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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2022-01-22 17:25:21 +01:00
parent e04956be0e 56daafd6b7
commit f090dcc597
77 changed files with 1886 additions and 252 deletions
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129
tests/optimize/test_backtesting.py
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@@ -11,6 +11,7 @@ import pandas as pd
import pytest
from arrow import Arrow
from freqtrade import constants
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
from freqtrade.configuration import TimeRange
from freqtrade.data import history
@@ -20,6 +21,7 @@ from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
from freqtrade.enums import RunMode, SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.misc import get_strategy_run_id
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import LocalTrade
from freqtrade.resolvers import StrategyResolver
@@ -1266,3 +1268,130 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
@pytest.mark.parametrize('run_id', ['2', 'changed'])
@pytest.mark.parametrize('start_delta', [{'days': 0}, {'days': 1}, {'weeks': 1}, {'weeks': 4}])
@pytest.mark.parametrize('cache', constants.BACKTEST_CACHE_AGE)
def test_backtest_start_multi_strat_caching(default_conf, mocker, caplog, testdatadir, run_id,
start_delta, cache):
default_conf.update({
"use_sell_signal": True,
"sell_profit_only": False,
"sell_profit_offset": 0.0,
"ignore_roi_if_buy_signal": False,
})
patch_exchange(mocker)
backtestmock = MagicMock(return_value={
'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
'config': default_conf,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
})
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results', MagicMock())
now = min_backtest_date = datetime.now(tz=timezone.utc)
start_time = now - timedelta(**start_delta) + timedelta(hours=1)
if cache == 'none':
min_backtest_date = now + timedelta(days=1)
elif cache == 'day':
min_backtest_date = now - timedelta(days=1)
elif cache == 'week':
min_backtest_date = now - timedelta(weeks=1)
elif cache == 'month':
min_backtest_date = now - timedelta(weeks=4)
load_backtest_metadata = MagicMock(return_value={
'StrategyTestV2': {'run_id': '1', 'backtest_start_time': now.timestamp()},
'TestStrategyLegacyV1': {'run_id': run_id, 'backtest_start_time': start_time.timestamp()}
})
load_backtest_stats = MagicMock(side_effect=[
{
'metadata': {'StrategyTestV2': {'run_id': '1'}},
'strategy': {'StrategyTestV2': {}},
'strategy_comparison': [{'key': 'StrategyTestV2'}]
},
{
'metadata': {'TestStrategyLegacyV1': {'run_id': '2'}},
'strategy': {'TestStrategyLegacyV1': {}},
'strategy_comparison': [{'key': 'TestStrategyLegacyV1'}]
}
])
mocker.patch('pathlib.Path.glob', return_value=[
Path(datetime.strftime(datetime.now(), 'backtest-result-%Y-%m-%d_%H-%M-%S.json'))])
mocker.patch.multiple('freqtrade.data.btanalysis',
load_backtest_metadata=load_backtest_metadata,
load_backtest_stats=load_backtest_stats)
mocker.patch('freqtrade.optimize.backtesting.get_strategy_run_id', side_effect=['1', '2', '2'])
patched_configuration_load_config_file(mocker, default_conf)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions',
'--cache', cache,
'--strategy-list',
'StrategyTestV2',
'TestStrategyLegacyV1',
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...',
'Loading data from 2017-11-14 20:57:00 '
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
]
for line in exists:
assert log_has(line, caplog)
if cache == 'none':
assert backtestmock.call_count == 2
exists = [
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
]
elif run_id == '2' and min_backtest_date < start_time:
assert backtestmock.call_count == 0
exists = [
'Reusing result of previous backtest for StrategyTestV2',
'Reusing result of previous backtest for TestStrategyLegacyV1',
]
else:
exists = [
'Reusing result of previous backtest for StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Backtesting with data from 2017-11-14 21:17:00 up to 2017-11-14 22:58:00 (0 days).',
]
assert backtestmock.call_count == 1
for line in exists:
assert log_has(line, caplog)
def test_get_strategy_run_id(default_conf_usdt):
default_conf_usdt.update({
'strategy': 'StrategyTestV2',
'max_open_trades': float('inf')
})
strategy = StrategyResolver.load_strategy(default_conf_usdt)
x = get_strategy_run_id(strategy)
assert isinstance(x, str)

