Matthias
GitHub
191
tests/data/test_entryexitanalysis.py
Executable file
191
tests/data/test_entryexitanalysis.py
Executable file
@@ -0,0 +1,191 @@
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import logging
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from unittest.mock import MagicMock, PropertyMock
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import pandas as pd
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import pytest
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from freqtrade.commands.analyze_commands import start_analysis_entries_exits
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from freqtrade.commands.optimize_commands import start_backtesting
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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 get_args, patch_exchange, patched_configuration_load_config_file
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@pytest.fixture(autouse=True)
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def entryexitanalysis_cleanup() -> None:
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yield None
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Backtesting.cleanup()
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def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmpdir, capsys):
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caplog.set_level(logging.INFO)
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default_conf.update({
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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})
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patch_exchange(mocker)
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result1 = pd.DataFrame({'pair': ['ETH/BTC', 'LTC/BTC', 'ETH/BTC', 'LTC/BTC'],
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'profit_ratio': [0.025, 0.05, -0.1, -0.05],
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'profit_abs': [0.5, 2.0, -4.0, -2.0],
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'open_date': pd.to_datetime(['2018-01-29 18:40:00',
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'2018-01-30 03:30:00',
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'2018-01-30 08:10:00',
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'2018-01-31 13:30:00', ], utc=True
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),
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'close_date': pd.to_datetime(['2018-01-29 20:45:00',
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'2018-01-30 05:35:00',
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'2018-01-30 09:10:00',
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'2018-01-31 15:00:00', ], utc=True),
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'trade_duration': [235, 40, 60, 90],
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'is_open': [False, False, False, False],
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'stake_amount': [0.01, 0.01, 0.01, 0.01],
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'open_rate': [0.104445, 0.10302485, 0.10302485, 0.10302485],
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'close_rate': [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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'enter_tag': ["enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b"],
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'exit_reason': [ExitType.ROI,
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ExitType.EXIT_SIGNAL,
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ExitType.STOP_LOSS,
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ExitType.TRAILING_STOP_LOSS]
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})
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backtestmock = MagicMock(side_effect=[
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{
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'results': result1,
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'config': default_conf,
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'locks': [],
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'rejected_signals': 20,
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'timedout_entry_orders': 0,
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'timedout_exit_orders': 0,
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'canceled_trade_entries': 0,
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'canceled_entry_orders': 0,
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'replaced_entry_orders': 0,
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'final_balance': 1000,
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}
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])
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['ETH/BTC', 'LTC/BTC', 'DASH/BTC']))
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mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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'backtesting',
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'--config', 'config.json',
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'--datadir', str(testdatadir),
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'--user-data-dir', str(tmpdir),
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'--timeframe', '5m',
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'--timerange', '1515560100-1517287800',
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'--export', 'signals',
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'--cache', 'none',
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert 'BACKTESTING REPORT' in captured.out
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assert 'EXIT REASON STATS' in captured.out
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assert 'LEFT OPEN TRADES REPORT' in captured.out
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base_args = [
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'backtesting-analysis',
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'--config', 'config.json',
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'--datadir', str(testdatadir),
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'--user-data-dir', str(tmpdir),
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]
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# test group 0 and indicator list
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args = get_args(base_args +
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['--analysis-groups', "0",
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'--indicator-list', "close", "rsi", "profit_abs"]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert '0.5' in captured.out
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assert '-4' in captured.out
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assert '-2' in captured.out
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assert '-3.5' in captured.out
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assert '50' in captured.out
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assert '0' in captured.out
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assert '0.01616' in captured.out
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assert '34.049' in captured.out
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assert '0.104104' in captured.out
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assert '47.0996' in captured.out
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# test group 1
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args = get_args(base_args + ['--analysis-groups', "1"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-3.5' in captured.out
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assert '-1.75' in captured.out
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assert '-7.5' in captured.out
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assert '-3.75' in captured.out
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assert '0' in captured.out
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# test group 2
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args = get_args(base_args + ['--analysis-groups', "2"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-10' in captured.out
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assert '-5' in captured.out
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assert '2.5' in captured.out
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# test group 3
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args = get_args(base_args + ['--analysis-groups', "3"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-7.5' in captured.out
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assert '-3.75' in captured.out
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assert '-1.75' in captured.out
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assert '0' in captured.out
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assert '2' in captured.out
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# test group 4
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args = get_args(base_args + ['--analysis-groups', "4"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-10' in captured.out
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assert '-5' in captured.out
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assert '-4' in captured.out
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assert '0.5' in captured.out
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assert '1' in captured.out
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assert '2.5' in captured.out
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@@ -1384,12 +1384,14 @@ def test_api_strategies(botclient):
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rc = client_get(client, f"{BASE_URI}/strategies")
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assert_response(rc)
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assert rc.json() == {'strategies': [
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'HyperoptableStrategy',
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'InformativeDecoratorTest',
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'StrategyTestV2',
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'StrategyTestV3',
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'StrategyTestV3Futures',
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'StrategyTestV3Analysis',
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'StrategyTestV3Futures'
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]}
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175
tests/strategy/strats/strategy_test_v3_analysis.py
Normal file
175
tests/strategy/strats/strategy_test_v3_analysis.py
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# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
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import talib.abstract as ta
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from pandas import DataFrame
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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from freqtrade.strategy import (BooleanParameter, DecimalParameter, IntParameter, IStrategy,
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RealParameter)
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class StrategyTestV3Analysis(IStrategy):
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"""
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Strategy used by tests freqtrade bot.
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Please do not modify this strategy, it's intended for internal use only.
