Merge branch 'develop' into feat/short

.github/workflows/ci.yml

@@ -196,7 +196,7 @@ jobs:
       uses: rjstone/discord-webhook-notify@v1
       if: failure() && ( github.event_name != 'pull_request' || github.event.pull_request.head.repo.fork == false)
       with:
-          severity: error
+          severity: info
           details: Test Succeeded!
           webhookUrl: ${{ secrets.DISCORD_WEBHOOK }}
 

docs/backtesting.md

@@ -312,7 +312,7 @@ A backtesting result will look like that:
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
-| Drawdown              | 50.63%              |
+| Drawdown (Account)    | 13.33%              |
 | Drawdown              | 0.0015 BTC          |
 | Drawdown high         | 0.0013 BTC          |
 | Drawdown low          | -0.0002 BTC         |
@@ -405,7 +405,7 @@ It contains some useful key metrics about performance of your strategy on backte
 |                        |                     |
 | Min balance            | 0.00945123 BTC      |
 | Max balance            | 0.01846651 BTC      |
-| Drawdown               | 50.63%              |
+| Drawdown (Account)     | 13.33%              |
 | Drawdown               | 0.0015 BTC          |
 | Drawdown high          | 0.0013 BTC          |
 | Drawdown low           | -0.0002 BTC         |
@@ -432,7 +432,8 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached.
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
-- `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
+- `Drawdown (Account)`: Maximum Account Drawdown experienced. Calculated as $(Absolute Drawdown) / (DrawdownHigh + startingBalance)$.
+- `Drawdown`: Maximum, absolute drawdown experienced. Difference between Drawdown High and Subsequent Low point.
 - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
 - `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
 - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.

freqtrade/data/btanalysis.py

@@ -9,21 +9,13 @@ import numpy as np
 import pandas as pd
 
 from freqtrade.constants import LAST_BT_RESULT_FN
+from freqtrade.exceptions import OperationalException
 from freqtrade.misc import json_load
 from freqtrade.persistence import LocalTrade, Trade, init_db
 
 
 logger = logging.getLogger(__name__)
 
-# Old format - maybe remove?
-BT_DATA_COLUMNS_OLD = ["pair", "profit_percent", "open_date", "close_date", "index",
-                       "trade_duration", "open_rate", "close_rate", "open_at_end", "sell_reason"]
-
-# Mid-term format, created by BacktestResult Named Tuple
-BT_DATA_COLUMNS_MID = ['pair', 'profit_percent', 'open_date', 'close_date', 'trade_duration',
-                       'open_rate', 'close_rate', 'open_at_end', 'sell_reason', 'fee_open',
-                       'fee_close', 'amount', 'profit_abs', 'profit_ratio']
-
 # Newest format
 BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
                    'open_rate', 'close_rate',
@@ -170,23 +162,9 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
                                               )
     else:
         # old format - only with lists.
-        df = pd.DataFrame(data, columns=BT_DATA_COLUMNS_OLD)
+        raise OperationalException(
+            "Backtest-results with only trades data are no longer supported.")
     if not df.empty:
-            df['open_date'] = pd.to_datetime(df['open_date'],
-                                             unit='s',
-                                             utc=True,
-                                             infer_datetime_format=True
-                                             )
-            df['close_date'] = pd.to_datetime(df['close_date'],
-                                              unit='s',
-                                              utc=True,
-                                              infer_datetime_format=True
-                                              )
-            # Create compatibility with new format
-            df['profit_abs'] = df['close_rate'] - df['open_rate']
-    if not df.empty:
-        if 'profit_ratio' not in df.columns:
-            df['profit_ratio'] = df['profit_percent']
         df = df.sort_values("open_date").reset_index(drop=True)
     return df
 
@@ -395,15 +373,17 @@ def calculate_underwater(trades: pd.DataFrame, *, date_col: str = 'close_date',
 
 
 def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date',
-                           value_col: str = 'profit_ratio'
+                           value_col: str = 'profit_abs', starting_balance: float = 0
-                           ) -> Tuple[float, pd.Timestamp, pd.Timestamp, float, float]:
+                           ) -> Tuple[float, pd.Timestamp, pd.Timestamp, float, float, float]:
     """
     Calculate max drawdown and the corresponding close dates
     :param trades: DataFrame containing trades (requires columns close_date and profit_ratio)
     :param date_col: Column in DataFrame to use for dates (defaults to 'close_date')
-    :param value_col: Column in DataFrame to use for values (defaults to 'profit_ratio')
+    :param value_col: Column in DataFrame to use for values (defaults to 'profit_abs')
-    :return: Tuple (float, highdate, lowdate, highvalue, lowvalue) with absolute max drawdown,
+    :param starting_balance: Portfolio starting balance - properly calculate relative drawdown.
-             high and low time and high and low value.
+    :return: Tuple (float, highdate, lowdate, highvalue, lowvalue, relative_drawdown)
+             with absolute max drawdown, high and low time and high and low value,
+             and the relative account drawdown
     :raise: ValueError if trade-dataframe was found empty.
     """
     if len(trades) == 0:
@@ -419,7 +399,18 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
     high_val = max_drawdown_df.loc[max_drawdown_df.iloc[:idxmin]
                                    ['high_value'].idxmax(), 'cumulative']
     low_val = max_drawdown_df.loc[idxmin, 'cumulative']
-    return abs(min(max_drawdown_df['drawdown'])), high_date, low_date, high_val, low_val
+    max_drawdown_rel = 0.0
+    if high_val + starting_balance != 0:
+        max_drawdown_rel = (high_val - low_val) / (high_val + starting_balance)
+
+    return (
+        abs(min(max_drawdown_df['drawdown'])),
+        high_date,
+        low_date,
+        high_val,
+        low_val,
+        max_drawdown_rel
+    )
 
 
 def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[float, float]:

