changes testcase
This commit is contained in:
kevinjulian
parent
65fc094c9f
commit
aea5da0c73
@ -210,7 +210,7 @@ class Backtesting:
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"""
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# Every change to this headers list must evaluate further usages of the resulting tuple
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# and eventually change the constants for indexes at the top
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headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_tag']
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headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
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data: Dict = {}
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self.progress.init_step(BacktestState.CONVERT, len(processed))
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@ -218,10 +218,13 @@ class Backtesting:
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for pair, pair_data in processed.items():
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self.check_abort()
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self.progress.increment()
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has_buy_tag = 'buy_tag' in pair_data
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headers = headers + ['buy_tag'] if has_buy_tag else headers
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if not pair_data.empty:
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pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist
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pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist
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pair_data.loc[:, 'buy_tag'] = '' # cleanup if buy_tag is exist
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if has_buy_tag:
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pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist
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df_analyzed = self.strategy.advise_sell(
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self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
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@ -230,6 +233,7 @@ class Backtesting:
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# from the previous candle
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df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1)
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df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1)
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if has_buy_tag:
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df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1)
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df_analyzed.drop(df_analyzed.head(1).index, inplace=True)
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@ -361,6 +365,7 @@ class Backtesting:
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if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
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# Enter trade
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has_buy_tag = len(row) >= BUY_TAG_IDX + 1
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trade = LocalTrade(
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pair=pair,
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open_rate=row[OPEN_IDX],
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@ -370,7 +375,7 @@ class Backtesting:
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fee_open=self.fee,
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fee_close=self.fee,
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is_open=True,
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buy_tag=row[BUY_TAG_IDX],
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buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
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exchange='backtesting',
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)
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return trade
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@ -422,7 +422,7 @@ class IStrategy(ABC, HyperStrategyMixin):
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logger.debug("Skipping TA Analysis for already analyzed candle")
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dataframe['buy'] = 0
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dataframe['sell'] = 0
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dataframe['buy_tag'] = ''
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dataframe['buy_tag'] = None
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# Other Defs in strategy that want to be called every loop here
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# twitter_sell = self.watch_twitter_feed(dataframe, metadata)
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@ -18,7 +18,7 @@ class BTrade(NamedTuple):
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sell_reason: SellType
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open_tick: int
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close_tick: int
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buy_tag: Optional[str] = ''
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buy_tag: Optional[str] = None
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class BTContainer(NamedTuple):
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@ -44,7 +44,9 @@ def _get_frame_time_from_offset(offset):
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def _build_backtest_dataframe(data):
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columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell', 'buy_tag']
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columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell']
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columns = columns + ['buy_tag'] if len(data[0]) == 9 else columns
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frame = DataFrame.from_records(data, columns=columns)
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frame['date'] = frame['date'].apply(_get_frame_time_from_offset)
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@ -14,13 +14,13 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
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# Test 0: Sell with signal sell in candle 3
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# Test with Stop-loss at 1%
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tc0 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5012, 4986, 4600, 6172, 0, 0, ''], # exit with stoploss hit
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[3, 5010, 5000, 4980, 5010, 6172, 0, 1, ''],
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[4, 5010, 4987, 4977, 4995, 6172, 0, 0, ''],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4986, 4600, 6172, 0, 0], # exit with stoploss hit
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[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
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[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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@ -28,13 +28,13 @@ tc0 = BTContainer(data=[
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# Test 1: Stop-Loss Triggered 1% loss
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# Test with Stop-loss at 1%
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tc1 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5012, 4600, 4600, 6172, 0, 0, ''], # exit with stoploss hit
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[3, 4975, 5000, 4980, 4977, 6172, 0, 0, ''],
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[4, 4977, 4987, 4977, 4995, 6172, 0, 0, ''],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit
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[3, 4975, 5000, 4980, 4977, 6172, 0, 0],
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[4, 4977, 4987, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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@ -43,13 +43,13 @@ tc1 = BTContainer(data=[
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# Test 2: Minus 4% Low, minus 1% close
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# Test with Stop-Loss at 3%
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tc2 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5012, 4962, 4975, 6172, 0, 0, ''],
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[3, 4975, 5000, 4800, 4962, 6172, 0, 0, ''], # exit with stoploss hit
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0, ''],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4962, 4975, 6172, 0, 0],
