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Edge tests template refactored to be more readable

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This commit is contained in:
misagh 2018-10-25 16:59:05 +02:00
parent c5474794d1
commit dfeabcf7e5
1 changed files with 51 additions and 40 deletions
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91
freqtrade/tests/edge/test_edge.py
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@ -10,7 +10,7 @@ from unittest.mock import MagicMock
# Cases to be tested:
# SELL POINTS:
# 1) Three complete trades within dataframe (with sell hit for all)
# 1) Two complete trades within dataframe (with sell hit for all)
# 2) Two complete trades but one without sell hit (remains open)
# 3) Two complete trades and one buy signal while one trade is open
# 4) Two complete trades with buy=1 on the last frame
@ -26,7 +26,8 @@ from unittest.mock import MagicMock
####################################################################
ticker_start_time = arrow.get(2018, 10, 3)
ticker_interval_in_minute = 5
ticker_interval_in_minute = 60
_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
def test_filter(mocker, default_conf):
@ -72,7 +73,7 @@ def _build_dataframe(buy_ohlc_sell_matrice):
for ohlc in buy_ohlc_sell_matrice:
ticker = {
# ticker every 5 min
'date': ticker_start_time.shift(minutes=(ohlc[0] * 5)).timestamp * 1000,
'date': ticker_start_time.shift(minutes=(ohlc[0] * ticker_interval_in_minute)).timestamp * 1000,
'buy': ohlc[1],
'open': ohlc[2],
'high': ohlc[3],
@ -90,6 +91,9 @@ def _build_dataframe(buy_ohlc_sell_matrice):
return frame
def _time_on_candle(number):
return np.datetime64(ticker_start_time.shift(
minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
def test_edge_heartbeat_calculate(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
@ -110,7 +114,7 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
ETHBTC = [
[
ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
math.sin(x * hz) / 1000 + base, # But replace O,H,L,C
math.sin(x * hz) / 1000 + base,
math.sin(x * hz) / 1000 + base + 0.0001,
math.sin(x * hz) / 1000 + base - 0.0001,
math.sin(x * hz) / 1000 + base,
@ -122,7 +126,7 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
LTCBTC = [
[
ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
math.sin(x * hz) / 1000 + base, # But replace O,H,L,C
math.sin(x * hz) / 1000 + base,
math.sin(x * hz) / 1000 + base + 0.0001,
math.sin(x * hz) / 1000 + base - 0.0001,
math.sin(x * hz) / 1000 + base,
@ -205,51 +209,58 @@ def test_process_expectancy(mocker, default_conf):
# TODO: check expectancy + win rate etc
def test_three_complete_trades(mocker, default_conf):
def test_remove_open_trade_at_the_end(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.90 # we don't want stoploss to be hit in this test
three_sell_points_hit = [
# Date, Buy, O, H, L, C, Sell
[1, 1, 15, 20, 12, 17, 0], # -> should enter the trade
[2, 0, 17, 18, 13, 14, 1], # -> should sell (trade 1 completed)
[3, 0, 14, 15, 11, 12, 0], # -> no action
[4, 1, 12, 25, 11, 20, 0], # -> should enter the trade
[5, 0, 20, 30, 19, 25, 1], # -> should sell (trade 2 completed)
[6, 1, 25, 27, 22, 26, 1], # -> buy and sell, should enter the trade
[7, 0, 26, 36, 25, 35, 1], # -> should sell (trade 3 completed)
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
#D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
#D, B, O, H, L, C, S
[3, 1, 12, 25, 11, 20, 0], # ->
[4, 0, 20, 30, 19, 25, 1], # -> should enter the trade
]
ticker_df = _build_dataframe(three_sell_points_hit)
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Three trades must have occured
assert len(trades) == 3
# No trade should be found
assert len(trades) == 0
# First trade check
# open time should be on line 1
assert trades[0]['open_time'] == np.datetime64(ticker_start_time.shift(
minutes=(1 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
def test_two_complete_trades(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
# close time should be on line 2
assert trades[0]['close_time'] == np.datetime64(ticker_start_time.shift(
minutes=(2 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
#D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
#D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle
[2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle
[3, 1, 12, 25, 11, 20, 0], # -> no action
[4, 0, 20, 30, 19, 25, 0], # -> should enter the trade
[5, 0, 25, 27, 22, 26, 1], # -> no action
[6, 0, 26, 36, 25, 35, 0], # -> should sell
]
# Second trade check
# open time should be on line 4
assert trades[1]['open_time'] == np.datetime64(ticker_start_time.shift(
minutes=(4 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
ticker_df = _build_dataframe(ticker)
ticker_df.to_json('/Users/misaghshakeri/Projects/freq/misagh/bslap_test_df.json')
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# close time should be on line 5
assert trades[1]['close_time'] == np.datetime64(ticker_start_time.shift(
minutes=(5 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
# Two trades must have occured
assert len(trades) == 2
# Third trade check
# open time should be on line 6
assert trades[2]['open_time'] == np.datetime64(ticker_start_time.shift(
minutes=(6 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
################### First trade check ########################
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == ticker[2][_ohlc['open']]
##############################################################
# close time should be on line 7
assert trades[2]['close_time'] == np.datetime64(ticker_start_time.shift(
minutes=(7 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
################### Second trade check ########################
assert trades[1]['open_time'] == _time_on_candle(4)
assert trades[1]['close_time'] == _time_on_candle(6)
assert trades[1]['open_rate'] == ticker[4][_ohlc['open']]
assert trades[1]['close_rate'] == ticker[6][_ohlc['open']]
##############################################################