freqtrade/exchange/exchange.py

@@ -65,6 +65,8 @@ class Exchange:
         "ohlcv_params": {},
         "ohlcv_candle_limit": 500,
         "ohlcv_partial_candle": True,
+        # Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
+        "ohlcv_volume_currency": "base",  # "base" or "quote"
         "trades_pagination": "time",  # Possible are "time" or "id"
         "trades_pagination_arg": "since",
         "l2_limit_range": None,
@@ -797,7 +799,8 @@ class Exchange:
             max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage))
 
             remaining_amount = amount
-            filled_amount = 0
+            filled_amount = 0.0
+            book_entry_price = 0.0
             for book_entry in ob[ob_type]:
                 book_entry_price = book_entry[0]
                 book_entry_coin_volume = book_entry[1]

freqtrade/exchange/ftx.py

@@ -20,6 +20,7 @@ class Ftx(Exchange):
     _ft_has: Dict = {
         "stoploss_on_exchange": True,
         "ohlcv_candle_limit": 1500,
+        "ohlcv_volume_currency": "quote",
         "mark_ohlcv_price": "index",
         "mark_ohlcv_timeframe": "1h",
     }

freqtrade/exchange/gateio.py

@@ -22,6 +22,7 @@ class Gateio(Exchange):
 
     _ft_has: Dict = {
         "ohlcv_candle_limit": 1000,
+        "ohlcv_volume_currency": "quote",
     }
 
     _headers = {'X-Gate-Channel-Id': 'freqtrade'}

freqtrade/exchange/okex.py

@@ -15,7 +15,7 @@ class Okex(Exchange):
     """
 
     _ft_has: Dict = {
-        "ohlcv_candle_limit": 100,
+        "ohlcv_candle_limit": 300,
         "mark_ohlcv_timeframe": "4h",
         "funding_fee_timeframe": "8h",
     }

freqtrade/optimize/backtesting.py

@@ -448,8 +448,10 @@ class Backtesting:
             detail_data.loc[:, 'exit_long'] = sell_row[ELONG_IDX]
             detail_data.loc[:, 'enter_long'] = sell_row[LONG_IDX]
             detail_data.loc[:, 'exit_long'] = sell_row[ELONG_IDX]
+            detail_data.loc[:, 'enter_tag'] = sell_row[ENTER_TAG_IDX]
+            detail_data.loc[:, 'exit_tag'] = sell_row[EXIT_TAG_IDX]
             headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
-                       'enter_short', 'exit_short']
+                       'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
             for det_row in detail_data[headers].values.tolist():
                 res = self._get_sell_trade_entry_for_candle(trade, det_row)
                 if res:

freqtrade/optimize/hyperopt.py

@@ -76,6 +76,7 @@ class Hyperopt:
         self.config = config
 
         self.backtesting = Backtesting(self.config)
+        self.pairlist = self.backtesting.pairlists.whitelist
 
         if not self.config.get('hyperopt'):
             self.custom_hyperopt = HyperOptAuto(self.config)
@@ -332,7 +333,7 @@ class Hyperopt:
         params_details = self._get_params_details(params_dict)
 
         strat_stats = generate_strategy_stats(
-            processed, self.backtesting.strategy.get_strategy_name(),
+            self.pairlist, self.backtesting.strategy.get_strategy_name(),
             backtesting_results, min_date, max_date, market_change=0
         )
         results_explanation = HyperoptTools.format_results_explanation_string(

freqtrade/optimize/hyperopt_loss_calmar.py

@@ -47,10 +47,9 @@ class CalmarHyperOptLoss(IHyperOptLoss):
 
         # calculate max drawdown
         try:
-            _, _, _, high_val, low_val = calculate_max_drawdown(
+            _, _, _, _, _, max_drawdown = calculate_max_drawdown(
                 results, value_col="profit_abs"
             )
-            max_drawdown = (high_val - low_val) / high_val
         except ValueError:
             max_drawdown = 0
 

freqtrade/optimize/hyperopt_tools.py

@@ -308,8 +308,7 @@ class HyperoptTools():
 
         if not has_drawdown:
             # Ensure compatibility with older versions of hyperopt results
-            trials['results_metrics.max_drawdown_abs'] = None
+            trials['results_metrics.max_drawdown_account'] = None
-            trials['results_metrics.max_drawdown'] = None
 
         # New mode, using backtest result for metrics
         trials['results_metrics.winsdrawslosses'] = trials.apply(
@@ -320,12 +319,15 @@ class HyperoptTools():
                          'results_metrics.winsdrawslosses',
                          'results_metrics.profit_mean', 'results_metrics.profit_total_abs',
                          'results_metrics.profit_total', 'results_metrics.holding_avg',
-                         'results_metrics.max_drawdown', 'results_metrics.max_drawdown_abs',
+                         'results_metrics.max_drawdown',
+                         'results_metrics.max_drawdown_account', 'results_metrics.max_drawdown_abs',
                          'loss', 'is_initial_point', 'is_best']]
 
-        trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
+        trials.columns = [
-                          'Total profit', 'Profit', 'Avg duration', 'Max Drawdown',
+            'Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
-                          'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best']
+            'Total profit', 'Profit', 'Avg duration', 'max_drawdown', 'max_drawdown_account',
+            'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best'
+            ]
 
         return trials
 
@@ -341,9 +343,9 @@ class HyperoptTools():
         tabulate.PRESERVE_WHITESPACE = True
         trials = json_normalize(results, max_level=1)
 
-        has_drawdown = 'results_metrics.max_drawdown_abs' in trials.columns
+        has_account_drawdown = 'results_metrics.max_drawdown_account' in trials.columns
 
-        trials = HyperoptTools.prepare_trials_columns(trials, has_drawdown)
+        trials = HyperoptTools.prepare_trials_columns(trials, has_account_drawdown)
 
         trials['is_profit'] = False
         trials.loc[trials['is_initial_point'], 'Best'] = '*     '
@@ -368,19 +370,20 @@ class HyperoptTools():
 
         stake_currency = config['stake_currency']
 
