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Merge branch 'develop' into data_handler

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Matthias
2020-01-21 06:58:48 +01:00
parent 41945138ac 66415d48d4
commit fc2970f41b
50 changed files with 1140 additions and 506 deletions
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121
tests/optimize/test_backtesting.py
View File

@@ -325,105 +325,6 @@ def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
def test_generate_text_table(default_conf, mocker):
patch_exchange(mocker)
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf)
results = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2],
'profit_abs': [0.2, 0.4],
'trade_duration': [10, 30],
'profit': [2, 0],
'loss': [0, 0]
}
)
result_str = (
'| pair | buy count | avg profit % | cum profit % | '
'tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|---------------:|'
'-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | 30.00 | '
'0.60000000 | 15.00 | 0:20:00 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | 30.00 | '
'0.60000000 | 15.00 | 0:20:00 | 2 | 0 |'
)
assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str
def test_generate_text_table_sell_reason(default_conf, mocker):
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
results = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, -0.3],
'profit_abs': [0.2, 0.4, -0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
result_str = (
'| Sell Reason | Count | Profit | Loss |\n'
'|:--------------|--------:|---------:|-------:|\n'
'| roi | 2 | 2 | 0 |\n'
'| stop_loss | 1 | 0 | 1 |'
)
assert backtesting._generate_text_table_sell_reason(
data={'ETH/BTC': {}}, results=results) == result_str
def test_generate_text_table_strategyn(default_conf, mocker):
"""
Test Backtesting.generate_text_table_sell_reason() method
"""
patch_exchange(mocker)
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf)
results = {}
results['ETH/BTC'] = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
results['LTC/BTC'] = pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'profit_percent': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'profit': [4, 1, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
result_str = (
'| Strategy | buy count | avg profit % | cum profit % '
'| tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:-----------|------------:|---------------:|---------------:'
'|-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 3 | 20.00 | 60.00 '
'| 1.10000000 | 30.00 | 0:17:00 | 3 | 0 |\n'
'| LTC/BTC | 3 | 30.00 | 90.00 '
'| 1.30000000 | 45.00 | 0:20:00 | 3 | 0 |'
)
assert backtesting._generate_text_table_strategy(all_results=results) == result_str
def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
def get_timerange(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
@@ -431,11 +332,8 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', MagicMock(return_value=1))
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
default_conf['ticker_interval'] = '1m'
@@ -465,11 +363,8 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', MagicMock(return_value=1))
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
default_conf['ticker_interval'] = "1m"
@@ -774,7 +669,8 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', MagicMock())
patched_configuration_load_config_file(mocker, default_conf)
args = [
@@ -815,10 +711,9 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
backtestmock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
gen_table_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table', gen_table_mock)
mocker.patch('freqtrade.optimize.backtesting.generate_text_table', gen_table_mock)
gen_strattable_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table_strategy',
gen_strattable_mock)
mocker.patch('freqtrade.optimize.backtesting.generate_text_table_strategy', gen_strattable_mock)
patched_configuration_load_config_file(mocker, default_conf)
args = [

14
tests/optimize/test_edge_cli.py
View File

@@ -3,7 +3,6 @@
from unittest.mock import MagicMock
from freqtrade.edge import PairInfo
from freqtrade.optimize import setup_configuration, start_edge
from freqtrade.optimize.edge_cli import EdgeCli
from freqtrade.state import RunMode
@@ -106,16 +105,3 @@ def test_edge_init_fee(mocker, edge_conf) -> None:
edge_cli = EdgeCli(edge_conf)
assert edge_cli.edge.fee == 0.1234
assert fee_mock.call_count == 0
def test_generate_edge_table(edge_conf, mocker):
patch_exchange(mocker)
edge_cli = EdgeCli(edge_conf)
results = {}
results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)
assert edge_cli._generate_edge_table(results).count(':|') == 7
assert edge_cli._generate_edge_table(results).count('| ETH/BTC |') == 1
assert edge_cli._generate_edge_table(results).count(
'| risk reward ratio | required risk reward | expectancy |') == 1

108
tests/optimize/test_optimize_reports.py Normal file
View File

@@ -0,0 +1,108 @@
import pandas as pd
from freqtrade.edge import PairInfo
from freqtrade.optimize.optimize_reports import (
generate_edge_table, generate_text_table, generate_text_table_sell_reason,
generate_text_table_strategy)
from freqtrade.strategy.interface import SellType
def test_generate_text_table(default_conf, mocker):
results = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2],
'profit_abs': [0.2, 0.4],
'trade_duration': [10, 30],
'profit': [2, 0],
'loss': [0, 0]
}
)
result_str = (
'| pair | buy count | avg profit % | cum profit % | '
'tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|---------------:|'
'-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | 30.00 | '
'0.60000000 | 15.00 | 0:20:00 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | 30.00 | '
'0.60000000 | 15.00 | 0:20:00 | 2 | 0 |'
)
assert generate_text_table(data={'ETH/BTC': {}},
stake_currency='BTC', max_open_trades=2,
results=results) == result_str
def test_generate_text_table_sell_reason(default_conf, mocker):
results = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, -0.1],
'profit_abs': [0.2, 0.4, -0.2],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
result_str = (
'| Sell Reason | Count | Profit | Loss | Profit % |\n'
'|:--------------|--------:|---------:|-------:|-----------:|\n'
'| roi | 2 | 2 | 0 | 15 |\n'
'| stop_loss | 1 | 0 | 1 | -10 |'
)
assert generate_text_table_sell_reason(
data={'ETH/BTC': {}}, results=results) == result_str
def test_generate_text_table_strategy(default_conf, mocker):
results = {}
results['ETH/BTC'] = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
results['LTC/BTC'] = pd.DataFrame(
{
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'profit_percent': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'profit': [4, 1, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
result_str = (
'| Strategy | buy count | avg profit % | cum profit % '
'| tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:-----------|------------:|---------------:|---------------:'
'|-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 3 | 20.00 | 60.00 '
'| 1.10000000 | 30.00 | 0:17:00 | 3 | 0 |\n'
'| LTC/BTC | 3 | 30.00 | 90.00 '
'| 1.30000000 | 45.00 | 0:20:00 | 3 | 0 |'
)
assert generate_text_table_strategy('BTC', 2, all_results=results) == result_str
def test_generate_edge_table(edge_conf, mocker):
results = {}
results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)
assert generate_edge_table(results).count(':|') == 7
assert generate_edge_table(results).count('| ETH/BTC |') == 1
assert generate_edge_table(results).count(
'| risk reward ratio | required risk reward | expectancy |') == 1