Fixed max_open_trades update from hyperopt
Fixed max_open_trades update from hyperopt + removed max_open_trades as a param to backtesting + refactoring
This commit is contained in:
Antonio Della Fortuna
parent
8c3ac56bc5
commit
464cb4761c
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@ -252,7 +252,7 @@ AVAILABLE_CLI_OPTIONS = {
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'--spaces',
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help='Specify which parameters to hyperopt. Space-separated list.',
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choices=['all', 'buy', 'sell', 'roi', 'stoploss',
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'trailing', 'protection', 'default', 'trades'],
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'trailing', 'protection', 'trades', 'default'],
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nargs='+',
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default='default',
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),
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@ -920,8 +920,9 @@ class Backtesting:
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trade.close(exit_row[OPEN_IDX], show_msg=False)
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LocalTrade.close_bt_trade(trade)
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def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
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def trade_slot_available(self, open_trade_count: int) -> bool:
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# Always allow trades when max_open_trades is enabled.
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max_open_trades = self.config['max_open_trades']
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if max_open_trades <= 0 or open_trade_count < max_open_trades:
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return True
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# Rejected trade
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@ -1051,7 +1052,6 @@ class Backtesting:
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def backtest_loop(
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self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
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max_open_trades: int,
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open_trade_count_start: int, is_first: bool = True) -> int:
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"""
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NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
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@ -1075,7 +1075,7 @@ class Backtesting:
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if (
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(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
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and is_first
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and self.trade_slot_available(max_open_trades, open_trade_count_start)
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and self.trade_slot_available(open_trade_count_start)
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and current_time != end_date
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and trade_dir is not None
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and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
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@ -1122,8 +1122,7 @@ class Backtesting:
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return open_trade_count_start
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def backtest(self, processed: Dict,
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start_date: datetime, end_date: datetime,
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max_open_trades: int = 0) -> Dict[str, Any]:
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start_date: datetime, end_date: datetime) -> Dict[str, Any]:
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"""
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Implement backtesting functionality
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@ -1135,7 +1134,6 @@ class Backtesting:
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optimize memory usage!
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:param start_date: backtesting timerange start datetime
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:param end_date: backtesting timerange end datetime
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:param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
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:return: DataFrame with trades (results of backtesting)
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"""
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self.prepare_backtest(self.enable_protections)
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@ -1176,7 +1174,7 @@ class Backtesting:
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if len(detail_data) == 0:
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# Fall back to "regular" data if no detail data was found for this candle
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades,
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row, pair, current_time, end_date,
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open_trade_count_start)
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continue
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detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
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@ -1189,13 +1187,13 @@ class Backtesting:
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current_time_det = current_time
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for det_row in detail_data[HEADERS].values.tolist():
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open_trade_count_start = self.backtest_loop(
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det_row, pair, current_time_det, end_date, max_open_trades,
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det_row, pair, current_time_det, end_date,
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open_trade_count_start, is_first)
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current_time_det += timedelta(minutes=self.timeframe_detail_min)
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is_first = False
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else:
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open_trade_count_start = self.backtest_loop(
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row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
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row, pair, current_time, end_date, open_trade_count_start)
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# Move time one configured time_interval ahead.
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self.progress.increment()
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@ -1227,14 +1225,11 @@ class Backtesting:
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self._set_strategy(strat)
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# Use max_open_trades in backtesting, except --disable-max-market-positions is set
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if self.config.get('use_max_market_positions', True):
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# Must come from strategy config, as the strategy may modify this setting.