-        if has_drawdown:
+        trials[f"Max Drawdown{' (Acct)' if has_account_drawdown else ''}"] = trials.apply(
-            trials['Max Drawdown'] = trials.apply(
+            lambda x: "{} {}".format(
-                lambda x: '{} {}'.format(
                 round_coin_value(x['max_drawdown_abs'], stake_currency),
-                    f"({x['Max Drawdown']:,.2%})".rjust(10, ' ')
+                (f"({x['max_drawdown_account']:,.2%})"
+                    if has_account_drawdown
+                    else f"({x['max_drawdown']:,.2%})"
+                 ).rjust(10, ' ')
             ).rjust(25 + len(stake_currency))
-                if x['Max Drawdown'] != 0.0 else '--'.rjust(25 + len(stake_currency)),
+            if x['max_drawdown'] != 0.0 or x['max_drawdown_account'] != 0.0
+            else '--'.rjust(25 + len(stake_currency)),
             axis=1
         )
-        else:
-            trials = trials.drop(columns=['Max Drawdown'])
 
-        trials = trials.drop(columns=['max_drawdown_abs'])
+        trials = trials.drop(columns=['max_drawdown_abs', 'max_drawdown', 'max_drawdown_account'])
 
         trials['Profit'] = trials.apply(
             lambda x: '{} {}'.format(

freqtrade/optimize/optimize_reports.py

@@ -1,4 +1,5 @@
 import logging
+from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from pathlib import Path
 from typing import Any, Dict, List, Union
@@ -98,11 +99,11 @@ def _generate_result_line(result: DataFrame, starting_balance: int, first_column
     }
 
 
-def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_balance: int,
+def generate_pair_metrics(pairlist: List[str], stake_currency: str, starting_balance: int,
                           results: DataFrame, skip_nan: bool = False) -> List[Dict]:
     """
     Generates and returns a list  for the given backtest data and the results dataframe
-    :param data: Dict of <pair: dataframe> containing data that was used during backtesting.
+    :param pairlist: Pairlist used
     :param stake_currency: stake-currency - used to correctly name headers
     :param starting_balance: Starting balance
     :param results: Dataframe containing the backtest results
@@ -112,7 +113,7 @@ def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_b
 
     tabular_data = []
 
-    for pair in data:
+    for pair in pairlist:
         result = results[results['pair'] == pair]
         if skip_nan and result['profit_abs'].isnull().all():
             continue
@@ -194,29 +195,21 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List
     return tabular_data
 
 
-def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
+def generate_strategy_comparison(bt_stats: Dict) -> List[Dict]:
     """
     Generate summary per strategy
-    :param all_results: Dict of <Strategyname: DataFrame> containing results for all strategies
+    :param bt_stats: Dict of <Strategyname: DataFrame> containing results for all strategies
     :return: List of Dicts containing the metrics per Strategy
     """
 
     tabular_data = []
-    for strategy, results in all_results.items():
+    for strategy, result in bt_stats.items():
-        tabular_data.append(_generate_result_line(
+        tabular_data.append(deepcopy(result['results_per_pair'][-1]))
-            results['results'], results['config']['dry_run_wallet'], strategy)
+        # Update "key" to strategy (results_per_pair has it as "Total").
-        )
+        tabular_data[-1]['key'] = strategy
-        try:
+        tabular_data[-1]['max_drawdown_account'] = result['max_drawdown_account']
-            max_drawdown_per, _, _, _, _ = calculate_max_drawdown(results['results'],
+        tabular_data[-1]['max_drawdown_abs'] = round_coin_value(
-                                                                  value_col='profit_ratio')
+            result['max_drawdown_abs'], result['stake_currency'], False)
-            max_drawdown_abs, _, _, _, _ = calculate_max_drawdown(results['results'],
-                                                                  value_col='profit_abs')
-        except ValueError:
-            max_drawdown_per = 0
-            max_drawdown_abs = 0
-        tabular_data[-1]['max_drawdown_per'] = round(max_drawdown_per * 100, 2)
-        tabular_data[-1]['max_drawdown_abs'] = \
-            round_coin_value(max_drawdown_abs, results['config']['stake_currency'], False)
     return tabular_data
 
 
@@ -352,14 +345,14 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
     }
 
 
-def generate_strategy_stats(btdata: Dict[str, DataFrame],
+def generate_strategy_stats(pairlist: List[str],
                             strategy: str,
                             content: Dict[str, Any],
                             min_date: datetime, max_date: datetime,
                             market_change: float
                             ) -> Dict[str, Any]:
     """
-    :param btdata: Backtest data
+    :param pairlist: List of pairs to backtest
     :param strategy: Strategy name
     :param content: Backtest result data in the format:
                     {'results: results, 'config: config}}.
@@ -372,11 +365,11 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
     if not isinstance(results, DataFrame):
         return {}
     config = content['config']
-    max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
+    max_open_trades = min(config['max_open_trades'], len(pairlist))
     start_balance = config['dry_run_wallet']
     stake_currency = config['stake_currency']
 
-    pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
+    pair_results = generate_pair_metrics(pairlist, stake_currency=stake_currency,
                                          starting_balance=start_balance,
                                          results=results, skip_nan=False)
 
@@ -385,7 +378,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
 
     sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
                                                    results=results)
-    left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
+    left_open_results = generate_pair_metrics(pairlist, stake_currency=stake_currency,
                                               starting_balance=start_balance,
                                               results=results.loc[results['is_open']],
                                               skip_nan=True)
@@ -435,7 +428,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
 
