Merge branch 'develop' into feat/short
This commit is contained in:
commit
d3f7207fe6
@ -109,6 +109,7 @@ All freqtrade arguments will be available by running `docker-compose run --rm fr
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!!! Warning "`docker-compose` for trade commands"
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||||
Trade commands (`freqtrade trade <...>`) should not be ran via `docker-compose run` - but should use `docker-compose up -d` instead.
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This makes sure that the container is properly started (including port forwardings) and will make sure that the container will restart after a system reboot.
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If you intend to use freqUI, please also ensure to adjust the [configuration accordingly](rest-api.md#configuration-with-docker), otherwise the UI will not be available.
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!!! Note "`docker-compose run --rm`"
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Including `--rm` will remove the container after completion, and is highly recommended for all modes except trading mode (running with `freqtrade trade` command).
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|
@ -27,7 +27,8 @@ from freqtrade.resolvers import ExchangeResolver
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from freqtrade.worker import Worker
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from tests.conftest_trades import (leverage_trade, mock_trade_1, mock_trade_2, mock_trade_3,
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mock_trade_4, mock_trade_5, mock_trade_6, short_trade)
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from tests.conftest_trades_usdt import (mock_trade_usdt_1, mock_trade_usdt_2, mock_trade_usdt_3,
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mock_trade_usdt_4, mock_trade_usdt_5, mock_trade_usdt_6)
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logging.getLogger('').setLevel(logging.INFO)
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@ -281,6 +282,7 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True):
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Trade.query.session.add(trade)
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else:
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LocalTrade.add_bt_trade(trade)
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# Simulate dry_run entries
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trade = mock_trade_1(fee)
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add_trade(trade)
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@ -305,6 +307,40 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True):
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trade = leverage_trade(fee)
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add_trade(trade)
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if use_db:
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Trade.query.session.flush()
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def create_mock_trades_usdt(fee, use_db: bool = True):
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"""
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Create some fake trades ...
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"""
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def add_trade(trade):
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if use_db:
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Trade.query.session.add(trade)
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else:
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LocalTrade.add_bt_trade(trade)
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# Simulate dry_run entries
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trade = mock_trade_usdt_1(fee)
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add_trade(trade)
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trade = mock_trade_usdt_2(fee)
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add_trade(trade)
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trade = mock_trade_usdt_3(fee)
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add_trade(trade)
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trade = mock_trade_usdt_4(fee)
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add_trade(trade)
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trade = mock_trade_usdt_5(fee)
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add_trade(trade)
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trade = mock_trade_usdt_6(fee)
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add_trade(trade)
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if use_db:
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Trade.query.session.flush()
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@ -345,6 +381,11 @@ def default_conf(testdatadir):
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return get_default_conf(testdatadir)
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@pytest.fixture(scope="function")
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def default_conf_usdt(testdatadir):
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return get_default_conf_usdt(testdatadir)
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def get_default_conf(testdatadir):
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""" Returns validated configuration suitable for most tests """
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configuration = {
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@ -419,6 +460,32 @@ def get_default_conf(testdatadir):
