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fix edge testcase

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This commit is contained in:
kevinjulian 2021-07-20 23:40:32 +07:00
parent cbfedf8b29
commit 5d04d6ffa7
3 changed files with 24 additions and 26 deletions
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2
freqtrade/optimize/backtesting.py
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@ -453,8 +453,6 @@ class Backtesting:
row_index = indexes[pair] row_index = indexes[pair]
try: try:
row = data[pair][row_index] row = data[pair][row_index]
print('weeee')
print(row)
except IndexError: except IndexError:
# missing Data for one pair at the end. # missing Data for one pair at the end.
# Warnings for this are shown during data loading # Warnings for this are shown during data loading

47
tests/edge/test_edge.py
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@ -29,7 +29,6 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
tests_start_time = arrow.get(2018, 10, 3) tests_start_time = arrow.get(2018, 10, 3)
timeframe_in_minute = 60 timeframe_in_minute = 60
_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
# Helpers for this test file # Helpers for this test file
@ -77,23 +76,23 @@ def _time_on_candle(number):
# End helper functions # End helper functions
# Open trade should be removed from the end # Open trade should be removed from the end
tc0 = BTContainer(data=[ tc0 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S SN
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
[1, 5000, 5025, 4975, 4987, 6172, 0, 1]], # enter trade (signal on last candle) [1, 5000, 5025, 4975, 4987, 6172, 0, 1, '']], # enter trade (signal on last candle)
stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00,
trades=[] trades=[]
) )
# Two complete trades within dataframe(with sell hit for all) # Two complete trades within dataframe(with sell hit for all)
tc1 = BTContainer(data=[ tc1 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S SN
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle) [1, 5000, 5025, 4975, 4987, 6172, 0, 1, ''], # enter trade (signal on last candle)
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open [2, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # exit at open
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action [3, 5000, 5025, 4975, 4987, 6172, 1, 0, ''], # no action
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade [4, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # should enter the trade
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action [5, 5000, 5025, 4975, 4987, 6172, 0, 1, ''], # no action
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell [6, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # should sell
], ],
stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2), trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2),
@ -102,10 +101,10 @@ tc1 = BTContainer(data=[
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss # 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
tc2 = BTContainer(data=[ tc2 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S SN
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit [1, 5000, 5025, 4600, 4987, 6172, 0, 0, ''], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
], ],
stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01, stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
@ -113,10 +112,10 @@ tc2 = BTContainer(data=[
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss # 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
tc3 = BTContainer(data=[ tc3 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S SN
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit [1, 5000, 5025, 4800, 4987, 6172, 0, 0, ''], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
], ],
stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
@ -124,10 +123,10 @@ tc3 = BTContainer(data=[
# 5) Stoploss and sell are hit. should sell on stoploss # 5) Stoploss and sell are hit. should sell on stoploss
tc4 = BTContainer(data=[ tc4 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S SN
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal [1, 5000, 5025, 4800, 4987, 6172, 0, 1, ''], # enter trade, stoploss hit, sell signal
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
], ],
stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]

1
tests/optimize/test_backtesting.py
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@ -584,6 +584,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'min_rate': [0.1038, 0.10302485], 'min_rate': [0.1038, 0.10302485],
'max_rate': [0.10501, 0.1038888], 'max_rate': [0.10501, 0.1038888],
'is_open': [False, False], 'is_open': [False, False],
'buy_signal_name': ['', ''],
}) })
pd.testing.assert_frame_equal(results, expected) pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair] data_pair = processed[pair]