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[3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
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)
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@ -62,14 +62,14 @@ tc2 = BTContainer(data=[
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# Trade-A: Stop-Loss Triggered 2% Loss
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# Trade-B: Stop-Loss Triggered 2% Loss
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tc3 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5012, 4800, 4975, 6172, 0, 0, ''], # exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 1, 0, ''],
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[4, 4975, 5000, 4950, 4962, 6172, 0, 0, ''], # enter trade 2 (signal on last candle)
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[5, 4962, 4987, 4000, 4000, 6172, 0, 0, ''], # exit with stoploss hit
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[6, 4950, 4975, 4975, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4800, 4975, 6172, 0, 0], # exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 1, 0],
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[4, 4975, 5000, 4950, 4962, 6172, 0, 0], # enter trade 2 (signal on last candle)
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[5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit
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[6, 4950, 4975, 4975, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2),
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
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@ -80,13 +80,13 @@ tc3 = BTContainer(data=[
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# Test with Stop-loss at 2% ROI 6%
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# Stop-Loss Triggered 2% Loss
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tc4 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5750, 4850, 5750, 6172, 0, 0, ''], # Exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0, ''],
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0, ''],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5750, 4850, 5750, 6172, 0, 0], # Exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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@ -94,13 +94,13 @@ tc4 = BTContainer(data=[
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# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
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# stop-loss: 1%, ROI: 3%
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tc5 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4980, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4980, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5025, 4975, 4987, 6172, 0, 0, ''],
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[3, 4975, 6000, 4975, 6000, 6172, 0, 0, ''], # ROI
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5025, 4975, 4987, 6172, 0, 0],
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[3, 4975, 6000, 4975, 6000, 6172, 0, 0], # ROI
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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)
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@ -108,13 +108,13 @@ tc5 = BTContainer(data=[
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# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
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# stop-loss: 2% ROI: 5%
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tc6 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
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[2, 4987, 5300, 4850, 5050, 6172, 0, 0, ''], # Exit with stoploss
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0, ''],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5300, 4850, 5050, 6172, 0, 0], # Exit with stoploss
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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@ -122,13 +122,13 @@ tc6 = BTContainer(data=[
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# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
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# stop-loss: 2% ROI: 3%
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tc7 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
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[2, 4987, 5300, 4950, 5050, 6172, 0, 0, ''],
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0, ''],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
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[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
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)
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@ -137,12 +137,12 @@ tc7 = BTContainer(data=[
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# Test 8: trailing_stop should raise so candle 3 causes a stoploss.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2
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tc8 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0, ''],
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[2, 5000, 5250, 4750, 4850, 6172, 0, 0, ''],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[2, 5000, 5250, 4750, 4850, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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@ -151,12 +151,12 @@ tc8 = BTContainer(data=[
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# Test 9: trailing_stop should raise - high and low in same candle.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
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tc9 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0, ''],
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[2, 5000, 5050, 4950, 5000, 6172, 0, 0, ''],
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[3, 5000, 5200, 4550, 4850, 6172, 0, 0, ''],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[2, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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@ -165,12 +165,12 @@ tc9 = BTContainer(data=[
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# without applying trailing_stop_positive since stoploss_offset is at 10%.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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tc10 = BTContainer(data=[
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# D O H L C V B S SN
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0, ''],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -181,12 +181,12 @@ tc10 = BTContainer(data=[
|
||||
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||||
tc11 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0, ''],
|
||||
[3, 5000, 5150, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
||||
[3, 5000, 5150, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -197,12 +197,12 @@ tc11 = BTContainer(data=[
|
||||
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||||
tc12 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -212,12 +212,12 @@ tc12 = BTContainer(data=[
|
||||
# Test 13: Buy and sell ROI on same candle
|
||||
# stop-loss: 10% (should not apply), ROI: 1%
|
||||
tc13 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5100, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4850, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5100, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
|
||||
)
|
||||
@ -225,12 +225,12 @@ tc13 = BTContainer(data=[
|
||||
# Test 14 - Buy and Stoploss on same candle
|
||||
# stop-loss: 5%, ROI: 10% (should not apply)
|
||||
tc14 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5100, 4600, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5100, 4600, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
|
||||
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
)
|
||||
@ -239,12 +239,12 @@ tc14 = BTContainer(data=[
|
||||
# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
|
||||
# stop-loss: 5%, ROI: 10% (should not apply)
|
||||
tc15 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5100, 4900, 5100, 6172, 1, 0, ''],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5100, 4900, 5100, 6172, 1, 0],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
|
||||
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
|
||||
@ -254,13 +254,13 @@ tc15 = BTContainer(data=[
|
||||
# Causes negative profit even though sell-reason is ROI.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration)
|
||||
tc16 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
|
||||
[2, 4987, 5300, 4950, 5050, 6172, 0, 0, ''],
|
||||
[3, 4975, 5000, 4940, 4962, 6172, 0, 0, ''], # ForceSell on ROI (roi=-1)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
|
||||
[3, 4975, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -270,13 +270,13 @@ tc16 = BTContainer(data=[