83
tests/optimize/test_backtesting_adjust_position.py Normal file
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@@ -0,0 +1,83 @@
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
from copy import deepcopy
import pandas as pd
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.optimize.backtesting import Backtesting
from tests.conftest import patch_exchange
def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
patch_exchange(mocker)
default_conf.update({
"stake_amount": 100.0,
"dry_run_wallet": 1000.0,
"strategy": "StrategyTestV2"
})
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
pair = 'UNITTEST/BTC'
timerange = TimeRange('date', None, 1517227800, 0)
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=timerange)
backtesting.strategy.position_adjustment_enable = True
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
result = backtesting.backtest(
processed=deepcopy(processed),
start_date=min_date,
end_date=max_date,
max_open_trades=10,
position_stacking=False,
)
results = result['results']
assert not results.empty
assert len(results) == 2
expected = pd.DataFrame(
{'pair': [pair, pair],
'stake_amount': [500.0, 100.0],
'amount': [4806.87657523, 970.63960782],
'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
),
'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 00, 0).datetime,
Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True),
'open_rate': [0.10401764894444211, 0.10302485],
'close_rate': [0.10453904066847439, 0.103541],
'fee_open': [0.0025, 0.0025],
'fee_close': [0.0025, 0.0025],
'trade_duration': [200, 40],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'sell_reason': [SellType.ROI.value, SellType.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],
'stop_loss_ratio': [-0.1, -0.1],
'min_rate': [0.10370188, 0.10300000000000001],
'max_rate': [0.10481985, 0.1038888],
'is_open': [False, False],
'enter_tag': [None, None],
'is_short': [False, False],
})
pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair]
for _, t in results.iterrows():
ln = data_pair.loc[data_pair["date"] == t["open_date"]]
# Check open trade rate alignes to open rate
assert ln is not None
# check close trade rate alignes to close rate or is between high and low
ln = data_pair.loc[data_pair["date"] == t["close_date"]]
assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) or
round(ln.iloc[0]["low"], 6) < round(
t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))

3
tests/optimize/test_hyperopt_tools.py
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@@ -10,7 +10,7 @@ import rapidjson
from freqtrade.constants import FTHYPT_FILEVERSION
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.hyperopt_tools import HyperoptTools, hyperopt_serializer
from tests.conftest import CURRENT_TEST_STRATEGY, log_has
from tests.conftest import CURRENT_TEST_STRATEGY, log_has, log_has_re
# Functions for recurrent object patching
@@ -24,6 +24,7 @@ def test_save_results_saves_epochs(hyperopt, tmpdir, caplog) -> None:
hyperopt.results_file = Path(tmpdir / 'ut_results.fthypt')
hyperopt_epochs = HyperoptTools.load_filtered_results(hyperopt.results_file, {})
assert log_has_re("Hyperopt file .* not found.", caplog)
assert hyperopt_epochs == ([], 0)
# Test writing to temp dir and reading again

10
tests/optimize/test_optimize_reports.py
View File

@@ -86,6 +86,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
'rejected_signals': 20,
'backtest_start_time': Arrow.utcnow().int_timestamp,
'backtest_end_time': Arrow.utcnow().int_timestamp,
'run_id': '123',
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
@@ -135,6 +136,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
'rejected_signals': 20,
'backtest_start_time': Arrow.utcnow().int_timestamp,
'backtest_end_time': Arrow.utcnow().int_timestamp,
'run_id': '124',
}
}
@@ -181,16 +183,16 @@ def test_store_backtest_stats(testdatadir, mocker):
dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.file_dump_json')
store_backtest_stats(testdatadir, {})
store_backtest_stats(testdatadir, {'metadata': {}})
assert dump_mock.call_count == 2
assert dump_mock.call_count == 3
assert isinstance(dump_mock.call_args_list[0][0][0], Path)
assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir/'backtest-result'))
dump_mock.reset_mock()
filename = testdatadir / 'testresult.json'
store_backtest_stats(filename, {})
assert dump_mock.call_count == 2
store_backtest_stats(filename, {'metadata': {}})
assert dump_mock.call_count == 3
assert isinstance(dump_mock.call_args_list[0][0][0], Path)
# result will be testdatadir / testresult-<timestamp>.json
assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))