Add preliminary backtesting test

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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@ -40,6 +40,8 @@ class BTContainer(NamedTuple):
custom_entry_price: Optional[float] = None custom_entry_price: Optional[float] = None
custom_exit_price: Optional[float] = None custom_exit_price: Optional[float] = None
leverage: float = 1.0 leverage: float = 1.0
timeout: Optional[int] = None
adjust_entry_price: Optional[float] = None
def _get_frame_time_from_offset(offset): def _get_frame_time_from_offset(offset):

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@ -754,6 +754,21 @@ tc47 = BTContainer(data=[
trades=[] 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 = [ TESTS = [
tc0, tc0,
@ -804,6 +819,7 @@ TESTS = [
tc45, tc45,
tc46, tc46,
tc47, tc47,
tc48,
] ]
@ -817,6 +833,11 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
default_conf["timeframe"] = tests_timeframe default_conf["timeframe"] = tests_timeframe
default_conf["trailing_stop"] = data.trailing_stop default_conf["trailing_stop"] = data.trailing_stop
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached 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 # Only add this to configuration If it's necessary
if data.trailing_stop_positive is not None: if data.trailing_stop_positive is not None:
default_conf["trailing_stop_positive"] = data.trailing_stop_positive 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) backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
if data.custom_exit_price: if data.custom_exit_price:
backtesting.strategy.custom_exit_price = MagicMock(return_value=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.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG) caplog.set_level(logging.DEBUG)

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@ -2493,10 +2493,8 @@ def test_adjust_entry_cancel(
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=None) freqtrade.strategy.adjust_entry_price = MagicMock(return_value=None)
freqtrade.manage_open_orders() freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades) assert len(trades) == 0
assert nb_trades == 0 assert len(Order.query.all()) == 0
nb_all_orders = len(Order.query.all())
assert nb_all_orders == 0
assert log_has_re( assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order user requested order cancel*", caplog) f"{'Sell' if is_short else 'Buy'} order user requested order cancel*", caplog)
assert log_has_re( assert log_has_re(
@ -2535,10 +2533,8 @@ def test_adjust_entry_maintain_replace(
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=old_order['price']) freqtrade.strategy.adjust_entry_price = MagicMock(return_value=old_order['price'])
freqtrade.manage_open_orders() freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades) assert len(trades) == 1
assert nb_trades == 1 assert len(Order.get_open_orders()) == 1
nb_orders = len(Order.get_open_orders())
assert nb_orders == 1
# Entry adjustment is called # Entry adjustment is called
assert freqtrade.strategy.adjust_entry_price.call_count == 1 assert freqtrade.strategy.adjust_entry_price.call_count == 1
@ -2547,10 +2543,8 @@ def test_adjust_entry_maintain_replace(
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1234) freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1234)
freqtrade.manage_open_orders() freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades) assert len(trades) == 1
assert nb_trades == 1
nb_all_orders = len(Order.query.all()) nb_all_orders = len(Order.query.all())
freqtrade.logger.warning(Order.query.all())
assert nb_all_orders == 2 assert nb_all_orders == 2
# New order seems to be in closed status? # New order seems to be in closed status?
# nb_open_orders = len(Order.get_open_orders()) # nb_open_orders = len(Order.get_open_orders())
@ -2588,8 +2582,7 @@ def test_check_handle_cancelled_buy(
assert cancel_order_mock.call_count == 0 assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 1 assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades) assert len(trades) == 0
assert nb_trades == 0
assert log_has_re( assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order cancelled on exchange for Trade.*", caplog) f"{'Sell' if is_short else 'Buy'} order cancelled on exchange for Trade.*", caplog)