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Add more tests for #2422

This commit is contained in:
Matthias 2020-11-27 09:17:25 +01:00
parent 57461a59f3
commit 4aa6ebee04
1 changed files with 64 additions and 0 deletions
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64
tests/optimize/test_backtest_detail.py
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@ -380,6 +380,66 @@ tc23 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 24: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Stoploss wins over Sell-signal (because sell-signal is acted on in the next candle)
tc24 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
[3, 5010, 5000, 4855, 5010, 6172, 0, 1], # Triggers stoploss + sellsignal
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
tc25 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
[3, 5010, 5000, 4986, 5010, 6172, 0, 1],
[4, 5010, 4987, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
# Sell-signal wins over stoploss
tc26 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
[3, 5010, 5251, 4986, 5010, 6172, 0, 1], # Triggers ROI, sell-signal
[4, 5010, 4987, 4855, 4995, 6172, 0, 0],
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal
# TODO: figure out if sell-signal should win over ROI
# Sell-signal wins over stoploss
tc27 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
[3, 5010, 5012, 4986, 5010, 6172, 0, 1], # sell-signal
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
)
TESTS = [
tc0,
@ -406,6 +466,10 @@ TESTS = [
tc21,
tc22,
tc23,
tc24,
tc25,
tc26,
tc27,
]