310 lines
11 KiB
Python
310 lines
11 KiB
Python
import logging
|
|
import re
|
|
from pathlib import Path
|
|
from typing import Dict, List
|
|
|
|
import pytest
|
|
import rapidjson
|
|
|
|
from freqtrade.constants import FTHYPT_FILEVERSION
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.optimize.hyperopt_tools import HyperoptTools
|
|
from tests.conftest import log_has, log_has_re
|
|
|
|
|
|
# Functions for recurrent object patching
|
|
def create_results() -> List[Dict]:
|
|
|
|
return [{'loss': 1, 'result': 'foo', 'params': {}, 'is_best': True}]
|
|
|
|
|
|
def test_save_results_saves_epochs(hyperopt, tmpdir, caplog) -> None:
|
|
# Test writing to temp dir and reading again
|
|
epochs = create_results()
|
|
hyperopt.results_file = Path(tmpdir / 'ut_results.fthypt')
|
|
|
|
caplog.set_level(logging.DEBUG)
|
|
|
|
for epoch in epochs:
|
|
hyperopt._save_result(epoch)
|
|
assert log_has(f"1 epoch saved to '{hyperopt.results_file}'.", caplog)
|
|
|
|
hyperopt._save_result(epochs[0])
|
|
assert log_has(f"2 epochs saved to '{hyperopt.results_file}'.", caplog)
|
|
|
|
hyperopt_epochs = HyperoptTools.load_previous_results(hyperopt.results_file)
|
|
assert len(hyperopt_epochs) == 2
|
|
|
|
|
|
def test_load_previous_results(testdatadir, caplog) -> None:
|
|
|
|
results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle'
|
|
|
|
hyperopt_epochs = HyperoptTools.load_previous_results(results_file)
|
|
|
|
assert len(hyperopt_epochs) == 5
|
|
assert log_has_re(r"Reading pickled epochs from .*", caplog)
|
|
|
|
caplog.clear()
|
|
|
|
# Modern version
|
|
results_file = testdatadir / 'strategy_SampleStrategy.fthypt'
|
|
|
|
hyperopt_epochs = HyperoptTools.load_previous_results(results_file)
|
|
|
|
assert len(hyperopt_epochs) == 5
|
|
assert log_has_re(r"Reading epochs from .*", caplog)
|
|
|
|
|
|
def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
|
|
mocker.patch('freqtrade.optimize.hyperopt_tools.HyperoptTools._read_results_pickle',
|
|
return_value=[{'asdf': '222'}])
|
|
results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle'
|
|
with pytest.raises(OperationalException, match=r"The file .* incompatible.*"):
|
|
HyperoptTools.load_previous_results(results_file)
|
|
|
|
|
|
@pytest.mark.parametrize("spaces, expected_results", [
|
|
(['buy'],
|
|
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
|
|
(['sell'],
|
|
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
|
|
(['roi'],
|
|
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
|
|
(['stoploss'],
|
|
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
|
|
(['trailing'],
|
|
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
|
|
(['buy', 'sell', 'roi', 'stoploss'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
|
|
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
|
|
(['buy', 'roi'],
|
|
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
|
|
(['all'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
|
|
(['default'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
|
|
(['default', 'trailing'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
|
|
(['all', 'buy'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
|
|
(['default', 'buy'],
|
|
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
|
|
])
|
|
