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Merge remote-tracking branch 'origin/strategy_utils' into strategy_utils

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This commit is contained in:
hippocritical
2023-03-10 09:24:08 +01:00
parent a3988f56b2 5a467eb969
commit f722823b0d
17 changed files with 98 additions and 58 deletions
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4
tests/freqai/conftest.py
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@@ -78,7 +78,9 @@ def make_rl_config(conf):
"rr": 1,
"profit_aim": 0.02,
"win_reward_factor": 2
}}
},
"drop_ohlc_from_features": False
}
return conf

8
tests/freqai/test_freqai_interface.py
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@@ -68,13 +68,6 @@ def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca,
freqai_conf['freqai']['feature_parameters'].update({"shuffle_after_split": shuffle})
freqai_conf['freqai']['feature_parameters'].update({"buffer_train_data_candles": buffer})
if 'ReinforcementLearner' in model:
model_save_ext = 'zip'
freqai_conf = make_rl_config(freqai_conf)
# test the RL guardrails
freqai_conf['freqai']['feature_parameters'].update({"use_SVM_to_remove_outliers": True})
freqai_conf['freqai']['data_split_parameters'].update({'shuffle': True})
if 'ReinforcementLearner' in model:
model_save_ext = 'zip'
freqai_conf = make_rl_config(freqai_conf)
@@ -84,6 +77,7 @@ def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca,
if 'test_3ac' in model or 'test_4ac' in model:
freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models")
freqai_conf["freqai"]["rl_config"]["drop_ohlc_from_features"] = True
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)

2
tests/optimize/test_backtest_detail.py
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@@ -924,7 +924,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
mocker.patch(f"{EXMS}.get_fee", return_value=0.0)
mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch('freqtrade.exchange.binance.Binance.get_max_leverage', return_value=100)
mocker.patch(f"{EXMS}.get_max_leverage", return_value=100)
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)

6
tests/plugins/test_pairlist.py
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@@ -828,6 +828,12 @@ def test_pair_whitelist_not_supported_Spread(mocker, default_conf, tickers) -> N
match=r'Exchange does not support fetchTickers, .*'):
get_patched_freqtradebot(mocker, default_conf)
mocker.patch(f'{EXMS}.exchange_has', MagicMock(return_value=True))
mocker.patch(f'{EXMS}.get_option', MagicMock(return_value=False))
with pytest.raises(OperationalException,
match=r'.*requires exchange to have bid/ask data'):
get_patched_freqtradebot(mocker, default_conf)
@pytest.mark.parametrize("pairlist", TESTABLE_PAIRLISTS)
def test_pairlist_class(mocker, whitelist_conf, markets, pairlist):

18
tests/strategy/test_strategy_helpers.py
View File

@@ -177,26 +177,30 @@ def test_stoploss_from_open(side, profitrange):
("long", 0.1, 0.2, 1, 0.08333333),
("long", 0.1, 0.5, 1, 0.266666666),
("long", 0.1, 5, 1, 0.816666666), # 500% profit, set stoploss to 10% above open price
("long", 0, 5, 10, 3.3333333), # 500% profit, set stoploss break even
("long", 0.1, 5, 10, 3.26666666), # 500% profit, set stoploss to 10% above open price
("long", -0.1, 5, 10, 3.3999999), # 500% profit, set stoploss to 10% belowopen price
("short", 0, 0.1, 1, 0.1111111),
("short", -0.1, 0.1, 1, 0.2222222),
("short", 0.1, 0.2, 1, 0.125),
("short", 0.1, 1, 1, 1),
("short", -0.01, 5, 10, 10.01999999), # 500% profit at 10x
])
def test_stoploss_from_open_leverage(side, rel_stop, curr_profit, leverage, expected):
stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short')
stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short', leverage)
assert pytest.approx(stoploss) == expected
open_rate = 100
if stoploss != 1:
if side == 'long':
current_rate = open_rate * (1 + curr_profit)
stop = current_rate * (1 - stoploss)
assert pytest.approx(stop) == open_rate * (1 + rel_stop)
current_rate = open_rate * (1 + curr_profit / leverage)
stop = current_rate * (1 - stoploss / leverage)
assert pytest.approx(stop) == open_rate * (1 + rel_stop / leverage)
else:
current_rate = open_rate * (1 - curr_profit)
stop = current_rate * (1 + stoploss)
assert pytest.approx(stop) == open_rate * (1 - rel_stop)
current_rate = open_rate * (1 - curr_profit / leverage)
stop = current_rate * (1 + stoploss / leverage)
assert pytest.approx(stop) == open_rate * (1 - rel_stop / leverage)
def test_stoploss_from_absolute():

