# pragma pylint: disable=missing-docstring,W0212,C0103 import json import os from datetime import datetime from unittest.mock import MagicMock 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, setup_configuration, start from freqtrade.resolvers import HyperOptResolver from freqtrade.state import RunMode from freqtrade.tests.conftest import log_has, patch_exchange from freqtrade.tests.optimize.test_backtesting import get_args @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: mocker.patch('freqtrade.configuration.open', mocker.mock_open( read_data=json.dumps(default_conf) )) args = [ '--config', 'config.json', 'hyperopt' ] config = setup_configuration(get_args(args)) 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 folder: {} ...'.format(config['datadir']), caplog.record_tuples ) assert 'ticker_interval' in config assert not log_has('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: mocker.patch('freqtrade.configuration.open', mocker.mock_open( read_data=json.dumps(default_conf) )) mocker.patch('freqtrade.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)) 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 folder: {} ...'.format(config['datadir']), caplog.record_tuples ) assert 'ticker_interval' in config assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples) assert log_has( '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 ...', 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: True', caplog.record_tuples) def test_hyperoptresolver(mocker, default_conf, caplog) -> None: mocker.patch( 'freqtrade.configuration.Configuration._load_config_file', lambda *args, **kwargs: 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) def test_start(mocker, default_conf, caplog) -> None: start_mock = MagicMock() mocker.patch( 'freqtrade.configuration.Configuration._load_config_file', lambda *args, **kwargs: 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(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_failure(mocker, default_conf, caplog) -> None: start_mock = MagicMock() mocker.patch( 'freqtrade.configuration.Configuration._load_config_file', lambda *args, **kwargs: 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(args) assert log_has( "Please don't use --strategy for hyperopt.", 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' } ) out, err = capsys.readouterr() assert ' 1/2: foo. Loss 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()) 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'}) default_conf.update({'epochs': 1}) default_conf.update({'timerange': None}) default_conf.update({'spaces': 'all'}) default_conf.update({'hyperopt_jobs': 1}) hyperopt = Hyperopt(default_conf) hyperopt.strategy.tickerdata_to_dataframe = MagicMock() hyperopt.start() parallel.assert_called_once() assert 'Best result:\nfoo result\nwith values:\n\n' in caplog.text assert dumper.called 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', 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', 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'}) 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 ' '(0.0231Σ%). 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