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Add test-cases with trailing_stop_offsets

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Matthias 2019-06-13 20:05:49 +02:00
parent 160894c031
commit 550fbad53e
1 changed files with 54 additions and 0 deletions
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54
freqtrade/tests/optimize/test_backtest_detail.py
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@ -173,6 +173,57 @@ 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,
@ -184,6 +235,9 @@ TESTS = [
tc7,
tc8,
tc9,
tc10,
tc11,
tc12,
]