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Merge branch 'develop' into pr/hroff-1902/1927

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This commit is contained in:
Matthias
2019-06-16 10:37:28 +02:00
parent 114de8a025 2a682f858e
commit 4ef309bc6c
29 changed files with 473 additions and 157 deletions
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10
freqtrade/tests/conftest.py
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@@ -2,6 +2,7 @@
import json
import logging
import re
from copy import deepcopy
from datetime import datetime
from functools import reduce
from typing import List
@@ -958,9 +959,10 @@ def buy_order_fee():
@pytest.fixture(scope="function")
def edge_conf(default_conf):
default_conf['max_open_trades'] = -1
default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
default_conf['edge'] = {
conf = deepcopy(default_conf)
conf['max_open_trades'] = -1
conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
conf['edge'] = {
"enabled": True,
"process_throttle_secs": 1800,
"calculate_since_number_of_days": 14,
@@ -976,7 +978,7 @@ def edge_conf(default_conf):
"remove_pumps": False
}
return default_conf
return conf
@pytest.fixture

4
freqtrade/tests/optimize/__init__.py
View File

@@ -29,6 +29,10 @@ class BTContainer(NamedTuple):
trades: List[BTrade]
profit_perc: float
trailing_stop: bool = False
trailing_only_offset_is_reached: bool = False
trailing_stop_positive: float = None
trailing_stop_positive_offset: float = 0.0
use_sell_signal: bool = False
def _get_frame_time_from_offset(offset):

79
freqtrade/tests/optimize/test_backtest_detail.py
View File

@@ -14,6 +14,21 @@ from freqtrade.tests.optimize import (BTContainer, BTrade,
_get_frame_time_from_offset,
tests_ticker_interval)
# Test 0 Sell signal sell
# Test with Stop-loss at 1%
# TC0: Sell signal in candle 3
tc0 = 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], # exit with stoploss hit
[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi=1, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 1 Minus 8% Close
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
@@ -146,7 +161,7 @@ tc8 = BTContainer(data=[
# Test 9 - trailing_stop should raise - high and low in same candle.
# Candle Data for test 9
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC9: Trailing stoploss - stoploss should be adjusted candle 2
# TC9: Trailing stoploss - stoploss should be adjusted candle 3
tc9 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@@ -158,7 +173,59 @@ tc9 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 10 - trailing_stop should raise so candle 3 causes a stoploss
# without applying trailing_stop_positive since stoploss_offset is at 10%.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC10: Trailing stoploss - stoploss should be adjusted candle 2
tc10 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=-0.1, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
)
# Test 11 - trailing_stop should raise so candle 3 causes a stoploss
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC11: Trailing stoploss - stoploss should be adjusted candle 2,
tc11 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 12 - trailing_stop should raise in candle 2 and cause a stoploss in the same candle
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC12: Trailing stoploss - stoploss should be adjusted candle 2,
tc12 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
TESTS = [
tc0,
tc1,
tc2,
tc3,
@@ -168,6 +235,9 @@ TESTS = [
tc7,
tc8,
tc9,
tc10,
tc11,
tc12,
]
@@ -180,6 +250,13 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
default_conf["minimal_roi"] = {"0": data.roi}
default_conf["ticker_interval"] = tests_ticker_interval
default_conf["trailing_stop"] = data.trailing_stop
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
# Only add this to configuration If it's necessary
if data.trailing_stop_positive:
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
default_conf["experimental"] = {"use_sell_signal": data.use_sell_signal}
mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0))
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)

2
freqtrade/tests/optimize/test_edge_cli.py
View File

@@ -111,8 +111,10 @@ def test_start(mocker, fee, edge_conf, caplog) -> None:
def test_edge_init(mocker, edge_conf) -> None:
patch_exchange(mocker)
edge_conf['stake_amount'] = 20
edge_cli = EdgeCli(edge_conf)
assert edge_cli.config == edge_conf
assert edge_cli.config['stake_amount'] == 'unlimited'
assert callable(edge_cli.edge.calculate)

