# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument import logging from unittest.mock import MagicMock from pandas import DataFrame import pytest from freqtrade.optimize import get_timeframe from freqtrade.optimize.backtesting import Backtesting from freqtrade.strategy.interface import SellType from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe, _get_frame_time_from_offset, tests_ticker_interval) from freqtrade.tests.conftest import patch_exchange # Test 1 Minus 8% Close # Test with Stop-loss at 1% # TC1: Stop-Loss Triggered 1% loss tc1 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit [3, 4975, 5000, 4980, 4977, 6172, 0, 0], [4, 4977, 4987, 4977, 4995, 6172, 0, 0], [5, 4995, 4995, 4995, 4950, 6172, 0, 0]], stop_loss=-0.01, roi=1, profit_perc=-0.01, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) # Test 2 Minus 4% Low, minus 1% close # Test with Stop-Loss at 3% # TC2: Stop-Loss Triggered 3% Loss tc2 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4962, 4975, 6172, 0, 0], [3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.03, roi=1, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)] ) # Test 3 Candle drops 4%, Recovers 1%. # Entry Criteria Met # Candle drops 20% # Test with Stop-Loss at 2% # TC3: Trade-A: Stop-Loss Triggered 2% Loss # Trade-B: Stop-Loss Triggered 2% Loss tc3 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4800, 4975, 6172, 0, 0], # exit with stoploss hit [3, 4975, 5000, 4950, 4962, 6172, 1, 0], [4, 4975, 5000, 4950, 4962, 6172, 0, 0], # enter trade 2 (signal on last candle) [5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit [6, 4950, 4975, 4975, 4950, 6172, 0, 0]], stop_loss=-0.02, roi=1, profit_perc=-0.04, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2), BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)] ) # Test 4 Minus 3% / recovery +15% # 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 tc4 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5750, 4850, 5750, 6172, 0, 0], # Exit with stoploss hit [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.02, roi=0.06, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) # Test 5 / Drops 0.5% Closes +20% # Set stop-loss at 1% ROI 3% # TC5: ROI triggers 3% Gain tc5 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4980, 4987, 6172, 1, 0], [1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5025, 4975, 4987, 6172, 0, 0], [3, 4975, 6000, 4975, 6000, 6172, 0, 0], # ROI [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.01, roi=0.03, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] ) # Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve # Set stop-loss at 2% ROI at 5% # TC6: Stop-Loss triggers 2% Loss tc6 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5300, 4850, 5050, 6172, 0, 0], # Exit with stoploss [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.02, roi=0.05, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) # Test 7 - 6% Positive / 1% Negative / Close 1% Positve # Set stop-loss at 2% ROI at 3% # TC7: ROI Triggers 3% Gain tc7 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5050, 6172, 0, 0], [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.02, roi=0.03, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] ) # Test 8 - trailing_stop should raise so candle 3 causes a stoploss. # Set stop-loss at 10%, ROI at 10% (should not apply) # TC8: Trailing stoploss - stoploss should be adjusted candle 2 tc8 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5050, 4950, 5000, 6172, 0, 0], [2, 5000, 5250, 4750, 4850, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], stop_loss=-0.10, roi=0.10, profit_perc=-0.055, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) # Test 9 - trailing_stop should raise - high and low in same candle. # Candle Data for test 9 # Set stop-loss at 10%, ROI at 10% (should not apply) # TC9: Trailing stoploss - stoploss should be adjusted candle 2 tc9 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5050, 4950, 5000, 6172, 0, 0], [2, 5000, 5050, 4950, 5000, 6172, 0, 0], [3, 5000, 5200, 4550, 4850, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], stop_loss=-0.10, roi=0.10, profit_perc=-0.064, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) TESTS = [ tc1, tc2, tc3, tc4, tc5, tc6, tc7, tc8, tc9, ] @pytest.mark.parametrize("data", TESTS) def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: """ run functional tests """ default_conf["stoploss"] = data.stop_loss default_conf["minimal_roi"] = {"0": data.roi} default_conf["ticker_interval"] = tests_ticker_interval default_conf["trailing_stop"] = data.trailing_stop mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0)) patch_exchange(mocker) frame = _build_backtest_dataframe(data.data) backtesting = Backtesting(default_conf) backtesting.advise_buy = lambda a, m: frame backtesting.advise_sell = lambda a, m: frame caplog.set_level(logging.DEBUG) pair = "UNITTEST/BTC" # Dummy data as we mock the analyze functions data_processed = {pair: DataFrame()} min_date, max_date = get_timeframe({pair: frame}) results = backtesting.backtest( { 'stake_amount': default_conf['stake_amount'], 'processed': data_processed, 'max_open_trades': 10, 'start_date': min_date, 'end_date': max_date, } ) print(results.T) assert len(results) == len(data.trades) assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3) for c, trade in enumerate(data.trades): res = results.iloc[c] assert res.sell_reason == trade.sell_reason assert res.open_time == _get_frame_time_from_offset(trade.open_tick) assert res.close_time == _get_frame_time_from_offset(trade.close_tick)