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Merge pull request #1683 from gianlup/fix_bt_partial_data

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Fix backtest problem with partial data
This commit is contained in:
Misagh
2019-04-05 07:28:57 +02:00
committed by GitHub
parent 0ac80aacd1 7010c835d2
commit 9dc2a30793
4 changed files with 68 additions and 41 deletions
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4
freqtrade/tests/edge/test_edge.py
View File

@@ -122,8 +122,8 @@ def test_edge_results(edge_conf, mocker, caplog, data) -> None:
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.exit_type == trade.sell_reason
assert res.open_time == _get_frame_time_from_offset(trade.open_tick)
assert res.close_time == _get_frame_time_from_offset(trade.close_tick)
assert arrow.get(res.open_time) == _get_frame_time_from_offset(trade.open_tick)
assert arrow.get(res.close_time) == _get_frame_time_from_offset(trade.close_tick)
def test_adjust(mocker, edge_conf):

2
freqtrade/tests/optimize/__init__.py
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@@ -33,7 +33,7 @@ class BTContainer(NamedTuple):
def _get_frame_time_from_offset(offset):
return ticker_start_time.shift(minutes=(offset * TICKER_INTERVAL_MINUTES[tests_ticker_interval])
).datetime.replace(tzinfo=None)
).datetime
def _build_backtest_dataframe(ticker_with_signals):

19
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -685,25 +685,32 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
assert len(results.loc[results.open_at_end]) == 0
def test_backtest_multi_pair(default_conf, fee, mocker):
@pytest.mark.parametrize("pair", ['ADA/BTC', 'LTC/BTC'])
@pytest.mark.parametrize("tres", [0, 20, 30])
def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair):
def _trend_alternate_hold(dataframe=None, metadata=None):
"""
Buy every 8th candle - sell every other 8th -2 (hold on to pairs a bit)
Buy every xth candle - sell every other xth -2 (hold on to pairs a bit)
"""
multi = 8
if metadata['pair'] in('ETH/BTC', 'LTC/BTC'):
multi = 20
else:
multi = 18
dataframe['buy'] = np.where(dataframe.index % multi == 0, 1, 0)
dataframe['sell'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
if metadata['pair'] in('ETH/BTC', 'LTC/BTC'):
dataframe['buy'] = dataframe['buy'].shift(-4)
dataframe['sell'] = dataframe['sell'].shift(-4)
return dataframe
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
pairs = ['ADA/BTC', 'DASH/BTC', 'ETH/BTC', 'LTC/BTC', 'NXT/BTC']
data = history.load_data(datadir=None, ticker_interval='5m', pairs=pairs)
# Only use 500 lines to increase performance
data = trim_dictlist(data, -500)
# Remove data for one pair from the beginning of the data
data[pair] = data[pair][tres:]
# We need to enable sell-signal - otherwise it sells on ROI!!
default_conf['experimental'] = {"use_sell_signal": True}
default_conf['ticker_interval'] = '5m'