Update SellType to ExitType
This commit is contained in:
@@ -3,7 +3,7 @@ from typing import Dict, List, NamedTuple, Optional
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import arrow
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from pandas import DataFrame
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from freqtrade.enums import SellType
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from freqtrade.enums import ExitType
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from freqtrade.exchange import timeframe_to_minutes
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@@ -15,7 +15,7 @@ class BTrade(NamedTuple):
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"""
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Minimalistic Trade result used for functional backtesting
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"""
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sell_reason: SellType
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sell_reason: ExitType
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open_tick: int
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close_tick: int
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enter_tag: Optional[str] = None
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@@ -5,7 +5,7 @@ from pathlib import Path
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import pandas as pd
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import pytest
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from freqtrade.enums import RunMode, SellType
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from freqtrade.enums import RunMode, ExitType
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from freqtrade.optimize.hyperopt import Hyperopt
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from tests.conftest import patch_exchange
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@@ -44,7 +44,7 @@ def hyperopt_results():
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'profit_abs': [-0.2, 0.4, -0.2, 0.6],
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'trade_duration': [10, 30, 10, 10],
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'amount': [0.1, 0.1, 0.1, 0.1],
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'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.STOP_LOSS, SellType.ROI],
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'sell_reason': [ExitType.STOP_LOSS, ExitType.ROI, ExitType.STOP_LOSS, ExitType.ROI],
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'open_date':
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[
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datetime(2019, 1, 1, 9, 15, 0),
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@@ -5,7 +5,7 @@ from unittest.mock import MagicMock
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import pytest
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from freqtrade.data.history import get_timerange
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from freqtrade.enums import SellType
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from freqtrade.enums import ExitType
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from freqtrade.optimize.backtesting import Backtesting
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from tests.conftest import patch_exchange
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from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
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@@ -23,7 +23,7 @@ tc0 = BTContainer(data=[
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[4, 5010, 5011, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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# Test 1: Stop-Loss Triggered 1% loss
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@@ -37,7 +37,7 @@ tc1 = BTContainer(data=[
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[4, 4977, 4995, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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@@ -52,7 +52,7 @@ tc2 = BTContainer(data=[
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
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)
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@@ -72,8 +72,8 @@ tc3 = BTContainer(data=[
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[5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit
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[6, 4950, 4975, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2),
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2),
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BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=4, close_tick=5)]
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)
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# Test 4: Minus 3% / recovery +15%
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@@ -89,7 +89,7 @@ tc4 = BTContainer(data=[
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
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@@ -103,7 +103,7 @@ tc5 = BTContainer(data=[
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[4, 4962, 4987, 4962, 4972, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
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@@ -117,7 +117,7 @@ tc6 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
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@@ -131,7 +131,7 @@ tc7 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
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)
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@@ -145,7 +145,7 @@ tc8 = BTContainer(data=[
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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@@ -159,7 +159,7 @@ tc9 = BTContainer(data=[
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[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 10: trailing_stop should raise so candle 3 causes a stoploss
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@@ -175,7 +175,7 @@ tc10 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=4)]
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)
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# Test 11: trailing_stop should raise so candle 3 causes a stoploss
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@@ -191,7 +191,7 @@ tc11 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
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@@ -207,7 +207,7 @@ tc12 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 13: Buy and sell ROI on same candle
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@@ -220,7 +220,7 @@ tc13 = BTContainer(data=[
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[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4750, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1)]
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)
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# Test 14 - Buy and Stoploss on same candle
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@@ -233,7 +233,7 @@ tc14 = BTContainer(data=[
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[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
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)
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@@ -247,8 +247,8 @@ tc15 = BTContainer(data=[
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[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1),
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BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=2, close_tick=2)]
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)
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# Test 16: Buy, hold for 65 min, then forcesell using roi=-1
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@@ -263,7 +263,7 @@ tc16 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 17: Buy, hold for 120 mins, then forcesell using roi=-1
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@@ -279,7 +279,7 @@ tc17 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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@@ -295,7 +295,7 @@ tc18 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
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@@ -310,7 +310,7 @@ tc19 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4550, 4975, 4550, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
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@@ -325,7 +325,7 @@ tc20 = BTContainer(data=[
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[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
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[5, 4925, 4975, 4925, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 21: trailing_stop ROI collision.
