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update sell_reason to exit_reason

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This commit is contained in:
Matthias
2022-03-24 20:33:47 +01:00
parent b0fab3ad50
commit 543aa74278
28 changed files with 201 additions and 177 deletions
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2
tests/optimize/__init__.py
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@@ -15,7 +15,7 @@ class BTrade(NamedTuple):
"""
Minimalistic Trade result used for functional backtesting
"""
sell_reason: ExitType
exit_reason: ExitType
open_tick: int
close_tick: int
enter_tag: Optional[str] = None

98
tests/optimize/test_backtest_detail.py
View File

@@ -23,7 +23,7 @@ tc0 = BTContainer(data=[
[4, 5010, 5011, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 1: Stop-Loss Triggered 1% loss
@@ -37,7 +37,7 @@ tc1 = BTContainer(data=[
[4, 4977, 4995, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
)
@@ -52,7 +52,7 @@ tc2 = BTContainer(data=[
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
)
@@ -72,8 +72,8 @@ tc3 = BTContainer(data=[
[5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit
[6, 4950, 4975, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2),
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=4, close_tick=5)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2),
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=4, close_tick=5)]
)
# Test 4: Minus 3% / recovery +15%
@@ -89,7 +89,7 @@ tc4 = BTContainer(data=[
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
@@ -103,7 +103,7 @@ tc5 = BTContainer(data=[
[4, 4962, 4987, 4962, 4972, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
@@ -117,7 +117,7 @@ tc6 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
@@ -131,7 +131,7 @@ tc7 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2)]
)
@@ -145,7 +145,7 @@ tc8 = BTContainer(data=[
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
@@ -159,7 +159,7 @@ tc9 = BTContainer(data=[
[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 10: trailing_stop should raise so candle 3 causes a stoploss
@@ -175,7 +175,7 @@ tc10 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 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=ExitType.STOP_LOSS, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=4)]
)
# Test 11: trailing_stop should raise so candle 3 causes a stoploss
@@ -191,7 +191,7 @@ tc11 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 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=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.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
@@ -207,7 +207,7 @@ tc12 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 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=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 13: Buy and sell ROI on same candle
@@ -220,7 +220,7 @@ tc13 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4750, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=1)]
)
# Test 14 - Buy and Stoploss on same candle
@@ -233,7 +233,7 @@ tc14 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
)
@@ -247,8 +247,8 @@ tc15 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1),
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=2, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=1),
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=2, close_tick=2)]
)
# Test 16: Buy, hold for 65 min, then forcesell using roi=-1
@@ -263,7 +263,7 @@ tc16 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 17: Buy, hold for 120 mins, then forcesell using roi=-1
@@ -279,7 +279,7 @@ tc17 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
@@ -295,7 +295,7 @@ tc18 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
@@ -310,7 +310,7 @@ tc19 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4550, 4975, 4550, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
@@ -325,7 +325,7 @@ tc20 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4925, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 21: trailing_stop ROI collision.
@@ -342,7 +342,7 @@ tc21 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2)]
)
# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time.
@@ -358,7 +358,7 @@ tc22 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2)]
)
@@ -375,7 +375,7 @@ tc23 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=True)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=True)]
)
# Test 24: trailing_stop Raises in candle 2 (does not trigger)
@@ -394,7 +394,7 @@ tc24 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
@@ -409,7 +409,7 @@ tc25 = BTContainer(data=[
[4, 5010, 5010, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 26: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
@@ -424,7 +424,7 @@ tc26 = BTContainer(data=[
[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 27: (copy of test26 with leverage)
@@ -441,7 +441,7 @@ tc27 = BTContainer(data=[
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 28: (copy of test26 with leverage and as short)
@@ -458,7 +458,7 @@ tc28 = BTContainer(data=[
[5, 4995, 4995, 4950, 4950, 6172, 0, 0, 0, 0]],
stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 29: Sell with signal sell in candle 3 (ROI at signal candle)
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
@@ -472,7 +472,7 @@ tc29 = BTContainer(data=[
[4, 5010, 5010, 4855, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=3)]
)
# Test 30: Sell with signal sell in candle 3 (ROI at signal candle)
@@ -486,7 +486,7 @@ tc30 = BTContainer(data=[
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 31: trailing_stop should raise so candle 3 causes a stoploss
@@ -503,7 +503,7 @@ tc31 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 32: (Short of test 31) trailing_stop should raise so candle 3 causes a stoploss
@@ -521,7 +521,7 @@ tc32 = BTContainer(data=[
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[
BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
]
)
@@ -537,7 +537,7 @@ tc33 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 34: trailing_stop should be triggered immediately on trade open candle.
@@ -551,7 +551,7 @@ tc34 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 35: trailing_stop should be triggered immediately on trade open candle.
@@ -566,7 +566,7 @@ tc35 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 36: trailing_stop should be triggered immediately on trade open candle.
@@ -581,7 +581,7 @@ tc36 = BTContainer(data=[
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 37: trailing_stop should be triggered immediately on trade open candle.
@@ -597,7 +597,7 @@ tc37 = BTContainer(data=[
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(
sell_reason=ExitType.TRAILING_STOP_LOSS,
exit_reason=ExitType.TRAILING_STOP_LOSS,
open_tick=1,
close_tick=1,
enter_tag='buy_signal_01'
@@ -617,7 +617,7 @@ tc38 = BTContainer(data=[
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(
sell_reason=ExitType.TRAILING_STOP_LOSS,
exit_reason=ExitType.TRAILING_STOP_LOSS,
open_tick=1,
close_tick=1,
enter_tag='short_signal_01',
@@ -647,7 +647,7 @@ tc40 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=7200, trades=[
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)
])
# Test 41: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
@@ -661,7 +661,7 @@ tc41 = BTContainer(data=[
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=4000,
trades=[
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
]
)
@@ -678,7 +678,7 @@ tc42 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
custom_entry_price=4952,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2)]
)
# Test 43: Custom-entry-price around candle low
@@ -693,7 +693,7 @@ tc43 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
custom_entry_price=4952,
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=1)]
)
# Test 44: Custom exit price below all candles
@@ -708,7 +708,7 @@ tc44 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01,
use_sell_signal=True,
custom_exit_price=4552,
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=3)]
)
# Test 45: Custom exit price above all candles
@@ -723,7 +723,7 @@ tc45 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
use_sell_signal=True,
custom_exit_price=6052,
trades=[BTrade(sell_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4)]
)
# Test 46: (Short of tc45) Custom short exit price above below candles
@@ -738,7 +738,7 @@ tc46 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
use_sell_signal=True,
custom_exit_price=4700,
trades=[BTrade(sell_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4, is_short=True)]
trades=[BTrade(exit_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 47: Colliding long and short signal
@@ -861,7 +861,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
for c, trade in enumerate(data.trades):
res: BTrade = results.iloc[c]
assert res.sell_reason == trade.sell_reason.value
assert res.exit_reason == trade.exit_reason.value
assert res.enter_tag == trade.enter_tag
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)

