy):
# By default this strategy does not use Position Adjustments
position_adjustment_enable = False
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.
These pair/interval combinations are non-tradeable, unless they are part
of the whitelist as well.
For more information, please consult the documentation
:return: List of tuples in the format (pair, interval)
Sample: return [("ETH/USDT", "5m"),
("BTC/USDT", "15m"),
]
"""
return []
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame

5
tests/strategy/strats/strategy_test_v3.py
View File

@@ -82,6 +82,11 @@ class StrategyTestV3(IStrategy):
# })
# return prot
bot_started = False
def bot_start(self):
self.bot_started = True
def informative_pairs(self):
return []

2
tests/strategy/test_interface.py
View File

@@ -686,7 +686,7 @@ def test_is_pair_locked(default_conf):
def test_is_informative_pairs_callback(default_conf):
default_conf.update({'strategy': 'TestStrategyLegacyV1'})
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
# Should return empty
# Uses fallback to base implementation

15
tests/strategy/test_strategy_helpers.py
View File

@@ -68,6 +68,21 @@ def test_merge_informative_pair():
assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
assert result.iloc[8]['date_1h'] == result.iloc[4]['date']
informative = generate_test_data('1h', 40)
result = merge_informative_pair(data, informative, '15m', '1h', ffill=False)
# First 3 rows are empty
assert result.iloc[0]['date_1h'] is pd.NaT
assert result.iloc[1]['date_1h'] is pd.NaT
assert result.iloc[2]['date_1h'] is pd.NaT
# Next 4 rows contain the starting date (0:00)
assert result.iloc[3]['date_1h'] == result.iloc[0]['date']
assert result.iloc[4]['date_1h'] is pd.NaT
assert result.iloc[5]['date_1h'] is pd.NaT
assert result.iloc[6]['date_1h'] is pd.NaT
# Next 4 rows contain the next Hourly date original date row 4
assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
assert result.iloc[8]['date_1h'] is pd.NaT
def test_merge_informative_pair_same():
data = generate_test_data('15m', 40)

