From fa4ec9f83e337b4bd0bee1ca798a4e6c310758c9 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 14 Aug 2021 17:36:02 +0200 Subject: [PATCH] Add explicit test for get_sell_trade_entry --- freqtrade/optimize/backtesting.py | 5 +- tests/optimize/test_backtesting.py | 88 +++++++++++++++++++++++++++++- 2 files changed, 89 insertions(+), 4 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 156ff48be..4b52e104b 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -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'] diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 1b3fede72..1b4285339 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -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)