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return configuration
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def get_default_conf_usdt(testdatadir):
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configuration = get_default_conf(testdatadir)
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configuration.update({
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"stake_amount": 60.0,
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"stake_currency": "USDT",
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"exchange": {
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"name": "binance",
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"enabled": True,
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"key": "key",
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"secret": "secret",
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"pair_whitelist": [
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"ETH/USDT",
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"LTC/USDT",
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"XRP/USDT",
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"NEO/USDT",
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"TKN/USDT",
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],
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"pair_blacklist": [
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"DOGE/USDT",
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"HOT/USDT",
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]
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},
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})
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return configuration
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@pytest.fixture
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def update():
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_update = Update(0)
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@ -458,6 +525,33 @@ def ticker_sell_down():
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})
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@pytest.fixture
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def ticker_usdt():
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return MagicMock(return_value={
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'bid': 2.0,
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'ask': 2.02,
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'last': 2.0,
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})
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@pytest.fixture
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def ticker_usdt_sell_up():
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return MagicMock(return_value={
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'bid': 2.2,
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'ask': 2.3,
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'last': 2.2,
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})
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@pytest.fixture
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def ticker_usdt_sell_down():
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return MagicMock(return_value={
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'bid': 2.01,
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'ask': 2.0,
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'last': 2.01,
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})
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@pytest.fixture
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def markets():
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return get_markets()
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@ -705,6 +799,81 @@ def get_markets():
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},
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'info': {},
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},
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'XRP/USDT': {
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'id': 'xrpusdt',
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'symbol': 'XRP/USDT',
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'base': 'XRP',
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'quote': 'USDT',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 0.0001,
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'max': 500000,
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},
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},
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'info': {},
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},
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'NEO/USDT': {
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'id': 'neousdt',
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'symbol': 'NEO/USDT',
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'base': 'NEO',
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'quote': 'USDT',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 0.0001,
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'max': 500000,
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},
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},
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'info': {},
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},
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'TKN/USDT': {
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'id': 'tknusdt',
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'symbol': 'TKN/USDT',
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'base': 'TKN',