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@@ -342,7 +342,7 @@ tc21 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
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)
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# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time.
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@@ -358,7 +358,7 @@ tc22 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
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)
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@@ -375,7 +375,7 @@ tc22s = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2, is_short=True)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2, is_short=True)]
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)
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# Test 23: trailing_stop Raises in candle 2 (does not trigger)
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@@ -394,7 +394,7 @@ tc23 = BTContainer(data=[
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stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 24: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
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@@ -409,7 +409,7 @@ tc24 = BTContainer(data=[
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[4, 5010, 5010, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
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trades=[BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
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@@ -424,7 +424,7 @@ tc25 = BTContainer(data=[
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[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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# Test 25l: (copy of test25 with leverage)
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@@ -441,7 +441,7 @@ tc25l = BTContainer(data=[
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
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stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
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leverage=5.0,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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# Test 25s: (copy of test25 with leverage and as short)
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@@ -458,7 +458,7 @@ tc25s = BTContainer(data=[
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[5, 4995, 4995, 4950, 4950, 6172, 0, 0, 0, 0]],
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stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
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leverage=5.0,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
|
||||
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
|
||||
)
|
||||
# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
|
||||
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
|
||||
@@ -472,7 +472,7 @@ tc26 = BTContainer(data=[
|
||||
[4, 5010, 5010, 4855, 4995, 6172, 0, 0],
|
||||
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||||
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=3)]
|
||||
)
|
||||
|
||||
# Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
|
||||
@@ -486,7 +486,7 @@ tc27 = BTContainer(data=[
|
||||
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
|
||||
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.002, use_sell_signal=True,
|
||||
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
|
||||
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=4)]
|
||||
)
|
||||
|
||||
# Test 28: trailing_stop should raise so candle 3 causes a stoploss
|
||||
@@ -503,7 +503,7 @@ tc28 = BTContainer(data=[
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
|
||||
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
|
||||
)
|
||||
|
||||
# Test 28s: trailing_stop should raise so candle 3 causes a stoploss
|
||||
@@ -521,7 +521,7 @@ tc28s = BTContainer(data=[
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||||
trailing_stop_positive=0.03,
|
||||
trades=[
|
||||
BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
|
||||
BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3, is_short=True)
|
||||
]
|
||||
)
|
||||
|
||||
@@ -537,7 +537,7 @@ tc29 = BTContainer(data=[
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
|
||||
trailing_stop_positive=0.03,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
|
||||
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
|
||||
)
|
||||
|
||||
# Test 30: trailing_stop should be triggered immediately on trade open candle.
|
||||
@@ -551,7 +551,7 @@ tc30 = BTContainer(data=[
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
|
||||
trailing_stop_positive=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
)
|
||||
|
||||
# Test 31: trailing_stop should be triggered immediately on trade open candle.
|
||||
@@ -566,7 +566,7 @@ tc31 = BTContainer(data=[
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
)
|
||||
|
||||
# Test 32: trailing_stop should be triggered immediately on trade open candle.
|
||||
@@ -581,7 +581,7 @@ tc32 = BTContainer(data=[
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01, use_custom_stoploss=True,
|
||||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
trades=[BTrade(sell_reason=ExitType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
|
||||
)
