# pragma pylint: disable=missing-docstring,W0212,C0103 import json import os from datetime import datetime from unittest.mock import MagicMock from filelock import Timeout import pandas as pd import pytest from freqtrade import DependencyException from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.data.history import load_tickerdata_file from freqtrade.optimize.default_hyperopt import DefaultHyperOpts from freqtrade.optimize.hyperopt import Hyperopt, HYPEROPT_LOCKFILE from freqtrade.optimize import setup_configuration, start_hyperopt from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver from freqtrade.state import RunMode from freqtrade.tests.conftest import (get_args, log_has, log_has_re, patch_exchange, patched_configuration_load_config_file, patched_configuration_open) @pytest.fixture(scope='function') def hyperopt(default_conf, mocker): patch_exchange(mocker) return Hyperopt(default_conf) # Functions for recurrent object patching def create_trials(mocker, hyperopt) -> None: """ When creating trials, mock the hyperopt Trials so that *by default* - we don't create any pickle'd files in the filesystem - we might have a pickle'd file so make sure that we return false when looking for it """ hyperopt.trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle') mocker.patch('freqtrade.optimize.hyperopt.os.path.exists', return_value=False) mocker.patch('freqtrade.optimize.hyperopt.os.path.getsize', return_value=1) mocker.patch('freqtrade.optimize.hyperopt.os.remove', return_value=True) mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None) return [{'loss': 1, 'result': 'foo', 'params': {}}] def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None: patched_configuration_open(mocker, default_conf) args = [ '--config', 'config.json', 'hyperopt' ] config = setup_configuration(get_args(args), RunMode.HYPEROPT) assert 'max_open_trades' in config assert 'stake_currency' in config assert 'stake_amount' in config assert 'exchange' in config assert 'pair_whitelist' in config['exchange'] assert 'datadir' in config assert log_has( 'Using data directory: {} ...'.format(config['datadir']), caplog.record_tuples ) assert 'ticker_interval' in config assert not log_has_re('Parameter -i/--ticker-interval detected .*', caplog.record_tuples) assert 'live' not in config assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples) assert 'position_stacking' not in config assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) assert 'refresh_pairs' not in config assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples) assert 'timerange' not in config assert 'runmode' in config assert config['runmode'] == RunMode.HYPEROPT def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplog) -> None: patched_configuration_open(mocker, default_conf) mocker.patch('freqtrade.configuration.configuration.Configuration._create_datadir', lambda s, c, x: x) args = [ '--config', 'config.json', '--datadir', '/foo/bar', 'hyperopt', '--ticker-interval', '1m', '--timerange', ':100', '--refresh-pairs-cached', '--enable-position-stacking', '--disable-max-market-positions', '--epochs', '1000', '--spaces', 'all', '--print-all' ] config = setup_configuration(get_args(args), RunMode.HYPEROPT) assert 'max_open_trades' in config assert 'stake_currency' in config assert 'stake_amount' in config assert 'exchange' in config assert 'pair_whitelist' in config['exchange'] assert 'datadir' in config assert config['runmode'] == RunMode.HYPEROPT assert log_has( 'Using data directory: {} ...'.format(config['datadir']), caplog.record_tuples ) assert 'ticker_interval' in config assert log_has('Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', caplog.record_tuples) assert 'position_stacking' in config assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples) assert 'use_max_market_positions' in config assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples) assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples) assert 'refresh_pairs' in config assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples) assert 'timerange' in config assert log_has( 'Parameter --timerange detected: {} ...'