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'quote': 'USDT',
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'active': True,
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'precision': {
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'price': 8,
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'amount': 8,
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'cost': 8,
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},
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'lot': 0.00000001,
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'limits': {
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'amount': {
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'min': 0.01,
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'max': 1000,
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},
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'price': 500000,
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'cost': {
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'min': 0.0001,
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'max': 500000,
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},
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},
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'info': {},
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},
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'LTC/USD': {
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'id': 'USD-LTC',
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'symbol': 'LTC/USD',
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@ -1639,27 +1808,34 @@ def result(testdatadir):
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@pytest.fixture(scope="function")
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def trades_for_order():
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return [{'info': {'id': 34567,
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'orderId': 123456,
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'price': '0.24544100',
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'qty': '8.00000000',
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'commission': '0.00800000',
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'commissionAsset': 'LTC',
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'time': 1521663363189,
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'isBuyer': True,
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'isMaker': False,
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'isBestMatch': True},
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'timestamp': 1521663363189,
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'datetime': '2018-03-21T20:16:03.189Z',
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'symbol': 'LTC/ETH',
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'id': '34567',
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'order': '123456',
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'type': None,
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'side': 'buy',
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'price': 0.245441,
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'cost': 1.963528,
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'amount': 8.0,
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'fee': {'cost': 0.008, 'currency': 'LTC'}}]
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return [{
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'info': {
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'id': 34567,
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'orderId': 123456,
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'price': '2.0',
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'qty': '8.00000000',
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'commission': '0.00800000',
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'commissionAsset': 'LTC',
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'time': 1521663363189,
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'isBuyer': True,
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'isMaker': False,
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'isBestMatch': True
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},
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'timestamp': 1521663363189,
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'datetime': '2018-03-21T20:16:03.189Z',
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'symbol': 'LTC/USDT',
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'id': '34567',
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'order': '123456',
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'type': None,
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'side': 'buy',
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'price': 2.0,
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'cost': 16.0,
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'amount': 8.0,
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'fee': {
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'cost': 0.008,
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'currency': 'LTC'
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}
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}]
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@pytest.fixture(scope="function")
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@ -1924,6 +2100,22 @@ def open_trade():
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)
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@pytest.fixture(scope="function")
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def open_trade_usdt():