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max_open_trades = self.strategy.config['max_open_trades'] \
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if self.strategy.config['max_open_trades'] != float('inf') else -1
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else:
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if not self.config.get('use_max_market_positions', True):
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logger.info(
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'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
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max_open_trades = 0
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self.strategy.max_open_trades = -1
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self.config.update({'max_open_trades': float('inf')})
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# need to reprocess data every time to populate signals
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preprocessed = self.strategy.advise_all_indicators(data)
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@ -1257,7 +1252,6 @@ class Backtesting:
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processed=preprocessed,
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start_date=min_date,
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end_date=max_date,
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max_open_trades=max_open_trades,
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)
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backtest_end_time = datetime.now(timezone.utc)
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results.update({
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@ -118,14 +118,10 @@ class Hyperopt:
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self.current_best_epoch: Optional[Dict[str, Any]] = None
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# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
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if self.config.get('use_max_market_positions', True):
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self.max_open_trades = self.config['max_open_trades'] \
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if self.config['max_open_trades'] != float('inf') else -1
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else:
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if not self.config.get('use_max_market_positions', True):
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logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
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self.max_open_trades = 0
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print("Strategy max open trades", self.max_open_trades)
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self.backtesting.strategy.max_open_trades = -1
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config.update({'max_open_trades': float('inf')})
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if HyperoptTools.has_space(self.config, 'sell'):
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# Make sure use_exit_signal is enabled
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@ -214,7 +210,8 @@ class Hyperopt:
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if HyperoptTools.has_space(self.config, 'trailing'):
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result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
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if HyperoptTools.has_space(self.config, 'trades'):
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result['max_open_trades'] = {p.name: params.get(p.name) for p in self.trades_space}
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result['max_open_trades'] = {
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'max_open_trades': self.backtesting.strategy.max_open_trades}
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return result
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@ -342,7 +339,21 @@ class Hyperopt:
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d['trailing_only_offset_is_reached']
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if HyperoptTools.has_space(self.config, 'trades'):
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self.max_open_trades = params_dict['max_open_trades']
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if self.config["stake_amount"] == "unlimited" and \
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(params_dict['max_open_trades'] == -1 or params_dict['max_open_trades'] == 0):
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# Ignore unlimited max open trades if stake amount is unlimited
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params_dict.update({'max_open_trades': self.config['max_open_trades']})
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updated_config_max_open_trades = int(params_dict['max_open_trades']) \
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if (params_dict['max_open_trades'] != -1
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and params_dict['max_open_trades'] != 0) else float('inf')
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updated_strategy_max_open_trades = int(updated_config_max_open_trades) \
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if updated_config_max_open_trades != float('inf') else -1
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self.config.update({'max_open_trades': updated_config_max_open_trades})
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self.backtesting.strategy.max_open_trades = updated_strategy_max_open_trades
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with self.data_pickle_file.open('rb') as f:
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processed = load(f, mmap_mode='r')
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@ -353,8 +364,7 @@ class Hyperopt:
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bt_results = self.backtesting.backtest(
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processed=processed,
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start_date=self.min_date,
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end_date=self.max_date,
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max_open_trades=self.max_open_trades,
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end_date=self.max_date
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)
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backtest_end_time = datetime.now(timezone.utc)
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bt_results.update({
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@ -919,6 +919,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
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default_conf["trailing_stop_positive"] = data.trailing_stop_positive
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default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
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default_conf["use_exit_signal"] = data.use_exit_signal
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default_conf["max_open_trades"] = 10
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mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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@ -951,7 +952,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
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processed=data_processed,
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start_date=min_date,
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end_date=max_date,
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max_open_trades=10,
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)
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results = result['results']
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@ -96,7 +96,6 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
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'processed': processed,
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'start_date': min_date,
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'end_date': max_date,
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'max_open_trades': 10,
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}
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@ -684,6 +683,8 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
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def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
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default_conf['use_exit_signal'] = False
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default_conf['max_open_trades'] = 10
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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@ -701,7 +702,6 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
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processed=deepcopy(processed),
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start_date=min_date,
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end_date=max_date,
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max_open_trades=10,
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)
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results = result['results']
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assert not results.empty
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@ -785,6 +785,8 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
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def custom_entry_price(proposed_rate, **kwargs):
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return proposed_rate * 0.997
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default_conf_usdt['max_open_trades'] = 10
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backtesting = Backtesting(default_conf_usdt)
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backtesting._set_strategy(backtesting.strategylist[0])
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backtesting.strategy.populate_entry_trend = advise_entry
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@ -805,7 +807,6 @@ def test_backtest_one_detail(default_conf_usdt, fee, mocker, testdatadir, use_de
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processed=deepcopy(processed),
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start_date=min_date,
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end_date=max_date,
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max_open_trades=10,
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)
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results = result['results']
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assert not results.empty
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@ -859,6 +860,7 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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patch_exchange(mocker)
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default_conf['max_open_trades'] = 1
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backtesting = Backtesting(default_conf)
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backtesting._set_strategy(backtesting.strategylist[0])
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# Testing dataframe contains 11 candles. Expecting 10 timed out orders.
