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merge leverage/margin

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மனோஜ்குமார் பழனிச்சாமி
2022-04-04 09:54:08 +05:30
parent 9ceb7fbf4f 69491c1430
commit b646d8ba0e
185 changed files with 61237 additions and 4606 deletions
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tests/optimize/test_backtesting.py
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@@ -19,27 +19,27 @@ from freqtrade.data.btanalysis import BT_DATA_COLUMNS, evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
from freqtrade.enums import RunMode, SellType
from freqtrade.enums import ExitType, RunMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.misc import get_strategy_run_id
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import LocalTrade
from freqtrade.resolvers import StrategyResolver
from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has, log_has_re, patch_exchange,
patched_configuration_load_config_file)
ORDER_TYPES = [
{
'buy': 'limit',
'sell': 'limit',
'entry': 'limit',
'exit': 'limit',
'stoploss': 'limit',
'stoploss_on_exchange': False
},
{
'buy': 'limit',
'sell': 'limit',
'entry': 'limit',
'exit': 'limit',
'stoploss': 'limit',
'stoploss_on_exchange': True
}]
@@ -134,12 +134,14 @@ def _trend(signals, buy_value, sell_value):
n = len(signals['low'])
buy = np.zeros(n)
sell = np.zeros(n)
for i in range(0, len(signals['buy'])):
for i in range(0, len(signals['date'])):
if random.random() > 0.5: # Both buy and sell signals at same timeframe
buy[i] = buy_value
sell[i] = sell_value
signals['buy'] = buy
signals['sell'] = sell
signals['enter_long'] = buy
signals['exit_long'] = sell
signals['enter_short'] = 0
signals['exit_short'] = 0
return signals
@@ -154,8 +156,10 @@ def _trend_alternate(dataframe=None, metadata=None):
buy[i] = 1
else:
sell[i] = 1
signals['buy'] = buy
signals['sell'] = sell
signals['enter_long'] = buy
signals['exit_long'] = sell
signals['enter_short'] = 0
signals['exit_short'] = 0
return dataframe
@@ -166,7 +170,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
'--export', 'none'
]
@@ -201,7 +205,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--enable-position-stacking',
@@ -251,7 +255,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
'--stake-amount', '1',
'--starting-balance', '2'
]
@@ -262,7 +266,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
'--stake-amount', '1',
'--starting-balance', '0.5'
]
@@ -280,7 +284,7 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
]
pargs = get_args(args)
start_backtesting(pargs)
@@ -302,8 +306,8 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
assert backtesting.config == default_conf
assert backtesting.timeframe == '5m'
assert callable(backtesting.strategy.advise_all_indicators)
assert callable(backtesting.strategy.advise_buy)
assert callable(backtesting.strategy.advise_sell)
assert callable(backtesting.strategy.advise_entry)
assert callable(backtesting.strategy.advise_exit)
assert isinstance(backtesting.strategy.dp, DataProvider)
get_fee.assert_called()
assert backtesting.fee == 0.5
@@ -313,7 +317,7 @@ 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'] = ['StrategyTestV2',
default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY,
'HyperoptableStrategy']
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
@@ -350,7 +354,6 @@ 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': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
processed2 = strategy.advise_all_indicators(data)
@@ -494,7 +497,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
Backtesting(default_conf)
# Multiple strategies
default_conf['strategy_list'] = ['StrategyTestV2', 'TestStrategyLegacyV1']
default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY, 'TestStrategyLegacyV1']
with pytest.raises(OperationalException,
match='PrecisionFilter not allowed for backtesting multiple strategies.'):
Backtesting(default_conf)
@@ -504,6 +507,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf['stake_amount'] = 'unlimited'
default_conf['max_open_trades'] = 2
@@ -520,7 +524,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
0.0012, # High
'', # Buy Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isinstance(trade, LocalTrade)
assert trade.stake_amount == 495
@@ -528,35 +532,115 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
LocalTrade.trades_open.append(trade)
LocalTrade.trades_open.append(trade)
backtesting.wallets.update()
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
LocalTrade.trades_open.pop()
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is not None
backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
backtesting.wallets.update()
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 123.5
# In case of error - use proposed stake
backtesting.strategy.custom_stake_amount = lambda **kwargs: 20 / 0
