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sell_reason -> exit_reason

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This commit is contained in:
Sam Germain
2022-01-04 22:52:52 -06:00
parent c899eabe1d
commit f5805543ed
43 changed files with 324 additions and 324 deletions
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2
tests/optimize/__init__.py
View File

@@ -15,7 +15,7 @@ class BTrade(NamedTuple):
"""
Minimalistic Trade result used for functional backtesting
"""
sell_reason: SellType
exit_reason: SellType
open_tick: int
close_tick: int
enter_tag: Optional[str] = None

2
tests/optimize/conftest.py
View File

@@ -44,7 +44,7 @@ def hyperopt_results():
'profit_abs': [-0.2, 0.4, -0.2, 0.6],
'trade_duration': [10, 30, 10, 10],
'amount': [0.1, 0.1, 0.1, 0.1],
'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.STOP_LOSS, SellType.ROI],
'exit_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.STOP_LOSS, SellType.ROI],
'open_date':
[
datetime(2019, 1, 1, 9, 15, 0),

76
tests/optimize/test_backtest_detail.py
View File

@@ -22,7 +22,7 @@ tc0 = BTContainer(data=[
[4, 5010, 5011, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_exit_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 1: Stop-Loss Triggered 1% loss
@@ -36,7 +36,7 @@ tc1 = BTContainer(data=[
[4, 4977, 4995, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
@@ -51,7 +51,7 @@ tc2 = BTContainer(data=[
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
)
@@ -71,8 +71,8 @@ tc3 = BTContainer(data=[
[5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit
[6, 4950, 4975, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2),
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2),
BTrade(exit_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
)
# Test 4: Minus 3% / recovery +15%
@@ -88,7 +88,7 @@ tc4 = BTContainer(data=[
[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
@@ -102,7 +102,7 @@ tc5 = BTContainer(data=[
[4, 4962, 4987, 4962, 4972, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
@@ -116,7 +116,7 @@ tc6 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
@@ -130,7 +130,7 @@ tc7 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
@@ -144,7 +144,7 @@ tc8 = BTContainer(data=[
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
@@ -158,7 +158,7 @@ tc9 = BTContainer(data=[
[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 10: trailing_stop should raise so candle 3 causes a stoploss
@@ -174,7 +174,7 @@ tc10 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
)
# Test 11: trailing_stop should raise so candle 3 causes a stoploss
@@ -190,7 +190,7 @@ tc11 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
@@ -206,7 +206,7 @@ tc12 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 13: Buy and sell ROI on same candle
@@ -219,7 +219,7 @@ tc13 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4750, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=1)]
)
# Test 14 - Buy and Stoploss on same candle
@@ -232,7 +232,7 @@ tc14 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
@@ -246,8 +246,8 @@ tc15 = BTContainer(data=[
[3, 4850, 5050, 4750, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=1),
BTrade(exit_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
)
# Test 16: Buy, hold for 65 min, then forcesell using roi=-1
@@ -262,7 +262,7 @@ tc16 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 17: Buy, hold for 120 mins, then forcesell using roi=-1
@@ -278,7 +278,7 @@ tc17 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
@@ -294,7 +294,7 @@ tc18 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
@@ -309,7 +309,7 @@ tc19 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4550, 4975, 4550, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
@@ -324,7 +324,7 @@ tc20 = BTContainer(data=[
[4, 4962, 4987, 4950, 4950, 6172, 0, 0],
[5, 4925, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 21: trailing_stop ROI collision.
@@ -341,7 +341,7 @@ tc21 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time.
@@ -357,7 +357,7 @@ tc22 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
# Test 23: trailing_stop Raises in candle 2 (does not trigger)
@@ -376,7 +376,7 @@ tc23 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 24: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
@@ -391,7 +391,7 @@ tc24 = BTContainer(data=[
[4, 5010, 5010, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_exit_signal=True,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
@@ -406,7 +406,7 @@ tc25 = BTContainer(data=[
[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, use_exit_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
@@ -421,7 +421,7 @@ tc26 = BTContainer(data=[
[4, 5010, 5010, 4855, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_exit_signal=True,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
@@ -435,7 +435,7 @@ tc27 = BTContainer(data=[
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.002, use_exit_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 28: trailing_stop should raise so candle 3 causes a stoploss
@@ -452,7 +452,7 @@ tc28 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 29: trailing_stop should be triggered by low of next candle, without adjusting stoploss using
@@ -467,7 +467,7 @@ tc29 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 30: trailing_stop should be triggered immediately on trade open candle.
@@ -481,7 +481,7 @@ tc30 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 31: trailing_stop should be triggered immediately on trade open candle.
@@ -496,7 +496,7 @@ tc31 = BTContainer(data=[
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 32: trailing_stop should be triggered immediately on trade open candle.
@@ -511,7 +511,7 @@ tc32 = BTContainer(data=[
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
trades=[BTrade(exit_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 33: trailing_stop should be triggered immediately on trade open candle.
@@ -527,7 +527,7 @@ tc33 = BTContainer(data=[
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01, use_custom_stoploss=True,
trades=[BTrade(
sell_reason=SellType.TRAILING_STOP_LOSS,
exit_reason=SellType.TRAILING_STOP_LOSS,
open_tick=1,
close_tick=1,
enter_tag='buy_signal_01'
@@ -548,7 +548,7 @@ tc34 = BTContainer(data=[
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002 * 5.0, use_exit_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
trades=[BTrade(exit_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
TESTS = [
@@ -641,7 +641,7 @@ 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.exit_reason == trade.exit_reason.value
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)

