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Merge branch 'develop' into feat/backtest_detail

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This commit is contained in:
Matthias
2021-08-31 20:15:51 +02:00
parent 1cbe303434 525aa234dc
commit b0c4f079c2
76 changed files with 855 additions and 439 deletions
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2
tests/optimize/conftest.py
View File

@@ -16,7 +16,7 @@ def hyperopt_conf(default_conf):
hyperconf.update({
'datadir': Path(default_conf['datadir']),
'runmode': RunMode.HYPEROPT,
'hyperopt': 'DefaultHyperOpt',
'hyperopt': 'HyperoptTestSepFile',
'hyperopt_loss': 'ShortTradeDurHyperOptLoss',
'hyperopt_path': str(Path(__file__).parent / 'hyperopts'),
'epochs': 1,

2
tests/optimize/hyperopts/default_hyperopt.py → tests/optimize/hyperopts/hyperopt_test_sep_file.py
View File

@@ -11,7 +11,7 @@ import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.optimize.hyperopt_interface import IHyperOpt
class DefaultHyperOpt(IHyperOpt):
class HyperoptTestSepFile(IHyperOpt):
"""
Default hyperopt provided by the Freqtrade bot.
You can override it with your own Hyperopt

42
tests/optimize/test_backtesting.py
View File

@@ -155,7 +155,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--export', 'none'
]
@@ -190,7 +190,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--enable-position-stacking',
@@ -240,7 +240,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--stake-amount', '1',
'--starting-balance', '2'
]
@@ -251,7 +251,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--stake-amount', '1',
'--starting-balance', '0.5'
]
@@ -269,7 +269,7 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
]
pargs = get_args(args)
start_backtesting(pargs)
@@ -302,7 +302,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
patch_exchange(mocker)
del default_conf['timeframe']
default_conf['strategy_list'] = ['DefaultStrategy',
default_conf['strategy_list'] = ['StrategyTestV2',
'SampleStrategy']
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
@@ -340,7 +340,7 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
assert len(processed['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
default_conf.update({'strategy': 'DefaultStrategy'})
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
processed2 = strategy.advise_all_indicators(data)
@@ -482,7 +482,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
Backtesting(default_conf)
# Multiple strategies
default_conf['strategy_list'] = ['DefaultStrategy', 'TestStrategyLegacy']
default_conf['strategy_list'] = ['StrategyTestV2', 'TestStrategyLegacyV1']
with pytest.raises(OperationalException,
match='PrecisionFilter not allowed for backtesting multiple strategies.'):
Backtesting(default_conf)
@@ -785,7 +785,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our default_strategy
# Override the default buy trend function in our StrategyTestV2
def fun(dataframe=None, pair=None):
buy_value = 1
sell_value = 1
@@ -801,7 +801,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
def test_backtest_only_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our default_strategy
# Override the default buy trend function in our StrategyTestV2
def fun(dataframe=None, pair=None):
buy_value = 0
sell_value = 1
@@ -928,7 +928,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--datadir', str(testdatadir),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
@@ -999,8 +999,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
'StrategyTestV2',
'TestStrategyLegacyV1',
]
args = get_args(args)
start_backtesting(args)
@@ -1022,8 +1022,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'Backtesting with data from 2017-11-14 21:17:00 '
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
for line in exists:
@@ -1103,8 +1103,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
'StrategyTestV2',
'TestStrategyLegacyV1',
]
args = get_args(args)
start_backtesting(args)
@@ -1120,8 +1120,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'Backtesting with data from 2017-11-14 21:17:00 '
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
for line in exists:
@@ -1208,7 +1208,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'--timeframe', '5m',
'--timeframe-detail', '1m',
'--strategy-list',
'DefaultStrategy'
'StrategyTestV2'
]
args = get_args(args)
start_backtesting(args)
@@ -1222,7 +1222,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'up to 2019-10-13 11:10:00 (2 days).',
'Backtesting with data from 2019-10-11 01:40:00 '
'up to 2019-10-13 11:10:00 (2 days).',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy StrategyTestV2',
]
for line in exists:

6
tests/optimize/test_edge_cli.py
View File

@@ -16,7 +16,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca
args = [
'edge',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
]
config = setup_optimize_configuration(get_args(args), RunMode.EDGE)
@@ -46,7 +46,7 @@ def test_setup_edge_configuration_with_arguments(mocker, edge_conf, caplog) -> N
args = [
'edge',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--timerange', ':100',
@@ -80,7 +80,7 @@ def test_start(mocker, fee, edge_conf, caplog) -> None:
args = [
'edge',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
]
pargs = get_args(args)
start_edge(pargs)