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 495
assert trade.is_short is False
trade = backtesting._enter_trade(pair, row=row, direction='short')
assert trade
assert trade.stake_amount == 495
assert trade.is_short is True
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=300.0)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade
assert trade.stake_amount == 300.0
def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
default_conf_usdt['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=100)
patch_exchange(mocker)
default_conf_usdt['stake_amount'] = 300
default_conf_usdt['max_open_trades'] = 2
default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated'
default_conf_usdt['stake_currency'] = 'USDT'
default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
pair = 'UNITTEST/USDT:USDT'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
0.001, # Open
0.0012, # High
0.00099, # Low
0.0011, # Close
1, # enter_long
0, # exit_long
1, # enter_short
0, # exit_hsort
'', # Long Signal Name
'', # Short Signal Name
'', # Exit Signal Name
]
backtesting.strategy.leverage = MagicMock(return_value=5.0)
mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
return_value=(0.01, 0.01))
# leverage = 5
# ep1(trade.open_rate) = 0.001
# position(trade.amount) = 1500000
# stake_amount = 300 -> wb = 300 / 5 = 60
# mmr = 0.01
# cum_b = 0.01
# side_1: -1 if is_short else 1
# liq_buffer = 0.05
#
# Binance, Long
# liquidation_price
# = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# = ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
# = 0.0008080740740740741
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0008080740740740741 + ((0.001 - 0.0008080740740740741) * 0.05 * 1)
# = 0.0008176703703703704
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert pytest.approx(trade.liquidation_price) == 0.00081767037
# Binance, Short
# liquidation_price
# = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# = ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
# = 0.0011881254125412541
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0011881254125412541 + (abs(0.001 - 0.0011881254125412541) * 0.05 * -1)
# = 0.0011787191419141915
trade = backtesting._enter_trade(pair, row=row, direction='short')
assert pytest.approx(trade.liquidation_price) == 0.0011787191
# Stake-amount too high!
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
# Stake-amount throwing error
mocker.patch("freqtrade.wallets.Wallets.get_trade_stake_amount",
side_effect=DependencyException)
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert trade is None
@@ -564,6 +648,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
default_conf['timeframe_detail'] = '1m'
default_conf['max_open_trades'] = 2
@@ -572,63 +657,72 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
pair = 'UNITTEST/BTC'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=55, tzinfo=timezone.utc),
1, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
201.5, # High
'', # Buy Signal Name
195, # Low
201, # Close
1, # enter_long
0, # exit_long
0, # enter_short
0, # exit_hsort
'', # Long Signal Name
'', # Short Signal Name
'', # Exit Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isinstance(trade, LocalTrade)
row_sell = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
0, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
210.5, # High
'', # Buy Signal Name
195, # Low
201, # Close
0, # enter_long
0, # exit_long
0, # enter_short
0, # exit_short
'', # long Signal Name
'', # Short Signal Name
'', # Exit Signal Name
]
row_detail = pd.DataFrame(
[
[
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
1, 200, 199, 0, 197, 200.1, '', '',
200, 200.1, 197, 199, 1, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=1, tzinfo=timezone.utc),
0, 199, 199.5, 0, 199, 199.7, '', '',
199, 199.7, 199, 199.5, 0, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=2, tzinfo=timezone.utc),
0, 199.5, 200.5, 0, 199, 200.8, '', '',
199.5, 200.8, 199, 200.9, 0, 0, 0, 0, '', '', '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=3, tzinfo=timezone.utc),
0, 200.5, 210.5, 0, 193, 210.5, '', '', # ROI sell (?)
200.5, 210.5, 193, 210.5, 0, 0, 0, 0, '', '', '', # ROI sell (?)
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=4, tzinfo=timezone.utc),
0, 200, 199, 0, 193, 200.1, '', '',
200, 200.1, 193, 199, 0, 0, 0, 0, '', '', '',
],
], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag", "exit_tag"]
], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag']
)
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
assert res.exit_reason == ExitType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
# Enter new trade
trade = backtesting._enter_trade(pair, row=row)
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isinstance(trade, LocalTrade)