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@ -871,7 +873,6 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
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processed=deepcopy(data),
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start_date=min_date,
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end_date=max_date,
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max_open_trades=1,
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)
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assert result['timedout_entry_orders'] == 10
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@ -879,6 +880,7 @@ def test_backtest_timedout_entry_orders(default_conf, fee, mocker, testdatadir)
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def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None:
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default_conf['use_exit_signal'] = False
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default_conf['max_open_trades'] = 1
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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@ -896,7 +898,6 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
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processed=processed,
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start_date=min_date,
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end_date=max_date,
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max_open_trades=1,
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)
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assert not results['results'].empty
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assert len(results['results']) == 1
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@ -904,6 +905,8 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
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def test_backtest_trim_no_data_left(default_conf, fee, mocker, testdatadir) -> None:
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default_conf['use_exit_signal'] = False
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default_conf['max_open_trades'] = 10
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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@ -927,7 +930,6 @@ def test_backtest_trim_no_data_left(default_conf, fee, mocker, testdatadir) -> N
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processed=deepcopy(processed),
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start_date=min_date,
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end_date=max_date,
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max_open_trades=10,
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)
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@ -948,6 +950,7 @@ def test_processed(default_conf, mocker, testdatadir) -> None:
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def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadir) -> None:
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default_conf['use_exit_signal'] = False
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default_conf['max_open_trades'] = 10
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=100000)
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@ -981,7 +984,6 @@ def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadi
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processed=deepcopy(processed),
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start_date=min_date,
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end_date=max_date,
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max_open_trades=10,
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)
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assert count == 5
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@ -998,6 +1000,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
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default_conf['enable_protections'] = True
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default_conf['timeframe'] = '1m'
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default_conf['max_open_trades'] = 1
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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@ -1024,7 +1027,6 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
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processed=processed,
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start_date=min_date,
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end_date=max_date,
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max_open_trades=1,
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)
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assert len(results['results']) == numres
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@ -1062,11 +1064,12 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
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processed = backtesting.strategy.advise_all_indicators(data)
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min_date, max_date = get_timerange(processed)
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assert isinstance(processed, dict)