20
tests/optimize/test_backtesting.py
View File

@@ -713,7 +713,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == ExitType.ROI.value
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
# Enter new trade
@@ -732,7 +732,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == ExitType.ROI.value
assert res.exit_reason == ExitType.ROI.value
# Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
sell_order = res.select_order('sell', True)
@@ -781,7 +781,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'trade_duration': [235, 40],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value],
'exit_reason': [ExitType.ROI.value, ExitType.ROI.value],
'initial_stop_loss_abs': [0.0940005, 0.09272236],
'initial_stop_loss_ratio': [-0.1, -0.1],
'stop_loss_abs': [0.0940005, 0.09272236],
@@ -1178,7 +1178,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
text_table_bt_results=text_table_mock,
text_table_strategy=strattable_mock,
generate_pair_metrics=MagicMock(),
generate_sell_reason_stats=sell_reason_mock,
generate_exit_reason_stats=sell_reason_mock,
generate_strategy_comparison=strat_summary,
generate_daily_stats=MagicMock(),
)
@@ -1249,7 +1249,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'close_rate': [0.104969, 0.103541],
"is_short": [False, False],
'sell_reason': [ExitType.ROI, ExitType.ROI]
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1267,7 +1267,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
"is_short": [False, False, False],
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
@@ -1367,7 +1367,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [ExitType.ROI, ExitType.ROI]
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1385,7 +1385,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
@@ -1470,7 +1470,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [ExitType.ROI, ExitType.ROI]
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1488,7 +1488,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{

