473 lines
19 KiB
Python
473 lines
19 KiB
Python
import random
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from datetime import datetime, timedelta
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import pytest
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from freqtrade import constants
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from freqtrade.enums import ExitType
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from freqtrade.persistence import PairLocks, Trade
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from freqtrade.persistence.trade_model import Order
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from freqtrade.plugins.protectionmanager import ProtectionManager
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from tests.conftest import get_patched_freqtradebot, log_has_re
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def generate_mock_trade(pair: str, fee: float, is_open: bool,
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exit_reason: str = ExitType.EXIT_SIGNAL,
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min_ago_open: int = None, min_ago_close: int = None,
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profit_rate: float = 0.9,
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is_short: bool = False,
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):
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open_rate = random.random()
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trade = Trade(
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pair=pair,
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stake_amount=0.01,
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fee_open=fee,
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fee_close=fee,
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open_date=datetime.utcnow() - timedelta(minutes=min_ago_open or 200),
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close_date=datetime.utcnow() - timedelta(minutes=min_ago_close or 30),
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open_rate=open_rate,
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is_open=is_open,
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amount=0.01 / open_rate,
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exchange='binance',
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is_short=is_short,
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leverage=1,
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)
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trade.orders.append(Order(
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ft_order_side=trade.entry_side,
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order_id=f'{pair}-{trade.entry_side}-{trade.open_date}',
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ft_pair=pair,
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amount=trade.amount,
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filled=trade.amount,
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remaining=0,
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price=open_rate,
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average=open_rate,
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status="closed",
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order_type="market",
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side=trade.entry_side,
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))
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if not is_open:
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trade.orders.append(Order(
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ft_order_side=trade.exit_side,
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order_id=f'{pair}-{trade.exit_side}-{trade.close_date}',
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ft_pair=pair,
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amount=trade.amount,
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filled=trade.amount,
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remaining=0,
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price=open_rate * (2 - profit_rate if is_short else profit_rate),
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average=open_rate * (2 - profit_rate if is_short else profit_rate),
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status="closed",
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order_type="market",
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side=trade.exit_side,
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))
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trade.recalc_open_trade_value()
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if not is_open:
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trade.close(open_rate * (2 - profit_rate if is_short else profit_rate))
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trade.exit_reason = exit_reason
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return trade
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def test_protectionmanager(mocker, default_conf):
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default_conf['protections'] = [{'method': protection}
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for protection in constants.AVAILABLE_PROTECTIONS]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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for handler in freqtrade.protections._protection_handlers:
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assert handler.name in constants.AVAILABLE_PROTECTIONS
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if not handler.has_global_stop:
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assert handler.global_stop(datetime.utcnow(), '*') is None
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if not handler.has_local_stop:
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assert handler.stop_per_pair('XRP/BTC', datetime.utcnow(), '*') is None
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@pytest.mark.parametrize('timeframe,expected,protconf', [
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('1m', [20, 10],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}]),
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('5m', [100, 15],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 15}]),
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('1h', [1200, 40],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 40}]),
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('1d', [1440, 5],
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[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration": 5}]),
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('1m', [20, 5],
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[{"method": "StoplossGuard", "lookback_period": 20, "stop_duration_candles": 5}]),
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('5m', [15, 25],
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[{"method": "StoplossGuard", "lookback_period": 15, "stop_duration_candles": 5}]),
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('1h', [50, 600],
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[{"method": "StoplossGuard", "lookback_period": 50, "stop_duration_candles": 10}]),
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('1h', [60, 540],
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[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}]),
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])
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def test_protections_init(default_conf, timeframe, expected, protconf):
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default_conf['timeframe'] = timeframe
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man = ProtectionManager(default_conf, protconf)
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assert len(man._protection_handlers) == len(protconf)
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assert man._protection_handlers[0]._lookback_period == expected[0]
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assert man._protection_handlers[0]._stop_duration == expected[1]
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@pytest.mark.parametrize('is_short', [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_stoploss_guard(mocker, default_conf, fee, caplog, is_short):
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# Active for both sides (long and short)
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default_conf['protections'] = [{
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"method": "StoplossGuard",
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"lookback_period": 60,
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"stop_duration": 40,
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"trade_limit": 3
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}]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200, min_ago_close=30, is_short=is_short,
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))
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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# This trade does not count, as it's closed too long ago
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Trade.query.session.add(generate_mock_trade(
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'BCH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=250, min_ago_close=100, is_short=is_short,
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))
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Trade.query.session.add(generate_mock_trade(
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'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=240, min_ago_close=30, is_short=is_short,
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))
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# 3 Trades closed - but the 2nd has been closed too long ago.
