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Merge branch 'feat/short' into pr/samgermain/5780

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Matthias
2021-12-02 07:09:37 +01:00
parent 134b129d9d f71b7a4e76
commit f4d0abc51a
49 changed files with 600 additions and 350 deletions
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1
tests/optimize/__init__.py
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@@ -36,6 +36,7 @@ class BTContainer(NamedTuple):
trailing_stop_positive_offset: float = 0.0
use_sell_signal: bool = False
use_custom_stoploss: bool = False
leverage: float = 1.0
def _get_frame_time_from_offset(offset):

25
tests/optimize/test_backtest_detail.py
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@@ -536,6 +536,23 @@ tc33 = BTContainer(data=[
)]
)
# Test 34: (copy of test25 with leverage)
# Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
tc34 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0],
[3, 5010, 5010, 4986, 5010, 6172, 0, 1],
[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
TESTS = [
tc0,
tc1,
@@ -571,6 +588,7 @@ TESTS = [
tc31,
tc32,
tc33,
tc34,
# TODO-lev: Add tests for short here
]
@@ -593,14 +611,19 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Binance.get_max_leverage", return_value=100)
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
if data.leverage > 1.0:
# TODO-lev: Should we initialize this properly??
backtesting._can_short = True
backtesting.strategy.advise_entry = lambda a, m: frame
backtesting.strategy.advise_exit = lambda a, m: frame
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG)
pair = "UNITTEST/BTC"
@@ -621,6 +644,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.sell_reason == trade.sell_reason.value
assert res.buy_tag == trade.enter_tag
assert res.enter_tag == trade.enter_tag
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)

8
tests/optimize/test_backtesting.py
View File

@@ -441,7 +441,8 @@ def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) ->
Backtesting(default_conf)
default_conf['pairlists'] = [{"method": "VolumePairList", "number_assets": 5}]
with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'):
with pytest.raises(OperationalException,
match=r'VolumePairList not allowed for backtesting\..*StaticPairlist.*'):
Backtesting(default_conf)
default_conf.update({
@@ -473,7 +474,8 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
default_conf['timerange'] = '20180101-20180102'
default_conf['pairlists'] = [{"method": "VolumePairList", "number_assets": 5}]
with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'):
with pytest.raises(OperationalException,
match=r'VolumePairList not allowed for backtesting\..*StaticPairlist.*'):
Backtesting(default_conf)
default_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PerformanceFilter"}]
@@ -698,7 +700,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'min_rate': [0.10370188, 0.10300000000000001],
'max_rate': [0.10501, 0.1038888],
'is_open': [False, False],
'buy_tag': [None, None],
'enter_tag': [None, None],
"is_short": [False, False],
})
pd.testing.assert_frame_equal(results, expected)