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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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2
tests/optimize/test_hyperopt.py
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@@ -369,7 +369,7 @@ def test_hyperopt_format_results(hyperopt):
'backtest_start_time': 1619718665,
'backtest_end_time': 1619718665,
}
results_metrics = generate_strategy_stats({'XRP/BTC': None}, '', bt_result,
results_metrics = generate_strategy_stats(['XRP/BTC'], '', bt_result,
Arrow(2017, 11, 14, 19, 32, 00),
Arrow(2017, 12, 14, 19, 32, 00), market_change=0)

71
tests/optimize/test_optimize_reports.py
View File

@@ -1,4 +1,3 @@
import datetime
import re
from datetime import timedelta
from pathlib import Path
@@ -50,7 +49,7 @@ def test_text_table_bt_results():
' 0:20:00 | 2 0 1 66.7 |'
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=4, results=results)
assert text_table_bt_results(pair_results, stake_currency='BTC') == result_str
@@ -105,7 +104,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert strat_stats['backtest_end'] == max_date.strftime(DATETIME_PRINT_FORMAT)
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['max_drawdown_account'] == 0.0
# Retry with losing trade
results = {'DefStrat': {
@@ -146,7 +145,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['max_drawdown'] == 0.013803
assert pytest.approx(strat_stats['max_drawdown_account']) == 1.399999e-08
assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
assert strat_stats['drawdown_end_ts'] == 1510699380000
@@ -168,7 +167,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
filename1 = Path(tmpdir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown' in content
assert 'max_drawdown_account' in content
assert 'strategy' in content
assert 'pairlist' in content
@@ -211,7 +210,7 @@ def test_generate_pair_metrics():
}
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=2, results=results)
assert isinstance(pair_results, list)
assert len(pair_results) == 2
@@ -230,9 +229,9 @@ def test_generate_daily_stats(testdatadir):
assert isinstance(res, dict)
assert round(res['backtest_best_day'], 4) == 0.1796
assert round(res['backtest_worst_day'], 4) == -0.1468
assert res['winning_days'] == 14
assert res['draw_days'] == 4
assert res['losing_days'] == 3
assert res['winning_days'] == 19
assert res['draw_days'] == 0
assert res['losing_days'] == 2
# Select empty dataframe!
res = generate_daily_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :])
@@ -327,51 +326,25 @@ def test_generate_sell_reason_stats():
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)
def test_text_table_strategy(default_conf):
default_conf['max_open_trades'] = 2
default_conf['dry_run_wallet'] = 3
results = {}
date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
delta = datetime.timedelta(days=1)
results['TestStrategy1'] = {'results': pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}
results['TestStrategy2'] = {'results': pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'wins': [4, 1, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}
def test_text_table_strategy(testdatadir):
filename = testdatadir / "backtest-result_multistrat.json"
bt_res_data = load_backtest_stats(filename)
bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
result_str = (
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
' Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |\n'
'|---------------+--------+----------------+----------------+------------------+'
'|----------------+--------+----------------+----------------+------------------+'
'----------------+----------------+-------------------------+-----------------------|\n'
'| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |'
' 36.67 | 0:17:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |\n'
'| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |'
' 43.33 | 0:20:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |'
'| StrategyTestV2 | 179 | 0.08 | 14.39 | 0.02608550 |'
' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |\n'
'| TestStrategy | 179 | 0.08 | 14.39 | 0.02608550 |'
' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |'
)
strategy_results = generate_strategy_comparison(all_results=results)
strategy_results = generate_strategy_comparison(bt_stats=bt_res_data['strategy'])
assert strategy_results == bt_res_data_comparison
assert text_table_strategy(strategy_results, 'BTC') == result_str
@@ -421,6 +394,6 @@ def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
show_sorted_pairlist(default_conf, bt_data)
out, err = capsys.readouterr()
assert 'Pairs for Strategy StrategyTestV2: \n[' in out
assert 'Pairs for Strategy StrategyTestV3: \n[' in out
assert 'TOTAL' not in out
assert '"ETH/BTC", // ' in out