def test_has_space(hyperopt_conf, spaces, expected_results):
|
|
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
|
|
hyperopt_conf.update({'spaces': spaces})
|
|
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
|
|
|
|
|
|
def test_show_epoch_details(capsys):
|
|
test_result = {
|
|
'params_details': {
|
|
'trailing': {
|
|
'trailing_stop': True,
|
|
'trailing_stop_positive': 0.02,
|
|
'trailing_stop_positive_offset': 0.04,
|
|
'trailing_only_offset_is_reached': True
|
|
},
|
|
'roi': {
|
|
0: 0.18,
|
|
90: 0.14,
|
|
225: 0.05,
|
|
430: 0},
|
|
},
|
|
'results_explanation': 'foo result',
|
|
'is_initial_point': False,
|
|
'total_profit': 0,
|
|
'current_epoch': 2, # This starts from 1 (in a human-friendly manner)
|
|
'is_best': True
|
|
}
|
|
|
|
HyperoptTools.show_epoch_details(test_result, 5, False, no_header=True)
|
|
captured = capsys.readouterr()
|
|
assert '# Trailing stop:' in captured.out
|
|
# re.match(r"Pairs for .*", captured.out)
|
|
assert re.search(r'^\s+trailing_stop = True$', captured.out, re.MULTILINE)
|
|
assert re.search(r'^\s+trailing_stop_positive = 0.02$', captured.out, re.MULTILINE)
|
|
assert re.search(r'^\s+trailing_stop_positive_offset = 0.04$', captured.out, re.MULTILINE)
|
|
assert re.search(r'^\s+trailing_only_offset_is_reached = True$', captured.out, re.MULTILINE)
|
|
|
|
assert '# ROI table:' in captured.out
|
|
assert re.search(r'^\s+minimal_roi = \{$', captured.out, re.MULTILINE)
|
|
assert re.search(r'^\s+\"90\"\:\s0.14,\s*$', captured.out, re.MULTILINE)
|
|
|
|
|
|
def test__pprint_dict():
|
|
params = {'buy_std': 1.2, 'buy_rsi': 31, 'buy_enable': True, 'buy_what': 'asdf'}
|
|
non_params = {'buy_notoptimied': 55}
|
|
|
|
x = HyperoptTools._pprint_dict(params, non_params)
|
|
assert x == """{
|
|
"buy_std": 1.2,
|
|
"buy_rsi": 31,
|
|
"buy_enable": True,
|
|
"buy_what": "asdf",
|
|
"buy_notoptimied": 55, # value loaded from strategy
|
|
}"""
|
|
|
|
|
|
def test_get_strategy_filename(default_conf):
|
|
|
|
x = HyperoptTools.get_strategy_filename(default_conf, 'DefaultStrategy')
|
|
assert isinstance(x, Path)
|
|
assert x == Path(__file__).parents[1] / 'strategy/strats/default_strategy.py'
|
|
|
|
x = HyperoptTools.get_strategy_filename(default_conf, 'NonExistingStrategy')
|
|
assert x is None
|
|
|
|
|
|
def test_export_params(tmpdir):
|
|
|
|
filename = Path(tmpdir) / "DefaultStrategy.json"
|
|
assert not filename.is_file()
|
|
params = {
|
|
"params_details": {
|
|
"buy": {
|
|
"buy_rsi": 30
|
|
},
|
|
"sell": {
|
|
"sell_rsi": 70
|
|
},
|
|
"roi": {
|
|
"0": 0.528,
|
|
"346": 0.08499,
|
|
"507": 0.049,
|
|
"1595": 0
|
|
}
|
|
},
|
|
"params_not_optimized": {
|
|
"stoploss": -0.05,
|
|
"trailing": {
|
|
"trailing_stop": False,
|
|
"trailing_stop_positive": 0.05,
|
|
"trailing_stop_positive_offset": 0.1,
|
|
"trailing_only_offset_is_reached": True
|
|
},
|
|
}
|
|
|
|
}
|
|
HyperoptTools.export_params(params, "DefaultStrategy", filename)
|
|
|
|
assert filename.is_file()
|
|
|
|
content = rapidjson.load(filename.open('r'))
|
|
assert content['strategy_name'] == 'DefaultStrategy'
|
|
assert 'params' in content
|
|
assert "buy" in content["params"]
|
|
assert "sell" in content["params"]
|
|
assert "roi" in content["params"]
|
|
assert "stoploss" in content["params"]
|
|
assert "trailing" in content["params"]
|
|
|
|
|
|