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return Trade(
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pair='ADA/USDT',
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open_rate=2.0,
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exchange='binance',
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open_order_id='123456789',
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amount=30.0,
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fee_open=0.0,
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fee_close=0.0,
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stake_amount=60.0,
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open_date=arrow.utcnow().shift(minutes=-601).datetime,
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is_open=True
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)
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@pytest.fixture
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def saved_hyperopt_results():
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hyperopt_res = [
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@ -2067,7 +2259,7 @@ def saved_hyperopt_results():
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@pytest.fixture(scope='function')
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def limit_buy_order_usdt_open():
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return {
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'id': 'mocked_limit_buy',
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'id': 'mocked_limit_buy_usdt',
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'type': 'limit',
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'side': 'buy',
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'symbol': 'mocked',
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@ -2094,7 +2286,7 @@ def limit_buy_order_usdt(limit_buy_order_usdt_open):
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@pytest.fixture
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||||
def limit_sell_order_usdt_open():
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||||
return {
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||||
'id': 'mocked_limit_sell',
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'id': 'mocked_limit_sell_usdt',
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||||
'type': 'limit',
|
||||
'side': 'sell',
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||||
'pair': 'mocked',
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||||
|
305
tests/conftest_trades_usdt.py
Normal file
305
tests/conftest_trades_usdt.py
Normal file
@ -0,0 +1,305 @@
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||||
from datetime import datetime, timedelta, timezone
|
||||
|
||||
from freqtrade.persistence.models import Order, Trade
|
||||
|
||||
|
||||
MOCK_TRADE_COUNT = 6
|
||||
|
||||
|
||||
def mock_order_usdt_1():
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||||
return {
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'id': '1234',
|
||||
'symbol': 'ADA/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 2.0,
|
||||
'amount': 10.0,
|
||||
'filled': 10.0,
|
||||
'remaining': 0.0,
|
||||
}
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||||
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||||
|
||||
def mock_trade_usdt_1(fee):
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trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
stake_amount=20.0,
|
||||
amount=10.0,
|
||||
amount_requested=10.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
is_open=True,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=17),
|
||||
open_rate=2.0,
|
||||
exchange='binance',
|
||||
open_order_id='dry_run_buy_12345',
|
||||
strategy='StrategyTestV2',
|
||||
timeframe=5,
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_1(), 'ADA/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
||||
|
||||
def mock_order_usdt_2():
|
||||
return {
|
||||
'id': '1235',
|
||||
'symbol': 'ETC/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 2.0,
|
||||
'amount': 100.0,
|
||||
'filled': 100.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_order_usdt_2_sell():
|
||||
return {
|
||||
'id': '12366',
|
||||
'symbol': 'ETC/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'sell',
|
||||
'type': 'limit',
|
||||
'price': 2.05,
|
||||
'amount': 100.0,
|
||||
'filled': 100.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_trade_usdt_2(fee):
|
||||
"""
|
||||
Closed trade...
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETC/USDT',
|
||||
stake_amount=200.0,
|
||||
amount=100.0,
|
||||
amount_requested=100.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_rate=2.0,
|
||||
close_rate=2.05,
|
||||
close_profit=5.0,
|
||||
close_profit_abs=3.9875,
|
||||
exchange='binance',
|
||||
is_open=False,
|
||||
open_order_id='dry_run_sell_12345',
|
||||
strategy='StrategyTestV2',
|
||||
timeframe=5,
|
||||
sell_reason='sell_signal',
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
||||
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_2(), 'ETC/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_2_sell(), 'ETC/USDT', 'sell')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
||||
|
||||
def mock_order_usdt_3():
|
||||
return {
|
||||
'id': '41231a12a',
|
||||
'symbol': 'XRP/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 1.0,
|
||||
'amount': 30.0,
|
||||
'filled': 30.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_order_usdt_3_sell():
|
||||
return {
|
||||
'id': '41231a666a',
|
||||
'symbol': 'XRP/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'sell',
|
||||
'type': 'stop_loss_limit',
|
||||
'price': 1.1,
|
||||
'average': 1.1,
