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some more cleanup

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This commit is contained in:
Matthias 2018-10-30 19:36:19 +01:00
parent b383113d6c
commit fc3f8b436d
1 changed files with 14 additions and 17 deletions
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31
freqtrade/tests/optimize/test_backtest_detail.py
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@ -18,6 +18,9 @@ ticker_interval_in_minute = 60
class BTrade(NamedTuple):
"""
Minimalistic Trade result used for functional backtesting
"""
sell_r: SellType
open_tick: int
close_tick: int
@ -25,7 +28,7 @@ class BTrade(NamedTuple):
class BTContainer(NamedTuple):
"""
NamedTuple Defining BacktestResults inputs.
Minimal BacktestContainer defining Backtest inputs and results.
"""
data: List[float]
stop_loss: float
@ -50,14 +53,13 @@ def _build_dataframe(ticker_with_signals):
return frame
# Test 1 Minus 8% Close
# Candle Data for test 1 – close at -8% (9200)
# Test 0 Minus 8% Close
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc0 = BTContainer(data=[
[0, 10000.0, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9200, 9200, 12345, 0, 0], # Exit with stoploss hit
[2, 9975, 10025, 9200, 9200, 12345, 0, 0], # exit with stoploss hit
[3, 9950, 10000, 9960, 9955, 12345, 0, 0],
[4, 9955, 9975, 9955, 9990, 12345, 0, 0],
[5, 9990, 9990, 9990, 9900, 12345, 0, 0]],
@ -66,15 +68,14 @@ tc0 = BTContainer(data=[
)
# Test 2 Minus 4% Low, minus 1% close
# Candle Data for test 2
# Test 1 Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc1 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9925, 9950, 12345, 0, 0],
[3, 9950, 10000, 9600, 9925, 12345, 0, 0], # Exit with stoploss hit
[3, 9950, 10000, 9600, 9925, 12345, 0, 0], # exit with stoploss hit
[4, 9925, 9975, 9875, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.03, roi=1, profit_perc=-0.03,
@ -92,10 +93,10 @@ tc1 = BTContainer(data=[
tc2 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9600, 9950, 12345, 0, 0],
[2, 9975, 10025, 9600, 9950, 12345, 0, 0], # exit with stoploss hit
[3, 9950, 10000, 9900, 9925, 12345, 1, 0],
[4, 9950, 10000, 9900, 9925, 12345, 0, 0], # enter trade 2 (signal on last candle)
[5, 9925, 9975, 8000, 8000, 12345, 0, 0],
[5, 9925, 9975, 8000, 8000, 12345, 0, 0], # exit with stoploss hit
[6, 9900, 9950, 9950, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=1, profit_perc=-0.04,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2),
@ -103,22 +104,21 @@ tc2 = BTContainer(data=[
)
# Test 4 Minus 3% / recovery +15%
# Candle Data for test 4 – Candle drops 3% Closed 15% up
# Candle Data for test 3 – Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 11500, 9700, 11500, 12345, 0, 0],
[2, 9975, 11500, 9700, 11500, 12345, 0, 0], # Exit with stoploss hit
[3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9875, 9900, 12345, 0, 0], # Exit with stoploss hit
[4, 9925, 9975, 9875, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.06, profit_perc=-0.02,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 5 / Drops 0.5% Closes +20%
# Candle Data for test 5
# Test 4 / Drops 0.5% Closes +20%
# Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain
tc4 = BTContainer(data=[
@ -163,9 +163,6 @@ tc6 = BTContainer(data=[
)
TESTS = [
# tc_profit1,
# tc_profit2,
# tc_loss0,
tc0,
tc1,
tc2,