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Clean up comments of detail-backtests

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This commit is contained in:
Matthias 2019-08-05 20:19:19 +02:00
parent bc2e920ae2
commit c7d0329754
1 changed files with 34 additions and 52 deletions
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86
freqtrade/tests/optimize/test_backtest_detail.py
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@ -14,9 +14,8 @@ from freqtrade.tests.optimize import (BTContainer, BTrade,
_get_frame_time_from_offset, _get_frame_time_from_offset,
tests_ticker_interval) tests_ticker_interval)
# Test 0 Sell signal sell # Test 0: Sell with signal sell in candle 3
# Test with Stop-loss at 1% # Test with Stop-loss at 1%
# TC0: Sell signal in candle 3
tc0 = BTContainer(data=[ tc0 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -29,9 +28,8 @@ tc0 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)] trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
) )
# Test 1 Minus 8% Close # Test 1: Stop-Loss Triggered 1% loss
# Test with Stop-loss at 1% # Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc1 = BTContainer(data=[ tc1 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -45,9 +43,8 @@ tc1 = BTContainer(data=[
) )
# Test 2 Minus 4% Low, minus 1% close # Test 2: Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3% # Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc2 = BTContainer(data=[ tc2 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -61,12 +58,12 @@ tc2 = BTContainer(data=[
) )
# Test 3 Candle drops 4%, Recovers 1%. # Test 3: Multiple trades.
# Entry Criteria Met # Candle drops 4%, Recovers 1%.
# Candle drops 20% # Entry Criteria Met
# Test with Stop-Loss at 2% # Candle drops 20%
# TC3: Trade-A: Stop-Loss Triggered 2% Loss # Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss # Trade-B: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[ tc3 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -81,10 +78,10 @@ tc3 = BTContainer(data=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)] BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
) )
# Test 4 Minus 3% / recovery +15% # Test 4: Minus 3% / recovery +15%
# Candle Data for test 3 – Candle drops 3% Closed 15% up # Candle Data for test 3 – Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6% # Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss # Stop-Loss Triggered 2% Loss
tc4 = BTContainer(data=[ tc4 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -97,9 +94,8 @@ tc4 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
) )
# Test 5 / Drops 0.5% Closes +20% # Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
# Set stop-loss at 1% ROI 3% # stop-loss: 1%, ROI: 3%
# TC5: ROI triggers 3% Gain
tc5 = BTContainer(data=[ tc5 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4980, 4987, 6172, 1, 0], [0, 5000, 5025, 4980, 4987, 6172, 1, 0],
@ -112,9 +108,8 @@ tc5 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
) )
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve # Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
# Set stop-loss at 2% ROI at 5% # stop-loss: 2% ROI: 5%
# TC6: Stop-Loss triggers 2% Loss
tc6 = BTContainer(data=[ tc6 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -127,9 +122,8 @@ tc6 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
) )
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve # Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
# Set stop-loss at 2% ROI at 3% # stop-loss: 2% ROI: 3%
# TC7: ROI Triggers 3% Gain
tc7 = BTContainer(data=[ tc7 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -143,9 +137,8 @@ tc7 = BTContainer(data=[
) )
# Test 8 - trailing_stop should raise so candle 3 causes a stoploss. # Test 8: trailing_stop should raise so candle 3 causes a stoploss.
# Set stop-loss at 10%, ROI at 10% (should not apply) # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2
# TC8: Trailing stoploss - stoploss should be adjusted candle 2
tc8 = BTContainer(data=[ tc8 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -158,10 +151,8 @@ tc8 = BTContainer(data=[
) )
# Test 9 - trailing_stop should raise - high and low in same candle. # Test 9: trailing_stop should raise - high and low in same candle.
# Candle Data for test 9 # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC9: Trailing stoploss - stoploss should be adjusted candle 3
tc9 = BTContainer(data=[ tc9 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -173,10 +164,9 @@ tc9 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
) )
# Test 10 - trailing_stop should raise so candle 3 causes a stoploss # Test 10: trailing_stop should raise so candle 3 causes a stoploss
# without applying trailing_stop_positive since stoploss_offset is at 10%. # without applying trailing_stop_positive since stoploss_offset is at 10%.
# Set stop-loss at 10%, ROI at 10% (should not apply) # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
# TC10: Trailing stoploss - stoploss should be adjusted candle 2
tc10 = BTContainer(data=[ tc10 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -190,10 +180,9 @@ tc10 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
) )
# Test 11 - trailing_stop should raise so candle 3 causes a stoploss # Test 11: trailing_stop should raise so candle 3 causes a stoploss
# applying a positive trailing stop of 3% since stop_positive_offset is reached. # applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply) # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
# TC11: Trailing stoploss - stoploss should be adjusted candle 2,
tc11 = BTContainer(data=[ tc11 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -207,10 +196,9 @@ tc11 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
) )
# Test 12 - trailing_stop should raise in candle 2 and cause a stoploss in the same candle # Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
# applying a positive trailing stop of 3% since stop_positive_offset is reached. # applying a positive trailing stop of 3% since stop_positive_offset is reached.
# Set stop-loss at 10%, ROI at 10% (should not apply) # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
# TC12: Trailing stoploss - stoploss should be adjusted candle 2,
tc12 = BTContainer(data=[ tc12 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -224,8 +212,8 @@ tc12 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)] trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
) )
# Test 13 - Buy and sell ROI on same candle # Test 13: Buy and sell ROI on same candle
# Set stop-loss at 10% (should not apply), ROI at 1% # stop-loss: 10% (should not apply), ROI: 1%
tc13 = BTContainer(data=[ tc13 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -233,14 +221,12 @@ tc13 = BTContainer(data=[
[2, 5100, 5251, 4850, 5100, 6172, 0, 0], [2, 5100, 5251, 4850, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4850, 4750, 6172, 0, 0]], [4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.01, profit_perc=0.01, trailing_stop=False, stop_loss=-0.10, roi=0.01, profit_perc=0.01,
trailing_only_offset_is_reached=False, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
) )
# Test 14 - Buy and Stoploss on same candle # Test 14 - Buy and Stoploss on same candle
# Set stop-loss at 5%, ROI at 10% (should not apply) # stop-loss: 5%, ROI: 10% (should not apply)
tc14 = BTContainer(data=[ tc14 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -248,15 +234,13 @@ tc14 = BTContainer(data=[
[2, 5100, 5251, 4850, 5100, 6172, 0, 0], [2, 5100, 5251, 4850, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi=0.10, profit_perc=-0.05, trailing_stop=False, stop_loss=-0.05, roi=0.10, profit_perc=-0.05,
trailing_only_offset_is_reached=False, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
) )
# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle # Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
# Set stop-loss at 5%, ROI at 10% (should not apply) # stop-loss: 5%, ROI: 10% (should not apply)
tc15 = BTContainer(data=[ tc15 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -264,9 +248,7 @@ tc15 = BTContainer(data=[
[2, 5100, 5251, 4650, 5100, 6172, 0, 0], [2, 5100, 5251, 4650, 5100, 6172, 0, 0],
[3, 4850, 5050, 4850, 4750, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi=0.01, profit_perc=-0.04, trailing_stop=False, stop_loss=-0.05, roi=0.01, profit_perc=-0.04,
trailing_only_offset_is_reached=False, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1), trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)] BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
) )