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backtesting.strategy.max_open_trades = 1
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backtesting.config.update({'max_open_trades': 1})
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results = backtesting.backtest(
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processed=processed,
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start_date=min_date,
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end_date=max_date,
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max_open_trades=1,
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)
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assert len(results['results']) == expected
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@ -1077,7 +1080,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
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buy_value = 1
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sell_value = 1
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return _trend(dataframe, buy_value, sell_value)
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default_conf['max_open_trades'] = 10
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
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backtesting = Backtesting(default_conf)
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backtesting._set_strategy(backtesting.strategylist[0])
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@ -1094,6 +1097,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
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sell_value = 1
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return _trend(dataframe, buy_value, sell_value)
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default_conf['max_open_trades'] = 10
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
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backtesting = Backtesting(default_conf)
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backtesting._set_strategy(backtesting.strategylist[0])
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@ -1107,6 +1111,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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default_conf['max_open_trades'] = 10
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
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pair='UNITTEST/BTC', datadir=testdatadir)
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default_conf['timeframe'] = '1m'
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@ -1165,6 +1170,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
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if tres > 0:
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data[pair] = data[pair][tres:].reset_index()
|
||||
default_conf['timeframe'] = '5m'
|
||||
default_conf['max_open_trades'] = 3
|
||||
|
||||
backtesting = Backtesting(default_conf)
|
||||
backtesting._set_strategy(backtesting.strategylist[0])
|
||||
|
|
@ -1173,11 +1179,11 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
|
|||
|
||||
processed = backtesting.strategy.advise_all_indicators(data)
|
||||
min_date, max_date = get_timerange(processed)
|
||||
|
||||
backtest_conf = {
|
||||
'processed': deepcopy(processed),
|
||||
'start_date': min_date,
|
||||
'end_date': max_date,
|
||||
'max_open_trades': 3,
|
||||
}
|
||||
|
||||
results = backtesting.backtest(**backtest_conf)
|
||||
|
|
@ -1195,11 +1201,12 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
|
|||
backtesting.dataprovider.get_analyzed_dataframe('NXT/BTC', '5m')[0]
|
||||
) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
|
||||
|
||||
backtesting.strategy.max_open_trades = 1
|
||||
backtesting.config.update({'max_open_trades': 1})
|
||||
backtest_conf = {
|
||||
'processed': deepcopy(processed),
|
||||
'start_date': min_date,
|
||||
'end_date': max_date,
|
||||
'max_open_trades': 1,
|
||||
}
|
||||
results = backtesting.backtest(**backtest_conf)
|
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assert len(evaluate_result_multi(results['results'], '5m', 1)) == 0
|
||||
|
|
|
|||
|
|
@ -17,6 +17,7 @@ from tests.conftest import patch_exchange
|
|||
|
||||
def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
|
||||
default_conf['use_exit_signal'] = False
|
||||
default_conf['max_open_trades'] = 10
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
||||
mocker.patch('freqtrade.optimize.backtesting.amount_to_contract_precision',
|
||||
lambda x, *args, **kwargs: round(x, 8))
|
||||
|
|
@ -41,7 +42,6 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
|
|||
processed=deepcopy(processed),
|
||||
start_date=min_date,
|
||||
end_date=max_date,
|
||||
max_open_trades=10,
|
||||
)
|
||||
results = result['results']
|
||||
assert not results.empty
|
||||
|
|
|
|||
|
|
@ -1,5 +1,6 @@
|
|||
# pragma pylint: disable=missing-docstring,W0212,C0103
|
||||
from datetime import datetime, timedelta
|
||||
from functools import wraps
|
||||
from pathlib import Path
|
||||
from unittest.mock import ANY, MagicMock, PropertyMock
|
||||
|
||||
|
|
@ -336,8 +337,7 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
|
|||
