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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2022-01-07 10:09:17 +01:00
parent 173524ea5b 7f20f6834b
commit 46809f08fe
27 changed files with 211 additions and 216 deletions
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52
tests/data/test_btanalysis.py
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@@ -8,14 +8,14 @@ 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, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD,
analyze_trade_parallelism, calculate_csum,
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_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
from tests.conftest_trades import MOCK_TRADE_COUNT
@@ -51,20 +51,14 @@ def test_get_latest_hyperopt_file(testdatadir, mocker):
assert res == testdatadir.parent / "hyperopt_results.pickle"
def test_load_backtest_data_old_format(testdatadir):
def test_load_backtest_data_old_format(testdatadir, mocker):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
assert isinstance(bt_data, DataFrame)
assert list(bt_data.columns) == BT_DATA_COLUMNS_OLD + ['profit_abs', 'profit_ratio']
assert len(bt_data) == 179
filename = testdatadir / "backtest-result_test222.json"
mocker.patch('freqtrade.data.btanalysis.load_backtest_stats', return_value=[])
# Test loading from string (must yield same result)
bt_data2 = load_backtest_data(str(filename))
assert bt_data.equals(bt_data2)
with pytest.raises(ValueError, match=r"File .* does not exist\."):
load_backtest_data(str("filename") + "nofile")
with pytest.raises(OperationalException,
match=r"Backtest-results with only trades data are no longer supported."):
load_backtest_data(filename)
def test_load_backtest_data_new_format(testdatadir):
@@ -72,7 +66,7 @@ def test_load_backtest_data_new_format(testdatadir):
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
assert isinstance(bt_data, DataFrame)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS_MID)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
assert len(bt_data) == 179
# Test loading from string (must yield same result)
@@ -96,7 +90,7 @@ def test_load_backtest_data_multi(testdatadir):
for strategy in ('StrategyTestV2', 'TestStrategy'):
bt_data = load_backtest_data(filename, strategy=strategy)
assert isinstance(bt_data, DataFrame)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS_MID)
assert set(bt_data.columns) == set(BT_DATA_COLUMNS + ['close_timestamp', 'open_timestamp'])
assert len(bt_data) == 179
# Test loading from string (must yield same result)
@@ -168,8 +162,8 @@ def test_extract_trades_of_period(testdatadir):
assert trades1.iloc[-1].close_date == Arrow(2017, 11, 14, 15, 25, 0).datetime
def test_analyze_trade_parallelism(default_conf, mocker, testdatadir):
filename = testdatadir / "backtest-result_test.json"
def test_analyze_trade_parallelism(testdatadir):
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
res = analyze_trade_parallelism(bt_data, "5m")
@@ -243,7 +237,7 @@ def test_combine_dataframes_with_mean_no_data(testdatadir):
def test_create_cum_profit(testdatadir):
filename = testdatadir / "backtest-result_test.json"
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
@@ -259,7 +253,7 @@ def test_create_cum_profit(testdatadir):
def test_create_cum_profit1(testdatadir):
filename = testdatadir / "backtest-result_test.json"
filename = testdatadir / "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)
@@ -281,30 +275,31 @@ def test_create_cum_profit1(testdatadir):
def test_calculate_max_drawdown(testdatadir):
filename = testdatadir / "backtest-result_test.json"
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
drawdown, hdate, lowdate, hval, lval = calculate_max_drawdown(bt_data)
_, hdate, lowdate, hval, lval, drawdown = calculate_max_drawdown(
bt_data, value_col="profit_abs")
assert isinstance(drawdown, float)
assert pytest.approx(drawdown) == 0.21142322
assert pytest.approx(drawdown) == 0.12071099
assert isinstance(hdate, Timestamp)
assert isinstance(lowdate, Timestamp)
assert isinstance(hval, float)
assert isinstance(lval, float)
assert hdate == Timestamp('2018-01-24 14:25:00', tz='UTC')
assert lowdate == Timestamp('2018-01-30 04:45:00', tz='UTC')
assert hdate == Timestamp('2018-01-25 01:30:00', tz='UTC')
assert lowdate == Timestamp('2018-01-25 03:50:00', tz='UTC')
underwater = calculate_underwater(bt_data)
assert isinstance(underwater, DataFrame)
with pytest.raises(ValueError, match='Trade dataframe empty.'):
drawdown, hdate, lowdate, hval, lval = calculate_max_drawdown(DataFrame())
calculate_max_drawdown(DataFrame())
with pytest.raises(ValueError, match='Trade dataframe empty.'):
calculate_underwater(DataFrame())
def test_calculate_csum(testdatadir):
filename = testdatadir / "backtest-result_test.json"
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename)
csum_min, csum_max = calculate_csum(bt_data)
@@ -332,12 +327,13 @@ def test_calculate_max_drawdown2():
# sort by profit and reset index
df = df.sort_values('profit').reset_index(drop=True)
df1 = df.copy()
drawdown, hdate, ldate, hval, lval = calculate_max_drawdown(
drawdown, hdate, ldate, hval, lval, drawdown_rel = calculate_max_drawdown(
df, date_col='open_date', value_col='profit')
# Ensure df has not been altered.
assert df.equals(df1)
assert isinstance(drawdown, float)
assert isinstance(drawdown_rel, float)
# High must be before low
assert hdate < ldate
# High value must be higher than low value