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Cleanup and add some comments on what's happening in the sample snippets

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Matthias 2018-10-29 20:33:27 +01:00
parent 6096f3ca47
commit 9065e79f53
1 changed files with 21 additions and 29 deletions
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freqtrade/tests/optimize/test_backtest_detail.py
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@ -69,8 +69,8 @@ tc_loss0 = BTContainer(data=[
# TC1: Stop-Loss Triggered 1% loss # TC1: Stop-Loss Triggered 1% loss
tc1 = BTContainer(data=[ tc1 = BTContainer(data=[
[0, 10000.0, 10050, 9950, 9975, 12345, 1, 0], [0, 10000.0, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9200, 9200, 12345, 0, 0], [2, 9975, 10025, 9200, 9200, 12345, 0, 0], # Exit with stoploss hit
[3, 9950, 10000, 9960, 9955, 12345, 0, 0], [3, 9950, 10000, 9960, 9955, 12345, 0, 0],
[4, 9955, 9975, 9955, 9990, 12345, 0, 0], [4, 9955, 9975, 9955, 9990, 12345, 0, 0],
[5, 9990, 9990, 9990, 9900, 12345, 0, 0]], [5, 9990, 9990, 9990, 9900, 12345, 0, 0]],
@ -83,13 +83,12 @@ tc1 = BTContainer(data=[
# TC2: Stop-Loss Triggered 3% Loss # TC2: Stop-Loss Triggered 3% Loss
tc2 = BTContainer(data=[ tc2 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0], [0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9925, 9950, 12345, 0, 0], [2, 9975, 10025, 9925, 9950, 12345, 0, 0],
[3, 9950, 10000, 9600, 9925, 12345, 0, 0], [3, 9950, 10000, 9600, 9925, 12345, 0, 0], # Exit with stoploss hit
[4, 9925, 9975, 9875, 9900, 12345, 0, 0], [4, 9925, 9975, 9875, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]], [5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.03, roi=1, trades=1, profit_perc=-0.03, sell_r=SellType.STOP_LOSS) #should be stop_loss=-0.03, roi=1, trades=1, profit_perc=-0.03, sell_r=SellType.STOP_LOSS)
# stop_loss=-0.03, roi=1, trades=1, profit_perc=-0.007, sell_r=SellType.FORCE_SELL) #
# Test 3 Candle drops 4%, Recovers 1%. # Test 3 Candle drops 4%, Recovers 1%.
@ -101,16 +100,13 @@ tc2 = BTContainer(data=[
# Trade-B: Stop-Loss Triggered 2% Loss # Trade-B: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[ tc3 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0], [0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9600, 9950, 12345, 0, 0], [2, 9975, 10025, 9600, 9950, 12345, 0, 0],
[3, 9950, 10000, 9900, 9925, 12345, 1, 0], [3, 9950, 10000, 9900, 9925, 12345, 1, 0], # enter trade 2 (signal on last candle)
[4, 9950, 10000, 9900, 9925, 12345, 0, 0], [4, 9950, 10000, 9900, 9925, 12345, 0, 0],
[5, 9925, 9975, 8000, 8000, 12345, 0, 0], [5, 9925, 9975, 8000, 8000, 12345, 0, 0],
[6, 9900, 9950, 9950, 9900, 12345, 0, 0]], [6, 9900, 9950, 9950, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=1, trades=2, profit_perc=-0.04, sell_r=SellType.STOP_LOSS) #should be stop_loss=-0.02, roi=1, trades=2, profit_perc=-0.04, sell_r=SellType.STOP_LOSS)
# stop_loss=-0.02, roi=1, trades=1, profit_perc=-0.02, sell_r=SellType.STOP_LOSS) #should be
# stop_loss=-0.02, roi=1, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL) #
# Test 4 Minus 3% / recovery +15% # Test 4 Minus 3% / recovery +15%
# Candle Data for test 4 – Candle drops 3% Closed 15% up # Candle Data for test 4 – Candle drops 3% Closed 15% up
@ -118,13 +114,12 @@ tc3 = BTContainer(data=[
# TC4: Stop-Loss Triggered 2% Loss # TC4: Stop-Loss Triggered 2% Loss
tc4 = BTContainer(data=[ tc4 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0], [0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 11500, 9700, 11500, 12345, 0, 0], [2, 9975, 11500, 9700, 11500, 12345, 0, 0],
[3, 9950, 10000, 9900, 9925, 12345, 0, 0], [3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9875, 9900, 12345, 0, 0], [4, 9925, 9975, 9875, 9900, 12345, 0, 0], # Exit with stoploss hit