         'trades_per_day': round(len(results) / backtest_days, 2),
         'market_change': market_change,
-        'pairlist': list(btdata.keys()),
+        'pairlist': pairlist,
         'stake_amount': config['stake_amount'],
         'stake_currency': config['stake_currency'],
         'stake_currency_decimals': decimals_per_coin(config['stake_currency']),
@@ -468,12 +461,14 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
     }
 
     try:
-        max_drawdown, _, _, _, _ = calculate_max_drawdown(
+        max_drawdown_legacy, _, _, _, _, _ = calculate_max_drawdown(
             results, value_col='profit_ratio')
-        drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(
+        (drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
-            results, value_col='profit_abs')
+         max_drawdown) = calculate_max_drawdown(
+             results, value_col='profit_abs', starting_balance=start_balance)
         strat_stats.update({
-            'max_drawdown': max_drawdown,
+            'max_drawdown': max_drawdown_legacy,  # Deprecated - do not use
+            'max_drawdown_account': max_drawdown,
             'max_drawdown_abs': drawdown_abs,
             'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
             'drawdown_start_ts': drawdown_start.timestamp() * 1000,
@@ -493,6 +488,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
     except ValueError:
         strat_stats.update({
             'max_drawdown': 0.0,
+            'max_drawdown_account': 0.0,
             'max_drawdown_abs': 0.0,
             'max_drawdown_low': 0.0,
             'max_drawdown_high': 0.0,
@@ -521,13 +517,13 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
     """
     result: Dict[str, Any] = {'strategy': {}}
     market_change = calculate_market_change(btdata, 'close')
-
+    pairlist = list(btdata.keys())
     for strategy, content in all_results.items():
-        strat_stats = generate_strategy_stats(btdata, strategy, content,
+        strat_stats = generate_strategy_stats(pairlist, strategy, content,
                                               min_date, max_date, market_change=market_change)
         result['strategy'][strategy] = strat_stats
 
-    strategy_results = generate_strategy_comparison(all_results=all_results)
+    strategy_results = generate_strategy_comparison(bt_stats=result['strategy'])
 
     result['strategy_comparison'] = strategy_results
 
@@ -652,7 +648,7 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
     headers.append('Drawdown')
 
     # Align drawdown string on the center two space separator.
-    drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results]
+    drawdown = [f'{t["max_drawdown_account"] * 100:.2f}' for t in strategy_results]
     dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results])
     dd_pad_per = max([len(dd) for dd in drawdown])
     drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency}  {dd:>{dd_pad_per}}%'
@@ -737,7 +733,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Max balance', round_coin_value(strat_results['csum_max'],
                                              strat_results['stake_currency'])),
 
-            ('Drawdown', f"{strat_results['max_drawdown']:.2%}"),
+            # Compatibility to show old hyperopt results
+            ('Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
+            if 'max_drawdown_account' in strat_results else (
+                'Drawdown', f"{strat_results['max_drawdown']:.2%}"),
             ('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
                                           strat_results['stake_currency'])),
             ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],

freqtrade/plot/plotting.py

@@ -161,7 +161,7 @@ def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame,
     Add scatter points indicating max drawdown
     """
     try:
-        max_drawdown, highdate, lowdate, _, _ = calculate_max_drawdown(trades)
+        _, highdate, lowdate, _, _, max_drawdown = calculate_max_drawdown(trades)
 
         drawdown = go.Scatter(
             x=[highdate, lowdate],

freqtrade/plugins/pairlist/VolumePairList.py

@@ -4,7 +4,6 @@ Volume PairList provider
 Provides dynamic pair list based on trade volumes
 """
 import logging
-from functools import partial
 from typing import Any, Dict, List
 
 import arrow
@@ -122,10 +121,17 @@ class VolumePairList(IPairList):
         else:
             # Use fresh pairlist
             # Check if pair quote currency equals to the stake currency.
+            _pairlist = [k for k in self._exchange.get_markets(
+                quote_currencies=[self._stake_currency],
+                tradable_only=True, active_only=True).keys()]
+            # No point in testing for blacklisted pairs...
+            _pairlist = self.verify_blacklist(_pairlist, logger.info)
+
             filtered_tickers = [
                 v for k, v in tickers.items()
                 if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
-                    and (self._use_range or v[self._sort_key] is not None))]
+                    and (self._use_range or v[self._sort_key] is not None)
+                    and v['symbol'] in _pairlist)]
             pairlist = [s['symbol'] for s in filtered_tickers]
 
             pairlist = self.filter_pairlist(pairlist, tickers)
@@ -181,12 +187,16 @@ class VolumePairList(IPairList):
                     ) in candles else None
                 # in case of candle data calculate typical price and quoteVolume for candle
                 if pair_candles is not None and not pair_candles.empty:
+                    if self._exchange._ft_has["ohlcv_volume_currency"] == "base":
                         pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
                                                          + pair_candles['close']) / 3
+
                         pair_candles['quoteVolume'] = (
                             pair_candles['volume'] * pair_candles['typical_price']
                         )
-
+                    else:
+                        # Exchange ohlcv data is in quote volume already.
+                        pair_candles['quoteVolume'] = pair_candles['volume']
                     # ensure that a rolling sum over the lookback_period is built
                     # if pair_candles contains more candles than lookback_period
                     quoteVolume = (pair_candles['quoteVolume']
@@ -207,7 +217,7 @@ class VolumePairList(IPairList):
 
         # Validate whitelist to only have active market pairs
         pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers])
-        pairs = self.verify_blacklist(pairs, partial(self.log_once, logmethod=logger.info))
+        pairs = self.verify_blacklist(pairs, logmethod=logger.info)
         # Limit pairlist to the requested number of pairs
         pairs = pairs[:self._number_pairs]
 

freqtrade/plugins/protections/max_drawdown_protection.py

@@ -55,7 +55,8 @@ class MaxDrawdown(IProtection):
 
         # Drawdown is always positive
         try:
-            drawdown, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
+            # TODO: This should use absolute profit calculation, considering account balance.
+            drawdown, _, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
         except ValueError:
             return False, None, None
 

requirements.txt

@@ -3,7 +3,7 @@ numpy==1.22.0; python_version > '3.7'
 pandas==1.3.5
 pandas-ta==0.3.14b
 