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
||||
# Uses open as sell-rate (special case) - since the roi-time is a multiple of the timeframe.
|
||||
tc17 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
|
||||
[2, 4987, 5300, 4950, 5050, 6172, 0, 0, ''],
|
||||
[3, 4980, 5000, 4940, 4962, 6172, 0, 0, ''], # ForceSell on ROI (roi=-1)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
|
||||
[3, 4980, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -286,13 +286,13 @@ tc17 = BTContainer(data=[
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
||||
# uses open_rate as sell-price
|
||||
tc18 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0, ''],
|
||||
[3, 5200, 5220, 4940, 4962, 6172, 0, 0, ''], # Sell on ROI (sells on open)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
||||
[3, 5200, 5220, 4940, 4962, 6172, 0, 0], # Sell on ROI (sells on open)
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -301,13 +301,13 @@ tc18 = BTContainer(data=[
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
||||
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
|
||||
tc19 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0, ''],
|
||||
[3, 5000, 5300, 4940, 4962, 6172, 0, 0, ''], # Sell on ROI
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
|
||||
[5, 4550, 4975, 4925, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
||||
[3, 5000, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||||
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -316,13 +316,13 @@ tc19 = BTContainer(data=[
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
||||
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
|
||||
tc20 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0, ''],
|
||||
[3, 5200, 5300, 4940, 4962, 6172, 0, 0, ''], # Sell on ROI
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0, ''],
|
||||
[5, 4550, 4975, 4925, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
||||
[3, 5200, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
|
||||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||||
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -332,12 +332,12 @@ tc20 = BTContainer(data=[
|
||||
# which cannot happen in reality
|
||||
# stop-loss: 10%, ROI: 4%, Trailing stop adjusted at the sell candle
|
||||
tc21 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -348,12 +348,12 @@ tc21 = BTContainer(data=[
|
||||
# applying a positive trailing stop of 3% - ROI should apply before trailing stop.
|
||||
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2
|
||||
tc22 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -367,12 +367,12 @@ tc22 = BTContainer(data=[
|
||||
# Stoploss would trigger in this candle too, but it's no longer relevant.
|
||||
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2, ROI adjusted in candle 3 (causing the sell)
|
||||
tc23 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5251, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5251, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -383,13 +383,13 @@ tc23 = BTContainer(data=[
|
||||
# Stoploss at 1%.
|
||||
# Stoploss wins over Sell-signal (because sell-signal is acted on in the next candle)
|
||||
tc24 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0, ''],
|
||||
[3, 5010, 5000, 4855, 5010, 6172, 0, 1, ''], # Triggers stoploss + sellsignal
|
||||
[4, 5010, 4987, 4977, 4995, 6172, 0, 0, ''],
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
||||
[3, 5010, 5000, 4855, 5010, 6172, 0, 1], # Triggers stoploss + sellsignal
|
||||
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -398,13 +398,13 @@ tc24 = BTContainer(data=[
