stable/freqtrade/tests/optimize/test_hyperopt.py
2018-01-25 11:12:00 +02:00

249 lines
8.3 KiB
Python

# pragma pylint: disable=missing-docstring,W0212,C0103
from freqtrade.optimize.hyperopt import calculate_loss, TARGET_TRADES, EXPECTED_MAX_PROFIT, start, \
log_results, save_trials, read_trials, generate_roi_table
def test_loss_calculation_prefer_correct_trade_count():
correct = calculate_loss(1, TARGET_TRADES, 20)
over = calculate_loss(1, TARGET_TRADES + 100, 20)
under = calculate_loss(1, TARGET_TRADES - 100, 20)
assert over > correct
assert under > correct
def test_loss_calculation_prefer_shorter_trades():
shorter = calculate_loss(1, 100, 20)
longer = calculate_loss(1, 100, 30)
assert shorter < longer
def test_loss_calculation_has_limited_profit():
correct = calculate_loss(EXPECTED_MAX_PROFIT, TARGET_TRADES, 20)
over = calculate_loss(EXPECTED_MAX_PROFIT * 2, TARGET_TRADES, 20)
under = calculate_loss(EXPECTED_MAX_PROFIT / 2, TARGET_TRADES, 20)
assert over == correct
assert under > correct
def create_trials(mocker):
"""
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
"""
mocker.patch('freqtrade.optimize.hyperopt.TRIALS_FILE',
return_value='freqtrade/tests/optimize/ut_trials.pickle')
mocker.patch('freqtrade.optimize.hyperopt.os.path.exists',
return_value=False)
mocker.patch('freqtrade.optimize.hyperopt.save_trials',
return_value=None)
mocker.patch('freqtrade.optimize.hyperopt.read_trials',
return_value=None)
mocker.patch('freqtrade.optimize.hyperopt.os.remove',
return_value=True)
return mocker.Mock(
results=[{
'loss': 1,
'result': 'foo',
'status': 'ok'
}],
best_trial={'misc': {'vals': {'adx': 999}}}
)
def test_start_calls_fmin(mocker):
trials = create_trials(mocker)
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.hyperopt.TRIALS', return_value=trials)
mocker.patch('freqtrade.optimize.hyperopt.sorted',
return_value=trials.results)
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.load_data')
mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False,
timerange=None)
start(args)
mock_fmin.assert_called_once()
def test_start_uses_mongotrials(mocker):
mock_mongotrials = mocker.patch('freqtrade.optimize.hyperopt.MongoTrials',
return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True,
timerange=None)
start(args)
mock_mongotrials.assert_called_once()
def test_log_results_if_loss_improves(mocker):
logger = mocker.patch('freqtrade.optimize.hyperopt.logger.info')
global CURRENT_BEST_LOSS
CURRENT_BEST_LOSS = 2
log_results({
'loss': 1,
'current_tries': 1,
'total_tries': 2,
'result': 'foo'
})
logger.assert_called_once()
def test_no_log_if_loss_does_not_improve(mocker):
logger = mocker.patch('freqtrade.optimize.hyperopt.logger.info')
global CURRENT_BEST_LOSS
CURRENT_BEST_LOSS = 2
log_results({
'loss': 3,
})
assert not logger.called
def test_fmin_best_results(mocker, caplog):
fmin_result = {
"macd_below_zero": 0,
"adx": 1,
"adx-value": 15.0,
"fastd": 1,
"fastd-value": 40.0,
"green_candle": 1,
"mfi": 0,
"over_sar": 0,
"rsi": 1,
"rsi-value": 37.0,
"trigger": 2,
"uptrend_long_ema": 1,
"uptrend_short_ema": 0,
"uptrend_sma": 0,
"stoploss": -0.1,
"roi_t1": 1,
"roi_t2": 2,
"roi_t3": 3,
"roi_p1": 1,
"roi_p2": 2,
"roi_p3": 3,
}
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result)
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
'Best parameters',
'"adx": {\n "enabled": true,\n "value": 15.0\n },',
'"green_candle": {\n "enabled": true\n },',
'"mfi": {\n "enabled": false\n },',
'"trigger": {\n "type": "faststoch10"\n },',
'"stoploss": -0.1',
]
for line in exists:
assert line in caplog.text
def test_fmin_throw_value_error(mocker, caplog):
mocker.patch('freqtrade.optimize.hyperopt.MongoTrials', return_value=create_trials(mocker))
mocker.patch('freqtrade.optimize.tickerdata_to_dataframe')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin', side_effect=ValueError())
args = mocker.Mock(epochs=1, config='config.json.example',
timerange=None)
start(args)
exists = [
'Best Result:',
'Sorry, Hyperopt was not able to find good parameters. Please try with more epochs '
'(param: -e).',
]
for line in exists:
assert line in caplog.text
def test_resuming_previous_hyperopt_results_succeeds(mocker):
import freqtrade.optimize.hyperopt as hyperopt
trials = create_trials(mocker)
mocker.patch('freqtrade.optimize.hyperopt.TRIALS',
return_value=trials)
mocker.patch('freqtrade.optimize.hyperopt.os.path.exists',
return_value=True)
mocker.patch('freqtrade.optimize.hyperopt.len',
return_value=len(trials.results))
mock_read = mocker.patch('freqtrade.optimize.hyperopt.read_trials',
return_value=trials)
mock_save = mocker.patch('freqtrade.optimize.hyperopt.save_trials',
return_value=None)
mocker.patch('freqtrade.optimize.hyperopt.sorted',
return_value=trials.results)
mocker.patch('freqtrade.optimize.preprocess')
mocker.patch('freqtrade.optimize.load_data')
mocker.patch('freqtrade.optimize.hyperopt.fmin',
return_value={})
args = mocker.Mock(epochs=1,
config='config.json.example',
mongodb=False,
timerange=None)
start(args)
mock_read.assert_called_once()
mock_save.assert_called_once()
current_tries = hyperopt._CURRENT_TRIES
total_tries = hyperopt.TOTAL_TRIES
assert current_tries == len(trials.results)
assert total_tries == (current_tries + len(trials.results))
def test_save_trials_saves_trials(mocker):
trials = create_trials(mocker)
mock_dump = mocker.patch('freqtrade.optimize.hyperopt.pickle.dump',
return_value=None)
trials_path = mocker.patch('freqtrade.optimize.hyperopt.TRIALS_FILE',
return_value='ut_trials.pickle')
mocker.patch('freqtrade.optimize.hyperopt.open',
return_value=trials_path)
save_trials(trials, trials_path)
mock_dump.assert_called_once_with(trials, trials_path)
def test_read_trials_returns_trials_file(mocker):
trials = create_trials(mocker)
mock_load = mocker.patch('freqtrade.optimize.hyperopt.pickle.load',
return_value=trials)
mock_open = mocker.patch('freqtrade.optimize.hyperopt.open',
return_value=mock_load)
assert read_trials() == trials
mock_open.assert_called_once()
mock_load.assert_called_once()
def test_roi_table_generation():
params = {
'roi_t1': 5,
'roi_t2': 10,
'roi_t3': 15,
'roi_p1': 1,
'roi_p2': 2,
'roi_p3': 3,
}
assert generate_roi_table(params) == {'0': 6, '15': 3, '25': 1, '30': 0}