def test_try_export_params(default_conf, tmpdir, caplog, mocker):
|
|
default_conf['disableparamexport'] = False
|
|
export_mock = mocker.patch("freqtrade.optimize.hyperopt_tools.HyperoptTools.export_params")
|
|
|
|
filename = Path(tmpdir) / "DefaultStrategy.json"
|
|
assert not filename.is_file()
|
|
params = {
|
|
"params_details": {
|
|
"buy": {
|
|
"buy_rsi": 30
|
|
},
|
|
"sell": {
|
|
"sell_rsi": 70
|
|
},
|
|
"roi": {
|
|
"0": 0.528,
|
|
"346": 0.08499,
|
|
"507": 0.049,
|
|
"1595": 0
|
|
}
|
|
},
|
|
"params_not_optimized": {
|
|
"stoploss": -0.05,
|
|
"trailing": {
|
|
"trailing_stop": False,
|
|
"trailing_stop_positive": 0.05,
|
|
"trailing_stop_positive_offset": 0.1,
|
|
"trailing_only_offset_is_reached": True
|
|
},
|
|
},
|
|
FTHYPT_FILEVERSION: 2,
|
|
|
|
}
|
|
HyperoptTools.try_export_params(default_conf, "DefaultStrategy22", params)
|
|
|
|
assert log_has("Strategy not found, not exporting parameter file.", caplog)
|
|
assert export_mock.call_count == 0
|
|
caplog.clear()
|
|
|
|
HyperoptTools.try_export_params(default_conf, "DefaultStrategy", params)
|
|
|
|
assert export_mock.call_count == 1
|
|
assert export_mock.call_args_list[0][0][1] == 'DefaultStrategy'
|
|
assert export_mock.call_args_list[0][0][2].name == 'default_strategy.json'
|
|
|
|
|
|
def test_params_print(capsys):
|
|
|
|
params = {
|
|
"buy": {
|
|
"buy_rsi": 30
|
|
},
|
|
"sell": {
|
|
"sell_rsi": 70
|
|
},
|
|
}
|
|
non_optimized = {
|
|
"buy": {
|
|
"buy_adx": 44
|
|
},
|
|
"sell": {
|
|
"sell_adx": 65
|
|
},
|
|
"stoploss": {
|
|
"stoploss": -0.05,
|
|
},
|
|
"roi": {
|
|
"0": 0.05,
|
|
"20": 0.01,
|
|
},
|
|
"trailing": {
|
|
"trailing_stop": False,
|
|
"trailing_stop_positive": 0.05,
|
|
"trailing_stop_positive_offset": 0.1,
|
|
"trailing_only_offset_is_reached": True
|
|
},
|
|
|
|
}
|
|
HyperoptTools._params_pretty_print(params, 'buy', 'No header', non_optimized)
|
|
|
|
captured = capsys.readouterr()
|
|
assert re.search("# No header", captured.out)
|
|
assert re.search('"buy_rsi": 30,\n', captured.out)
|
|
assert re.search('"buy_adx": 44, # value loaded.*\n', captured.out)
|
|
assert not re.search("sell", captured.out)
|
|
|
|
HyperoptTools._params_pretty_print(params, 'sell', 'Sell Header', non_optimized)
|
|
captured = capsys.readouterr()
|
|
assert re.search("# Sell Header", captured.out)
|
|
assert re.search('"sell_rsi": 70,\n', captured.out)
|
|
assert re.search('"sell_adx": 65, # value loaded.*\n', captured.out)
|
|
|
|
HyperoptTools._params_pretty_print(params, 'roi', 'ROI Table:', non_optimized)
|
|
captured = capsys.readouterr()
|
|
assert re.search("# ROI Table: # value loaded.*\n", captured.out)
|
|
assert re.search('minimal_roi = {\n', captured.out)
|
|
assert re.search('"20": 0.01\n', captured.out)
|
|
|
|
HyperoptTools._params_pretty_print(params, 'trailing', 'Trailing stop:', non_optimized)
|
|
captured = capsys.readouterr()
|
|
assert re.search("# Trailing stop:", captured.out)
|
|
assert re.search('trailing_stop = False # value loaded.*\n', captured.out)
|
|
assert re.search('trailing_stop_positive = 0.05 # value loaded.*\n', captured.out)
|
|
assert re.search('trailing_stop_positive_offset = 0.1 # value loaded.*\n', captured.out)
|
|
assert re.search('trailing_only_offset_is_reached = True # value loaded.*\n', captured.out)
|