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Merge pull request #6547 from freqtrade/short_bt_tests

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Short bt tests
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Matthias 2022-03-17 17:20:42 +01:00 committed by GitHub
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4 changed files with 154 additions and 29 deletions
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5
freqtrade/optimize/backtesting.py
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@ -429,7 +429,7 @@ class Backtesting:
# - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
roi_rate = trade.open_rate * roi / leverage
open_fee_rate = side_1 * trade.open_rate * (1 + side_1 * trade.fee_open)
close_rate = -side_1 * (roi_rate + open_fee_rate) / (trade.fee_close - side_1 * 1)
close_rate = -(roi_rate + open_fee_rate) / (trade.fee_close - side_1 * 1)
if is_short:
is_new_roi = sell_row[OPEN_IDX] < close_rate
else:
@ -542,6 +542,9 @@ class Backtesting:
proposed_rate=closerate, current_profit=current_profit)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
if trade.is_short:
closerate = min(closerate, sell_row[HIGH_IDX])
else:
closerate = max(closerate, sell_row[LOW_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['exit']

14
freqtrade/strategy/interface.py
View File

@ -869,7 +869,7 @@ class IStrategy(ABC, HyperStrategyMixin):
force_stoploss=force_stoploss, low=low, high=high)
# Set current rate to high for backtesting sell
current_rate = high or rate
current_rate = (low if trade.is_short else high) or rate
current_profit = trade.calc_profit_ratio(current_rate)
# if enter signal and ignore_roi is set, we don't need to evaluate min_roi.
@ -961,9 +961,9 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
logger.warning("CustomStoploss function did not return valid stoploss")
sl_lower_long = (trade.stop_loss < (low or current_rate) and not trade.is_short)
sl_higher_short = (trade.stop_loss > (high or current_rate) and trade.is_short)
if self.trailing_stop and (sl_lower_long or sl_higher_short):
sl_lower_short = (trade.stop_loss < (low or current_rate) and not trade.is_short)
sl_higher_long = (trade.stop_loss > (high or current_rate) and trade.is_short)
if self.trailing_stop and (sl_lower_short or sl_higher_long):
# trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset
@ -981,12 +981,12 @@ class IStrategy(ABC, HyperStrategyMixin):
trade.adjust_stop_loss(bound or current_rate, stop_loss_value)
sl_higher_short = (trade.stop_loss >= (low or current_rate) and not trade.is_short)
sl_lower_long = ((trade.stop_loss <= (high or current_rate) and trade.is_short))
sl_higher_long = (trade.stop_loss >= (low or current_rate) and not trade.is_short)
sl_lower_short = (trade.stop_loss <= (high or current_rate) and trade.is_short)
# evaluate if the stoploss was hit if stoploss is not on exchange
# in Dry-Run, this handles stoploss logic as well, as the logic will not be different to
# regular stoploss handling.
if ((sl_higher_short or sl_lower_long) and
if ((sl_higher_long or sl_lower_short) and
(not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
sell_type = SellType.STOP_LOSS

1
tests/optimize/__init__.py
View File

@ -19,6 +19,7 @@ class BTrade(NamedTuple):
open_tick: int
close_tick: int
enter_tag: Optional[str] = None
is_short: bool = False
class BTContainer(NamedTuple):