|
||||
'amount': 30.0,
|
||||
'filled': 30.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_trade_usdt_3(fee):
|
||||
"""
|
||||
Closed trade
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='XRP/USDT',
|
||||
stake_amount=30.0,
|
||||
amount=30.0,
|
||||
amount_requested=30.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_rate=1.0,
|
||||
close_rate=1.1,
|
||||
close_profit=10.0,
|
||||
close_profit_abs=9.8425,
|
||||
exchange='binance',
|
||||
is_open=False,
|
||||
strategy='StrategyTestV2',
|
||||
timeframe=5,
|
||||
sell_reason='roi',
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
|
||||
close_date=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_3(), 'XRP/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_3_sell(), 'XRP/USDT', 'sell')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
||||
|
||||
def mock_order_usdt_4():
|
||||
return {
|
||||
'id': 'prod_buy_12345',
|
||||
'symbol': 'ETC/USDT',
|
||||
'status': 'open',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 2.0,
|
||||
'amount': 10.0,
|
||||
'filled': 0.0,
|
||||
'remaining': 30.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_trade_usdt_4(fee):
|
||||
"""
|
||||
Simulate prod entry
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETC/USDT',
|
||||
stake_amount=20.0,
|
||||
amount=10.0,
|
||||
amount_requested=10.01,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=14),
|
||||
is_open=True,
|
||||
open_rate=2.0,
|
||||
exchange='binance',
|
||||
open_order_id='prod_buy_12345',
|
||||
strategy='StrategyTestV2',
|
||||
timeframe=5,
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_4(), 'ETC/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
||||
|
||||
def mock_order_usdt_5():
|
||||
return {
|
||||
'id': 'prod_buy_3455',
|
||||
'symbol': 'XRP/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 2.0,
|
||||
'amount': 10.0,
|
||||
'filled': 10.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_order_usdt_5_stoploss():
|
||||
return {
|
||||
'id': 'prod_stoploss_3455',
|
||||
'symbol': 'XRP/USDT',
|
||||
'status': 'open',
|
||||
'side': 'sell',
|
||||
'type': 'stop_loss_limit',
|
||||
'price': 2.0,
|
||||
'amount': 10.0,
|
||||
'filled': 0.0,
|
||||
'remaining': 30.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_trade_usdt_5(fee):
|
||||
"""
|
||||
Simulate prod entry with stoploss
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='XRP/USDT',
|
||||
stake_amount=20.0,
|
||||
amount=10.0,
|
||||
amount_requested=10.01,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=12),
|
||||
is_open=True,
|
||||
open_rate=2.0,
|
||||
exchange='binance',
|
||||
strategy='SampleStrategy',
|
||||
stoploss_order_id='prod_stoploss_3455',
|
||||
timeframe=5,
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_5(), 'XRP/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_5_stoploss(), 'XRP/USDT', 'stoploss')
|
||||
trade.orders.append(o)
|
||||
return trade
|
||||
|
||||
|
||||
def mock_order_usdt_6():
|
||||
return {
|
||||
'id': 'prod_buy_6',
|
||||
'symbol': 'LTC/USDT',
|
||||
'status': 'closed',
|
||||
'side': 'buy',
|
||||
'type': 'limit',
|
||||
'price': 10.0,
|
||||
'amount': 2.0,
|
||||
'filled': 2.0,
|
||||
'remaining': 0.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_order_usdt_6_sell():
|
||||
return {
|
||||
'id': 'prod_sell_6',
|
||||
'symbol': 'LTC/USDT',
|
||||
'status': 'open',
|
||||
'side': 'sell',
|
||||
'type': 'limit',
|
||||
'price': 12.0,
|
||||
'amount': 2.0,
|
||||
'filled': 0.0,
|
||||
'remaining': 2.0,
|
||||
}
|
||||
|
||||
|
||||
def mock_trade_usdt_6(fee):
|
||||
"""
|
||||
Simulate prod entry with open sell order
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='LTC/USDT',
|
||||
stake_amount=20.0,
|
||||
amount=2.0,
|
||||
amount_requested=2.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=5),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
is_open=True,
|
||||
open_rate=10.0,
|
||||
exchange='binance',
|
||||
strategy='SampleStrategy',
|
||||
open_order_id="prod_sell_6",
|
||||
timeframe=5,
|
||||
)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_6(), 'LTC/USDT', 'buy')
|
||||
trade.orders.append(o)
|
||||
o = Order.parse_from_ccxt_object(mock_order_usdt_6_sell(), 'LTC/USDT', 'sell')
|
||||
trade.orders.append(o)
|
||||
return trade
|
@ -327,5 +327,8 @@ def test_fill_leverage_brackets_kraken(default_conf, mocker):
|
||||
'LTC/USDT': [1],
|
||||
'LTC/USD': [1],
|
||||
'XLTCUSDT': [1],
|
||||
'LTC/ETH': [1]
|
||||
'LTC/ETH': [1],
|
||||
'NEO/USDT': [1],
|
||||
'TKN/USDT': [1],
|
||||
'XRP/USDT': [1]
|
||||
}
|
||||
|
@ -39,16 +39,25 @@ def hyperopt(hyperopt_conf, mocker):
|
||||
def hyperopt_results():
|
||||
return pd.DataFrame(
|
||||
{
|
||||
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
|
||||
'profit_ratio': [-0.1, 0.2, 0.3],
|
||||
'profit_abs': [-0.2, 0.4, 0.6],
|
||||
'trade_duration': [10, 30, 10],
|
||||
'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.ROI],
|
||||
'pair': ['ETH/USDT', 'ETH/USDT', 'ETH/USDT', 'ETH/USDT'],
|
||||
'profit_ratio': [-0.1, 0.2, -0.1, 0.3],
|
||||
'profit_abs': [-0.2, 0.4, -0.2, 0.6],
|
||||
'trade_duration': [10, 30, 10, 10],
|
||||
'amount': [0.1, 0.1, 0.1, 0.1],
|
||||
'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.STOP_LOSS, SellType.ROI],
|
||||
'open_date':
|
||||
[
|
||||
datetime(2019, 1, 1, 9, 15, 0),
|
||||
datetime(2019, 1, 2, 8, 55, 0),
|
||||
datetime(2019, 1, 3, 9, 15, 0),
|
||||
datetime(2019, 1, 4, 9, 15, 0),
|
||||
],
|
||||
'close_date':
|
||||
[
|
||||
datetime(2019, 1, 1, 9, 26, 3, 478039),
|
||||
datetime(2019, 2, 1, 9, 26, 3, 478039),
|
||||
datetime(2019, 3, 1, 9, 26, 3, 478039)
|
||||
]
|
||||
datetime(2019, 1, 1, 9, 25, 0),
|
||||
datetime(2019, 1, 2, 9, 25, 0),
|
||||
