231 lines
7.9 KiB
Python
231 lines
7.9 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
|
|
|
|
|
|
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,
|
|
}
|
|
|
|
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()
|