2
tests/optimize/test_backtesting_adjust_position.py
View File

@@ -60,7 +60,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
'trade_duration': [200, 40],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value],
'exit_reason': [ExitType.ROI.value, ExitType.ROI.value],
'initial_stop_loss_abs': [0.0940005, 0.09272236],
'initial_stop_loss_ratio': [-0.1, -0.1],
'stop_loss_abs': [0.0940005, 0.09272236],

4
tests/optimize/test_hyperopt.py
View File

@@ -357,7 +357,7 @@ def test_hyperopt_format_results(hyperopt):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
"exit_reason": [ExitType.ROI, ExitType.STOP_LOSS,
ExitType.ROI, ExitType.FORCE_SELL]
}),
'config': hyperopt.config,
@@ -428,7 +428,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
"exit_reason": [ExitType.ROI, ExitType.STOP_LOSS,
ExitType.ROI, ExitType.FORCE_SELL]
}),
'config': hyperopt_conf,

27
tests/optimize/test_optimize_reports.py
View File

@@ -15,9 +15,8 @@ from freqtrade.edge import PairInfo
from freqtrade.enums import ExitType
from freqtrade.optimize.optimize_reports import (_get_resample_from_period, generate_backtest_stats,
generate_daily_stats, generate_edge_table,
generate_pair_metrics,
generate_exit_reason_stats, generate_pair_metrics,
generate_periodic_breakdown_stats,
generate_sell_reason_stats,
generate_strategy_comparison,
generate_trading_stats, show_sorted_pairlist,
store_backtest_stats, text_table_bt_results,
@@ -77,7 +76,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
"exit_reason": [ExitType.ROI, ExitType.STOP_LOSS,
ExitType.ROI, ExitType.FORCE_SELL]
}),
'config': default_conf,
@@ -129,7 +128,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [ExitType.ROI, ExitType.ROI,
"exit_reason": [ExitType.ROI, ExitType.ROI,
ExitType.STOP_LOSS, ExitType.FORCE_SELL]
}),
'config': default_conf,
@@ -265,7 +264,7 @@ def test_generate_trading_stats(testdatadir):
assert res['losses'] == 0
def test_text_table_sell_reason():
def test_text_table_exit_reason():
results = pd.DataFrame(
{
@@ -276,7 +275,7 @@ def test_text_table_sell_reason():
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
}
)
@@ -291,9 +290,9 @@ def test_text_table_sell_reason():
' -0.2 | -5 |'
)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2,
results=results)
assert text_table_exit_reason(sell_reason_stats=sell_reason_stats,
assert text_table_exit_reason(exit_reason_stats=exit_reason_stats,
stake_currency='BTC') == result_str
@@ -308,23 +307,23 @@ def test_generate_sell_reason_stats():
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value, ExitType.STOP_LOSS.value]
'exit_reason': [ExitType.ROI.value, ExitType.ROI.value, ExitType.STOP_LOSS.value]
}
)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2,
results=results)
roi_result = sell_reason_stats[0]
assert roi_result['sell_reason'] == 'roi'
roi_result = exit_reason_stats[0]
assert roi_result['exit_reason'] == 'roi'
assert roi_result['trades'] == 2
assert pytest.approx(roi_result['profit_mean']) == 0.15
assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2)
assert pytest.approx(roi_result['profit_mean']) == 0.15
assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2)
stop_result = sell_reason_stats[1]
stop_result = exit_reason_stats[1]
assert stop_result['sell_reason'] == 'stop_loss'
assert stop_result['exit_reason'] == 'stop_loss'
assert stop_result['trades'] == 1
assert pytest.approx(stop_result['profit_mean']) == -0.1
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)