Add explicit test for get_sell_trade_entry

This commit is contained in:
Matthias 2021-08-14 17:36:02 +02:00
parent 3406b889b6
commit fa4ec9f83e
2 changed files with 89 additions and 4 deletions

View File

@ -376,7 +376,7 @@ class Backtesting:
return None
def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
if self.timeframe_detail:
if self.timeframe_detail and trade.pair in self.detail_data:
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min)
@ -385,6 +385,9 @@ class Backtesting:
(detail_data['date'] >= sell_candle_time) &
(detail_data['date'] < sell_candle_end)
]
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
return self._get_sell_trade_entry_for_candle(trade, sell_row)
detail_data['buy'] = sell_row[BUY_IDX]
detail_data['sell'] = sell_row[SELL_IDX]
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']

View File

@ -1,7 +1,7 @@
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
import random
from datetime import timedelta
from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock
@ -500,7 +500,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
pair = 'UNITTEST/BTC'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
1, # Sell
1, # Buy
0.001, # Open
0.0011, # Close
0, # Sell
@ -548,6 +548,88 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
backtesting.cleanup()
def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> 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['timeframe_detail'] = '1m'
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
pair = 'UNITTEST/BTC'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=55, tzinfo=timezone.utc),
1, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
201.5, # High
'', # Buy Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
assert isinstance(trade, LocalTrade)
row_sell = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
0, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
210.5, # High
'', # Buy Signal Name
]
row_detail = pd.DataFrame(
[
[
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
1, 200, 199, 0, 197, 200.1, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=1, tzinfo=timezone.utc),
0, 199, 199.5, 0, 199, 199.7, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=2, tzinfo=timezone.utc),
0, 199.5, 200.5, 0, 199, 200.8, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=3, tzinfo=timezone.utc),
0, 200.5, 210.5, 0, 193, 210.5, '', # ROI sell (?)
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=4, tzinfo=timezone.utc),
0, 200, 199, 0, 193, 200.1, '',
],
], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"]
)
# 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.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
# Enter new trade
trade = backtesting._enter_trade(pair, row=row)
assert isinstance(trade, LocalTrade)
# Assign empty ... no result.
backtesting.detail_data[pair] = pd.DataFrame(
[], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"])
res = backtesting._get_sell_trade_entry(trade, row)
assert res is None
# Assign backtest-detail data
backtesting.detail_data[pair] = row_detail
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_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)
def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
@ -1127,7 +1209,7 @@ def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
'--timeframe-detail', '1m',
'--strategy-list',
'DefaultStrategy'
]
]
args = get_args(args)
start_backtesting(args)