|
||||
|
||||
# Test 33: trailing_stop should be triggered immediately on trade open candle.
|
||||
@@ -597,7 +597,7 @@ tc33 = BTContainer(data=[
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01, use_custom_stoploss=True,
|
||||
trades=[BTrade(
|
||||
sell_reason=SellType.TRAILING_STOP_LOSS,
|
||||
sell_reason=ExitType.TRAILING_STOP_LOSS,
|
||||
open_tick=1,
|
||||
close_tick=1,
|
||||
enter_tag='buy_signal_01'
|
||||
@@ -617,7 +617,7 @@ tc33s = BTContainer(data=[
|
||||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
|
||||
trailing_stop_positive=0.01, use_custom_stoploss=True,
|
||||
trades=[BTrade(
|
||||
sell_reason=SellType.TRAILING_STOP_LOSS,
|
||||
sell_reason=ExitType.TRAILING_STOP_LOSS,
|
||||
open_tick=1,
|
||||
close_tick=1,
|
||||
enter_tag='short_signal_01',
|
||||
@@ -647,7 +647,7 @@ tc35 = BTContainer(data=[
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
|
||||
custom_entry_price=7200, trades=[
|
||||
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
|
||||
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)
|
||||
])
|
||||
|
||||
# Test 35s: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
|
||||
@@ -661,7 +661,7 @@ tc35s = BTContainer(data=[
|
||||
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
|
||||
custom_entry_price=4000,
|
||||
trades=[
|
||||
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
|
||||
BTrade(sell_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1, is_short=True)
|
||||
]
|
||||
)
|
||||
|
||||
@@ -678,7 +678,7 @@ tc36 = BTContainer(data=[
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
|
||||
custom_entry_price=4952,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
|
||||
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=2)]
|
||||
)
|
||||
|
||||
# Test 37: Custom-entry-price around candle low
|
||||
@@ -693,7 +693,7 @@ tc37 = BTContainer(data=[
|
||||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||||
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
|
||||
custom_entry_price=4952,
|
||||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
|
||||
trades=[BTrade(sell_reason=ExitType.ROI, open_tick=1, close_tick=1)]
|
||||
)
|
||||
|
||||
# Test 38: Custom exit price below all candles
|
||||
@@ -708,7 +708,7 @@ tc38 = BTContainer(data=[
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01,
|
||||
use_sell_signal=True,
|
||||
custom_exit_price=4552,
|
||||
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=3)]
|
||||
trades=[BTrade(sell_reason=ExitType.SELL_SIGNAL, open_tick=1, close_tick=3)]
|
||||
)
|
||||
|
||||
# Test 39: Custom exit price above all candles
|
||||
@@ -723,7 +723,7 @@ tc39 = BTContainer(data=[
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
|
||||
use_sell_signal=True,
|
||||
custom_exit_price=6052,
|
||||
trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)]
|
||||
trades=[BTrade(sell_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4)]
|
||||
)
|
||||
|
||||
# Test 39: Custom short exit price above below candles
|
||||
@@ -738,7 +738,7 @@ tc39a = BTContainer(data=[
|
||||
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
|
||||
use_sell_signal=True,
|
||||
custom_exit_price=4700,
|
||||
trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4, is_short=True)]
|
||||
trades=[BTrade(sell_reason=ExitType.FORCE_SELL, open_tick=1, close_tick=4, is_short=True)]
|
||||
)
|
||||
|
||||
# Test 40: Colliding long and short signal
|
||||
|
@@ -19,7 +19,7 @@ from freqtrade.data.btanalysis import BT_DATA_COLUMNS, evaluate_result_multi
|
||||
from freqtrade.data.converter import clean_ohlcv_dataframe
|
||||
from freqtrade.data.dataprovider import DataProvider
|
||||
from freqtrade.data.history import get_timerange
|
||||
from freqtrade.enums import RunMode, SellType
|
||||
from freqtrade.enums import RunMode, ExitType
|
||||
from freqtrade.exceptions import DependencyException, OperationalException
|
||||
from freqtrade.exchange.exchange import timeframe_to_next_date
|
||||
from freqtrade.misc import get_strategy_run_id
|
||||
@@ -713,7 +713,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
|
||||
# No data available.
|
||||
res = backtesting._get_sell_trade_entry(trade, row_sell)
|
||||
assert res is not None
|
||||
assert res.sell_reason == SellType.ROI.value
|
||||
assert res.sell_reason == ExitType.ROI.value
|
||||
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
|
||||
|
||||
# Enter new trade
|
||||
@@ -732,7 +732,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
|
||||
|
||||
res = backtesting._get_sell_trade_entry(trade, row_sell)