assert dumper2.call_count == 1
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
|
||||
assert hasattr(hyperopt, "max_open_trades")
|
||||
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hasattr(hyperopt.backtesting, "_position_stacking")
|
||||
|
||||
|
||||
|
|
@ -708,8 +708,7 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
|
|||
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
|
||||
assert hasattr(hyperopt, "max_open_trades")
|
||||
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hasattr(hyperopt.backtesting, "_position_stacking")
|
||||
|
||||
|
||||
|
|
@ -782,8 +781,7 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
|
|||
assert dumper2.call_count == 1
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
|
||||
assert hasattr(hyperopt, "max_open_trades")
|
||||
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hasattr(hyperopt.backtesting, "_position_stacking")
|
||||
|
||||
|
||||
|
|
@ -825,8 +823,7 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
|
|||
assert dumper2.call_count == 1
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
|
||||
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
|
||||
assert hasattr(hyperopt, "max_open_trades")
|
||||
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
|
||||
assert hasattr(hyperopt.backtesting, "_position_stacking")
|
||||
|
||||
|
||||
|
|
@ -880,7 +877,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
|
|||
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
|
||||
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
|
||||
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
|
||||
assert hyperopt.max_open_trades == 1
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == 1
|
||||
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
|
||||
assert isinstance(buy_rsi_range, range)
|
||||
# Range from 0 - 50 (inclusive)
|
||||
|
|
@ -891,7 +888,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
|
|||
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30
|
||||
assert hyperopt.backtesting.strategy.buy_rsi.value != 35
|
||||
assert hyperopt.backtesting.strategy.sell_rsi.value != 74
|
||||
assert hyperopt.max_open_trades != 1
|
||||
assert hyperopt.backtesting.strategy.max_open_trades != 1
|
||||
|
||||
hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1'
|
||||
with pytest.raises(OperationalException, match="Estimator ET1 not supported."):
|
||||
|
|
@ -992,3 +989,75 @@ def test_SKDecimal():
|
|||
assert space.transform([2.0]) == [200]
|
||||
assert space.transform([1.0]) == [100]
|
||||
assert space.transform([1.5, 1.6]) == [150, 160]
|
||||
|
||||
|
||||
def test_stake_amount_unlimited_max_open_trades(mocker, hyperopt_conf, tmpdir, fee) -> None:
|
||||
# This test is to ensure that unlimited max_open_trades are ignored for the backtesting
|
||||
# if we have an unlimited stake amount
|
||||
patch_exchange(mocker)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
||||
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
|
||||
hyperopt_conf.update({
|
||||
'strategy': 'HyperoptableStrategy',
|
||||
'user_data_dir': Path(tmpdir),
|
||||
'hyperopt_random_state': 42,
|
||||
'spaces': ['trades'],
|
||||
'stake_amount': 'unlimited'
|
||||
})
|
||||
hyperopt = Hyperopt(hyperopt_conf)
|
||||
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
|
||||
return_value={
|
||||
'max_open_trades': -1
|
||||
})
|
||||
|
||||
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
|
||||
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == 1
|
||||
|
||||
hyperopt.start()
|
||||
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == 1
|
||||
|
||||
|
||||
def test_max_open_trades_consistency(mocker, hyperopt_conf, tmpdir, fee) -> None:
|
||||
# This test is to ensure that max_open_trades is the same across all functions needing it
|
||||
# after it has been changed from the hyperopt
|
||||
patch_exchange(mocker)
|
||||
mocker.patch('freqtrade.exchange.Exchange.get_fee', return_value=0)
|
||||
|
||||
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
|
||||
hyperopt_conf.update({
|
||||
'strategy': 'HyperoptableStrategy',
|
||||
'user_data_dir': Path(tmpdir),
|
||||
'hyperopt_random_state': 42,
|
||||
'spaces': ['trades'],
|
||||
'stake_amount': 'unlimited',
|
||||
'dry_run_wallet': 8,
|
||||
'available_capital': 8,
|
||||
'dry_run': True,
|
||||
'epochs': 1
|
||||
})
|
||||
hyperopt = Hyperopt(hyperopt_conf)
|
||||
|
||||
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
|
||||
|
||||
first_time_evaluated = False
|
||||
|
||||
def stake_amount_interceptor(func):
|
||||
@wraps(func)
|
||||
def wrapper(*args, **kwargs):
|
||||
nonlocal first_time_evaluated
|
||||
stake_amount = func(*args, **kwargs)
|
||||
if first_time_evaluated is False:
|
||||
assert stake_amount == 1
|
||||
first_time_evaluated = True
|
||||
return stake_amount
|
||||
return wrapper
|
||||
|
||||
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount = stake_amount_interceptor(
|
||||
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount)
|
||||
|
||||
hyperopt.start()
|
||||
|
||||
assert hyperopt.backtesting.strategy.max_open_trades == 8
|
||||
assert hyperopt.config['max_open_trades'] == 8
|
||||
|
|
|
|||
Loading…
Reference in New Issue