40
tests/test_freqtradebot.py
View File

@@ -1068,7 +1068,7 @@ def test_add_stoploss_on_exchange(mocker, default_conf_usdt, limit_order, is_sho
mocker.patch(f'{EXMS}.get_trades_for_order', return_value=[])
stoploss = MagicMock(return_value={'id': 13434334})
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss)
mocker.patch(f'{EXMS}.create_stoploss', stoploss)
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
@@ -1263,7 +1263,7 @@ def test_handle_sle_cancel_cant_recreate(mocker, default_conf_usdt, fee, caplog,
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
fetch_stoploss_order=MagicMock(return_value={'status': 'canceled', 'id': 100}),
create_stoploss=MagicMock(side_effect=ExchangeError()),
)
@@ -1307,7 +1307,7 @@ def test_create_stoploss_order_invalid_order(
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
fetch_order=MagicMock(return_value={'status': 'canceled'}),
create_stoploss=MagicMock(side_effect=InvalidOrderException()),
)
@@ -1360,7 +1360,7 @@ def test_create_stoploss_order_insufficient_funds(
fetch_order=MagicMock(return_value={'status': 'canceled'}),
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
create_stoploss=MagicMock(side_effect=InsufficientFundsError()),
)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
@@ -1410,7 +1410,7 @@ def test_handle_stoploss_on_exchange_trailing(
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
@@ -1453,7 +1453,7 @@ def test_handle_stoploss_on_exchange_trailing(
}
})
mocker.patch('freqtrade.exchange.binance.Binance.fetch_stoploss_order', stoploss_order_hanging)
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hanging)
# stoploss initially at 5%
assert freqtrade.handle_trade(trade) is False
@@ -1471,8 +1471,8 @@ def test_handle_stoploss_on_exchange_trailing(
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock(return_value={'id': 'so1'})
mocker.patch('freqtrade.exchange.binance.Binance.cancel_stoploss_order', cancel_order_mock)
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss_order_mock)
mocker.patch(f'{EXMS}.cancel_stoploss_order', cancel_order_mock)
mocker.patch(f'{EXMS}.create_stoploss', stoploss_order_mock)
# stoploss should not be updated as the interval is 60 seconds
assert freqtrade.handle_trade(trade) is False
@@ -1535,7 +1535,7 @@ def test_handle_stoploss_on_exchange_trailing_error(
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
@@ -1573,9 +1573,9 @@ def test_handle_stoploss_on_exchange_trailing_error(
'stopPrice': '0.1'
}
}
mocker.patch('freqtrade.exchange.binance.Binance.cancel_stoploss_order',
mocker.patch(f'{EXMS}.cancel_stoploss_order',
side_effect=InvalidOrderException())
mocker.patch('freqtrade.exchange.binance.Binance.fetch_stoploss_order',
mocker.patch(f'{EXMS}.fetch_stoploss_order',
return_value=stoploss_order_hanging)
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/USDT.*", caplog)
@@ -1586,8 +1586,8 @@ def test_handle_stoploss_on_exchange_trailing_error(
# Fail creating stoploss order
trade.stoploss_last_update = arrow.utcnow().shift(minutes=-601).datetime
caplog.clear()
cancel_mock = mocker.patch('freqtrade.exchange.binance.Binance.cancel_stoploss_order')
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', side_effect=ExchangeError())
cancel_mock = mocker.patch(f'{EXMS}.cancel_stoploss_order')
mocker.patch(f'{EXMS}.create_stoploss', side_effect=ExchangeError())
freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
assert cancel_mock.call_count == 1
assert log_has_re(r"Could not create trailing stoploss order for pair ETH/USDT\..*", caplog)
@@ -1604,7 +1604,7 @@ def test_stoploss_on_exchange_price_rounding(
stoploss_mock = MagicMock(return_value={'id': '13434334'})
adjust_mock = MagicMock(return_value=False)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
create_stoploss=stoploss_mock,
stoploss_adjust=adjust_mock,
price_to_precision=price_mock,
@@ -1643,7 +1643,7 @@ def test_handle_stoploss_on_exchange_custom_stop(
get_fee=fee,
)
mocker.patch.multiple(
'freqtrade.exchange.binance.Binance',
EXMS,
create_stoploss=stoploss,
stoploss_adjust=MagicMock(return_value=True),
)
@@ -1686,7 +1686,7 @@ def test_handle_stoploss_on_exchange_custom_stop(
}
})
mocker.patch('freqtrade.exchange.binance.Binance.fetch_stoploss_order', stoploss_order_hanging)
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hanging)
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
@@ -1703,8 +1703,8 @@ def test_handle_stoploss_on_exchange_custom_stop(
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock(return_value={'id': 'so1'})
mocker.patch('freqtrade.exchange.binance.Binance.cancel_stoploss_order', cancel_order_mock)
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss_order_mock)
mocker.patch(f'{EXMS}.cancel_stoploss_order', cancel_order_mock)
mocker.patch(f'{EXMS}.create_stoploss', stoploss_order_mock)
# stoploss should not be updated as the interval is 60 seconds
assert freqtrade.handle_trade(trade) is False
@@ -1821,7 +1821,7 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, limit_orde
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock()
mocker.patch(f'{EXMS}.cancel_stoploss_order', cancel_order_mock)
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss_order_mock)
mocker.patch(f'{EXMS}.create_stoploss', stoploss_order_mock)
# price goes down 5%
mocker.patch(f'{EXMS}.fetch_ticker', MagicMock(return_value={
@@ -3660,7 +3660,7 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
}
})
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss)
mocker.patch(f'{EXMS}.create_stoploss', stoploss)
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True

2
tests/test_integration.py
View File

@@ -56,9 +56,9 @@ def test_may_execute_exit_stoploss_on_exchange_multi(default_conf, ticker, fee,
[ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL)]]
)
cancel_order_mock = MagicMock()
mocker.patch('freqtrade.exchange.binance.Binance.create_stoploss', stoploss)
mocker.patch.multiple(
EXMS,
create_stoploss=stoploss,
fetch_ticker=ticker,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,