|
||||
assert res is not None
|
||||
assert res.sell_reason == SellType.ROI.value
|
||||
assert res.sell_reason == ExitType.ROI.value
|
||||
# Sell at minute 3 (not available above!)
|
||||
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
|
||||
sell_order = res.select_order('sell', True)
|
||||
@@ -781,7 +781,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
|
||||
'trade_duration': [235, 40],
|
||||
'profit_ratio': [0.0, 0.0],
|
||||
'profit_abs': [0.0, 0.0],
|
||||
'sell_reason': [SellType.ROI.value, SellType.ROI.value],
|
||||
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value],
|
||||
'initial_stop_loss_abs': [0.0940005, 0.09272236],
|
||||
'initial_stop_loss_ratio': [-0.1, -0.1],
|
||||
'stop_loss_abs': [0.0940005, 0.09272236],
|
||||
@@ -1219,7 +1219,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
|
||||
'close_rate': [0.104969, 0.103541],
|
||||
"is_short": [False, False],
|
||||
|
||||
'sell_reason': [SellType.ROI, SellType.ROI]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI]
|
||||
})
|
||||
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
|
||||
'profit_ratio': [0.03, 0.01, 0.1],
|
||||
@@ -1237,7 +1237,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
|
||||
'open_rate': [0.104445, 0.10302485, 0.122541],
|
||||
'close_rate': [0.104969, 0.103541, 0.123541],
|
||||
"is_short": [False, False, False],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
|
||||
})
|
||||
backtestmock = MagicMock(side_effect=[
|
||||
{
|
||||
@@ -1337,7 +1337,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
|
||||
'stake_amount': [0.01, 0.01],
|
||||
'open_rate': [0.104445, 0.10302485],
|
||||
'close_rate': [0.104969, 0.103541],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI]
|
||||
})
|
||||
result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
|
||||
'profit_ratio': [0.03, 0.01, 0.1],
|
||||
@@ -1355,7 +1355,7 @@ def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
|
||||
'stake_amount': [0.01, 0.01, 0.01],
|
||||
'open_rate': [0.104445, 0.10302485, 0.122541],
|
||||
'close_rate': [0.104969, 0.103541, 0.123541],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
|
||||
})
|
||||
backtestmock = MagicMock(side_effect=[
|
||||
{
|
||||
@@ -1440,7 +1440,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
|
||||
'stake_amount': [0.01, 0.01],
|
||||
'open_rate': [0.104445, 0.10302485],
|
||||
'close_rate': [0.104969, 0.103541],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI]
|
||||
})
|
||||
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
|
||||
'profit_ratio': [0.03, 0.01, 0.1],
|
||||
@@ -1458,7 +1458,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
|
||||
'stake_amount': [0.01, 0.01, 0.01],
|
||||
'open_rate': [0.104445, 0.10302485, 0.122541],
|
||||
'close_rate': [0.104969, 0.103541, 0.123541],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
|
||||
})
|
||||
backtestmock = MagicMock(side_effect=[
|
||||
{
|
||||
|
@@ -8,7 +8,7 @@ from arrow import Arrow
|
||||
from freqtrade.configuration import TimeRange
|
||||
from freqtrade.data import history
|
||||
from freqtrade.data.history import get_timerange
|
||||
from freqtrade.enums import SellType
|
||||
from freqtrade.enums import ExitType
|
||||
from freqtrade.optimize.backtesting import Backtesting
|
||||
from tests.conftest import patch_exchange
|
||||
|
||||
@@ -60,7 +60,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
|
||||
'trade_duration': [200, 40],
|
||||
'profit_ratio': [0.0, 0.0],
|
||||
'profit_abs': [0.0, 0.0],
|
||||
'sell_reason': [SellType.ROI.value, SellType.ROI.value],
|
||||
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value],
|
||||
'initial_stop_loss_abs': [0.0940005, 0.09272236],
