336 lines
14 KiB
Python
336 lines
14 KiB
Python
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
|
||
import logging
|
||
from unittest.mock import MagicMock
|
||
|
||
import pytest
|
||
from pandas import DataFrame
|
||
|
||
from freqtrade.data.history import get_timeframe
|
||
from freqtrade.optimize.backtesting import Backtesting
|
||
from freqtrade.strategy.interface import SellType
|
||
from tests.conftest import patch_exchange
|
||
from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
|
||
_get_frame_time_from_offset, tests_ticker_interval)
|
||
|
||
# Test 0: Sell with signal sell in candle 3
|
||
# Test with Stop-loss at 1%
|
||
tc0 = 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, 4986, 4600, 6172, 0, 0], # exit with stoploss hit
|
||
[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
|
||
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
|
||
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
||
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
|
||
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
|
||
)
|
||
|
||
# Test 1: Stop-Loss Triggered 1% loss
|
||
# Test with Stop-loss at 1%
|
||
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={"0": 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 = 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={"0": 1}, profit_perc=-0.03,
|
||
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
|
||
)
|
||
|
||
|
||
# Test 3: Multiple trades.
|
||
# Candle drops 4%, Recovers 1%.
|
||
# Entry Criteria Met
|
||
# Candle drops 20%
|
||
# 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={"0": 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%
|
||
# 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": 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%, ROI triggers 3% Gain
|
||
# stop-loss: 1%, ROI: 3%
|
||
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": 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, Stop-Loss triggers 2% Loss
|
||
# stop-loss: 2% ROI: 5%
|
||
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": 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, ROI Triggers 3% Gain
|
||
# stop-loss: 2% ROI: 3%
|
||
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": 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.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in 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": 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.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
|
||
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": 0.10}, profit_perc=-0.064, trailing_stop=True,
|
||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
|
||
)
|
||
|
||
# Test 10: trailing_stop should raise so candle 3 causes a stoploss
|
||
# without applying trailing_stop_positive since stoploss_offset is at 10%.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||
tc10 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||
[2, 5100, 5251, 5100, 5100, 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": 0.10}, profit_perc=-0.1, trailing_stop=True,
|
||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
|
||
trailing_stop_positive=0.03,
|
||
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
|
||
)
|
||
|
||
# Test 11: trailing_stop should raise so candle 3 causes a stoploss
|
||
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||
tc11 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||
[2, 5100, 5251, 5100, 5100, 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": 0.10}, profit_perc=0.019, trailing_stop=True,
|
||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||
trailing_stop_positive=0.03,
|
||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
|
||
)
|
||
|
||
# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
|
||
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
||
tc12 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
||
[2, 5100, 5251, 4650, 5100, 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": 0.10}, profit_perc=0.019, trailing_stop=True,
|
||
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
||
trailing_stop_positive=0.03,
|
||
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
|
||
)
|
||
|
||
# Test 13: Buy and sell ROI on same candle
|
||
# stop-loss: 10% (should not apply), ROI: 1%
|
||
tc13 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5100, 4950, 5100, 6172, 0, 0],
|
||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||
[4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
|
||
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
|
||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
|
||
)
|
||
|
||
# Test 14 - Buy and Stoploss on same candle
|
||
# stop-loss: 5%, ROI: 10% (should not apply)
|
||
tc14 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5100, 4600, 5100, 6172, 0, 0],
|
||
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||
stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
|
||
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
|
||
)
|
||
|
||
|
||
# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
|
||
# stop-loss: 5%, ROI: 10% (should not apply)
|
||
tc15 = BTContainer(data=[
|
||
# D O H L C V B S
|
||
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
||
[1, 5000, 5100, 4900, 5100, 6172, 1, 0],
|
||
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
||
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
||
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
||
stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
|
||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
|
||
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
|
||
)
|
||
|
||
# Test 16: Buy, hold for 65 mins, then forcesell using roi=-1
|
||
# Causes negative profit even though sell-reason is ROI.
|
||
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration)
|
||
tc16 = 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, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
|
||
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
||
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
||
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
|
||
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
||
)
|
||
|
||
TESTS = [
|
||
tc0,
|
||
tc1,
|
||
tc2,
|
||
tc3,
|
||
tc4,
|
||
tc5,
|
||
tc6,
|
||
tc7,
|
||
tc8,
|
||
tc9,
|
||
tc10,
|
||
tc11,
|
||
tc12,
|
||
tc13,
|
||
tc14,
|
||
tc15,
|
||
tc16,
|
||
]
|
||
|
||
|
||
@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"] = data.roi
|
||
default_conf["ticker_interval"] = tests_ticker_interval
|
||
default_conf["trailing_stop"] = data.trailing_stop
|
||
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
|
||
# Only add this to configuration If it's necessary
|
||
if data.trailing_stop_positive:
|
||
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
|
||
default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
|
||
default_conf["ask_strategy"] = {"use_sell_signal": data.use_sell_signal}
|
||
|
||
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.strategy.advise_buy = lambda a, m: frame
|
||
backtesting.strategy.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,
|
||
}
|
||
)
|
||
|
||
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)
|