20
tests/optimize/test_backtesting.py
View File

@@ -628,7 +628,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
assert res.exit_reason == SellType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
# Enter new trade
@@ -647,7 +647,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
assert res.exit_reason == SellType.ROI.value
# Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
assert round(res.close_rate, 3) == round(209.0225, 3)
@@ -693,7 +693,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'trade_duration': [235, 40],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'sell_reason': [SellType.ROI.value, SellType.ROI.value],
'exit_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],
@@ -1002,7 +1002,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
text_table_mock = MagicMock()
sell_reason_mock = MagicMock()
exit_reason_mock = MagicMock()
strattable_mock = MagicMock()
strat_summary = MagicMock()
@@ -1010,7 +1010,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
text_table_bt_results=text_table_mock,
text_table_strategy=strattable_mock,
generate_pair_metrics=MagicMock(),
generate_sell_reason_stats=sell_reason_mock,
generate_exit_reason_stats=exit_reason_mock,
generate_strategy_comparison=strat_summary,
generate_daily_stats=MagicMock(),
)
@@ -1035,7 +1035,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
assert backtestmock.call_count == 2
assert text_table_mock.call_count == 4
assert strattable_mock.call_count == 1
assert sell_reason_mock.call_count == 2
assert exit_reason_mock.call_count == 2
assert strat_summary.call_count == 1
# check the logs, that will contain the backtest result
@@ -1081,7 +1081,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'close_rate': [0.104969, 0.103541],
"is_short": [False, False],
'sell_reason': [SellType.ROI, SellType.ROI]
'exit_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1099,7 +1099,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
"is_short": [False, False, False],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
@@ -1192,7 +1192,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
'exit_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
@@ -1210,7 +1210,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{

42
tests/optimize/test_hyperopt.py
View File

@@ -24,25 +24,25 @@ from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has, log_has_re
def generate_result_metrics():
return {
'trade_count': 1,
'total_trades': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 0.01,
'duration': 20.0,
'wins': 1,
'draws': 0,
'losses': 0,
'profit_mean': 0.01,
'profit_total_abs': 0.001,
'profit_total': 0.01,
'holding_avg': timedelta(minutes=20),
'max_drawdown': 0.001,
'max_drawdown_abs': 0.001,
'loss': 0.001,
'is_initial_point': 0.001,
'is_best': 1,
}
'trade_count': 1,
'total_trades': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 0.01,
'duration': 20.0,
'wins': 1,
'draws': 0,
'losses': 0,
'profit_mean': 0.01,
'profit_total_abs': 0.001,
'profit_total': 0.01,
'holding_avg': timedelta(minutes=20),
'max_drawdown': 0.001,
'max_drawdown_abs': 0.001,
'loss': 0.001,
'is_initial_point': 0.001,
'is_best': 1,
}
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
@@ -359,7 +359,7 @@ def test_hyperopt_format_results(hyperopt):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
"exit_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
}),
'config': hyperopt.config,
@@ -428,7 +428,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
"exit_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
}),
'config': hyperopt_conf,