# Assign empty ... no result.
backtesting.detail_data[pair] = pd.DataFrame(
[], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag", "exit_tag"])
[], columns=['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'long_tag', 'short_tag', 'exit_tag'])
res = backtesting._get_sell_trade_entry(trade, row)
assert res is None
@@ -638,7 +732,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
assert res.exit_reason == ExitType.ROI.value
# Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
@@ -650,6 +744,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -687,7 +782,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'trade_duration': [235, 40],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'sell_reason': [SellType.ROI.value, SellType.ROI.value],
'exit_reason': [ExitType.ROI.value, ExitType.ROI.value],
'initial_stop_loss_abs': [0.0940005, 0.09272236],
'initial_stop_loss_ratio': [-0.1, -0.1],
'stop_loss_abs': [0.0940005, 0.09272236],
@@ -695,7 +790,8 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'min_rate': [0.10370188, 0.10300000000000001],
'max_rate': [0.10501, 0.1038888],
'is_open': [False, False],
'buy_tag': [None, None]
'enter_tag': [None, None],
"is_short": [False, False],
})
pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair]
@@ -715,6 +811,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -736,6 +833,36 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
assert len(results['results']) == 1
def test_backtest_trim_no_data_left(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
timerange = TimeRange('date', None, 1517227800, 0)
backtesting.required_startup = 100
backtesting.timerange = timerange
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=timerange)
df = data['UNITTEST/BTC']
df.loc[:, 'date'] = df.loc[:, 'date'] - timedelta(days=1)
# Trimming 100 candles, so after 2nd trimming, no candle is left.
df = df.iloc[:100]
data['XRP/USDT'] = df
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
backtesting.backtest(
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
position_stacking=False,
)
def test_processed(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
@@ -755,6 +882,7 @@ def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadi
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=100000)
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@@ -771,7 +899,7 @@ def test_backtest_dataprovider_analyzed_df(default_conf, fee, mocker, testdatadi
dp = backtesting.strategy.dp
df, _ = dp.get_analyzed_dataframe(pair, backtesting.strategy.timeframe)
current_candle = df.iloc[-1].squeeze()
assert current_candle['buy'] == 1
assert current_candle['enter_long'] == 1
candle_date = timeframe_to_next_date(backtesting.strategy.timeframe, current_candle['date'])
assert candle_date == current_time
@@ -803,6 +931,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
default_conf['enable_protections'] = True
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
tests = [
['sine', 9],
['raise', 10],
@@ -810,7 +939,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
['sine', 9],
['raise', 10],
]
# While buy-signals are unrealistic, running backtesting
# While entry-signals are unrealistic, running backtesting
# over and over again should not cause different results
for [contour, numres] in tests:
# Debug output for random test failure
@@ -837,14 +966,15 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
default_conf['enable_protections'] = True
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
# While buy-signals are unrealistic, running backtesting
# While entry-signals are unrealistic, running backtesting
# over and over again should not cause different results
assert len(simple_backtest(default_conf, contour, mocker, testdatadir)['results']) == expected
def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our StrategyTestV2
# Override the default buy trend function in our StrategyTest
def fun(dataframe=None, pair=None):
buy_value = 1
sell_value = 1
@@ -853,14 +983,14 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
backtesting.strategy.advise_entry = fun # Override
backtesting.strategy.advise_exit = fun # Override
result = backtesting.backtest(**backtest_conf)
assert result['results'].empty
def test_backtest_only_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our StrategyTestV2
# Override the default buy trend function in our StrategyTest
def fun(dataframe=None, pair=None):
buy_value = 0
sell_value = 1
@@ -869,14 +999,15 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
backtesting.strategy.advise_entry = fun # Override
backtesting.strategy.advise_exit = fun # Override
result = backtesting.backtest(**backtest_conf)
assert result['results'].empty
def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
pair='UNITTEST/BTC', datadir=testdatadir)
@@ -884,8 +1015,8 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
backtesting = Backtesting(default_conf)
backtesting.required_startup = 0
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = _trend_alternate # Override
backtesting.strategy.advise_sell = _trend_alternate # Override
backtesting.strategy.advise_entry = _trend_alternate # Override
backtesting.strategy.advise_exit = _trend_alternate # Override
result = backtesting.backtest(**backtest_conf)
# 200 candles in backtest data
# won't buy on first (shifted by 1)
@@ -916,11 +1047,14 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
multi = 20
else:
multi = 18
dataframe['buy'] = np.where(dataframe.index % multi == 0, 1, 0)
dataframe['sell'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
dataframe['enter_long'] = np.where(dataframe.index % multi == 0, 1, 0)
dataframe['exit_long'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
dataframe['enter_short'] = 0
dataframe['exit_short'] = 0
return dataframe
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
@@ -936,8 +1070,8 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = _trend_alternate_hold # Override