-ccxt==1.66.20
+ccxt==1.66.32
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==36.0.1
 aiohttp==3.8.1

setup.py

@@ -43,7 +43,7 @@ setup(
     ],
     install_requires=[
         # from requirements.txt
-        'ccxt>=1.66.20',
+        'ccxt>=1.66.32',
         'SQLAlchemy',
         'python-telegram-bot>=13.4',
         'arrow>=0.17.0',

tests/conftest.py

@@ -2222,7 +2222,7 @@ def saved_hyperopt_results():
             'params_dict': {
                 'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1190, 'roi_t2': 541, 'roi_t3': 408, 'roi_p1': 0.026035863879169705, 'roi_p2': 0.12508730043628782, 'roi_p3': 0.27766427921605896, 'stoploss': -0.2562930402099556},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4287874435315165, 408: 0.15112316431545753, 949: 0.026035863879169705, 2139: 0}, 'stoploss': {'stoploss': -0.2562930402099556}},  # noqa: E501
-            'results_metrics': {'total_trades': 2, 'wins': 0, 'draws': 0, 'losses': 2, 'profit_mean': -0.01254995, 'profit_median': -0.012222, 'profit_total': -0.00125625, 'profit_total_abs': -2.50999, 'holding_avg': timedelta(minutes=3930.0), 'stake_currency': 'BTC', 'strategy_name': 'SampleStrategy'},  # noqa: E501
+            'results_metrics': {'total_trades': 2, 'wins': 0, 'draws': 0, 'losses': 2, 'profit_mean': -0.01254995, 'profit_median': -0.012222, 'profit_total': -0.00125625,  'profit_total_abs': -2.50999, 'max_drawdown': 0.23, 'max_drawdown_abs': -0.00125625,  'holding_avg': timedelta(minutes=3930.0), 'stake_currency': 'BTC', 'strategy_name': 'SampleStrategy'},  # noqa: E501
             'results_explanation': '     2 trades. Avg profit  -1.25%. Total profit -0.00125625 BTC (  -2.51Σ%). Avg duration 3930.0 min.',  # noqa: E501
             'total_profit': -0.00125625,
             'current_epoch': 1,
@@ -2238,7 +2238,7 @@ def saved_hyperopt_results():
                 'sell': {'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'},  # noqa: E501
                 'roi': {0: 0.4449309386008759, 140: 0.11955965746663, 823: 0.06403981740598495, 1157: 0},  # noqa: E501
                 'stoploss': {'stoploss': -0.338070047333259}},
-            'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 0, 'losses': 1, 'profit_mean': 0.012357, 'profit_median': -0.012222, 'profit_total': 6.185e-05, 'profit_total_abs': 0.12357, 'holding_avg': timedelta(minutes=1200.0)},  # noqa: E501
+            'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 0, 'losses': 1, 'profit_mean': 0.012357, 'profit_median': -0.012222, 'profit_total': 6.185e-05, 'profit_total_abs': 0.12357, 'max_drawdown': 0.23, 'max_drawdown_abs': -0.00125625, 'holding_avg': timedelta(minutes=1200.0)},  # noqa: E501
             'results_explanation': '     1 trades. Avg profit   0.12%. Total profit  0.00006185 BTC (   0.12Σ%). Avg duration 1200.0 min.',  # noqa: E501
             'total_profit': 6.185e-05,
             'current_epoch': 2,
@@ -2248,7 +2248,7 @@ def saved_hyperopt_results():
             'loss': 14.241196856510731,
             'params_dict': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 889, 'roi_t2': 533, 'roi_t3': 263, 'roi_p1': 0.04759065393663096, 'roi_p2': 0.1488819964638463, 'roi_p3': 0.4102801822104605, 'stoploss': -0.05394588767607611},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.6067528326109377, 263: 0.19647265040047726, 796: 0.04759065393663096, 1685: 0}, 'stoploss': {'stoploss': -0.05394588767607611}},  # noqa: E501
-            'results_metrics': {'total_trades': 621, 'wins': 320, 'draws': 0, 'losses': 301, 'profit_mean': -0.043883302093397747, 'profit_median': -0.012222, 'profit_total': -0.13639474, 'profit_total_abs': -272.515306, 'holding_avg': timedelta(minutes=1691.207729468599)},  # noqa: E501
+            'results_metrics': {'total_trades': 621, 'wins': 320, 'draws': 0, 'losses': 301, 'profit_mean': -0.043883302093397747, 'profit_median': -0.012222, 'profit_total': -0.13639474, 'profit_total_abs': -272.515306, 'max_drawdown': 0.25, 'max_drawdown_abs': -272.515306, 'holding_avg': timedelta(minutes=1691.207729468599)},  # noqa: E501
             'results_explanation': '   621 trades. Avg profit  -0.44%. Total profit -0.13639474 BTC (-272.52Σ%). Avg duration 1691.2 min.',  # noqa: E501
             'total_profit': -0.13639474,
             'current_epoch': 3,
@@ -2265,7 +2265,7 @@ def saved_hyperopt_results():
             '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
             'params_details': {'buy': {'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': {'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': {0: 0.3077646493708299, 444: 0.16227697603830155, 1045: 0.07280999507931168, 2314: 0}, 'stoploss': {'stoploss': -0.18181041180901014}},  # noqa: E501
-            'results_metrics': {'total_trades': 14, 'wins': 6, 'draws': 0, 'losses': 8, 'profit_mean': -0.003539515, 'profit_median': -0.012222, 'profit_total': -0.002480140000000001, 'profit_total_abs': -4.955321, 'holding_avg': timedelta(minutes=3402.8571428571427)},  # noqa: E501
+            'results_metrics': {'total_trades': 14, 'wins': 6, 'draws': 0, 'losses': 8, 'profit_mean': -0.003539515, 'profit_median': -0.012222, 'profit_total': -0.002480140000000001, 'profit_total_abs': -4.955321, 'max_drawdown': 0.34, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=3402.8571428571427)},  # noqa: E501
             'results_explanation': '    14 trades. Avg profit  -0.35%. Total profit -0.00248014 BTC (  -4.96Σ%). Avg duration 3402.9 min.',  # noqa: E501
             'total_profit': -0.002480140000000001,
             'current_epoch': 5,
@@ -2275,7 +2275,7 @@ def saved_hyperopt_results():
             'loss': 0.545315889154162,
             'params_dict': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower', 'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 319, 'roi_t2': 556, 'roi_t3': 216, 'roi_p1': 0.06251955472249589, 'roi_p2': 0.11659519602202795, 'roi_p3': 0.0953744132197762, 'stoploss': -0.024551752215582423},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.2744891639643, 216: 0.17911475074452382, 772: 0.06251955472249589, 1091: 0}, 'stoploss': {'stoploss': -0.024551752215582423}},  # noqa: E501
-            'results_metrics': {'total_trades': 39, 'wins': 20, 'draws': 0, 'losses': 19, 'profit_mean': -0.0021400679487179478, 'profit_median': -0.012222, 'profit_total': -0.0041773, 'profit_total_abs': -8.346264999999997, 'holding_avg': timedelta(minutes=636.9230769230769)},  # noqa: E501
+            'results_metrics': {'total_trades': 39, 'wins': 20, 'draws': 0, 'losses': 19, 'profit_mean': -0.0021400679487179478, 'profit_median': -0.012222, 'profit_total': -0.0041773, 'profit_total_abs': -8.346264999999997, 'max_drawdown': 0.45, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=636.9230769230769)},  # noqa: E501
             'results_explanation': '    39 trades. Avg profit  -0.21%. Total profit -0.00417730 BTC (  -8.35Σ%). Avg duration 636.9 min.',  # noqa: E501
             'total_profit': -0.0041773,
             'current_epoch': 6,
@@ -2287,7 +2287,7 @@ def saved_hyperopt_results():
             'params_details': {
                 'buy': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.4837436938134452, 145: 0.10853310701097472, 765: 0.0586919200378493, 1536: 0},  # noqa: E501
