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Update tests for Calmar ratio

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This commit is contained in:
Matthias 2021-10-24 09:01:13 +02:00
parent dffb4c5d53
commit 5f309627ea
1 changed files with 31 additions and 6 deletions
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37
tests/optimize/test_hyperoptloss.py
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@ -5,6 +5,7 @@ import pytest
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
from freqtrade.optimize.optimize_reports import generate_strategy_stats
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver
@ -85,6 +86,9 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
"CalmarHyperOptLossDaily",
"CalmarHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy()
@ -96,11 +100,32 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
default_conf.update({'hyperopt_loss': lossfunction})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(results_over),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(results_under),
datetime(2019, 1, 1), datetime(2019, 5, 1))
correct = hl.hyperopt_loss_function(
hyperopt_results,
trade_count=len(hyperopt_results),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': hyperopt_results['profit_abs'].sum()}
)
over = hl.hyperopt_loss_function(
results_over,
trade_count=len(results_over),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_over['profit_abs'].sum()}
)
under = hl.hyperopt_loss_function(
results_under,
trade_count=len(results_under),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_under['profit_abs'].sum()}
)
assert over < correct
assert under > correct