40
tests/optimize/test_optimize_reports.py
View File

@@ -18,11 +18,11 @@ from freqtrade.optimize.optimize_reports import (_get_resample_from_period, gene
generate_daily_stats, generate_edge_table,
generate_pair_metrics,
generate_periodic_breakdown_stats,
generate_sell_reason_stats,
generate_exit_reason_stats,
generate_strategy_comparison,
generate_trading_stats, show_sorted_pairlist,
store_backtest_stats, text_table_bt_results,
text_table_sell_reason, text_table_strategy)
text_table_exit_reason, text_table_strategy)
from freqtrade.resolvers.strategy_resolver import StrategyResolver
from tests.conftest import CURRENT_TEST_STRATEGY
from tests.data.test_history import _backup_file, _clean_test_file
@@ -78,7 +78,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
"exit_reason": [SellType.ROI, SellType.STOP_LOSS,
SellType.ROI, SellType.FORCE_SELL]
}),
'config': default_conf,
@@ -87,8 +87,8 @@ 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,
}
}
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
@@ -127,7 +127,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [SellType.ROI, SellType.ROI,
"exit_reason": [SellType.ROI, SellType.ROI,
SellType.STOP_LOSS, SellType.FORCE_SELL]
}),
'config': default_conf,
@@ -136,7 +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,
}
}
}
stats = generate_backtest_stats(btdata, results, min_date, max_date)
@@ -260,7 +260,7 @@ def test_generate_trading_stats(testdatadir):
assert res['losses'] == 0
def test_text_table_sell_reason():
def test_text_table_exit_reason():
results = pd.DataFrame(
{
@@ -271,7 +271,7 @@ def test_text_table_sell_reason():
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
@@ -286,13 +286,13 @@ def test_text_table_sell_reason():
' -0.2 | -5 |'
)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2,
results=results)
assert text_table_sell_reason(sell_reason_stats=sell_reason_stats,
assert text_table_exit_reason(exit_reason_stats=exit_reason_stats,
stake_currency='BTC') == result_str
def test_generate_sell_reason_stats():
def test_generate_exit_reason_stats():
results = pd.DataFrame(
{
@@ -303,23 +303,23 @@ def test_generate_sell_reason_stats():
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI.value, SellType.ROI.value, SellType.STOP_LOSS.value]
'exit_reason': [SellType.ROI.value, SellType.ROI.value, SellType.STOP_LOSS.value]
}
)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2,
results=results)
roi_result = sell_reason_stats[0]
assert roi_result['sell_reason'] == 'roi'
roi_result = exit_reason_stats[0]
assert roi_result['exit_reason'] == 'roi'
assert roi_result['trades'] == 2
assert pytest.approx(roi_result['profit_mean']) == 0.15
assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2)
assert pytest.approx(roi_result['profit_mean']) == 0.15
assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2)
stop_result = sell_reason_stats[1]
stop_result = exit_reason_stats[1]
assert stop_result['sell_reason'] == 'stop_loss'
assert stop_result['exit_reason'] == 'stop_loss'
assert stop_result['trades'] == 1
assert pytest.approx(stop_result['profit_mean']) == -0.1
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)
@@ -343,7 +343,7 @@ def test_text_table_strategy(default_conf):
'wins': [2, 0, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}
results['TestStrategy2'] = {'results': pd.DataFrame(
@@ -356,7 +356,7 @@ def test_text_table_strategy(default_conf):
'wins': [4, 1, 0],
'draws': [0, 0, 0],
'losses': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
'exit_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
), 'config': default_conf}