                 'stoploss': {'stoploss': -0.14613268022709905}},  # noqa: E501
-            'results_metrics': {'total_trades': 318, 'wins': 100, 'draws': 0, 'losses': 218, 'profit_mean': -0.0039833954716981146, 'profit_median': -0.012222, 'profit_total': -0.06339929, 'profit_total_abs': -126.67197600000004, 'holding_avg': timedelta(minutes=3140.377358490566)},  # noqa: E501
+            'results_metrics': {'total_trades': 318, 'wins': 100, 'draws': 0, 'losses': 218, 'profit_mean': -0.0039833954716981146, 'profit_median': -0.012222, 'profit_total': -0.06339929, 'profit_total_abs': -126.67197600000004, 'max_drawdown': 0.50, 'max_drawdown_abs': -200.955321, 'holding_avg': timedelta(minutes=3140.377358490566)},  # noqa: E501
             'results_explanation': '   318 trades. Avg profit  -0.40%. Total profit -0.06339929 BTC (-126.67Σ%). Avg duration 3140.4 min.',  # noqa: E501
             'total_profit': -0.06339929,
             'current_epoch': 7,
@@ -2297,7 +2297,7 @@ def saved_hyperopt_results():
             'loss': 20.0,  # noqa: E501
             'params_dict': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal', 'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 1149, 'roi_t2': 375, 'roi_t3': 289, 'roi_p1': 0.05571820757172588, 'roi_p2': 0.0606240398618907, 'roi_p3': 0.1729012220156157, 'stoploss': -0.1588514289110401},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.2892434694492323, 289: 0.11634224743361658, 664: 0.05571820757172588, 1813: 0}, 'stoploss': {'stoploss': -0.1588514289110401}},  # noqa: E501
-            'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 1, 'losses': 0, 'profit_mean': 0.0, 'profit_median': 0.0, 'profit_total': 0.0, 'profit_total_abs': 0.0, 'holding_avg': timedelta(minutes=5340.0)},  # noqa: E501
+            'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 1, 'losses': 0, 'profit_mean': 0.0, 'profit_median': 0.0, 'profit_total': 0.0, 'profit_total_abs': 0.0, 'max_drawdown': 0.0, 'max_drawdown_abs': 0.52, 'holding_avg': timedelta(minutes=5340.0)},  # noqa: E501
             'results_explanation': '     1 trades. Avg profit   0.00%. Total profit  0.00000000 BTC (   0.00Σ%). Avg duration 5340.0 min.',  # noqa: E501
             'total_profit': 0.0,
             'current_epoch': 8,
@@ -2307,7 +2307,7 @@ def saved_hyperopt_results():
             'loss': 2.4731817780991223,
             'params_dict': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1012, 'roi_t2': 584, 'roi_t3': 422, 'roi_p1': 0.036764323603472565, 'roi_p2': 0.10335480573205287, 'roi_p3': 0.10322347377503042, 'stoploss': -0.2780610808108503},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.2433426031105559, 422: 0.14011912933552545, 1006: 0.036764323603472565, 2018: 0}, 'stoploss': {'stoploss': -0.2780610808108503}},  # noqa: E501
-            'results_metrics': {'total_trades': 229, 'wins': 150, 'draws': 0, 'losses': 79, 'profit_mean': -0.0038433433624454144, 'profit_median': -0.012222, 'profit_total': -0.044050070000000004, 'profit_total_abs': -88.01256299999999, 'holding_avg': timedelta(minutes=6505.676855895196)},  # noqa: E501
+            'results_metrics': {'total_trades': 229, 'wins': 150, 'draws': 0, 'losses': 79, 'profit_mean': -0.0038433433624454144, 'profit_median': -0.012222, 'profit_total': -0.044050070000000004, 'profit_total_abs': -88.01256299999999, 'max_drawdown': 0.41, 'max_drawdown_abs': -150.955321, 'holding_avg': timedelta(minutes=6505.676855895196)},  # noqa: E501
             'results_explanation': '   229 trades. Avg profit  -0.38%. Total profit -0.04405007 BTC ( -88.01Σ%). Avg duration 6505.7 min.',  # noqa: E501
             'total_profit': -0.044050070000000004,  # noqa: E501
             'current_epoch': 9,
@@ -2317,7 +2317,7 @@ def saved_hyperopt_results():
             'loss': -0.2604606005845212,  # noqa: E501
             'params_dict': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 792, 'roi_t2': 464, 'roi_t3': 215, 'roi_p1': 0.04594053535385903, 'roi_p2': 0.09623192684243963, 'roi_p3': 0.04428219070850663, 'stoploss': -0.16992287161634415},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.18645465290480528, 215: 0.14217246219629864, 679: 0.04594053535385903, 1471: 0}, 'stoploss': {'stoploss': -0.16992287161634415}},  # noqa: E501
-            'results_metrics': {'total_trades': 4, 'wins': 0, 'draws': 0, 'losses': 4, 'profit_mean': 0.001080385, 'profit_median': -0.012222, 'profit_total': 0.00021629, 'profit_total_abs': 0.432154, 'holding_avg': timedelta(minutes=2850.0)},  # noqa: E501
+            'results_metrics': {'total_trades': 4, 'wins': 0, 'draws': 0, 'losses': 4, 'profit_mean': 0.001080385, 'profit_median': -0.012222, 'profit_total': 0.00021629, 'profit_total_abs': 0.432154, 'max_drawdown': 0.13, 'max_drawdown_abs': -4.955321, 'holding_avg': timedelta(minutes=2850.0)},  # noqa: E501
             'results_explanation': '     4 trades. Avg profit   0.11%. Total profit  0.00021629 BTC (   0.43Σ%). Avg duration 2850.0 min.',  # noqa: E501
             'total_profit': 0.00021629,
             'current_epoch': 10,
@@ -2328,7 +2328,7 @@ def saved_hyperopt_results():
             'params_dict': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 579, 'roi_t2': 614, 'roi_t3': 273, 'roi_p1': 0.05307643172744114, 'roi_p2': 0.1352282078262871, 'roi_p3': 0.1913307406325751, 'stoploss': -0.25728526022513887},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3796353801863034, 273: 0.18830463955372825, 887: 0.05307643172744114, 1466: 0}, 'stoploss': {'stoploss': -0.25728526022513887}},  # noqa: E501
             # New Hyperopt mode!
-            'results_metrics': {'total_trades': 117, 'wins': 67, 'draws': 0, 'losses': 50, 'profit_mean': -0.012698609145299145, 'profit_median': -0.012222, 'profit_total': -0.07436117, 'profit_total_abs': -148.573727, 'holding_avg': timedelta(minutes=4282.5641025641025)},  # noqa: E501
+            'results_metrics': {'total_trades': 117, 'wins': 67, 'draws': 0, 'losses': 50, 'profit_mean': -0.012698609145299145, 'profit_median': -0.012222, 'profit_total': -0.07436117, 'profit_total_abs': -148.573727, 'max_drawdown': 0.52, 'max_drawdown_abs': -224.955321, 'holding_avg': timedelta(minutes=4282.5641025641025)},  # noqa: E501
             'results_explanation': '   117 trades. Avg profit  -1.27%. Total profit -0.07436117 BTC (-148.57Σ%). Avg duration 4282.6 min.',  # noqa: E501
             'total_profit': -0.07436117,
             'current_epoch': 11,
@@ -2338,7 +2338,7 @@ def saved_hyperopt_results():
             'loss': 100000,
             'params_dict': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1156, 'roi_t2': 581, 'roi_t3': 408, 'roi_p1': 0.06860454019988212, 'roi_p2': 0.12473718444931989, 'roi_p3': 0.2896360635226823, 'stoploss': -0.30889015124682806},  # noqa: E501
             'params_details': {'buy': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4829777881718843, 408: 0.19334172464920202, 989: 0.06860454019988212, 2145: 0}, 'stoploss': {'stoploss': -0.30889015124682806}},  # noqa: E501
-            'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit_total_abs': 0.0, 'holding_avg': timedelta()},  # noqa: E501
+            'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit_total_abs': 0.0, 'max_drawdown': 0.0, 'max_drawdown_abs': 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': 12,

