184 lines
6.5 KiB
Python
184 lines
6.5 KiB
Python
from freqtrade.tests.conftest import get_patched_exchange
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from freqtrade.edge import Edge
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from pandas import DataFrame, to_datetime
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import arrow
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import numpy as np
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# Cases to be tested:
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# SELL POINTS:
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# 1) Three complete trades within dataframe (with sell hit for all)
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# 2) Two complete trades but one without sell hit (remains open)
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# 3) Two complete trades and one buy signal while one trade is open
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# 4) Two complete trades with buy=1 on the last frame
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###################################################################
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# STOPLOSS:
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# 5) Candle drops 8%, stoploss at 1%: Trade closed, 1% loss
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# 6) Candle drops 4% but recovers to 1% loss, stoploss at 3%: Trade closed, 3% loss
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# 7) Candle drops 4% recovers to 1% entry criteria are met, candle drops
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# 20%, stoploss at 2%: Trade 1 closed, Loss 2%, Trade 2 opened, Trade 2 closed, Loss 2%
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####################################################################
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# PRIORITY TO STOPLOSS:
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# 8) Stoploss and sell are hit. should sell on stoploss
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####################################################################
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ticker_start_time = arrow.get(2018, 10, 3)
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ticker_interval_in_minute = 5
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def test_filter(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf)
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edge = Edge(default_conf, exchange)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value=[
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['E/F', -0.01, 0.66, 3.71, 0.50, 1.71],
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['C/D', -0.01, 0.66, 3.71, 0.50, 1.71],
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['N/O', -0.01, 0.66, 3.71, 0.50, 1.71]
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]
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))
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pairs = ['A/B', 'C/D', 'E/F', 'G/H']
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assert(edge.filter(pairs) == ['E/F', 'C/D'])
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def _validate_ohlc(buy_ohlc_sell_matrice):
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for index, ohlc in enumerate(buy_ohlc_sell_matrice):
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# if not high < open < low or not high < close < low
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if not ohlc[3] > ohlc[2] > ohlc[4] or not ohlc[3] > ohlc[5] > ohlc[4]:
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raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
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return True
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def _build_dataframe(buy_ohlc_sell_matrice):
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_validate_ohlc(buy_ohlc_sell_matrice)
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tickers = []
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for ohlc in buy_ohlc_sell_matrice:
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ticker = {
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# ticker every 5 min
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'date': ticker_start_time.shift(minutes=(ohlc[0] * 5)).timestamp * 1000,
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'buy': ohlc[1],
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'open': ohlc[2],
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'high': ohlc[3],
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'low': ohlc[4],
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'close': ohlc[5],
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'sell': ohlc[6]
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}
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tickers.append(ticker)
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frame = DataFrame(tickers)
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frame['date'] = to_datetime(frame['date'],
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unit='ms',
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utc=True,
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infer_datetime_format=True)
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return frame
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def test_process_expectancy(mocker, default_conf):
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default_conf['edge']['min_trade_number'] = 2
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exchange = get_patched_exchange(mocker, default_conf)
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def get_fee():
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return 0.001
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exchange.get_fee = get_fee
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edge = Edge(default_conf, exchange)
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trades = [
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:05:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:10:00.000000000'),
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'open_index': 1,
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'close_index': 1,
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'trade_duration': '',
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'open_rate': 17,
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'close_rate': 17,
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'exit_type': 'sell_signal'}, # sdfsdf
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
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'open_index': 4,
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'close_index': 4,
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'trade_duration': '',
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'open_rate': 20,
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'close_rate': 20,
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'exit_type': 'sell_signal'},
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{'pair': 'TEST/BTC',
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'stoploss': -0.9,
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'profit_percent': '',
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'profit_abs': '',
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'open_time': np.datetime64('2018-10-03T00:30:00.000000000'),
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'close_time': np.datetime64('2018-10-03T00:40:00.000000000'),
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'open_index': 6,
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'close_index': 7,
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'trade_duration': '',
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'open_rate': 26,
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'close_rate': 34,
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'exit_type': 'sell_signal'}
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]
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trades_df = DataFrame(trades)
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trades_df = edge._fill_calculable_fields(trades_df)
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final = edge._process_expectancy(trades_df)
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assert len(final) == 1
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# TODO: check expectancy + win rate etc
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def test_three_complete_trades(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf)
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edge = Edge(default_conf, exchange)
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stoploss = -0.90 # we don't want stoploss to be hit in this test
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three_sell_points_hit = [
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# Date, Buy, O, H, L, C, Sell
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[1, 1, 15, 20, 12, 17, 0], # -> should enter the trade
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[2, 0, 17, 18, 13, 14, 1], # -> should sell (trade 1 completed)
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[3, 0, 14, 15, 11, 12, 0], # -> no action
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[4, 1, 12, 25, 11, 20, 0], # -> should enter the trade
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[5, 0, 20, 30, 19, 25, 1], # -> should sell (trade 2 completed)
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[6, 1, 25, 27, 22, 26, 1], # -> buy and sell, should enter the trade
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[7, 0, 26, 36, 25, 35, 1], # -> should sell (trade 3 completed)
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]
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ticker_df = _build_dataframe(three_sell_points_hit)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Three trades must have occured
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assert len(trades) == 3
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# First trade check
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# open time should be on line 1
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assert trades[0]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(1 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 2
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assert trades[0]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(2 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# Second trade check
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# open time should be on line 4
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assert trades[1]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(4 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 5
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assert trades[1]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(5 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# Third trade check
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# open time should be on line 6
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assert trades[2]['open_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(6 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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# close time should be on line 7
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assert trades[2]['close_time'] == np.datetime64(ticker_start_time.shift(
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minutes=(7 * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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