11
freqtrade/tests/strategy/test_strategy.py
View File

@@ -63,15 +63,14 @@ def test_search_strategy():
def test_load_strategy(result):
resolver = StrategyResolver({'strategy': 'TestStrategy'})
metadata = {'pair': 'ETH/BTC'}
assert 'adx' in resolver.strategy.advise_indicators(result, metadata=metadata)
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
def test_load_strategy_byte64(result):
with open("freqtrade/tests/strategy/test_strategy.py", "r") as file:
encoded_string = urlsafe_b64encode(file.read().encode("utf-8")).decode("utf-8")
resolver = StrategyResolver({'strategy': 'TestStrategy:{}'.format(encoded_string)})
assert 'adx' in resolver.strategy.advise_indicators(result, 'ETH/BTC')
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
def test_load_strategy_invalid_directory(result, caplog):
@@ -371,7 +370,7 @@ def test_deprecate_populate_indicators(result):
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
indicators = resolver.strategy.advise_indicators(result, 'ETH/BTC')
indicators = resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
@@ -380,7 +379,7 @@ def test_deprecate_populate_indicators(result):
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
resolver.strategy.advise_buy(indicators, 'ETH/BTC')
resolver.strategy.advise_buy(indicators, {'pair': 'ETH/BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \
@@ -389,7 +388,7 @@ def test_deprecate_populate_indicators(result):
with warnings.catch_warnings(record=True) as w:
# Cause all warnings to always be triggered.
warnings.simplefilter("always")
resolver.strategy.advise_sell(indicators, 'ETH_BTC')
resolver.strategy.advise_sell(indicators, {'pair': 'ETH_BTC'})
assert len(w) == 1
assert issubclass(w[-1].category, DeprecationWarning)
assert "deprecated - check out the Sample strategy to see the current function headers!" \

8
freqtrade/tests/test_arguments.py
View File

@@ -170,18 +170,18 @@ def test_parse_args_hyperopt_custom() -> None:
assert call_args.func is not None
def test_testdata_dl_options() -> None:
def test_download_data_options() -> None:
args = [
'--pairs-file', 'file_with_pairs',
'--export', 'export/folder',
'--datadir', 'datadir/folder',
'--days', '30',
'--exchange', 'binance'
]
arguments = Arguments(args, '')
arguments.testdata_dl_options()
arguments.download_data_options()
args = arguments.parse_args()
assert args.pairs_file == 'file_with_pairs'
assert args.export == 'export/folder'
assert args.datadir == 'datadir/folder'
assert args.days == 30
assert args.exchange == 'binance'

41
freqtrade/tests/test_configuration.py
View File

@@ -15,7 +15,7 @@ from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration, set_loggers
from freqtrade.constants import DEFAULT_DB_DRYRUN_URL, DEFAULT_DB_PROD_URL
from freqtrade.state import RunMode
from freqtrade.tests.conftest import log_has
from freqtrade.tests.conftest import log_has, log_has_re
@pytest.fixture(scope="function")
@@ -470,21 +470,52 @@ def test_hyperopt_with_arguments(mocker, default_conf, caplog) -> None:
def test_check_exchange(default_conf, caplog) -> None:
configuration = Configuration(Namespace())
# Test a valid exchange
# Test an officially supported by Freqtrade team exchange
default_conf.get('exchange').update({'name': 'BITTREX'})
assert configuration.check_exchange(default_conf)
assert log_has_re(r"Exchange .* is officially supported by the Freqtrade development team\.",
caplog.record_tuples)
caplog.clear()
# Test a valid exchange
# Test an officially supported by Freqtrade team exchange
default_conf.get('exchange').update({'name': 'binance'})
assert configuration.check_exchange(default_conf)
assert log_has_re(r"Exchange .* is officially supported by the Freqtrade development team\.",
caplog.record_tuples)
caplog.clear()
# Test a invalid exchange
# Test an available exchange, supported by ccxt
default_conf.get('exchange').update({'name': 'kraken'})
assert configuration.check_exchange(default_conf)
assert log_has_re(r"Exchange .* is supported by ccxt and .* not officially supported "
r"by the Freqtrade development team\. .*",
caplog.record_tuples)
caplog.clear()
# Test a 'bad' exchange, which known to have serious problems
default_conf.get('exchange').update({'name': 'bitmex'})
assert not configuration.check_exchange(default_conf)
assert log_has_re(r"Exchange .* is known to not work with the bot yet\. "
r"Use it only for development and testing purposes\.",
caplog.record_tuples)
caplog.clear()
# Test a 'bad' exchange with check_for_bad=False
default_conf.get('exchange').update({'name': 'bitmex'})
assert configuration.check_exchange(default_conf, False)
assert log_has_re(r"Exchange .* is supported by ccxt and .* not officially supported "
r"by the Freqtrade development team\. .*",
caplog.record_tuples)
caplog.clear()
# Test an invalid exchange
default_conf.get('exchange').update({'name': 'unknown_exchange'})
configuration.config = default_conf
with pytest.raises(
OperationalException,
match=r'.*Exchange "unknown_exchange" not supported.*'
match=r'.*Exchange "unknown_exchange" is not supported by ccxt '
r'and therefore not available for the bot.*'
):
configuration.check_exchange(default_conf)

