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Merge pull request #297 from jblestang/add_stoploss_and_use_sell_profit_only_to_hyperopt

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Add stoploss, sell_only_profit and use_sell_signal conf parameters to backtest function
This commit is contained in:
Janne Sinivirta
2018-01-04 13:33:01 +02:00
committed by GitHub
parent db4ad2f6f9 0f2d3adbbc
commit c60ef181dc
2 changed files with 55 additions and 35 deletions
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45
freqtrade/tests/optimize/test_backtesting.py
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@@ -16,19 +16,22 @@ def test_generate_text_table():
'currency': ['BTC_ETH', 'BTC_ETH'],
'profit_percent': [0.1, 0.2],
'profit_BTC': [0.2, 0.4],
'duration': [10, 30]
'duration': [10, 30],
'profit': [2, 0],
'loss': [0, 0]
}
)
print(generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5))
assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == (
'pair buy count avg profit % total profit BTC avg duration\n'
'------- ----------- -------------- ------------------ --------------\n'
'BTC_ETH 2 15.00 0.60000000 100.0\n'
'TOTAL 2 15.00 0.60000000 100.0')
'pair buy count avg profit % total profit BTC avg duration profit loss\n' # noqa
'------- ----------- -------------- ------------------ -------------- -------- ------\n' # noqa
'BTC_ETH 2 15.00 0.60000000 100.0 2 0\n' # noqa
'TOTAL 2 15.00 0.60000000 100.0 2 0') # noqa
def test_get_timeframe():
data = preprocess(optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST']))
data = preprocess(optimize.load_data(
ticker_interval=1, pairs=['BTC_UNITEST']))
min_date, max_date = get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
@@ -39,7 +42,8 @@ def test_backtest(default_conf, mocker):
exchange._API = Bittrex({'key': '', 'secret': ''})
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 10, True)
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
assert not results.empty
@@ -49,7 +53,8 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
# Run a backtesting for an exiting 5min ticker_interval
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 1, True)
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 1, True)
assert not results.empty
@@ -74,13 +79,13 @@ def load_data_test(what):
base = 0.001
if what == 'raise':
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': x * base, # But replace O,H,L,C
'H': x * base + 0.0001,
'L': x * base - 0.0001,
'C': x * base} for x in range(0, datalen)]}
'O': x * base, # But replace O,H,L,C
'H': x * base + 0.0001,
'L': x * base - 0.0001,
'C': x * base} for x in range(0, datalen)]}
if what == 'lower':
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
@@ -96,10 +101,11 @@ def load_data_test(what):
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': math.sin(x*hz) / 1000 + base, # But replace O,H,L,C
'H': math.sin(x*hz) / 1000 + base + 0.0001,
'L': math.sin(x*hz) / 1000 + base - 0.0001,
'C': math.sin(x*hz) / 1000 + base} for x in range(0, datalen)]}
# But replace O,H,L,C
'O': math.sin(x * hz) / 1000 + base,
'H': math.sin(x * hz) / 1000 + base + 0.0001,
'L': math.sin(x * hz) / 1000 + base - 0.0001,
'C': math.sin(x * hz) / 1000 + base} for x in range(0, datalen)]}
return data
@@ -119,7 +125,8 @@ def simple_backtest(config, contour, num_results):
def test_backtest2(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 10, True)
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
assert not results.empty