|
||||
# Stoploss at 1%.
|
||||
# Sell-signal wins over stoploss
|
||||
tc25 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0, ''],
|
||||
[3, 5010, 5000, 4986, 5010, 6172, 0, 1, ''],
|
||||
[4, 5010, 4987, 4855, 4995, 6172, 0, 0, ''], # Triggers stoploss + sellsignal acted on
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
||||
[3, 5010, 5000, 4986, 5010, 6172, 0, 1],
|
||||
[4, 5010, 4987, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
|
||||
)
|
||||
@ -413,13 +413,13 @@ tc25 = BTContainer(data=[
|
||||
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
|
||||
# Sell-signal wins over stoploss
|
||||
tc26 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0, ''],
|
||||
[3, 5010, 5251, 4986, 5010, 6172, 0, 1, ''], # Triggers ROI, sell-signal
|
||||
[4, 5010, 4987, 4855, 4995, 6172, 0, 0, ''],
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
||||
[3, 5010, 5251, 4986, 5010, 6172, 0, 1], # Triggers ROI, sell-signal
|
||||
[4, 5010, 4987, 4855, 4995, 6172, 0, 0],
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
@ -429,13 +429,13 @@ tc26 = BTContainer(data=[
|
||||
# TODO: figure out if sell-signal should win over ROI
|
||||
# Sell-signal wins over stoploss
|
||||
tc27 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0, ''],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, ''], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0, ''],
|
||||
[3, 5010, 5012, 4986, 5010, 6172, 0, 1, ''], # sell-signal
|
||||
[4, 5010, 5251, 4855, 4995, 6172, 0, 0, ''], # Triggers ROI, sell-signal acted on
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
||||
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
||||
[3, 5010, 5012, 4986, 5010, 6172, 0, 1], # sell-signal
|
||||
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
|
||||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
|
||||
)
|
||||
@ -445,12 +445,12 @@ tc27 = BTContainer(data=[
|
||||
# therefore "open" will be used
|
||||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||||
tc28 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0, ''],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0, ''],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||||
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
||||
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
@ -461,12 +461,12 @@ tc28 = BTContainer(data=[
|
||||
# high of stoploss candle.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply)
|
||||
tc29 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5050, 5000, 4900, 6172, 0, 0, ''], # enter trade (signal on last candle)
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, ''], # Triggers trailing-stoploss
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5050, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle)
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Triggers trailing-stoploss
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
|
||||
trailing_stop_positive=0.03,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
|
||||
@ -475,12 +475,12 @@ tc29 = BTContainer(data=[
|
||||
# Test 30: trailing_stop should be triggered immediately on trade open candle.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply)
|
||||
tc30 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, ''], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, ''],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
|
||||
trailing_stop_positive=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
@ -489,12 +489,12 @@ tc30 = BTContainer(data=[
|
||||
# Test 31: trailing_stop should be triggered immediately on trade open candle.
|
||||
# stop-loss: 10%, ROI: 10% (should not apply)
|
||||
tc31 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, ''], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, ''],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01,
|
||||
@ -504,12 +504,12 @@ tc31 = BTContainer(data=[
|
||||
# Test 32: trailing_stop should be triggered immediately on trade open candle.
|
||||
# stop-loss: 1%, ROI: 10% (should not apply)
|
||||
tc32 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, ''],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, ''], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, ''],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01, use_custom_stoploss=True,
|
||||
@ -519,12 +519,12 @@ tc32 = BTContainer(data=[
|
||||
# Test 33: trailing_stop should be triggered immediately on trade open candle.
|
||||
# stop-loss: 1%, ROI: 10% (should not apply)
|
||||
tc33 = BTContainer(data=[
|
||||
# D O H L C V B S SN
|
||||
# D O H L C V B S BT
|
||||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 'buy_signal_01'],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, ''], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, ''],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, ''],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, '']],
|
||||
[1, 5000, 5500, 5000, 4900, 6172, 0, 0, None], # enter trade (signal on last candle) and stop
|
||||
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, None],
|
||||
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, None],
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, None]],
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01, use_custom_stoploss=True,
|
||||
|
||||
@ -584,7 +584,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
|
||||
'min_rate': [0.1038, 0.10302485],
|
||||
'max_rate': [0.10501, 0.1038888],
|
||||
'is_open': [False, False],
|
||||
'buy_tag': ['', ''],
|
||||
'buy_tag': [None, None],
|
||||
})
|
||||
pd.testing.assert_frame_equal(results, expected)
|
||||
data_pair = processed[pair]
|
||||
|
||||
Loading…
Reference in New Issue
Block a user