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Merge pull request #1673 from freqtrade/refactor/persistance_stoplossupdate

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trailing stop backtest problems
This commit is contained in:
Misagh
2019-03-28 20:44:24 +01:00
committed by GitHub
parent b4472a165e 9a632d9b7c
commit b1ef39927c
6 changed files with 165 additions and 98 deletions
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1
freqtrade/tests/optimize/__init__.py
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@@ -28,6 +28,7 @@ class BTContainer(NamedTuple):
roi: float
trades: List[BTrade]
profit_perc: float
trailing_stop: bool = False
def _get_frame_time_from_offset(offset):

65
freqtrade/tests/optimize/test_backtest_detail.py
View File

@@ -14,10 +14,10 @@ from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataf
from freqtrade.tests.conftest import patch_exchange
# Test 0 Minus 8% Close
# Test 1 Minus 8% Close
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc0 = BTContainer(data=[
tc1 = BTContainer(data=[
# 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)
@@ -30,10 +30,10 @@ tc0 = BTContainer(data=[
)
# Test 1 Minus 4% Low, minus 1% close
# Test 2 Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc1 = BTContainer(data=[
tc2 = BTContainer(data=[
# 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)
@@ -49,11 +49,10 @@ tc1 = BTContainer(data=[
# Test 3 Candle drops 4%, Recovers 1%.
# Entry Criteria Met
# Candle drops 20%
# Candle Data for test 3
# Test with Stop-Loss at 2%
# TC3: Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss
tc2 = BTContainer(data=[
tc3 = BTContainer(data=[
# 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)
@@ -71,7 +70,7 @@ tc2 = BTContainer(data=[
# Candle Data for test 3 – Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[
tc4 = BTContainer(data=[
# 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)
@@ -83,10 +82,10 @@ tc3 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 4 / Drops 0.5% Closes +20%
# Test 5 / Drops 0.5% Closes +20%
# Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain
tc4 = BTContainer(data=[
tc5 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
[1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@@ -99,10 +98,9 @@ tc4 = BTContainer(data=[
)
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
# Candle Data for test 6
# Set stop-loss at 2% ROI at 5%
# TC6: Stop-Loss triggers 2% Loss
tc5 = BTContainer(data=[
tc6 = BTContainer(data=[
# 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)
@@ -115,10 +113,9 @@ tc5 = BTContainer(data=[
)
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve
# Candle Data for test 7
# Set stop-loss at 2% ROI at 3%
# TC7: ROI Triggers 3% Gain
tc6 = BTContainer(data=[
tc7 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
@@ -130,14 +127,47 @@ tc6 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
# Test 8 - trailing_stop should raise so candle 3 causes a stoploss.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC8: Trailing stoploss - stoploss should be adjusted candle 2
tc8 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
[2, 5000, 5250, 4750, 4850, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=-0.055, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 9 - trailing_stop should raise - high and low in same candle.
# Candle Data for test 9
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC9: Trailing stoploss - stoploss should be adjusted candle 2
tc9 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
[2, 5000, 5050, 4950, 5000, 6172, 0, 0],
[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=-0.064, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
TESTS = [
tc0,
tc1,
tc2,
tc3,
tc4,
tc5,
tc6,
tc7,
tc8,
tc9,
]
@@ -148,8 +178,9 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
"""
default_conf["stoploss"] = data.stop_loss
default_conf["minimal_roi"] = {"0": data.roi}
default_conf['ticker_interval'] = tests_ticker_interval
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.0))
default_conf["ticker_interval"] = tests_ticker_interval
default_conf["trailing_stop"] = data.trailing_stop
mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0))
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
@@ -157,7 +188,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
backtesting.advise_sell = lambda a, m: frame
caplog.set_level(logging.DEBUG)
pair = 'UNITTEST/BTC'
pair = "UNITTEST/BTC"
# Dummy data as we mock the analyze functions
data_processed = {pair: DataFrame()}
min_date, max_date = get_timeframe({pair: frame})