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Please look at the SampleStrategy in the user_data/strategy directory
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or strategy repository https://github.com/freqtrade/freqtrade-strategies
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for samples and inspiration.
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"""
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INTERFACE_VERSION = 3
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# Minimal ROI designed for the strategy
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minimal_roi = {
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"40": 0.0,
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"30": 0.01,
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"20": 0.02,
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"0": 0.04
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}
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# Optimal stoploss designed for the strategy
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stoploss = -0.10
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# Optimal timeframe for the strategy
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timeframe = '5m'
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# Optional order type mapping
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order_types = {
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'entry': 'limit',
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'exit': 'limit',
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'stoploss': 'limit',
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'stoploss_on_exchange': False
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}
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# Number of candles the strategy requires before producing valid signals
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startup_candle_count: int = 20
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# Optional time in force for orders
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order_time_in_force = {
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'entry': 'gtc',
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'exit': 'gtc',
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}
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buy_params = {
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'buy_rsi': 35,
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# Intentionally not specified, so "default" is tested
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# 'buy_plusdi': 0.4
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}
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sell_params = {
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'sell_rsi': 74,
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'sell_minusdi': 0.4
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}
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buy_rsi = IntParameter([0, 50], default=30, space='buy')
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buy_plusdi = RealParameter(low=0, high=1, default=0.5, space='buy')
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sell_rsi = IntParameter(low=50, high=100, default=70, space='sell')
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sell_minusdi = DecimalParameter(low=0, high=1, default=0.5001, decimals=3, space='sell',
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load=False)
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protection_enabled = BooleanParameter(default=True)
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protection_cooldown_lookback = IntParameter([0, 50], default=30)
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# TODO: Can this work with protection tests? (replace HyperoptableStrategy implicitly ... )
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# @property
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# def protections(self):
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# prot = []
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# if self.protection_enabled.value:
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# prot.append({
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# "method": "CooldownPeriod",
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# "stop_duration_candles": self.protection_cooldown_lookback.value
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# })
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# return prot
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bot_started = False
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def bot_start(self):
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self.bot_started = True
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def informative_pairs(self):
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return []
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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# Momentum Indicator
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# ------------------------------------
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# ADX
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dataframe['adx'] = ta.ADX(dataframe)
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# MACD
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macd = ta.MACD(dataframe)
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dataframe['macd'] = macd['macd']
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dataframe['macdsignal'] = macd['macdsignal']
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dataframe['macdhist'] = macd['macdhist']
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# Minus Directional Indicator / Movement
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dataframe['minus_di'] = ta.MINUS_DI(dataframe)
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# Plus Directional Indicator / Movement
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dataframe['plus_di'] = ta.PLUS_DI(dataframe)
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# RSI
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dataframe['rsi'] = ta.RSI(dataframe)
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# Stoch fast
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stoch_fast = ta.STOCHF(dataframe)
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dataframe['fastd'] = stoch_fast['fastd']
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dataframe['fastk'] = stoch_fast['fastk']
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# Bollinger bands
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bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
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dataframe['bb_lowerband'] = bollinger['lower']
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dataframe['bb_middleband'] = bollinger['mid']
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dataframe['bb_upperband'] = bollinger['upper']
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# EMA - Exponential Moving Average
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dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
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return dataframe
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe.loc[
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(
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(dataframe['rsi'] < self.buy_rsi.value) &
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(dataframe['fastd'] < 35) &
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(dataframe['adx'] > 30) &
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(dataframe['plus_di'] > self.buy_plusdi.value)
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) |
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(
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(dataframe['adx'] > 65) &
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(dataframe['plus_di'] > self.buy_plusdi.value)
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),
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['enter_long', 'enter_tag']] = 1, 'enter_tag_long'
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dataframe.loc[
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(
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qtpylib.crossed_below(dataframe['rsi'], self.sell_rsi.value)
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),
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['enter_short', 'enter_tag']] = 1, 'enter_tag_short'
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return dataframe
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def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe.loc[
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(
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(
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(qtpylib.crossed_above(dataframe['rsi'], self.sell_rsi.value)) |
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(qtpylib.crossed_above(dataframe['fastd'], 70))
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) &
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(dataframe['adx'] > 10) &
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(dataframe['minus_di'] > 0)
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) |
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(
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(dataframe['adx'] > 70) &
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(dataframe['minus_di'] > self.sell_minusdi.value)
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),
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['exit_long', 'exit_tag']] = 1, 'exit_tag_long'
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dataframe.loc[
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(
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qtpylib.crossed_above(dataframe['rsi'], self.buy_rsi.value)
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),
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['exit_long', 'exit_tag']] = 1, 'exit_tag_short'
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return dataframe
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@@ -34,7 +34,7 @@ def test_search_all_strategies_no_failed():
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directory = Path(__file__).parent / "strats"
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strategies = StrategyResolver.search_all_objects(directory, enum_failed=False)
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assert isinstance(strategies, list)
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assert len(strategies) == 5
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assert len(strategies) == 6
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assert isinstance(strategies[0], dict)
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@@ -42,10 +42,10 @@ def test_search_all_strategies_with_failed():
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directory = Path(__file__).parent / "strats"
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strategies = StrategyResolver.search_all_objects(directory, enum_failed=True)
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assert isinstance(strategies, list)
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assert len(strategies) == 6
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assert len(strategies) == 7
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# with enum_failed=True search_all_objects() shall find 2 good strategies
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# and 1 which fails to load
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assert len([x for x in strategies if x['class'] is not None]) == 5
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assert len([x for x in strategies if x['class'] is not None]) == 6
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assert len([x for x in strategies if x['class'] is None]) == 1
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|
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|
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Reference in New Issue
Block a user