Edge test expectancy function (round 1)
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misagh
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@ -1,6 +1,8 @@
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from freqtrade.tests.conftest import get_patched_exchange
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from freqtrade.edge import Edge
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from pandas import DataFrame
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from pandas import DataFrame, to_datetime
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import arrow
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import numpy as np
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# Cases to be tested:
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@ -20,6 +22,10 @@ from pandas import DataFrame
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# 8) Stoploss and sell are hit. should sell on stoploss
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####################################################################
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ticker_start_time = arrow.get(2018, 10, 3)
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ticker_interval_in_minute = 5
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def test_filter(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf)
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edge = Edge(default_conf, exchange)
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@ -45,11 +51,11 @@ def _validate_ohlc(buy_ohlc_sell_matrice):
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def _build_dataframe(buy_ohlc_sell_matrice):
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_validate_ohlc(buy_ohlc_sell_matrice)
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tickers = []
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for ohlc in buy_ohlc_sell_matrice:
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ticker = {
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'date': ohlc[0],
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# ticker every 5 min
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'date': ticker_start_time.shift(minutes=(ohlc[0] * 5)).timestamp * 1000,
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'buy': ohlc[1],
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'open': ohlc[2],
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'high': ohlc[3],
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@ -58,7 +64,71 @@ def _build_dataframe(buy_ohlc_sell_matrice):
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'sell': ohlc[6]
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}
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tickers.append(ticker)
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return DataFrame(tickers)
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frame = DataFrame(tickers)
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frame['date'] = to_datetime(frame['date'],
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unit='ms',
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utc=True,
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infer_datetime_format=True)
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return frame
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def test_process_expectancy(mocker, default_conf):
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default_conf['edge']['min_trade_number'] = 2
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exchange = get_patched_exchange(mocker, default_conf)
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def get_fee():
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return 0.001
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exchange.get_fee = get_fee
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edge = Edge(default_conf, exchange)
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trades = [
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:05:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:10:00.000000000'),
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'open_index': 1,
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'close_index': 1,
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'trade_duration': '',
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'open_rate': 17,
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'close_rate': 17,
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'exit_type': 'sell_signal'}, # sdfsdf
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
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'open_index': 4,
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'close_index': 4,
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'trade_duration': '',
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'open_rate': 20,
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'close_rate': 20,
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'exit_type': 'sell_signal'},
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:30:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:40:00.000000000'),
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'open_index': 6,
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'close_index': 7,
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'trade_duration': '',
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'open_rate': 26,
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'close_rate': 34,
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'exit_type': 'sell_signal'}
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]
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trades_df = DataFrame(trades)
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trades_df = edge._fill_calculable_fields(trades_df)
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final = edge._process_expectancy(trades_df)
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assert len(final) == 1
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def test_three_complete_trades(mocker, default_conf):
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@ -80,17 +150,32 @@ def test_three_complete_trades(mocker, default_conf):
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ticker_df = _build_dataframe(three_sell_points_hit)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Three trades must have happened
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# Three trades must have occured
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assert len(trades) == 3
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# First trade check
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assert trades[0]['open_time'] == 1
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assert trades[0]['close_time'] == 2
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# open time should be on line 1
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assert trades[0]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(1 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 2
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assert trades[0]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(2 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# Second trade check
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assert trades[1]['open_time'] == 4
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assert trades[1]['close_time'] == 5
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# open time should be on line 4
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assert trades[1]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(4 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 5
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assert trades[1]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(5 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# Third trade check
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assert trades[2]['open_time'] == 6
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assert trades[2]['close_time'] == 7
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# open time should be on line 6
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assert trades[2]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(6 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 7
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assert trades[2]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(7 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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