76
tests/strategy/test_strategy_loading.py
View File

@@ -1,6 +1,5 @@
# pragma pylint: disable=missing-docstring, protected-access, C0103
import logging
import warnings
from base64 import urlsafe_b64encode
from pathlib import Path
@@ -35,7 +34,7 @@ def test_search_all_strategies_no_failed():
directory = Path(__file__).parent / "strats"
strategies = StrategyResolver.search_all_objects(directory, enum_failed=False)
assert isinstance(strategies, list)
assert len(strategies) == 6
assert len(strategies) == 5
assert isinstance(strategies[0], dict)
@@ -43,10 +42,10 @@ def test_search_all_strategies_with_failed():
directory = Path(__file__).parent / "strats"
strategies = StrategyResolver.search_all_objects(directory, enum_failed=True)
assert isinstance(strategies, list)
assert len(strategies) == 7
assert len(strategies) == 6
# with enum_failed=True search_all_objects() shall find 2 good strategies
# and 1 which fails to load
assert len([x for x in strategies if x['class'] is not None]) == 6
assert len([x for x in strategies if x['class'] is not None]) == 5
assert len([x for x in strategies if x['class'] is None]) == 1
@@ -100,7 +99,7 @@ def test_load_strategy_noname(default_conf):
@pytest.mark.filterwarnings("ignore:deprecated")
@pytest.mark.parametrize('strategy_name', ['StrategyTestV2', 'TestStrategyLegacyV1'])
@pytest.mark.parametrize('strategy_name', ['StrategyTestV2'])
def test_strategy_pre_v3(result, default_conf, strategy_name):
default_conf.update({'strategy': strategy_name})
@@ -346,40 +345,6 @@ def test_strategy_override_use_exit_profit_only(caplog, default_conf):
assert log_has("Override strategy 'exit_profit_only' with value in config file: True.", caplog)
@pytest.mark.filterwarnings("ignore:deprecated")
def test_deprecate_populate_indicators(result, default_conf):
default_location = Path(__file__).parent / "strats"
default_conf.update({'strategy': 'TestStrategyLegacyV1',
'strategy_path': default_location})
strategy = StrategyResolver.load_strategy(default_conf)
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
indicators = strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
strategy.advise_entry(indicators, {'pair': 'ETH/BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
strategy.advise_exit(indicators, {'pair': 'ETH_BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
in str(w[-1].message)
@pytest.mark.filterwarnings("ignore:deprecated")
def test_missing_implements(default_conf, caplog):
@@ -438,33 +403,14 @@ def test_missing_implements(default_conf, caplog):
StrategyResolver.load_strategy(default_conf)
@pytest.mark.filterwarnings("ignore:deprecated")
def test_call_deprecated_function(result, default_conf, caplog):
default_location = Path(__file__).parent / "strats"
def test_call_deprecated_function(default_conf):
default_location = Path(__file__).parent / "strats/broken_strats/"
del default_conf['timeframe']
default_conf.update({'strategy': 'TestStrategyLegacyV1',
'strategy_path': default_location})
strategy = StrategyResolver.load_strategy(default_conf)
metadata = {'pair': 'ETH/BTC'}
# Make sure we are using a legacy function
assert strategy._populate_fun_len == 2
assert strategy._buy_fun_len == 2
assert strategy._sell_fun_len == 2
assert strategy.INTERFACE_VERSION == 1
assert strategy.timeframe == '5m'
indicator_df = strategy.advise_indicators(result, metadata=metadata)
assert isinstance(indicator_df, DataFrame)
assert 'adx' in indicator_df.columns
enterdf = strategy.advise_entry(result, metadata=metadata)
assert isinstance(enterdf, DataFrame)
assert 'enter_long' in enterdf.columns
exitdf = strategy.advise_exit(result, metadata=metadata)
assert isinstance(exitdf, DataFrame)
assert 'exit_long' in exitdf
with pytest.raises(OperationalException,
match=r"Strategy Interface v1 is no longer supported.*"):
StrategyResolver.load_strategy(default_conf)
def test_strategy_interface_versioning(result, default_conf):
@@ -472,10 +418,6 @@ def test_strategy_interface_versioning(result, default_conf):
strategy = StrategyResolver.load_strategy(default_conf)
metadata = {'pair': 'ETH/BTC'}
# Make sure we are using a legacy function
assert strategy._populate_fun_len == 3
assert strategy._buy_fun_len == 3
assert strategy._sell_fun_len == 3
assert strategy.INTERFACE_VERSION == 2
indicator_df = strategy.advise_indicators(result, metadata=metadata)