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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'LTC/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=180, min_ago_close=30, is_short=is_short,
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))
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assert freqtrade.protections.global_stop()
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assert log_has_re(message, caplog)
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assert PairLocks.is_global_lock()
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# Test 5m after lock-period - this should try and relock the pair, but end-time
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# should be the previous end-time
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end_time = PairLocks.get_pair_longest_lock('*').lock_end_time + timedelta(minutes=5)
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freqtrade.protections.global_stop(end_time)
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assert not PairLocks.is_global_lock(end_time)
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@pytest.mark.parametrize('only_per_pair', [False, True])
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@pytest.mark.parametrize('only_per_side', [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair, only_per_side):
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default_conf['protections'] = [{
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"method": "StoplossGuard",
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"lookback_period": 60,
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"trade_limit": 2,
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"stop_duration": 60,
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"only_per_pair": only_per_pair,
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"only_per_side": only_per_side,
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}]
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check_side = 'long' if only_per_side else '*'
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is_short = False
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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pair = 'XRP/BTC'
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assert not freqtrade.protections.stop_per_pair(pair)
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200, min_ago_close=30, profit_rate=0.9, is_short=is_short
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))
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assert not freqtrade.protections.stop_per_pair(pair)
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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# This trade does not count, as it's closed too long ago
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Trade.query.session.add(generate_mock_trade(
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pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=250, min_ago_close=100, profit_rate=0.9, is_short=is_short
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))
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# Trade does not count for per pair stop as it's the wrong pair.
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Trade.query.session.add(generate_mock_trade(
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'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=240, min_ago_close=30, profit_rate=0.9, is_short=is_short
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))
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# 3 Trades closed - but the 2nd has been closed too long ago.
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assert not freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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if not only_per_pair:
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assert log_has_re(message, caplog)
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else:
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assert not log_has_re(message, caplog)
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caplog.clear()
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# Trade does not count potentially, as it's in the wrong direction
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Trade.query.session.add(generate_mock_trade(
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pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=150, min_ago_close=25, profit_rate=0.9, is_short=not is_short
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))
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freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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assert PairLocks.is_pair_locked(pair, side=check_side) != (only_per_side and only_per_pair)
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assert PairLocks.is_global_lock(side=check_side) != only_per_pair
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if only_per_side:
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assert not PairLocks.is_pair_locked(pair, side='*')
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assert not PairLocks.is_global_lock(side='*')
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caplog.clear()
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# 2nd Trade that counts with correct pair
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Trade.query.session.add(generate_mock_trade(
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pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=180, min_ago_close=30, profit_rate=0.9, is_short=is_short
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))
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freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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assert PairLocks.is_pair_locked(pair, side=check_side)
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assert PairLocks.is_global_lock(side=check_side) != only_per_pair
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if only_per_side:
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assert not PairLocks.is_pair_locked(pair, side='*')
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assert not PairLocks.is_global_lock(side='*')
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@pytest.mark.usefixtures("init_persistence")
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def test_CooldownPeriod(mocker, default_conf, fee, caplog):
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default_conf['protections'] = [{
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"method": "CooldownPeriod",
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"stop_duration": 60,
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}]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not log_has_re(message, caplog)
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200, min_ago_close=30,
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))
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assert not freqtrade.protections.global_stop()
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assert freqtrade.protections.stop_per_pair('XRP/BTC')
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assert PairLocks.is_pair_locked('XRP/BTC')
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assert not PairLocks.is_global_lock()
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Trade.query.session.add(generate_mock_trade(
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'ETH/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
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min_ago_open=205, min_ago_close=35,
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))
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assert not freqtrade.protections.global_stop()
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assert not PairLocks.is_pair_locked('ETH/BTC')
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assert freqtrade.protections.stop_per_pair('ETH/BTC')
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assert PairLocks.is_pair_locked('ETH/BTC')
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assert not PairLocks.is_global_lock()
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@pytest.mark.parametrize('only_per_side', [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_LowProfitPairs(mocker, default_conf, fee, caplog, only_per_side):
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default_conf['protections'] = [{
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"method": "LowProfitPairs",
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"lookback_period": 400,
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"stop_duration": 60,
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"trade_limit": 2,
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"required_profit": 0.0,
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"only_per_side": only_per_side,
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}]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not log_has_re(message, caplog)
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=800, min_ago_close=450, profit_rate=0.9,
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))
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# Not locked with 1 trade
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not PairLocks.is_pair_locked('XRP/BTC')
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assert not PairLocks.is_global_lock()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200, min_ago_close=120, profit_rate=0.9,
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))
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# Not locked with 1 trade (first trade is outside of lookback_period)
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not PairLocks.is_pair_locked('XRP/BTC')
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assert not PairLocks.is_global_lock()
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# Add positive trade
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
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min_ago_open=20, min_ago_close=10, profit_rate=1.15, is_short=True
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))
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assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side
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assert not PairLocks.is_pair_locked('XRP/BTC', side='*')
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assert PairLocks.is_pair_locked('XRP/BTC', side='long') == only_per_side
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=110, min_ago_close=20, profit_rate=0.8,
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))
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# Locks due to 2nd trade
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assert freqtrade.protections.global_stop() != only_per_side
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assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side
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assert PairLocks.is_pair_locked('XRP/BTC', side='long')
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assert PairLocks.is_pair_locked('XRP/BTC', side='*') != only_per_side
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assert not PairLocks.is_global_lock()
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@pytest.mark.usefixtures("init_persistence")
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def test_MaxDrawdown(mocker, default_conf, fee, caplog):
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default_conf['protections'] = [{
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"method": "MaxDrawdown",
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"lookback_period": 1000,
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"stop_duration": 60,
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"trade_limit": 3,
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"max_allowed_drawdown": 0.15
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}]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to Max.*"
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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caplog.clear()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
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))
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Trade.query.session.add(generate_mock_trade(
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'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
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))
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Trade.query.session.add(generate_mock_trade(
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'NEO/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
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))
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# No losing trade yet ... so max_drawdown will raise exception
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=500, min_ago_close=400, profit_rate=0.9,
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))
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# Not locked with one trade
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not PairLocks.is_pair_locked('XRP/BTC')
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assert not PairLocks.is_global_lock()
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
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))
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# Not locked with 1 trade (2nd trade is outside of lookback_period)
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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assert not PairLocks.is_pair_locked('XRP/BTC')
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assert not PairLocks.is_global_lock()
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assert not log_has_re(message, caplog)
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# Winning trade ... (should not lock, does not change drawdown!)
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Trade.query.session.add(generate_mock_trade(
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'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
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min_ago_open=320, min_ago_close=410, profit_rate=1.5,
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))
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assert not freqtrade.protections.global_stop()
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assert not PairLocks.is_global_lock()
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caplog.clear()
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# Add additional negative trade, causing a loss of > 15%
|
|
Trade.query.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
|
|
min_ago_open=20, min_ago_close=10, profit_rate=0.8,
|
|
))
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
# local lock not supported
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
assert freqtrade.protections.global_stop()
|
|
assert PairLocks.is_global_lock()
|
|
assert log_has_re(message, caplog)
|
|
|
|
|
|
@pytest.mark.parametrize("protectionconf,desc_expected,exception_expected", [
|
|
({"method": "StoplossGuard", "lookback_period": 60, "trade_limit": 2, "stop_duration": 60},
|
|
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
|
|
"2 stoplosses with profit < 0.00% within 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "CooldownPeriod", "stop_duration": 60},
|
|
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "LowProfitPairs", "lookback_period": 60, "stop_duration": 60},
|
|
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
|
|
"profit < 0.0 within 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "MaxDrawdown", "lookback_period": 60, "stop_duration": 60},
|
|
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
|
|
"within 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "StoplossGuard", "lookback_period_candles": 12, "trade_limit": 2,
|
|
"required_profit": -0.05, "stop_duration": 60},
|
|
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
|
|
"2 stoplosses with profit < -5.00% within 12 candles.'}]",
|
|
None
|
|
),
|
|
({"method": "CooldownPeriod", "stop_duration_candles": 5},
|
|
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 5 candles.'}]",
|
|
None
|
|
),
|
|
({"method": "LowProfitPairs", "lookback_period_candles": 11, "stop_duration": 60},
|
|
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
|
|
"profit < 0.0 within 11 candles.'}]",
|
|
None
|
|
),
|
|
({"method": "MaxDrawdown", "lookback_period_candles": 20, "stop_duration": 60},
|
|
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
|
|
"within 20 candles.'}]",
|
|
None
|
|
),
|
|
])
|
|
def test_protection_manager_desc(mocker, default_conf, protectionconf,
|
|
desc_expected, exception_expected):
|
|
|
|
default_conf['protections'] = [protectionconf]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
short_desc = str(freqtrade.protections.short_desc())
|
|
assert short_desc == desc_expected
|