|
||||
'initial_stop_loss_ratio': [-0.1, -0.1],
|
||||
'stop_loss_abs': [0.0940005, 0.09272236],
|
||||
|
@@ -10,7 +10,7 @@ from filelock import Timeout
|
||||
|
||||
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_hyperopt
|
||||
from freqtrade.data.history import load_data
|
||||
from freqtrade.enums import RunMode, SellType
|
||||
from freqtrade.enums import RunMode, ExitType
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.optimize.hyperopt import Hyperopt
|
||||
from freqtrade.optimize.hyperopt_auto import HyperOptAuto
|
||||
@@ -357,8 +357,8 @@ def test_hyperopt_format_results(hyperopt):
|
||||
"is_open": [False, False, False, True],
|
||||
"is_short": [False, False, False, False],
|
||||
"stake_amount": [0.01, 0.01, 0.01, 0.01],
|
||||
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
|
||||
SellType.ROI, SellType.FORCE_SELL]
|
||||
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
|
||||
ExitType.ROI, ExitType.FORCE_SELL]
|
||||
}),
|
||||
'config': hyperopt.config,
|
||||
'locks': [],
|
||||
@@ -428,8 +428,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
|
||||
"is_open": [False, False, False, True],
|
||||
"is_short": [False, False, False, False],
|
||||
"stake_amount": [0.01, 0.01, 0.01, 0.01],
|
||||
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
|
||||
SellType.ROI, SellType.FORCE_SELL]
|
||||
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
|
||||
ExitType.ROI, ExitType.FORCE_SELL]
|
||||
}),
|
||||
'config': hyperopt_conf,
|
||||
'locks': [],
|
||||
|
@@ -12,7 +12,7 @@ from freqtrade.data import history
|
||||
from freqtrade.data.btanalysis import (get_latest_backtest_filename, load_backtest_data,
|
||||
load_backtest_stats)
|
||||
from freqtrade.edge import PairInfo
|
||||
from freqtrade.enums import SellType
|
||||
from freqtrade.enums import ExitType
|
||||
from freqtrade.optimize.optimize_reports import (_get_resample_from_period, generate_backtest_stats,
|
||||
generate_daily_stats, generate_edge_table,
|
||||
generate_pair_metrics,
|
||||
@@ -77,8 +77,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
|
||||
"is_open": [False, False, False, True],
|
||||
"is_short": [False, False, False, False],
|
||||
"stake_amount": [0.01, 0.01, 0.01, 0.01],
|
||||
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
|
||||
SellType.ROI, SellType.FORCE_SELL]
|
||||
"sell_reason": [ExitType.ROI, ExitType.STOP_LOSS,
|
||||
ExitType.ROI, ExitType.FORCE_SELL]
|
||||
}),
|
||||
'config': default_conf,
|
||||
'locks': [],
|
||||
@@ -129,8 +129,8 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
|
||||
"is_open": [False, False, False, True],
|
||||
"is_short": [False, False, False, False],
|
||||
"stake_amount": [0.01, 0.01, 0.01, 0.01],
|
||||
"sell_reason": [SellType.ROI, SellType.ROI,
|
||||
SellType.STOP_LOSS, SellType.FORCE_SELL]
|
||||
"sell_reason": [ExitType.ROI, ExitType.ROI,
|
||||
ExitType.STOP_LOSS, ExitType.FORCE_SELL]
|
||||
}),
|
||||
'config': default_conf,
|
||||
'locks': [],
|
||||
@@ -276,7 +276,7 @@ def test_text_table_sell_reason():
|
||||
'wins': [2, 0, 0],
|
||||
'draws': [0, 0, 0],
|
||||
'losses': [0, 0, 1],
|
||||
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
|
||||
'sell_reason': [ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS]
|
||||
}
|
||||
)
|
||||
|
||||
@@ -308,7 +308,7 @@ def test_generate_sell_reason_stats():
|
||||
'wins': [2, 0, 0],
|
||||
'draws': [0, 0, 0],
|
||||
'losses': [0, 0, 1],
|
||||
'sell_reason': [SellType.ROI.value, SellType.ROI.value, SellType.STOP_LOSS.value]
|
||||
'sell_reason': [ExitType.ROI.value, ExitType.ROI.value, ExitType.STOP_LOSS.value]
|
||||
}
|
||||
)
|
||||
|
||||
|
Reference in New Issue
Block a user