20
freqtrade/tests/test_freqtradebot.py
View File

@@ -105,6 +105,7 @@ def test_cleanup(mocker, default_conf, caplog) -> None:
def test_worker_running(mocker, default_conf, caplog) -> None:
mock_throttle = MagicMock()
mocker.patch('freqtrade.worker.Worker._throttle', mock_throttle)
mocker.patch('freqtrade.persistence.Trade.stoploss_reinitialization', MagicMock())
worker = get_patched_worker(mocker, default_conf)
@@ -3144,10 +3145,27 @@ def test_get_sell_rate(default_conf, mocker, ticker, order_book_l2) -> None:
assert rate == 0.043936
def test_startup_messages(default_conf, mocker):
def test_startup_state(default_conf, mocker):
default_conf['pairlist'] = {'method': 'VolumePairList',
'config': {'number_assets': 20}
}
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
worker = get_patched_worker(mocker, default_conf)
assert worker.state is State.RUNNING
def test_startup_trade_reinit(default_conf, edge_conf, mocker):
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
reinit_mock = MagicMock()
mocker.patch('freqtrade.persistence.Trade.stoploss_reinitialization', reinit_mock)
ftbot = get_patched_freqtradebot(mocker, default_conf)
ftbot.startup()
assert reinit_mock.call_count == 1
reinit_mock.reset_mock()
ftbot = get_patched_freqtradebot(mocker, edge_conf)
ftbot.startup()
assert reinit_mock.call_count == 0

60
freqtrade/tests/test_persistence.py
View File

@@ -777,3 +777,63 @@ def test_to_json(default_conf, fee):
'stop_loss_pct': None,
'initial_stop_loss': None,
'initial_stop_loss_pct': None}
def test_stoploss_reinitialization(default_conf, fee):
init(default_conf['db_url'])
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
fee_open=fee.return_value,
open_date=arrow.utcnow().shift(hours=-2).datetime,
amount=10,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
max_rate=1,
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 0.95
assert trade.stop_loss_pct == -0.05
assert trade.initial_stop_loss == 0.95
assert trade.initial_stop_loss_pct == -0.05
Trade.session.add(trade)
# Lower stoploss
Trade.stoploss_reinitialization(0.06)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 0.94
assert trade_adj.stop_loss_pct == -0.06
assert trade_adj.initial_stop_loss == 0.94
assert trade_adj.initial_stop_loss_pct == -0.06
# Raise stoploss
Trade.stoploss_reinitialization(0.04)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 0.96
assert trade_adj.stop_loss_pct == -0.04
assert trade_adj.initial_stop_loss == 0.96
assert trade_adj.initial_stop_loss_pct == -0.04
# Trailing stoploss (move stoplos up a bit)
trade.adjust_stop_loss(1.02, 0.04)
assert trade_adj.stop_loss == 0.9792
assert trade_adj.initial_stop_loss == 0.96
Trade.stoploss_reinitialization(0.04)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
# Stoploss should not change in this case.
assert trade_adj.stop_loss == 0.9792
assert trade_adj.stop_loss_pct == -0.04
assert trade_adj.initial_stop_loss == 0.96
assert trade_adj.initial_stop_loss_pct == -0.04