tests/data/test_btanalysis.py

@@ -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,
+from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, analyze_trade_parallelism, calculate_csum,
-                                       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"
+    filename = testdatadir / "backtest-result_test222.json"
-    bt_data = load_backtest_data(filename)
+    mocker.patch('freqtrade.data.btanalysis.load_backtest_stats', return_value=[])
-    assert isinstance(bt_data, DataFrame)
-    assert list(bt_data.columns) == BT_DATA_COLUMNS_OLD + ['profit_abs', 'profit_ratio']
-    assert len(bt_data) == 179
 
-    # Test loading from string (must yield same result)
+    with pytest.raises(OperationalException,
-    bt_data2 = load_backtest_data(str(filename))
+                       match=r"Backtest-results with only trades data are no longer supported."):
-    assert bt_data.equals(bt_data2)
+        load_backtest_data(filename)
-
-    with pytest.raises(ValueError, match=r"File .* does not exist\."):
-        load_backtest_data(str("filename") + "nofile")
 
 
 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):
+def test_analyze_trade_parallelism(testdatadir):
-    filename = testdatadir / "backtest-result_test.json"
+    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 hdate == Timestamp('2018-01-25 01:30:00', tz='UTC')
-    assert lowdate == Timestamp('2018-01-30 04:45:00', 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

tests/exchange/test_ccxt_compat.py

@@ -61,6 +61,11 @@ EXCHANGES = {
         'futures_pair': 'BTC/USDT:USDT',
         'futures': True,
     },
+    'bitvavo': {
+        'pair': 'BTC/EUR',
+        'hasQuoteVolume': True,
+        'timeframe': '5m',
+    },
 }
 
 

tests/optimize/test_hyperopt.py

@@ -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)
 

tests/optimize/test_optimize_reports.py

@@ -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['winning_days'] == 19
-    assert res['draw_days'] == 4
+    assert res['draw_days'] == 0
-    assert res['losing_days'] == 3
+    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):
+def test_text_table_strategy(testdatadir):
-    default_conf['max_open_trades'] = 2
+    filename = testdatadir / "backtest-result_multistrat.json"
-    default_conf['dry_run_wallet'] = 3
+    bt_res_data = load_backtest_stats(filename)
-    results = {}
+
-    date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
+    bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
-    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}
 
     result_str = (
         '|       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 |'
+        '| StrategyTestV2 |    179 |           0.08 |          14.39 |       0.02608550 |'
-        '          36.67 |        0:17:00 |     3     0     0   100 | 0.00000000 BTC  0.00% |\n'
+        '         260.85 |        3:40:00 |   170     0     9  95.0 | 0.00308222 BTC  8.67% |\n'
-        '| TestStrategy2 |      3 |          30.00 |          90.00 |       1.30000000 |'
+        '|   TestStrategy |    179 |           0.08 |          14.39 |       0.02608550 |'
-        '          43.33 |        0:20:00 |     3     0     0   100 | 0.00000000 BTC  0.00% |'
+        '         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

tests/plugins/test_pairlist.py

@@ -565,36 +565,41 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
                 assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog)
 