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]], [5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.06, trades=1, profit_perc=-0.02, sell_r=SellType.STOP_LOSS) #should be stop_loss=-0.02, roi=0.06, trades=1, profit_perc=-0.02, sell_r=SellType.STOP_LOSS)
# stop_loss=-0.02, roi=0.06, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL)
# Test 5 / Drops 0.5% Closes +20% # Test 5 / Drops 0.5% Closes +20%
# Candle Data for test 5 # Candle Data for test 5
@ -132,13 +127,12 @@ tc4 = BTContainer(data=[
# TC5: ROI triggers 3% Gain # TC5: ROI triggers 3% Gain
tc5 = BTContainer(data=[ tc5 = BTContainer(data=[
[0, 10000, 10050, 9960, 9975, 12345, 1, 0], [0, 10000, 10050, 9960, 9975, 12345, 1, 0],
[1, 10000, 10050, 9960, 9975, 12345, 0, 0], [1, 10000, 10050, 9960, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10050, 9950, 9975, 12345, 0, 0], [2, 9975, 10050, 9950, 9975, 12345, 0, 0],
[3, 9950, 12000, 9950, 12000, 12345, 0, 0], [3, 9950, 12000, 9950, 12000, 12345, 0, 0], # ROI
[4, 9925, 9975, 9945, 9900, 12345, 0, 0], [4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]], [5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.01, roi=0.03, trades=1, profit_perc=0.03, sell_r=SellType.ROI) #should be stop_loss=-0.01, roi=0.03, trades=1, profit_perc=0.03, sell_r=SellType.ROI)
# stop_loss=-0.01, roi=0.03, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL)
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve # Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
# Candle Data for test 6 # Candle Data for test 6
@ -146,13 +140,12 @@ tc5 = BTContainer(data=[
# TC6: Stop-Loss triggers 2% Loss # TC6: Stop-Loss triggers 2% Loss
tc6 = BTContainer(data=[ tc6 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0], [0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10600, 9700, 10100, 12345, 0, 0], [2, 9975, 10600, 9700, 10100, 12345, 0, 0], # Exit with stoploss
[3, 9950, 10000, 9900, 9925, 12345, 0, 0], [3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9945, 9900, 12345, 0, 0], [4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]], [5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.05, trades=1, profit_perc=-0.02, sell_r=SellType.STOP_LOSS) #should be stop_loss=-0.02, roi=0.05, trades=1, profit_perc=-0.02, sell_r=SellType.STOP_LOSS)
# stop_loss=-0.02, roi=0.05, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL) #
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve # Test 7 - 6% Positive / 1% Negative / Close 1% Positve
# Candle Data for test 7 # Candle Data for test 7
@ -160,13 +153,12 @@ tc6 = BTContainer(data=[
# TC7: ROI Triggers 3% Gain # TC7: ROI Triggers 3% Gain
tc7 = BTContainer(data=[ tc7 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0], [0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], [1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10600, 9900, 10100, 12345, 0, 0], [2, 9975, 10600, 9900, 10100, 12345, 0, 0], # ROI
[3, 9950, 10000, 9900, 9925, 12345, 0, 0], [3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9945, 9900, 12345, 0, 0], [4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]], [5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.03, trades=1, profit_perc=0.03, sell_r=SellType.ROI) #should be stop_loss=-0.02, roi=0.03, trades=1, profit_perc=0.03, sell_r=SellType.ROI)
# stop_loss=-0.02, roi=0.03, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL) #
TESTS = [ TESTS = [
# tc_profit1, # tc_profit1,
@ -189,7 +181,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
""" """
default_conf["stoploss"] = data.stop_loss default_conf["stoploss"] = data.stop_loss
default_conf["minimal_roi"] = {"0": data.roi} default_conf["minimal_roi"] = {"0": data.roi}
# mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
# TODO: don't Mock fee to for now # TODO: don't Mock fee to for now
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.0)) mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.0))
patch_exchange(mocker) patch_exchange(mocker)