22
tests/optimize/test_hyperopt.py
View File

@@ -22,7 +22,7 @@ from freqtrade.strategy.hyper import IntParameter
from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
patched_configuration_load_config_file)
from .hyperopts.default_hyperopt import DefaultHyperOpt
from .hyperopts.hyperopt_test_sep_file import HyperoptTestSepFile
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
@@ -31,7 +31,7 @@ def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, ca
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
]
config = setup_optimize_configuration(get_args(args), RunMode.HYPEROPT)
@@ -63,7 +63,7 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--timerange', ':100',
@@ -115,7 +115,7 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--stake-amount', '1',
'--starting-balance', '2'
]
@@ -125,7 +125,7 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--stake-amount', '1',
'--starting-balance', '0.5'
]
@@ -136,7 +136,7 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None
def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
hyperopt = DefaultHyperOpt
hyperopt = HyperoptTestSepFile
delattr(hyperopt, 'populate_indicators')
delattr(hyperopt, 'populate_buy_trend')
delattr(hyperopt, 'populate_sell_trend')
@@ -144,7 +144,7 @@ def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver.load_object',
MagicMock(return_value=hyperopt(default_conf))
)
default_conf.update({'hyperopt': 'DefaultHyperOpt'})
default_conf.update({'hyperopt': 'HyperoptTestSepFile'})
x = HyperOptResolver.load_hyperopt(default_conf)
assert not hasattr(x, 'populate_indicators')
assert not hasattr(x, 'populate_buy_trend')
@@ -184,7 +184,7 @@ def test_start_not_installed(mocker, default_conf, import_fails) -> None:
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--hyperopt-path',
str(Path(__file__).parent / "hyperopts"),
'--epochs', '5',
@@ -205,7 +205,7 @@ def test_start(mocker, hyperopt_conf, caplog) -> None:
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
@@ -229,7 +229,7 @@ def test_start_no_data(mocker, hyperopt_conf) -> None:
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
@@ -247,7 +247,7 @@ def test_start_filelock(mocker, hyperopt_conf, caplog) -> None:
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt', 'HyperoptTestSepFile',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]

67
tests/optimize/test_hyperopt_tools.py
View File

@@ -64,34 +64,53 @@ def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
@pytest.mark.parametrize("spaces, expected_results", [
(['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
(['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
(['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
(['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'protection': False}),
(['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True,
'protection': False}),
(['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
(['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
(['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['protection'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': True}),
])
def test_has_space(hyperopt_conf, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection']:
hyperopt_conf.update({'spaces': spaces})
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
@@ -148,9 +167,9 @@ def test__pprint_dict():
def test_get_strategy_filename(default_conf):
x = HyperoptTools.get_strategy_filename(default_conf, 'DefaultStrategy')
x = HyperoptTools.get_strategy_filename(default_conf, 'StrategyTestV2')
assert isinstance(x, Path)
assert x == Path(__file__).parents[1] / 'strategy/strats/default_strategy.py'
assert x == Path(__file__).parents[1] / 'strategy/strats/strategy_test_v2.py'
x = HyperoptTools.get_strategy_filename(default_conf, 'NonExistingStrategy')
assert x is None
@@ -158,7 +177,7 @@ def test_get_strategy_filename(default_conf):
def test_export_params(tmpdir):
filename = Path(tmpdir) / "DefaultStrategy.json"
filename = Path(tmpdir) / "StrategyTestV2.json"
assert not filename.is_file()
params = {
"params_details": {
@@ -186,12 +205,12 @@ def test_export_params(tmpdir):
}
}
HyperoptTools.export_params(params, "DefaultStrategy", filename)
HyperoptTools.export_params(params, "StrategyTestV2", filename)
assert filename.is_file()
content = rapidjson.load(filename.open('r'))
assert content['strategy_name'] == 'DefaultStrategy'
assert content['strategy_name'] == 'StrategyTestV2'
assert 'params' in content
assert "buy" in content["params"]
assert "sell" in content["params"]
@@ -204,7 +223,7 @@ def test_try_export_params(default_conf, tmpdir, caplog, mocker):
default_conf['disableparamexport'] = False
export_mock = mocker.patch("freqtrade.optimize.hyperopt_tools.HyperoptTools.export_params")
filename = Path(tmpdir) / "DefaultStrategy.json"
filename = Path(tmpdir) / "StrategyTestV2.json"
assert not filename.is_file()
params = {
"params_details": {
@@ -233,17 +252,17 @@ def test_try_export_params(default_conf, tmpdir, caplog, mocker):
FTHYPT_FILEVERSION: 2,
}
HyperoptTools.try_export_params(default_conf, "DefaultStrategy22", params)
HyperoptTools.try_export_params(default_conf, "StrategyTestV222", params)
assert log_has("Strategy not found, not exporting parameter file.", caplog)
assert export_mock.call_count == 0
caplog.clear()
HyperoptTools.try_export_params(default_conf, "DefaultStrategy", params)
HyperoptTools.try_export_params(default_conf, "StrategyTestV2", params)
assert export_mock.call_count == 1
assert export_mock.call_args_list[0][0][1] == 'DefaultStrategy'
assert export_mock.call_args_list[0][0][2].name == 'default_strategy.json'
assert export_mock.call_args_list[0][0][1] == 'StrategyTestV2'
assert export_mock.call_args_list[0][0][2].name == 'strategy_test_v2.json'
def test_params_print(capsys):

2
tests/optimize/test_hyperoptloss.py
View File

@@ -4,7 +4,7 @@ from unittest.mock import MagicMock
import pytest
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.default_hyperopt_loss import ShortTradeDurHyperOptLoss
from freqtrade.optimize.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver

2
tests/optimize/test_optimize_reports.py
View File

@@ -52,7 +52,7 @@ def test_text_table_bt_results():
def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
default_conf.update({'strategy': 'DefaultStrategy'})
default_conf.update({'strategy': 'StrategyTestV2'})
StrategyResolver.load_strategy(default_conf)
results = {'DefStrat': {