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