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Merge branch 'freqtrade:develop' into dca

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This commit is contained in:
Reigo Reinmets
2022-01-08 14:57:15 +02:00
committed by GitHub
parent 05ac09b38e 43f8087f32
commit 8e424f7c73
41 changed files with 280 additions and 325 deletions
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106
tests/optimize/test_hyperopt.py
View File

@@ -1,5 +1,5 @@
# pragma pylint: disable=missing-docstring,W0212,C0103
from datetime import datetime
from datetime import datetime, timedelta
from pathlib import Path
from unittest.mock import ANY, MagicMock
@@ -22,6 +22,29 @@ from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
patched_configuration_load_config_file)
def generate_result_metrics():
return {
'trade_count': 1,
'total_trades': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 0.01,
'duration': 20.0,
'wins': 1,
'draws': 0,
'losses': 0,
'profit_mean': 0.01,
'profit_total_abs': 0.001,
'profit_total': 0.01,
'holding_avg': timedelta(minutes=20),
'max_drawdown': 0.001,
'max_drawdown_abs': 0.001,
'loss': 0.001,
'is_initial_point': 0.001,
'is_best': 1,
}
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
@@ -168,8 +191,8 @@ def test_start_no_hyperopt_allowed(mocker, hyperopt_conf, caplog) -> None:
start_hyperopt(pargs)
def test_start_no_data(mocker, hyperopt_conf) -> None:
hyperopt_conf['user_data_dir'] = Path("tests")
def test_start_no_data(mocker, hyperopt_conf, tmpdir) -> None:
hyperopt_conf['user_data_dir'] = Path(tmpdir)
patched_configuration_load_config_file(mocker, hyperopt_conf)
mocker.patch('freqtrade.data.history.load_pair_history', MagicMock(return_value=pd.DataFrame))
mocker.patch(
@@ -178,7 +201,6 @@ def test_start_no_data(mocker, hyperopt_conf) -> None:
)
patch_exchange(mocker)
# TODO: migrate to strategy-based hyperopt
args = [
'hyperopt',
'--config', 'config.json',
@@ -222,14 +244,7 @@ def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
hyperopt.print_results(
{
'loss': 1,
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
},
'results_metrics': generate_result_metrics(),
'total_profit': 0,
'current_epoch': 2, # This starts from 1 (in a human-friendly manner)
'is_initial_point': False,
@@ -238,7 +253,7 @@ def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
)
out, err = capsys.readouterr()
assert all(x in out
for x in ["Best", "2/2", " 1", "0.10%", "0.00100000 BTC (1.00%)", "20.0 m"])
for x in ["Best", "2/2", " 1", "0.10%", "0.00100000 BTC (1.00%)", "00:20:00"])
def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
@@ -295,14 +310,7 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result',
'params': {'buy': {}, 'sell': {}, 'roi': {}, 'stoploss': 0.0},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -359,7 +367,7 @@ def test_hyperopt_format_results(hyperopt):
'backtest_start_time': 1619718665,
'backtest_end_time': 1619718665,
}
results_metrics = generate_strategy_stats({'XRP/BTC': None}, '', bt_result,
results_metrics = generate_strategy_stats(['XRP/BTC'], '', bt_result,
Arrow(2017, 11, 14, 19, 32, 00),
Arrow(2017, 12, 14, 19, 32, 00), market_change=0)
@@ -528,14 +536,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
'roi': {}, 'stoploss': {'stoploss': None},
'trailing': {'trailing_stop': None}
},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -584,14 +585,7 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None}
},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -629,14 +623,7 @@ def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {'roi': {}, 'stoploss': {'stoploss': None}},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -676,14 +663,7 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -756,14 +736,7 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
@@ -805,14 +778,7 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'results_metrics':
{
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)

69
tests/optimize/test_optimize_reports.py
View File

@@ -1,4 +1,3 @@
import datetime
import re
from datetime import timedelta
from pathlib import Path
@@ -49,7 +48,7 @@ def test_text_table_bt_results():
' 0:20:00 | 2 0 1 66.7 |'
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=4, results=results)
assert text_table_bt_results(pair_results, stake_currency='BTC') == result_str
@@ -103,7 +102,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert strat_stats['backtest_end'] == max_date.strftime(DATETIME_PRINT_FORMAT)
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['max_drawdown_account'] == 0.0
# Retry with losing trade
results = {'DefStrat': {
@@ -143,7 +142,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['max_drawdown'] == 0.013803
assert pytest.approx(strat_stats['max_drawdown_account']) == 1.399999e-08
assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
assert strat_stats['drawdown_end_ts'] == 1510699380000
@@ -165,7 +164,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
filename1 = Path(tmpdir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown' in content
assert 'max_drawdown_account' in content
assert 'strategy' in content
assert 'pairlist' in content
@@ -208,7 +207,7 @@ def test_generate_pair_metrics():
}
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=2, results=results)
assert isinstance(pair_results, list)
assert len(pair_results) == 2
@@ -227,9 +226,9 @@ def test_generate_daily_stats(testdatadir):
assert isinstance(res, dict)
assert round(res['backtest_best_day'], 4) == 0.1796
assert round(res['backtest_worst_day'], 4) == -0.1468
assert res['winning_days'] == 14
assert res['draw_days'] == 4
assert res['losing_days'] == 3
assert res['winning_days'] == 19
assert res['draw_days'] == 0
assert res['losing_days'] == 2
# Select empty dataframe!
res = generate_daily_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :])
@@ -324,51 +323,25 @@ def test_generate_sell_reason_stats():
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)
def test_text_table_strategy(default_conf):
default_conf['max_open_trades'] = 2
default_conf['dry_run_wallet'] = 3
results = {}
date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
delta = datetime.timedelta(days=1)
results['TestStrategy1'] = {'results': pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}
results['TestStrategy2'] = {'results': pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'wins': [4, 1, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}
def test_text_table_strategy(testdatadir):
filename = testdatadir / "backtest-result_multistrat.json"
bt_res_data = load_backtest_stats(filename)
bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
result_str = (
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
' Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |\n'
'|---------------+--------+----------------+----------------+------------------+'
'|----------------+--------+----------------+----------------+------------------+'
'----------------+----------------+-------------------------+-----------------------|\n'
'| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |'
' 36.67 | 0:17:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |\n'
'| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |'
' 43.33 | 0:20:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |'
'| StrategyTestV2 | 179 | 0.08 | 14.39 | 0.02608550 |'
' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |\n'
'| TestStrategy | 179 | 0.08 | 14.39 | 0.02608550 |'
' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |'
)
strategy_results = generate_strategy_comparison(all_results=results)
strategy_results = generate_strategy_comparison(bt_stats=bt_res_data['strategy'])
assert strategy_results == bt_res_data_comparison
assert text_table_strategy(strategy_results, 'BTC') == result_str