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Merge branch 'develop' into feat/short

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Matthias
2021-10-30 19:45:19 +02:00
parent 4966619f1d c34b8a95d7
commit c094ac5762
22 changed files with 367 additions and 179 deletions
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3
tests/optimize/test_hyperopt_tools.py
View File

@@ -209,7 +209,8 @@ def test_export_params(tmpdir):
assert filename.is_file()
content = rapidjson.load(filename.open('r'))
with filename.open('r') as f:
content = rapidjson.load(f)
assert content['strategy_name'] == CURRENT_TEST_STRATEGY
assert 'params' in content
assert "buy" in content["params"]

35
tests/optimize/test_hyperoptloss.py
View File

@@ -85,6 +85,8 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
"CalmarHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy()
@@ -96,11 +98,32 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
default_conf.update({'hyperopt_loss': lossfunction})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(results_over),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(results_under),
datetime(2019, 1, 1), datetime(2019, 5, 1))
correct = hl.hyperopt_loss_function(
hyperopt_results,
trade_count=len(hyperopt_results),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': hyperopt_results['profit_abs'].sum()}
)
over = hl.hyperopt_loss_function(
results_over,
trade_count=len(results_over),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_over['profit_abs'].sum()}
)
under = hl.hyperopt_loss_function(
results_under,
trade_count=len(results_under),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_under['profit_abs'].sum()}
)
assert over < correct
assert under > correct