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Merge branch 'develop' into feature-unlimited-stake_amount

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This commit is contained in:
Anton
2018-06-17 02:23:40 +03:00
parent eb909068c5 934974a547
commit ae94ab17f4
31 changed files with 652 additions and 907 deletions
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79
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -376,10 +376,10 @@ def test_generate_text_table(default_conf, mocker):
results = pd.DataFrame(
{
'currency': ['ETH/BTC', 'ETH/BTC'],
'pair': ['ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2],
'profit_BTC': [0.2, 0.4],
'duration': [10, 30],
'profit_abs': [0.2, 0.4],
'trade_duration': [10, 30],
'profit': [2, 0],
'loss': [0, 0]
}
@@ -439,6 +439,40 @@ def test_backtesting_start(default_conf, mocker, caplog) -> None:
assert log_has(line, caplog.record_tuples)
def test_backtesting_start_no_data(default_conf, mocker, caplog) -> None:
"""
Test Backtesting.start() method if no data is found
"""
def get_timeframe(input1, input2):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.freqtradebot.Analyze', MagicMock())
mocker.patch('freqtrade.optimize.load_data', MagicMock(return_value={}))
mocker.patch('freqtrade.exchange.get_ticker_history')
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
get_timeframe=get_timeframe,
)
conf = deepcopy(default_conf)
conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
conf['ticker_interval'] = "1m"
conf['live'] = False
conf['datadir'] = None
conf['export'] = None
conf['timerange'] = '20180101-20180102'
backtesting = Backtesting(conf)
backtesting.start()
# check the logs, that will contain the backtest result
assert log_has('No data found. Terminating.', caplog.record_tuples)
def test_backtest(default_conf, fee, mocker) -> None:
"""
Test Backtesting.backtest() method
@@ -458,6 +492,7 @@ def test_backtest(default_conf, fee, mocker) -> None:
}
)
assert not results.empty
assert len(results) == 2
def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
@@ -480,6 +515,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
}
)
assert not results.empty
assert len(results) == 1
def test_processed(default_conf, mocker) -> None:
@@ -501,7 +537,7 @@ def test_processed(default_conf, mocker) -> None:
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
tests = [['raise', 17], ['lower', 0], ['sine', 16]]
tests = [['raise', 18], ['lower', 0], ['sine', 16]]
for [contour, numres] in tests:
simple_backtest(default_conf, contour, numres, mocker)
@@ -561,7 +597,10 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
backtesting.populate_buy_trend = _trend_alternate # Override
backtesting.populate_sell_trend = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
assert len(results) == 3
backtesting._store_backtest_result("test_.json", results)
assert len(results) == 4
# One trade was force-closed at the end
assert len(results.loc[results.open_at_end]) == 1
def test_backtest_record(default_conf, fee, mocker):
@@ -573,22 +612,30 @@ def test_backtest_record(default_conf, fee, mocker):
'freqtrade.optimize.backtesting.file_dump_json',
new=lambda n, r: (names.append(n), records.append(r))
)
backtest_conf = _make_backtest_conf(
mocker,
conf=default_conf,
pair='UNITTEST/BTC',
record="trades"
)
backtesting = Backtesting(default_conf)
backtesting.populate_buy_trend = _trend_alternate # Override
backtesting.populate_sell_trend = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
assert len(results) == 3
results = pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC", "UNITTEST/BTC"],
"profit_percent": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_time": [Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime],
"close_time": [Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime],
"open_index": [1, 119, 153, 185],
"close_index": [118, 151, 184, 199],
"trade_duration": [123, 34, 31, 14]})
backtesting._store_backtest_result("backtest-result.json", results)
assert len(results) == 4
# Assert file_dump_json was only called once
assert names == ['backtest-result.json']
records = records[0]
# Ensure records are of correct type
assert len(records) == 3
assert len(records) == 4
# ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117)
# Below follows just a typecheck of the schema/type of trade-records
oix = None

