from freqtrade.tests.conftest import get_patched_exchange from freqtrade.edge import Edge from pandas import DataFrame # Cases to be tested: # SELL POINTS: # 1) Three complete trades within dataframe (with sell hit for all) # 2) Two complete trades but one without sell hit (remains open) # 3) Two complete trades and one buy signal while one trade is open # 4) Two complete trades with buy=1 on the last frame ################################################################### # STOPLOSS: # 5) Candle drops 8%, stoploss at 1%: Trade closed, 1% loss # 6) Candle drops 4% but recovers to 1% loss, stoploss at 3%: Trade closed, 3% loss # 7) Candle drops 4% recovers to 1% entry criteria are met, candle drops # 20%, stoploss at 2%: Trade 1 closed, Loss 2%, Trade 2 opened, Trade 2 closed, Loss 2% #################################################################### # PRIORITY TO STOPLOSS: # 8) Stoploss and sell are hit. should sell on stoploss #################################################################### def test_filter(mocker, default_conf): exchange = get_patched_exchange(mocker, default_conf) edge = Edge(default_conf, exchange) mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock( return_value=[ ['E/F', -0.01, 0.66, 3.71, 0.50, 1.71], ['C/D', -0.01, 0.66, 3.71, 0.50, 1.71], ['N/O', -0.01, 0.66, 3.71, 0.50, 1.71] ] )) pairs = ['A/B', 'C/D', 'E/F', 'G/H'] assert(edge.filter(pairs) == ['E/F', 'C/D']) def _validate_ohlc(buy_ohlc_sell_matrice): for index, ohlc in enumerate(buy_ohlc_sell_matrice): # if not high < open < low or not high < close < low if not ohlc[3] > ohlc[2] > ohlc[4] or not ohlc[3] > ohlc[5] > ohlc[4]: raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!') return True def _build_dataframe(buy_ohlc_sell_matrice): _validate_ohlc(buy_ohlc_sell_matrice) tickers = [] for ohlc in buy_ohlc_sell_matrice: ticker = { 'date': ohlc[0], 'buy': ohlc[1], 'open': ohlc[2], 'high': ohlc[3], 'low': ohlc[4], 'close': ohlc[5], 'sell': ohlc[6] } tickers.append(ticker) return DataFrame(tickers) def test_three_complete_trades(mocker, default_conf): exchange = get_patched_exchange(mocker, default_conf) edge = Edge(default_conf, exchange) stoploss = -0.90 # we don't want stoploss to be hit in this test three_sell_points_hit = [ # Date, Buy, O, H, L, C, Sell [1, 1, 15, 20, 12, 17, 0], # -> should enter the trade [2, 0, 17, 18, 13, 14, 1], # -> should sell (trade 1 completed) [3, 0, 14, 15, 11, 12, 0], # -> no action [4, 1, 12, 25, 11, 20, 0], # -> should enter the trade [5, 0, 20, 30, 19, 25, 1], # -> should sell (trade 2 completed) [6, 1, 25, 27, 22, 26, 1], # -> buy and sell, should enter the trade [7, 0, 26, 36, 25, 35, 1], # -> should sell (trade 3 completed) ] ticker_df = _build_dataframe(three_sell_points_hit) trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) # Three trades must have happened assert len(trades) == 3 # First trade check assert trades[0]['open_time'] == 1 assert trades[0]['close_time'] == 2 # Second trade check assert trades[1]['open_time'] == 4 assert trades[1]['close_time'] == 5 # Third trade check assert trades[2]['open_time'] == 6 assert trades[2]['close_time'] == 7