18
tests/test_freqtradebot.py
View File

@@ -717,12 +717,12 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
(True, 'spot', 'gateio', None, 0.0, None),
(False, 'spot', 'okx', None, 0.0, None),
(True, 'spot', 'okx', None, 0.0, None),
(True, 'futures', 'binance', 'isolated', 0.0, 11.89108910891089),
(False, 'futures', 'binance', 'isolated', 0.0, 8.070707070707071),
(True, 'futures', 'binance', 'isolated', 0.0, 11.88151815181518),
(False, 'futures', 'binance', 'isolated', 0.0, 8.080471380471382),
(True, 'futures', 'gateio', 'isolated', 0.0, 11.87413417771621),
(False, 'futures', 'gateio', 'isolated', 0.0, 8.085708510208207),
(True, 'futures', 'binance', 'isolated', 0.05, 11.796534653465345),
(False, 'futures', 'binance', 'isolated', 0.05, 8.167171717171717),
(True, 'futures', 'binance', 'isolated', 0.05, 11.7874422442244),
(False, 'futures', 'binance', 'isolated', 0.05, 8.17644781144781),
(True, 'futures', 'gateio', 'isolated', 0.05, 11.7804274688304),
(False, 'futures', 'gateio', 'isolated', 0.05, 8.181423084697796),
(True, 'futures', 'okx', 'isolated', 0.0, 11.87413417771621),
@@ -845,6 +845,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
assert trade.open_order_id is None
assert trade.open_rate == 10
assert trade.stake_amount == round(order['price'] * order['filled'] / leverage, 8)
assert pytest.approx(trade.liquidation_price) == liq_price
# In case of rejected or expired order and partially filled
order['status'] = 'expired'
@@ -932,8 +933,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
assert trade.open_rate_requested == 10
# In case of custom entry price not float type
freqtrade.exchange.get_maintenance_ratio_and_amt = MagicMock(return_value=(0.01, 0.01))
freqtrade.exchange.name = exchange_name
order['status'] = 'open'
order['id'] = '5568'
freqtrade.strategy.custom_entry_price = lambda **kwargs: "string price"
@@ -946,7 +945,6 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order,
trade.is_short = is_short
assert trade
assert trade.open_rate_requested == 10
assert trade.liquidation_price == liq_price
# In case of too high stake amount
@@ -3221,7 +3219,7 @@ def test_execute_trade_exit_custom_exit_price(
freqtrade.execute_trade_exit(
trade=trade,
limit=ticker_usdt_sell_up()['ask' if is_short else 'bid'],
exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)
exit_check=ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL, exit_reason='foo')
)
# Sell price must be different to default bid price
@@ -3249,8 +3247,8 @@ def test_execute_trade_exit_custom_exit_price(
'profit_ratio': profit_ratio,
'stake_currency': 'USDT',
'fiat_currency': 'USD',
'sell_reason': ExitType.EXIT_SIGNAL.value,
'exit_reason': ExitType.EXIT_SIGNAL.value,
'sell_reason': 'foo',
'exit_reason': 'foo',
'open_date': ANY,
'close_date': ANY,
'close_rate': ANY,

8
tests/test_plotting.py
View File

@@ -157,7 +157,7 @@ def test_plot_trades(testdatadir, caplog):
assert fig == fig1
assert log_has("No trades found.", caplog)
pair = "ADA/BTC"
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
trades = load_backtest_data(filename)
trades = trades.loc[trades['pair'] == pair]
@@ -298,7 +298,7 @@ def test_generate_plot_file(mocker, caplog):
def test_add_profit(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
@@ -318,7 +318,7 @@ def test_add_profit(testdatadir):
def test_generate_profit_graph(testdatadir):
filename = testdatadir / "backtest-result_new.json"
filename = testdatadir / "backtest_results/backtest-result_new.json"
trades = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
pairs = ["TRX/BTC", "XLM/BTC"]
@@ -466,7 +466,7 @@ def test_plot_profit(default_conf, mocker, testdatadir):
match=r"No trades found, cannot generate Profit-plot.*"):
plot_profit(default_conf)
default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
default_conf['exportfilename'] = testdatadir / "backtest_results/backtest-result_new.json"
plot_profit(default_conf)

0
tests/testdata/.last_result.json → tests/testdata/backtest_results/.last_result.json vendored
View File

0
tests/testdata/backtest-result_multistrat.json → tests/testdata/backtest_results/backtest-result_multistrat.json vendored
View File

10
tests/testdata/backtest_results/backtest-result_multistrat.meta.json vendored Normal file
View File

@@ -0,0 +1,10 @@
{
"StrategyTestV2": {
"run_id": "430d0271075ef327edbb23088f4db4ebe51a3dbf",
"backtest_start_time": 1648904006
},
"TestStrategy": {
"run_id": "110d0271075ef327edbb23085102b4ebe51a3d55",
"backtest_start_time": 1648904006
}
}

0
tests/testdata/backtest-result_new.json → tests/testdata/backtest_results/backtest-result_new.json vendored
View File

6
tests/testdata/backtest_results/backtest-result_new.meta.json vendored Normal file
View File

@@ -0,0 +1,6 @@
{
"StrategyTestV3": {
"run_id": "430d0271075ef327edbb23088f4db4ebe51a3dbf",
"backtest_start_time": 1648904006
}
}