159
tests/optimize/test_backtest_detail.py
View File

@ -361,6 +361,23 @@ tc22 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
# Test 22s: trailing_stop Raises in candle 2 - but ROI applies at the same time.
# applying a positive trailing stop of 3% - ROI should apply before trailing stop.
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2
tc22s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5050, 4900, 4900, 6172, 0, 0, 0, 0],
[2, 4900, 4900, 4749, 4900, 6172, 0, 0, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2, is_short=True)]
)
# Test 23: trailing_stop Raises in candle 2 (does not trigger)
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
# ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell
@ -410,6 +427,39 @@ tc25 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 25l: (copy of test25 with leverage)
# Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
tc25l = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0],
[3, 5010, 5010, 4986, 5010, 6172, 0, 1],
[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 25s: (copy of test25 with leverage and as short)
# Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
tc25s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5025, 4975, 4987, 6172, 0, 0, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0, 0, 0],
[3, 5010, 5010, 4986, 5010, 6172, 0, 0, 0, 1],
[4, 4990, 5010, 4855, 4995, 6172, 0, 0, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0, 0, 0]],
stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
# Sell-signal wins over stoploss
@ -456,6 +506,25 @@ tc28 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 28s: trailing_stop should raise so candle 3 causes a stoploss
# Same case than tc11 - but candle 3 "gaps down" - the stoploss will be above the candle,
# therefore "open" will be used
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
tc28s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5050, 4890, 4890, 6172, 0, 0, 0, 0],
[2, 4890, 4890, 4749, 4890, 6172, 0, 0, 0, 0],
[3, 5150, 5350, 4950, 4950, 6172, 0, 0, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[
BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
]
)
# Test 29: trailing_stop should be triggered by low of next candle, without adjusting stoploss using
# high of stoploss candle.
# stop-loss: 10%, ROI: 10% (should not apply)
@ -534,6 +603,27 @@ tc33 = BTContainer(data=[
enter_tag='buy_signal_01'
)]
)
# Test 33s: trailing_stop should be triggered immediately on trade open candle.
# copy of Test33 using shorts.
# stop-loss: 1%, ROI: 10% (should not apply)
tc33s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0, 'short_signal_01'],
[1, 5000, 5049, 4500, 5000, 6172, 0, 0, 0, 0, None], # enter trade and stop
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, 0, 0, None],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 0, None],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0, None]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(
sell_reason=SellType.TRAILING_STOP_LOSS,
open_tick=1,
close_tick=1,
enter_tag='short_signal_01',
is_short=True,
)]
)
# Test 34: Custom-entry-price below all candles should timeout - so no trade happens.
tc34 = BTContainer(data=[
@ -558,6 +648,20 @@ tc35 = BTContainer(data=[
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=7200, trades=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
])
# Test 35s: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
tc35s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0, 0, 0], # Timeout
[2, 4900, 5250, 4500, 5100, 6172, 0, 0, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=4000,
trades=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
]
)
@ -613,7 +717,7 @@ tc39 = 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],
[2, 4900, 5250, 4900, 5100, 6172, 0, 1], # exit - but timeout
[2, 4950, 5250, 4900, 5100, 6172, 0, 1], # exit - entry timeout
[3, 5100, 5100, 4950, 4950, 6172, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
@ -622,21 +726,32 @@ tc39 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)]
)
# Test 40: (copy of test25 with leverage)
# Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
# Test 39: Custom short exit price above below candles
# causes sell signal timeout
tc39a = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5000, 4951, 5000, 6172, 0, 0, 0, 0],
[2, 4910, 5150, 4910, 5100, 6172, 0, 0, 0, 1], # exit - entry timeout
[3, 5100, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
use_sell_signal=True,
custom_exit_price=4700,
trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 40: Colliding long and short signal
tc40 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0],
[3, 5010, 5010, 4986, 5010, 6172, 0, 1],
[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0, 0, 0],
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0],
[3, 5100, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
use_sell_signal=True,
trades=[]
)
@ -664,25 +779,31 @@ TESTS = [
tc20,
tc21,
tc22,
tc22s,
tc23,
tc24,
tc25,
tc25l,
tc25s,
tc26,
tc27,
tc28,
tc28s,
tc29,
tc30,
tc31,
tc32,
tc33,
tc33s,
tc34,
tc35,
tc35s,
tc36,
tc37,
tc38,
tc39,
tc39a,
tc40,
# TODO-lev: Add tests for short here
]
@ -709,11 +830,10 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
if data.leverage > 1.0:
# TODO: Should we initialize this properly??
backtesting._can_short = True
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
backtesting.strategy.advise_entry = lambda a, m: frame
backtesting.strategy.advise_exit = lambda a, m: frame
if data.custom_entry_price:
@ -740,8 +860,9 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
assert round(results["profit_ratio"].sum(), 3) == round(data.profit_perc, 3)
for c, trade in enumerate(data.trades):
res = results.iloc[c]
res: BTrade = results.iloc[c]
assert res.sell_reason == trade.sell_reason.value
assert res.enter_tag == trade.enter_tag
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)
assert res.is_short == trade.is_short