.format(config['timerange']), caplog.record_tuples ) assert 'epochs' in config assert log_has('Parameter --epochs detected ... Will run Hyperopt with for 1000 epochs ...', caplog.record_tuples) assert 'spaces' in config assert log_has( 'Parameter -s/--spaces detected: {}'.format(config['spaces']), caplog.record_tuples ) assert 'print_all' in config assert log_has('Parameter --print-all detected ...', caplog.record_tuples) def test_hyperoptresolver(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) hyperopts = DefaultHyperOpts delattr(hyperopts, 'populate_buy_trend') delattr(hyperopts, 'populate_sell_trend') mocker.patch( 'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver._load_hyperopt', MagicMock(return_value=hyperopts) ) x = HyperOptResolver(default_conf, ).hyperopt assert not hasattr(x, 'populate_buy_trend') assert not hasattr(x, 'populate_sell_trend') assert log_has("Custom Hyperopt does not provide populate_sell_trend. " "Using populate_sell_trend from DefaultStrategy.", caplog.record_tuples) assert log_has("Custom Hyperopt does not provide populate_buy_trend. " "Using populate_buy_trend from DefaultStrategy.", caplog.record_tuples) assert hasattr(x, "ticker_interval") def test_start(mocker, default_conf, caplog) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, default_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) patch_exchange(mocker) args = [ '--config', 'config.json', 'hyperopt', '--epochs', '5' ] args = get_args(args) start_hyperopt(args) import pprint pprint.pprint(caplog.record_tuples) assert log_has( 'Starting freqtrade in Hyperopt mode', caplog.record_tuples ) assert start_mock.call_count == 1 def test_start_no_data(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock(return_value={})) mocker.patch( 'freqtrade.optimize.hyperopt.get_timeframe', MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13))) ) patch_exchange(mocker) args = [ '--config', 'config.json', 'hyperopt', '--epochs', '5' ] args = get_args(args) start_hyperopt(args) import pprint pprint.pprint(caplog.record_tuples) assert log_has('No data found. Terminating.', caplog.record_tuples) def test_start_failure(mocker, default_conf, caplog) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, default_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) patch_exchange(mocker) args = [ '--config', 'config.json', '--strategy', 'TestStrategy', 'hyperopt', '--epochs', '5' ] args = get_args(args) with pytest.raises(DependencyException): start_hyperopt(args) assert log_has( "Please don't use --strategy for hyperopt.", caplog.record_tuples ) def test_start_filelock(mocker, default_conf, caplog) -> None: start_mock = MagicMock(side_effect=Timeout(HYPEROPT_LOCKFILE)) patched_configuration_load_config_file(mocker, default_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) patch_exchange(mocker) args = [ '--config', 'config.json', 'hyperopt', '--epochs', '5' ] args = get_args(args) start_hyperopt(args) assert log_has( "Another running instance of freqtrade Hyperopt detected.", caplog.record_tuples ) def test_loss_calculation_prefer_correct_trade_count(hyperopt) -> None: correct = hyperopt.calculate_loss(1, hyperopt.target_trades, 20) over = hyperopt.calculate_loss(1, hyperopt.target_trades + 100, 20) under = hyperopt.calculate_loss(1, hyperopt.target_trades - 100, 20) assert over > correct assert under > correct def test_loss_calculation_prefer_shorter_trades(hyperopt) -> None: shorter = hyperopt.calculate_loss(1, 100, 20) longer = hyperopt.calculate_loss(1, 100, 30) assert shorter < longer def test_loss_calculation_has_limited_profit(hyperopt) -> None: correct = hyperopt.calculate_loss(hyperopt.expected_max_profit, hyperopt.target_trades, 20) over = hyperopt.calculate_loss(hyperopt.expected_max_profit * 2, hyperopt.target_trades, 20) under = hyperopt.calculate_loss(hyperopt.expected_max_profit / 2, hyperopt.target_trades, 20) assert over == correct assert under > correct def test_log_results_if_loss_improves(hyperopt, capsys) -> None: hyperopt.current_best_loss = 2 hyperopt.log_results( { 'loss': 1, 'current_tries': 1, 'total_tries': 2, 'result': 'foo.', 'initial_point': False } ) out, err = capsys.readouterr() assert ' 2/2: foo. Objective: 1.00000' in out def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None: hyperopt.current_best_loss = 2 hyperopt.log_results( { 'loss': 3, } ) assert caplog.record_tuples == [] def test_save_trials_saves_trials(mocker, hyperopt, caplog) -> None: trials = create_trials(mocker, hyperopt) mock_dump = mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None) hyperopt.trials = trials hyperopt.save_trials() trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle') assert log_has( 'Saving 1 evaluations to \'{}\''.format(trials_file), caplog.record_tuples ) mock_dump.assert_called_once() def test_read_trials_returns_trials_file(mocker, hyperopt, caplog) -> None: trials = create_trials(mocker, hyperopt) mock_load = mocker.patch('freqtrade.optimize.hyperopt.load', return_value=trials) hyperopt_trial = hyperopt.read_trials() trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle') assert log_has( 'Reading Trials from \'{}\''.format(trials_file), caplog.record_tuples ) assert hyperopt_trial == trials mock_load.assert_called_once() def test_roi_table_generation(hyperopt) -> None: params = { 'roi_t1': 5, 'roi_t2': 10, 'roi_t3': 15, 'roi_p1': 1, 'roi_p2': 2, 'roi_p3': 3, } assert hyperopt.custom_hyperopt.generate_roi_table(params) == {0: 6, 15: 3, 25: 1, 30: 0} def test_start_calls_optimizer(mocker, default_conf, caplog) -> None: dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock()) mocker.patch( 'freqtrade.optimize.hyperopt.get_timeframe', MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13))) ) parallel = mocker.patch( 'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel', MagicMock(return_value=[{'loss': 1, 'result': 'foo result', 'params': {}}]) ) patch_exchange(mocker) default_conf.update({'config': 'config.json.example', 'epochs': 1, 'timerange': None, 'spaces': 'all', 'hyperopt_jobs': 1, }) hyperopt = Hyperopt(default_conf) hyperopt.strategy.tickerdata_to_dataframe = MagicMock() hyperopt.start() parallel.assert_called_once() assert log_has('Best result:\nfoo result\nwith values:\n', caplog.record_tuples) assert dumper.called # Should be called twice, once for tickerdata, once to save evaluations assert dumper.call_count == 2 def test_format_results(hyperopt): # Test with BTC as stake_currency trades = [ ('ETH/BTC', 2, 2, 123), ('LTC/BTC', 1, 1, 123), ('XPR/BTC', -1, -2, -246) ] labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration'] df = pd.DataFrame.from_records(trades, columns=labels) result = hyperopt.format_results(df) assert result.find(' 66.67%') assert result.find('Total profit 1.00000000 BTC') assert result.find('2.0000Σ %') # Test with EUR as stake_currency trades = [ ('ETH/EUR', 2, 2, 123), ('LTC/EUR', 1, 1, 123), ('XPR/EUR', -1, -2, -246) ] df = pd.DataFrame.from_records(trades, columns=labels) result = hyperopt.format_results(df) assert result.find('Total profit 1.00000000 EUR') def test_has_space(hyperopt): hyperopt.config.update({'spaces': ['buy', 'roi']}) assert hyperopt.has_space('roi') assert hyperopt.has_space('buy') assert not hyperopt.has_space('stoploss') hyperopt.config.update({'spaces': ['all']}) assert hyperopt.has_space('buy') def test_populate_indicators(hyperopt) -> None: tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m') tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist) dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], {'pair': 'UNITTEST/BTC'}) # Check if some indicators are generated. We will not test all of them assert 'adx' in dataframe assert 'mfi' in dataframe assert 'rsi' in dataframe def test_buy_strategy_generator(hyperopt) -> None: tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m') tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist) dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], {'pair': 'UNITTEST/BTC'}) populate_buy_trend = hyperopt.custom_hyperopt.buy_strategy_generator( { 'adx-value': 20, 'fastd-value': 20, 'mfi-value': 20, 'rsi-value': 20, 'adx-enabled': True, 'fastd-enabled': True, 'mfi-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower' } ) result = populate_buy_trend(dataframe, {'pair': 'UNITTEST/BTC'}) # Check if some indicators are generated. We will not test all of them assert 'buy' in result assert 1 in result['buy'] def test_generate_optimizer(mocker, default_conf) -> None: default_conf.update({'config': 'config.json.example'}) default_conf.update({'timerange': None}) default_conf.update({'spaces': 'all'}) default_conf.update({'hyperopt_min_trades': 1}) trades = [ ('POWR/BTC', 0.023117, 0.000233, 100) ] labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration'] backtest_result = pd.DataFrame.from_records(trades, columns=labels) mocker.patch( 'freqtrade.optimize.hyperopt.Hyperopt.backtest', MagicMock(return_value=backtest_result) ) mocker.patch( 'freqtrade.optimize.hyperopt.get_timeframe', MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13))) ) patch_exchange(mocker) mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock()) optimizer_param = { 'adx-value': 0, 'fastd-value': 35, 'mfi-value': 0, 'rsi-value': 0, 'adx-enabled': False, 'fastd-enabled': True, 'mfi-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-adx-value': 0, 'sell-fastd-value': 75, 'sell-mfi-value': 0, 'sell-rsi-value': 0, 'sell-adx-enabled': False, 'sell-fastd-enabled': True, 'sell-mfi-enabled': False, 'sell-rsi-enabled': False, 'sell-trigger': 'macd_cross_signal', 'roi_t1': 60.0, 'roi_t2': 30.0, 'roi_t3': 20.0, 'roi_p1': 0.01, 'roi_p2': 0.01, 'roi_p3': 0.1, 'stoploss': -0.4, } response_expected = { 'loss': 1.9840569076926293, 'result': ' 1 trades. Avg profit 2.31%. Total profit 0.00023300 BTC ' '( 2.31Σ%). Avg duration 100.0 mins.', 'params': optimizer_param } hyperopt = Hyperopt(default_conf) generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values())) assert generate_optimizer_value == response_expected