datetime(2019, 1, 3, 9, 25, 0),
|
||||
datetime(2019, 1, 4, 9, 25, 0),
|
||||
],
|
||||
}
|
||||
)
|
||||
|
@ -35,6 +35,7 @@ def test_hyperoptlossresolver_wrongname(default_conf) -> None:
|
||||
|
||||
|
||||
def test_loss_calculation_prefer_correct_trade_count(hyperopt_conf, hyperopt_results) -> None:
|
||||
hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"})
|
||||
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
|
||||
correct = hl.hyperopt_loss_function(hyperopt_results, 600,
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
@ -50,6 +51,7 @@ def test_loss_calculation_prefer_shorter_trades(hyperopt_conf, hyperopt_results)
|
||||
resultsb = hyperopt_results.copy()
|
||||
resultsb.loc[1, 'trade_duration'] = 20
|
||||
|
||||
hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"})
|
||||
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
|
||||
longer = hl.hyperopt_loss_function(hyperopt_results, 100,
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
@ -64,6 +66,7 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"})
|
||||
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
|
||||
correct = hl.hyperopt_loss_function(hyperopt_results, 600,
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
@ -75,91 +78,28 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
|
||||
assert under > correct
|
||||
|
||||
|
||||
def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
|
||||
results_over = hyperopt_results.copy()
|
||||
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
|
||||
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(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
assert over < correct
|
||||
assert under > correct
|
||||
|
||||
|
||||
def test_sharpe_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None:
|
||||
results_over = hyperopt_results.copy()
|
||||
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLossDaily'})
|
||||
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(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
assert over < correct
|
||||
assert under > correct
|
||||
|
||||
|
||||
def test_sortino_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
|
||||
results_over = hyperopt_results.copy()
|
||||
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
default_conf.update({'hyperopt_loss': 'SortinoHyperOptLoss'})
|
||||
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(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
assert over < correct
|
||||
assert under > correct
|
||||
|
||||
|
||||
def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None:
|
||||
results_over = hyperopt_results.copy()
|
||||
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
default_conf.update({'hyperopt_loss': 'SortinoHyperOptLossDaily'})
|
||||
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(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
assert over < correct
|
||||
assert under > correct
|
||||
|
||||
|
||||
def test_onlyprofit_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
|
||||
@pytest.mark.parametrize('lossfunction', [
|
||||
"OnlyProfitHyperOptLoss",
|
||||
"SortinoHyperOptLoss",
|
||||
"SortinoHyperOptLossDaily",
|
||||
"SharpeHyperOptLoss",
|
||||
"SharpeHyperOptLossDaily",
|
||||
])
|
||||
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
|
||||
results_over = hyperopt_results.copy()
|
||||
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2
|
||||
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
|
||||
results_under = hyperopt_results.copy()
|
||||
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2
|
||||
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
|
||||
|
||||
default_conf.update({'hyperopt_loss': 'OnlyProfitHyperOptLoss'})
|
||||
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(hyperopt_results),
|
||||
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(hyperopt_results),
|
||||
under = hl.hyperopt_loss_function(results_under, len(results_under),
|
||||
datetime(2019, 1, 1), datetime(2019, 5, 1))
|
||||
assert over < correct
|
||||
assert under > correct
|
||||
|
@ -1011,7 +1011,7 @@ def test_rpc_blacklist(mocker, default_conf) -> None:
|
||||
assert len(ret['blacklist']) == 4
|
||||
assert ret['blacklist'] == default_conf['exchange']['pair_blacklist']
|
||||
assert ret['blacklist'] == ['DOGE/BTC', 'HOT/BTC', 'ETH/BTC', 'XRP/.*']
|
||||
assert ret['blacklist_expanded'] == ['ETH/BTC', 'XRP/BTC']
|
||||
assert ret['blacklist_expanded'] == ['ETH/BTC', 'XRP/BTC', 'XRP/USDT']
|
||||
assert 'errors' in ret
|
||||
assert isinstance(ret['errors'], dict)
|
||||
|
||||
|
@ -937,7 +937,7 @@ def test_api_blacklist(botclient, mocker):
|
||||
data='{"blacklist": ["XRP/.*"]}')
|
||||
assert_response(rc)
|
||||
assert rc.json() == {"blacklist": ["DOGE/BTC", "HOT/BTC", "ETH/BTC", "XRP/.*"],
|
||||
"blacklist_expanded": ["ETH/BTC", "XRP/BTC"],
|
||||
"blacklist_expanded": ["ETH/BTC", "XRP/BTC", "XRP/USDT"],
|
||||
"length": 4,
|
||||
"method": ["StaticPairList"],
|
||||
"errors": {},
|
||||
|
@ -9,13 +9,13 @@ from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute,
|
||||
timeframe_to_minutes)
|
||||
|
||||
|
||||
def generate_test_data(timeframe: str, size: int):
|
||||
def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'):
|
||||
np.random.seed(42)
|
||||
tf_mins = timeframe_to_minutes(timeframe)
|
||||
|
||||
base = np.random.normal(20, 2, size=size)
|
||||
|
||||
date = pd.period_range('2020-07-05', periods=size, freq=f'{tf_mins}min').to_timestamp()
|
||||
date = pd.date_range(start, periods=size, freq=f'{tf_mins}min', tz='UTC')
|
||||
df = pd.DataFrame({
|
||||
'date': date,
|
||||
'open': base,
|
||||
|
File diff suppressed because it is too large
Load Diff
Loading…
Reference in New Issue
Block a user