42
freqtrade/tests/optimize/test_hyperopt.py
View File

@@ -23,8 +23,6 @@ def init_hyperopt(default_conf, mocker):
global _HYPEROPT_INITIALIZED, _HYPEROPT
if not _HYPEROPT_INITIALIZED:
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf',
MagicMock(return_value=default_conf))
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock())
_HYPEROPT = Hyperopt(default_conf)
_HYPEROPT_INITIALIZED = True
@@ -64,8 +62,6 @@ def test_start(mocker, default_conf, caplog) -> None:
"""
start_mock = MagicMock()
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf',
MagicMock(return_value=default_conf))
mocker.patch('freqtrade.freqtradebot.exchange.validate_pairs', MagicMock())
args = [
@@ -182,7 +178,6 @@ def test_fmin_best_results(mocker, init_hyperopt, default_conf, caplog) -> None:
mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result)
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf', return_value=conf)
mocker.patch('freqtrade.freqtradebot.exchange.validate_pairs', MagicMock())
StrategyResolver({'strategy': 'DefaultStrategy'})
@@ -227,7 +222,6 @@ def test_fmin_throw_value_error(mocker, init_hyperopt, default_conf, caplog) ->
conf.update({'epochs': 1})
conf.update({'timerange': None})
conf.update({'spaces': 'all'})
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf', return_value=conf)
mocker.patch('freqtrade.freqtradebot.exchange.validate_pairs', MagicMock())
StrategyResolver({'strategy': 'DefaultStrategy'})
@@ -253,7 +247,6 @@ def test_resuming_previous_hyperopt_results_succeeds(mocker, init_hyperopt, defa
conf = deepcopy(default_conf)
conf.update({'config': 'config.json.example'})
conf.update({'epochs': 1})
conf.update({'mongodb': False})
conf.update({'timerange': None})
conf.update({'spaces': 'all'})
@@ -270,7 +263,6 @@ def test_resuming_previous_hyperopt_results_succeeds(mocker, init_hyperopt, defa
mocker.patch('freqtrade.optimize.hyperopt.sorted', return_value=trials.results)
mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf', return_value=conf)
mocker.patch('freqtrade.exchange.validate_pairs', MagicMock())
StrategyResolver({'strategy': 'DefaultStrategy'})
@@ -348,7 +340,6 @@ def test_start_calls_fmin(mocker, init_hyperopt, default_conf) -> None:
conf = deepcopy(default_conf)
conf.update({'config': 'config.json.example'})
conf.update({'epochs': 1})
conf.update({'mongodb': False})
conf.update({'timerange': None})
conf.update({'spaces': 'all'})
@@ -360,35 +351,6 @@ def test_start_calls_fmin(mocker, init_hyperopt, default_conf) -> None:
mock_fmin.assert_called_once()
def test_start_uses_mongotrials(mocker, init_hyperopt, default_conf) -> None:
mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
mock_mongotrials = mocker.patch(
'freqtrade.optimize.hyperopt.MongoTrials',
return_value=create_trials(mocker)
)
conf = deepcopy(default_conf)
conf.update({'config': 'config.json.example'})
conf.update({'epochs': 1})
conf.update({'mongodb': True})
conf.update({'timerange': None})
conf.update({'spaces': 'all'})
mocker.patch('freqtrade.optimize.hyperopt.hyperopt_optimize_conf', return_value=conf)
mocker.patch('freqtrade.freqtradebot.exchange.validate_pairs', MagicMock())
hyperopt = Hyperopt(conf)
hyperopt.tickerdata_to_dataframe = MagicMock()
hyperopt.start()
mock_mongotrials.assert_called_once()
mock_fmin.assert_called_once()
# test log_trials_result
# test buy_strategy_generator def populate_buy_trend
# test optimizer if 'ro_t1' in params
def test_format_results(init_hyperopt):
"""
Test Hyperopt.format_results()
@@ -400,7 +362,7 @@ def test_format_results(init_hyperopt):
('LTC/BTC', 1, 1, 123),
('XPR/BTC', -1, -2, -246)
]
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
df = pd.DataFrame.from_records(trades, columns=labels)
result = _HYPEROPT.format_results(df)
@@ -530,7 +492,7 @@ def test_generate_optimizer(mocker, init_hyperopt, default_conf) -> None:
trades = [
('POWR/BTC', 0.023117, 0.000233, 100)
]
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
mocker.patch(

16
freqtrade/tests/optimize/test_hyperopt_config.py
View File

@@ -1,16 +0,0 @@
# pragma pylint: disable=missing-docstring,W0212
from user_data.hyperopt_conf import hyperopt_optimize_conf
def test_hyperopt_optimize_conf():
hyperopt_conf = hyperopt_optimize_conf()
assert "max_open_trades" in hyperopt_conf
assert "stake_currency" in hyperopt_conf
assert "stake_amount" in hyperopt_conf
assert "minimal_roi" in hyperopt_conf
assert "stoploss" in hyperopt_conf
assert "bid_strategy" in hyperopt_conf
assert "exchange" in hyperopt_conf
assert "pair_whitelist" in hyperopt_conf['exchange']

2
freqtrade/tests/optimize/test_optimize.py
View File

@@ -326,8 +326,6 @@ def test_load_tickerdata_file() -> None:
def test_init(default_conf, mocker) -> None:
conf = {'exchange': {'pair_whitelist': []}}
mocker.patch('freqtrade.optimize.hyperopt_optimize_conf', return_value=conf)
assert {} == optimize.load_data(
'',
pairs=[],