 
-@pytest.mark.parametrize("pairlists,base_currency,volumefilter_result", [
+@pytest.mark.parametrize("pairlists,base_currency,exchange,volumefilter_result", [
     # default refresh of 1800 to small for daily candle lookback
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_days": 1}],
-     "BTC", "default_refresh_too_short"),  # OperationalException expected
+     "BTC", "binance", "default_refresh_too_short"),  # OperationalException expected
     # ambigous configuration with lookback days and period
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_days": 1, "lookback_period": 1}],
-     "BTC", "lookback_days_and_period"),  # OperationalException expected
+     "BTC", "binance", "lookback_days_and_period"),  # OperationalException expected
     # negative lookback period
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1d", "lookback_period": -1}],
-     "BTC", "lookback_period_negative"),  # OperationalException expected
+     "BTC", "binance", "lookback_period_negative"),  # OperationalException expected
     # lookback range exceedes exchange limit
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1m", "lookback_period": 2000, "refresh_period": 3600}],
-     "BTC", 'lookback_exceeds_exchange_request_size'),  # OperationalException expected
+     "BTC", "binance", "lookback_exceeds_exchange_request_size"),  # OperationalException expected
     # expecing pairs as given
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
-     "BTC", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
+     "BTC", "binance", ['LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC', 'HOT/BTC']),
     # expecting pairs from default tickers, because 1h candles are not available
     ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
        "lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}],
-     "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
+     "BTC", "binance", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']),
+    # ftx data is already in Quote currency, therefore won't require conversion
+    ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume",
+       "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}],
+     "BTC", "ftx", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']),
 ])
 def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history,
-                              pairlists, base_currency, volumefilter_result, caplog) -> None:
+                              pairlists, base_currency, exchange, volumefilter_result) -> None:
     whitelist_conf['pairlists'] = pairlists
     whitelist_conf['stake_currency'] = base_currency
+    whitelist_conf['exchange']['name'] = exchange
 
     ohlcv_history_high_vola = ohlcv_history.copy()
     ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
@@ -603,9 +608,14 @@ def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers,
     ohlcv_history_medium_volume = ohlcv_history.copy()
     ohlcv_history_medium_volume.loc[ohlcv_history_medium_volume.index == 2, 'volume'] = 5
 
-    # create candles for high volume with all candles high volume
+    # create candles for high volume with all candles high volume, but very low price.
     ohlcv_history_high_volume = ohlcv_history.copy()
     ohlcv_history_high_volume.loc[:, 'volume'] = 10
+    ohlcv_history_high_volume.loc[:, 'low'] = ohlcv_history_high_volume.loc[:, 'low'] * 0.01
+    ohlcv_history_high_volume.loc[:, 'high'] = ohlcv_history_high_volume.loc[:, 'high'] * 0.01
+    ohlcv_history_high_volume.loc[:, 'close'] = ohlcv_history_high_volume.loc[:, 'close'] * 0.01
+
+    mocker.patch('freqtrade.exchange.ftx.Ftx.market_is_tradable', return_value=True)
 
     ohlcv_data = {
         ('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,

tests/test_plotting.py

@@ -45,7 +45,7 @@ def test_init_plotscript(default_conf, mocker, testdatadir):
     default_conf['trade_source'] = "file"
     default_conf['timeframe'] = "5m"
     default_conf["datadir"] = testdatadir
-    default_conf['exportfilename'] = testdatadir / "backtest-result_test.json"
+    default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
     supported_markets = ["TRX/BTC", "ADA/BTC"]
     ret = init_plotscript(default_conf, supported_markets)
     assert "ohlcv" in ret
@@ -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_test.json"
+    filename = testdatadir / "backtest-result_new.json"
     trades = load_backtest_data(filename)
     trades = trades.loc[trades['pair'] == pair]
 
@@ -294,7 +294,7 @@ def test_generate_plot_file(mocker, caplog):
 
 
 def test_add_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")
 
@@ -314,7 +314,7 @@ def test_add_profit(testdatadir):
 
 
 def test_generate_profit_graph(testdatadir):
-    filename = testdatadir / "backtest-result_test.json"
+    filename = testdatadir / "backtest-result_new.json"
     trades = load_backtest_data(filename)
     timerange = TimeRange.parse_timerange("20180110-20180112")
     pairs = ["TRX/BTC", "XLM/BTC"]
@@ -343,7 +343,7 @@ def test_generate_profit_graph(testdatadir):
 
     profit = find_trace_in_fig_data(figure.data, "Profit")
     assert isinstance(profit, go.Scatter)
-    drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 10.45%")
+    drawdown = find_trace_in_fig_data(figure.data, "Max drawdown 35.69%")
     assert isinstance(drawdown, go.Scatter)
     parallel = find_trace_in_fig_data(figure.data, "Parallel trades")
     assert isinstance(parallel, go.Scatter)
@@ -381,7 +381,7 @@ def test_load_and_plot_trades(default_conf, mocker, caplog, testdatadir):
 
     default_conf['trade_source'] = 'file'
     default_conf["datadir"] = testdatadir
-    default_conf['exportfilename'] = testdatadir / "backtest-result_test.json"
+    default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
     default_conf['indicators1'] = ["sma5", "ema10"]
     default_conf['indicators2'] = ["macd"]
     default_conf['pairs'] = ["ETH/BTC", "LTC/BTC"]
@@ -452,7 +452,7 @@ 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_test.json"
+    default_conf['exportfilename'] = testdatadir / "backtest-result_new.json"
 
     plot_profit(default_conf)