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shift buy-signal to one earlier (backtest shifts it forward to avoid

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lookahead)
This commit is contained in:
Matthias 2018-08-16 11:28:25 +02:00
parent 409465ac8e
commit a0e8bfbd77
1 changed files with 17 additions and 9 deletions
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26
freqtrade/tests/optimize/test_backtest_detail.py
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@ -65,7 +65,8 @@ tc_loss0 = BTContainer(data=DataFrame([
# Test with Stop-loss at 1% # Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss # TC1: Stop-Loss Triggered 1% loss
tc1 = BTContainer(data=DataFrame([ tc1 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9200, 9200, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9200, 9200, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9960, 9955, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9960, 9955, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9955, 9975, 9955, 9990, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9955, 9975, 9955, 9990, 12345, 0, 0],
@ -80,7 +81,8 @@ tc1 = BTContainer(data=DataFrame([
# Test with Stop-Loss at 3% # Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss # TC2: Stop-Loss Triggered 3% Loss
tc2 = BTContainer(data=DataFrame([ tc2 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9925, 9950, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9925, 9950, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9600, 9925, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9600, 9925, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9875, 9900, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9875, 9900, 12345, 0, 0],
@ -98,11 +100,13 @@ tc2 = BTContainer(data=DataFrame([
# TC3: Trade-A: Stop-Loss Triggered 2% Loss # TC3: Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss # Trade-B: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=DataFrame([ tc3 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9600, 9950, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10025, 9600, 9950, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 1, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 1, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 8000, 8000, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0],
[getdate('2018-06-10 12:00:00').datetime, 9900, 9950, 9950, 9900, 12345, 0, 0] [getdate('2018-06-10 12:00:00').datetime, 9925, 9975, 8000, 8000, 12345, 0, 0],
[getdate('2018-06-10 13:00:00').datetime, 9900, 9950, 9950, 9900, 12345, 0, 0]
], columns=columns), ], columns=columns),
# stop_loss=-0.02, roi=1, trades=2, profit_perc=-0.4, sell_r=SellType.STOP_LOSS) #should be # stop_loss=-0.02, roi=1, trades=2, profit_perc=-0.4, sell_r=SellType.STOP_LOSS) #should be
stop_loss=-0.02, roi=1, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL) # stop_loss=-0.02, roi=1, trades=1, profit_perc=-0.012, sell_r=SellType.FORCE_SELL) #
@ -113,7 +117,8 @@ tc3 = BTContainer(data=DataFrame([
# Test with Stop-loss at 2% ROI 6% # Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss # TC4: Stop-Loss Triggered 2% Loss
tc4 = BTContainer(data=DataFrame([ tc4 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 11500, 9700, 11500, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 11500, 9700, 11500, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9875, 9900, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9875, 9900, 12345, 0, 0],
@ -127,7 +132,8 @@ tc4 = BTContainer(data=DataFrame([
# Set stop-loss at 1% ROI 3% # Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain # TC5: ROI triggers 3% Gain
tc5 = BTContainer(data=DataFrame([ tc5 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9960, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9960, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9960, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10050, 9950, 9975, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 12000, 9950, 12000, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 12000, 9950, 12000, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0],
@ -141,7 +147,8 @@ tc5 = BTContainer(data=DataFrame([
# Set stop-loss at 2% ROI at 5% # Set stop-loss at 2% ROI at 5%
# TC6: Stop-Loss triggers 2% Loss # TC6: Stop-Loss triggers 2% Loss
tc6 = BTContainer(data=DataFrame([ tc6 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10600, 9700, 10100, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10600, 9700, 10100, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0],
@ -155,7 +162,8 @@ tc6 = BTContainer(data=DataFrame([
# Set stop-loss at 2% ROI at 3% # Set stop-loss at 2% ROI at 3%
# TC7: ROI Triggers 3% Gain # TC7: ROI Triggers 3% Gain
tc7 = BTContainer(data=DataFrame([ tc7 = BTContainer(data=DataFrame([
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0], [getdate('2018-06-10 07:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 1, 0],
[getdate('2018-06-10 08:00:00').datetime, 10000, 10050, 9950, 9975, 12345, 0, 0],
[getdate('2018-06-10 09:00:00').datetime, 9975, 10600, 9900, 10100, 12345, 0, 0], [getdate('2018-06-10 09:00:00').datetime, 9975, 10600, 9900, 10100, 12345, 0, 0],
[getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0], [getdate('2018-06-10 10:00:00').datetime, 9950, 10000, 9900, 9925, 12345, 0, 0],
[getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0], [getdate('2018-06-10 11:00:00').datetime, 9925, 9975, 9945, 9900, 12345, 0, 0],