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Add preliminary backtesting test

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This commit is contained in:
Matthias
2022-05-04 07:13:02 +02:00
parent 5c82cce06c
commit b2f33944ec
3 changed files with 32 additions and 13 deletions
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2
tests/optimize/__init__.py
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@@ -40,6 +40,8 @@ class BTContainer(NamedTuple):
custom_entry_price: Optional[float] = None
custom_exit_price: Optional[float] = None
leverage: float = 1.0
timeout: Optional[int] = None
adjust_entry_price: Optional[float] = None
def _get_frame_time_from_offset(offset):

24
tests/optimize/test_backtest_detail.py
View File

@@ -754,6 +754,21 @@ tc47 = BTContainer(data=[
trades=[]
)
# Test 48: Custom-entry-price below all candles - readjust order
tc48 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # timeout
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[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=0.1,
timeout=1000,
custom_entry_price=4200,
adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=False)]
)
TESTS = [
tc0,
@@ -804,6 +819,7 @@ TESTS = [
tc45,
tc46,
tc47,
tc48,
]
@@ -817,6 +833,11 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
default_conf["timeframe"] = tests_timeframe
default_conf["trailing_stop"] = data.trailing_stop
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
if data.timeout:
default_conf['unfilledtimeout'].update({
'entry': data.timeout,
'exit': data.timeout,
})
# Only add this to configuration If it's necessary
if data.trailing_stop_positive is not None:
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
@@ -840,6 +861,9 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
if data.custom_exit_price:
backtesting.strategy.custom_exit_price = MagicMock(return_value=data.custom_exit_price)
if data.adjust_entry_price:
backtesting.strategy.adjust_entry_price = MagicMock(return_value=data.adjust_entry_price)
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG)