346 lines
13 KiB
Python
346 lines
13 KiB
Python
import random
|
|
from datetime import datetime, timedelta
|
|
|
|
import pytest
|
|
|
|
from freqtrade.persistence import PairLocks, Trade
|
|
from freqtrade.strategy.interface import SellType
|
|
from freqtrade import constants
|
|
from tests.conftest import get_patched_freqtradebot, log_has_re
|
|
|
|
|
|
def generate_mock_trade(pair: str, fee: float, is_open: bool,
|
|
sell_reason: str = SellType.SELL_SIGNAL,
|
|
min_ago_open: int = None, min_ago_close: int = None,
|
|
profit_rate: float = 0.9
|
|
):
|
|
open_rate = random.random()
|
|
|
|
trade = Trade(
|
|
pair=pair,
|
|
stake_amount=0.01,
|
|
fee_open=fee,
|
|
fee_close=fee,
|
|
open_date=datetime.utcnow() - timedelta(minutes=min_ago_open or 200),
|
|
close_date=datetime.utcnow() - timedelta(minutes=min_ago_close or 30),
|
|
open_rate=open_rate,
|
|
is_open=is_open,
|
|
amount=0.01 / open_rate,
|
|
exchange='bittrex',
|
|
)
|
|
trade.recalc_open_trade_price()
|
|
if not is_open:
|
|
trade.close(open_rate * profit_rate)
|
|
trade.sell_reason = sell_reason
|
|
|
|
return trade
|
|
|
|
|
|
def test_protectionmanager(mocker, default_conf):
|
|
default_conf['protections'] = [{'method': protection}
|
|
for protection in constants.AVAILABLE_PROTECTIONS]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
for handler in freqtrade.protections._protection_handlers:
|
|
assert handler.name in constants.AVAILABLE_PROTECTIONS
|
|
if not handler.has_global_stop:
|
|
assert handler.global_stop(datetime.utcnow()) == (False, None, None)
|
|
if not handler.has_local_stop:
|
|
assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, None)
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_stoploss_guard(mocker, default_conf, fee, caplog):
|
|
default_conf['protections'] = [{
|
|
"method": "StoplossGuard",
|
|
"lookback_period": 60,
|
|
"stop_duration": 40,
|
|
"trade_limit": 2
|
|
}]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
message = r"Trading stopped due to .*"
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=200, min_ago_close=30,
|
|
))
|
|
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
# This trade does not count, as it's closed too long ago
|
|
Trade.session.add(generate_mock_trade(
|
|
'BCH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=250, min_ago_close=100,
|
|
))
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=240, min_ago_close=30,
|
|
))
|
|
# 3 Trades closed - but the 2nd has been closed too long ago.
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'LTC/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=180, min_ago_close=30,
|
|
))
|
|
|
|
assert freqtrade.protections.global_stop()
|
|
assert log_has_re(message, caplog)
|
|
assert PairLocks.is_global_lock()
|
|
|
|
|
|
@pytest.mark.parametrize('only_per_pair', [False, True])
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair):
|
|
default_conf['protections'] = [{
|
|
"method": "StoplossGuard",
|
|
"lookback_period": 60,
|
|
"trade_limit": 1,
|
|
"only_per_pair": only_per_pair
|
|
}]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
message = r"Trading stopped due to .*"
|
|
pair = 'XRP/BTC'
|
|
assert not freqtrade.protections.stop_per_pair(pair)
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=200, min_ago_close=30, profit_rate=0.9,
|
|
))
|
|
|
|
assert not freqtrade.protections.stop_per_pair(pair)
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
# This trade does not count, as it's closed too long ago
|
|
Trade.session.add(generate_mock_trade(
|
|
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=250, min_ago_close=100, profit_rate=0.9,
|
|
))
|
|
# Trade does not count for per pair stop as it's the wrong pair.
|
|
Trade.session.add(generate_mock_trade(
|
|
'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=240, min_ago_close=30, profit_rate=0.9,
|
|
))
|
|
# 3 Trades closed - but the 2nd has been closed too long ago.
|
|
assert not freqtrade.protections.stop_per_pair(pair)
|
|
assert freqtrade.protections.global_stop() != only_per_pair
|
|
if not only_per_pair:
|
|
assert log_has_re(message, caplog)
|
|
else:
|
|
assert not log_has_re(message, caplog)
|
|
|
|
caplog.clear()
|
|
|
|
# 2nd Trade that counts with correct pair
|
|
Trade.session.add(generate_mock_trade(
|
|
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=180, min_ago_close=30, profit_rate=0.9,
|
|
))
|
|
|
|
assert freqtrade.protections.stop_per_pair(pair)
|
|
assert freqtrade.protections.global_stop() != only_per_pair
|
|
assert PairLocks.is_pair_locked(pair)
|
|
assert PairLocks.is_global_lock() != only_per_pair
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_CooldownPeriod(mocker, default_conf, fee, caplog):
|
|
default_conf['protections'] = [{
|
|
"method": "CooldownPeriod",
|
|
"stopduration": 60,
|
|
}]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
message = r"Trading stopped due to .*"
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=200, min_ago_close=30,
|
|
))
|
|
|
|
assert not freqtrade.protections.global_stop()
|
|
assert freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'ETH/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
|
|
min_ago_open=205, min_ago_close=35,
|
|
))
|
|
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not PairLocks.is_pair_locked('ETH/BTC')
|
|
assert freqtrade.protections.stop_per_pair('ETH/BTC')
|
|
assert PairLocks.is_pair_locked('ETH/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_LowProfitPairs(mocker, default_conf, fee, caplog):
|
|
default_conf['protections'] = [{
|
|
"method": "LowProfitPairs",
|
|
"lookback_period": 400,
|
|
"stopduration": 60,
|
|
"trade_limit": 2,
|
|
"required_profit": 0.0,
|
|
}]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
message = r"Trading stopped due to .*"
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
|
|
assert not log_has_re(message, caplog)
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=800, min_ago_close=450, profit_rate=0.9,
|
|
))
|
|
|
|
# Not locked with 1 trade
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=200, min_ago_close=120, profit_rate=0.9,
|
|
))
|
|
|
|
# Not locked with 1 trade (first trade is outside of lookback_period)
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
# Add positive trade
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
|
|
min_ago_open=20, min_ago_close=10, profit_rate=1.15,
|
|
))
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=110, min_ago_close=20, profit_rate=0.8,
|
|
))
|
|
|
|
# Locks due to 2nd trade
|
|
assert not freqtrade.protections.global_stop()
|
|
assert freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
|
|
@pytest.mark.usefixtures("init_persistence")
|
|
def test_MaxDrawdown(mocker, default_conf, fee, caplog):
|
|
default_conf['protections'] = [{
|
|
"method": "MaxDrawdown",
|
|
"lookback_period": 1000,
|
|
"stopduration": 60,
|
|
"trade_limit": 3,
|
|
"max_allowed_drawdown": 0.15
|
|
}]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
message = r"Trading stopped due to Max.*"
|
|
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
caplog.clear()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
|
|
))
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=500, min_ago_close=400, profit_rate=0.9,
|
|
))
|
|
# Not locked with one trade
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
|
|
min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
|
|
))
|
|
|
|
# Not locked with 1 trade (2nd trade is outside of lookback_period)
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
|
|
assert not PairLocks.is_pair_locked('XRP/BTC')
|
|
assert not PairLocks.is_global_lock()
|
|
assert not log_has_re(message, caplog)
|
|
|
|
# Winning trade ... (should not lock, does not change drawdown!)
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
|
|
min_ago_open=320, min_ago_close=410, profit_rate=1.5,
|
|
))
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
caplog.clear()
|
|
|
|
# Add additional negative trade, causing a loss of > 15%
|
|
Trade.session.add(generate_mock_trade(
|
|
'XRP/BTC', fee.return_value, False, sell_reason=SellType.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},
|
|
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
|
|
"2 stoplosses within 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "CooldownPeriod", "stopduration": 60},
|
|
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 min.'}]",
|
|
None
|
|
),
|
|
({"method": "LowProfitPairs", "stopduration": 60},
|
|
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
|
|
"profit < 0.0 within 60 minutes.'}]",
|
|
None
|
|
),
|
|
({"method": "MaxDrawdown", "stopduration": 60},
|
|
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
|
|
"within 60 minutes.'}]",
|
|
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
|