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Merge branch 'develop' into pr/nicolaspapp/6715

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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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54
tests/data/test_btanalysis.py
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@@ -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,