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மனோஜ்குமார் பழனிச்சாமி
2022-05-08 13:14:07 +05:30
parent 5739c6aa79 45b328af2e
commit ce433b2a37
29 changed files with 772 additions and 129 deletions
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2
tests/optimize/__init__.py
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@@ -40,6 +40,8 @@ class BTContainer(NamedTuple):
custom_entry_price: Optional[float] = None
custom_exit_price: Optional[float] = None
leverage: float = 1.0
timeout: Optional[int] = None
adjust_entry_price: Optional[float] = None
def _get_frame_time_from_offset(offset):

67
tests/optimize/test_backtest_detail.py
View File

@@ -754,6 +754,62 @@ tc47 = BTContainer(data=[
trades=[]
)
# Test 48: Custom-entry-price below all candles - readjust order
tc48 = 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], # timeout
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)]
)
# Test 49: Custom-entry-price short above all candles - readjust order
tc49 = 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, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # timeout
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05,
use_exit_signal=True, timeout=1000,
custom_entry_price=5300, adjust_entry_price=5000,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 50: Custom-entry-price below all candles - readjust order cancels order
tc50 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], # Enter long - place order
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # Order readjust - cancel order
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=None,
trades=[]
)
# Test 51: Custom-entry-price below all candles - readjust order leaves order in place and timeout.
tc51 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], # Enter long - place order
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # Order readjust - replace order
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust - maintain order
[3, 5100, 5100, 4650, 4750, 6172, 0, 0], # Timeout
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
use_exit_signal=True, timeout=60,
custom_entry_price=4200, adjust_entry_price=4100,
trades=[]
)
TESTS = [
tc0,
@@ -804,6 +860,10 @@ TESTS = [
tc45,
tc46,
tc47,
tc48,
tc49,
tc50,
tc51,
]
@@ -817,6 +877,11 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
default_conf["timeframe"] = tests_timeframe
default_conf["trailing_stop"] = data.trailing_stop
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
if data.timeout:
default_conf['unfilledtimeout'].update({
'entry': data.timeout,
'exit': data.timeout,
})
# Only add this to configuration If it's necessary
if data.trailing_stop_positive is not None:
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
@@ -840,6 +905,8 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
if data.custom_exit_price:
backtesting.strategy.custom_exit_price = MagicMock(return_value=data.custom_exit_price)
backtesting.strategy.adjust_entry_price = MagicMock(return_value=data.adjust_entry_price)
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG)