368 lines
13 KiB
Python
368 lines
13 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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from freqtrade.strategy.interface import SellType
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from collections import namedtuple
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import arrow
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import numpy as np
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import math
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from unittest.mock import MagicMock
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# Cases to be tested:
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# 1) Open trade should be removed from the end
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# 2) Two complete trades within dataframe (with sell hit for all)
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# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
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# 4) Entered, sl 3%, candle drops 4%, recovers to 1% => Trade closed, 3% loss
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# 5) 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 = 60
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_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
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_pair_info = namedtuple(
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'pair_info', 'stoploss, winrate, risk_reward_ratio, required_risk_reward, expectancy')
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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': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
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'C/D': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
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'N/O': _pair_info(-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 test_stoploss(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': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
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'C/D': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
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'N/O': _pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
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}
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))
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assert edge.stoploss('E/F') == -0.01
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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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'date': ticker_start_time.shift(
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minutes=(
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ohlc[0] *
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ticker_interval_in_minute)).timestamp *
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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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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 _time_on_candle(number):
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return np.datetime64(ticker_start_time.shift(
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minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
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def test_edge_heartbeat_calculate(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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heartbeat = default_conf['edge']['process_throttle_secs']
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# should not recalculate if heartbeat not reached
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edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
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assert edge.calculate() is False
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def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
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timerange=None, exchange=None):
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hz = 0.1
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base = 0.001
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ETHBTC = [
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[
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ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
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math.sin(x * hz) / 1000 + base,
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math.sin(x * hz) / 1000 + base + 0.0001,
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math.sin(x * hz) / 1000 + base - 0.0001,
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math.sin(x * hz) / 1000 + base,
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123.45
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] for x in range(0, 500)]
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hz = 0.2
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base = 0.002
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LTCBTC = [
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[
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ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
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math.sin(x * hz) / 1000 + base,
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math.sin(x * hz) / 1000 + base + 0.0001,
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math.sin(x * hz) / 1000 + base - 0.0001,
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math.sin(x * hz) / 1000 + base,
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123.45
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] for x in range(0, 500)]
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pairdata = {'NEO/BTC': ETHBTC, 'LTC/BTC': LTCBTC}
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return pairdata
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def test_edge_process_downloaded_data(mocker, default_conf):
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default_conf['datadir'] = None
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exchange = get_patched_exchange(mocker, default_conf)
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mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
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mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
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mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
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edge = Edge(default_conf, exchange)
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assert edge.calculate()
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assert len(edge._cached_pairs) == 2
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assert edge._last_updated <= arrow.utcnow().timestamp + 2
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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'},
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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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assert 'TEST/BTC' in final
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assert final['TEST/BTC'].stoploss == -0.9
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assert round(final['TEST/BTC'].winrate, 10) == 0.3333333333
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assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
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assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
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assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
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# 1) Open trade should be removed from the end
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def test_case_1(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 = -0.99 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[3, 1, 12, 25, 11, 20, 0], # ->
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[4, 0, 20, 30, 19, 25, 1], # -> should enter the trade
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# No trade should be found
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assert len(trades) == 0
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# 2) Two complete trades within dataframe (with sell hit for all)
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def test_case_2(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 = -0.99 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle
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[2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle
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[3, 1, 12, 25, 11, 20, 0], # -> no action
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[4, 0, 20, 30, 19, 25, 0], # -> should enter the trade
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[5, 0, 25, 27, 22, 26, 1], # -> no action
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[6, 0, 26, 36, 25, 35, 0], # -> should sell
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 2
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == ticker[2][_ohlc['open']]
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assert trades[0]['exit_type'] == SellType.SELL_SIGNAL
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##############################################################
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# Second trade check
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assert trades[1]['open_time'] == _time_on_candle(4)
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assert trades[1]['close_time'] == _time_on_candle(6)
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assert trades[1]['open_rate'] == ticker[4][_ohlc['open']]
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assert trades[1]['close_rate'] == ticker[6][_ohlc['open']]
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assert trades[1]['exit_type'] == SellType.SELL_SIGNAL
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##############################################################
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# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
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def test_case_3(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 = -0.01 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 14, 15, 11, 12, 0], # -> enter to trade, stoploss hit
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[2, 1, 12, 25, 11, 20, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(1)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
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def test_case_4(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 = -0.03 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
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[2, 0, 16, 17, 14.4, 15.5, 0], # -> stoploss hit
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[3, 0, 17, 25, 16.9, 22, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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# 5) Stoploss and sell are hit. should sell on stoploss
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def test_case_5(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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exchange = get_patched_exchange(mocker, default_conf)
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edge = Edge(default_conf, exchange)
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stoploss = -0.03 # we don't want stoploss to be hit in this test
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ticker = [
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# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
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# D, B, O, H, L, C, S
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[0, 1, 15, 20, 12, 17, 0], # -> no action
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[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
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[2, 0, 16, 17, 14.4, 15.5, 1], # -> stoploss hit and also sell signal
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[3, 0, 17, 25, 16.9, 22, 0], # -> no action
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]
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ticker_df = _build_dataframe(ticker)
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trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
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# Two trades must have occured
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assert len(trades) == 1
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# First trade check
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assert trades[0]['open_time'] == _time_on_candle(1)
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assert trades[0]['close_time'] == _time_on_candle(2)
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assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
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assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
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assert trades[0]['exit_type'] == SellType.STOP_LOSS
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##############################################################
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