backtesting.strategy.advise_sell = _trend_alternate_hold # Override
backtesting.strategy.advise_entry = _trend_alternate_hold # Override
backtesting.strategy.advise_exit = _trend_alternate_hold # Override
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
@@ -960,8 +1094,9 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
offset = 1 if tres == 0 else 0
removed_candles = len(data[pair]) - offset - backtesting.strategy.startup_candle_count
assert len(backtesting.dataprovider.get_analyzed_dataframe(pair, '5m')[0]) == removed_candles
assert len(backtesting.dataprovider.get_analyzed_dataframe(
'NXT/BTC', '5m')[0]) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
assert len(
backtesting.dataprovider.get_analyzed_dataframe('NXT/BTC', '5m')[0]
) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
backtest_conf = {
'processed': deepcopy(processed),
@@ -987,7 +1122,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'StrategyTestV2',
'--strategy', CURRENT_TEST_STRATEGY,
'--datadir', str(testdatadir),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
@@ -1044,7 +1179,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
text_table_bt_results=text_table_mock,
text_table_strategy=strattable_mock,
generate_pair_metrics=MagicMock(),
generate_sell_reason_stats=sell_reason_mock,
generate_exit_reason_stats=sell_reason_mock,
generate_strategy_comparison=strat_summary,
generate_daily_stats=MagicMock(),
)
@@ -1060,7 +1195,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'StrategyTestV2',
CURRENT_TEST_STRATEGY,
'TestStrategyLegacyV1',
]
args = get_args(args)
@@ -1083,7 +1218,7 @@ 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 StrategyTestV2',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
@@ -1113,7 +1248,9 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
"is_short": [False, False],
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1130,7 +1267,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
"is_short": [False, False, False],
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
@@ -1169,7 +1307,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--disable-max-market-positions',
'--breakdown', 'day',
'--strategy-list',
'StrategyTestV2',
CURRENT_TEST_STRATEGY,
'TestStrategyLegacyV1',
]
args = get_args(args)
@@ -1186,7 +1324,7 @@ 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 StrategyTestV2',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
@@ -1195,13 +1333,119 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'EXIT REASON STATS' in captured.out
assert 'DAY BREAKDOWN' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
assert 'STRATEGY SUMMARY' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
caplog, testdatadir, capsys):
# Tests detail-data loading
default_conf_usdt.update({
"trading_mode": "futures",
"margin_mode": "isolated",
"use_sell_signal": True,
"sell_profit_only": False,
"sell_profit_offset": 0.0,
"ignore_roi_if_buy_signal": False,
"strategy": CURRENT_TEST_STRATEGY,
})
patch_exchange(mocker)
result1 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date': pd.to_datetime(['2021-11-18 18:00:00',
'2021-11-18 03:00:00', ], utc=True
),
'close_date': pd.to_datetime(['2021-11-18 20:00:00',
'2021-11-18 05:00:00', ], utc=True),
'trade_duration': [235, 40],
'is_open': [False, False],
'is_short': [False, False],
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
'profit_ratio': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_date': pd.to_datetime(['2021-11-19 18:00:00',
'2021-11-19 03:00:00',
'2021-11-19 05:00:00'], utc=True
),
'close_date': pd.to_datetime(['2021-11-19 20:00:00',
'2021-11-19 05:00:00',
'2021-11-19 08:00:00'], utc=True),
'trade_duration': [47, 40, 20],
'is_open': [False, False, False],
'is_short': [False, False, False],
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
'results': result1,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'final_balance': 1000,
},
{
'results': result2,
'config': default_conf_usdt,
'locks': [],
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'final_balance': 1000,
}
])
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/USDT']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf_usdt)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1h',
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1h ...',
f'Using data directory: {testdatadir} ...',
'Loading data from 2021-11-17 01:00:00 '
'up to 2021-11-21 03:00:00 (4 days).',
'Backtesting with data from 2021-11-17 21:00:00 '
'up to 2021-11-21 03:00:00 (3 days).',
'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
]
for line in exists:
assert log_has(line, caplog)
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'EXIT REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
caplog, testdatadir, capsys):
@@ -1223,10 +1467,11 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'2018-01-30 05:35:00', ], utc=True),
'trade_duration': [235, 40],
'is_open': [False, False],
'is_short': [False, False],
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
'exit_reason': [ExitType.ROI, ExitType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1240,10 +1485,11 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'2018-01-30 08:30:00'], utc=True),
'trade_duration': [47, 40, 20],
'is_open': [False, False, False],
'is_short': [False, False, False],
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
@@ -1279,7 +1525,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'--timeframe', '5m',
'--timeframe-detail', '1m',
'--strategy-list',
'StrategyTestV2'
CURRENT_TEST_STRATEGY
]
args = get_args(args)
start_backtesting(args)
@@ -1293,7 +1539,7 @@ 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 StrategyTestV2',
f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
]
for line in exists:
@@ -1301,7 +1547,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'EXIT REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out