f5d09ed0b0
This is an improvement to simply checking subdirectories for python files as we can use the entirety of python import logic. It's thus possible to import from other files within the `strategies` folder. Additionally, this allows sharing strategies with more data than just python files (e.g a README.md).
443 lines
16 KiB
Python
443 lines
16 KiB
Python
# pragma pylint: disable=missing-docstring, protected-access, C0103
|
|
import logging
|
|
import sys
|
|
import warnings
|
|
from base64 import urlsafe_b64encode
|
|
from pathlib import Path
|
|
|
|
import pytest
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.resolvers import StrategyResolver
|
|
from freqtrade.strategy.interface import IStrategy
|
|
from tests.conftest import log_has, log_has_re
|
|
|
|
|
|
def test_search_strategy():
|
|
default_location = Path(__file__).parent / 'strats'
|
|
|
|
s, _ = StrategyResolver._search_object(
|
|
directory=default_location,
|
|
object_name='StrategyTestV2',
|
|
add_source=True,
|
|
)
|
|
assert issubclass(s, IStrategy)
|
|
|
|
s, _ = StrategyResolver._search_object(
|
|
directory=default_location,
|
|
object_name='NotFoundStrategy',
|
|
add_source=True,
|
|
)
|
|
assert s is None
|
|
|
|
|
|
def test_search_package_strategy():
|
|
default_location = Path(__file__).parent / 'strats'
|
|
|
|
s, _ = StrategyResolver._search_object(
|
|
directory=default_location,
|
|
object_name='SampleStrategy',
|
|
add_source=True,
|
|
)
|
|
assert issubclass(s, IStrategy)
|
|
|
|
|
|
def test_new_search_strategy():
|
|
default_location = Path(__file__).parent / 'strats'
|
|
old_sys_path = sys.path.copy()
|
|
s, _ = StrategyResolver._search_object(
|
|
directory=default_location,
|
|
object_name='deep.package.SampleStrategy',
|
|
add_source=True,
|
|
)
|
|
assert issubclass(s, IStrategy)
|
|
assert old_sys_path == sys.path
|
|
|
|
|
|
def test_search_all_strategies_no_failed():
|
|
directory = Path(__file__).parent / "strats"
|
|
strategies = StrategyResolver.search_all_objects(directory, enum_failed=False)
|
|
assert isinstance(strategies, list)
|
|
assert len(strategies) == 3
|
|
assert isinstance(strategies[0], dict)
|
|
|
|
|
|
def test_search_all_strategies_with_failed():
|
|
directory = Path(__file__).parent / "strats"
|
|
strategies = StrategyResolver.search_all_objects(directory, enum_failed=True)
|
|
assert isinstance(strategies, list)
|
|
assert len(strategies) == 4
|
|
# with enum_failed=True search_all_objects() shall find 2 good strategies
|
|
# and 1 which fails to load
|
|
assert len([x for x in strategies if x['class'] is not None]) == 3
|
|
assert len([x for x in strategies if x['class'] is None]) == 1
|
|
|
|
|
|
def test_load_strategy(default_conf, result):
|
|
default_conf.update({'strategy': 'SampleStrategy',
|
|
'strategy_path': str(Path(__file__).parents[2] / 'freqtrade/templates')
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
assert isinstance(strategy.__source__, str)
|
|
assert 'class SampleStrategy' in strategy.__source__
|
|
assert isinstance(strategy.__file__, str)
|
|
assert 'rsi' in strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
|
|
|
|
|
|
def test_load_strategy_base64(result, caplog, default_conf):
|
|
with (Path(__file__).parents[2] / 'freqtrade/templates/sample_strategy.py').open("rb") as file:
|
|
encoded_string = urlsafe_b64encode(file.read()).decode("utf-8")
|
|
default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)})
|
|
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
assert 'rsi' in strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
|
|
# Make sure strategy was loaded from base64 (using temp directory)!!
|
|
assert log_has_re(r"Using resolved strategy SampleStrategy from '"
|
|
r".*(/|\\).*(/|\\)SampleStrategy\.py'\.\.\.", caplog)
|
|
|
|
|
|
def test_load_strategy_invalid_directory(result, caplog, default_conf):
|
|
default_conf['strategy'] = 'StrategyTestV2'
|
|
extra_dir = Path.cwd() / 'some/path'
|
|
with pytest.raises(OperationalException):
|
|
StrategyResolver._load_strategy('StrategyTestV2', config=default_conf,
|
|
extra_dir=extra_dir)
|
|
|
|
assert log_has_re(r'Path .*' + r'some.*path.*' + r'.* does not exist', caplog)
|
|
|
|
|
|
def test_load_not_found_strategy(default_conf):
|
|
default_conf['strategy'] = 'NotFoundStrategy'
|
|
with pytest.raises(OperationalException,
|
|
match=r"Impossible to load Strategy 'NotFoundStrategy'. "
|
|
r"This class does not exist or contains Python code errors."):
|
|
StrategyResolver.load_strategy(default_conf)
|
|
|
|
|
|
def test_load_strategy_noname(default_conf):
|
|
default_conf['strategy'] = ''
|
|
with pytest.raises(OperationalException,
|
|
match="No strategy set. Please use `--strategy` to specify "
|
|
"the strategy class to use."):
|
|
StrategyResolver.load_strategy(default_conf)
|
|
|
|
|
|
def test_strategy(result, default_conf):
|
|
default_conf.update({'strategy': 'StrategyTestV2'})
|
|
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
metadata = {'pair': 'ETH/BTC'}
|
|
assert strategy.minimal_roi[0] == 0.04
|
|
assert default_conf["minimal_roi"]['0'] == 0.04
|
|
|
|
assert strategy.stoploss == -0.10
|
|
assert default_conf['stoploss'] == -0.10
|
|
|
|
assert strategy.timeframe == '5m'
|
|
assert strategy.ticker_interval == '5m'
|
|
assert default_conf['timeframe'] == '5m'
|
|
|
|
df_indicators = strategy.advise_indicators(result, metadata=metadata)
|
|
assert 'adx' in df_indicators
|
|
|
|
dataframe = strategy.advise_buy(df_indicators, metadata=metadata)
|
|
assert 'buy' in dataframe.columns
|
|
|
|
dataframe = strategy.advise_sell(df_indicators, metadata=metadata)
|
|
assert 'sell' in dataframe.columns
|
|
|
|
|
|
def test_strategy_override_minimal_roi(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'minimal_roi': {
|
|
"20": 0.1,
|
|
"0": 0.5
|
|
}
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.minimal_roi[0] == 0.5
|
|
assert log_has(
|
|
"Override strategy 'minimal_roi' with value in config file: {'20': 0.1, '0': 0.5}.",
|
|
caplog)
|
|
|
|
|
|
def test_strategy_override_stoploss(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'stoploss': -0.5
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.stoploss == -0.5
|
|
assert log_has("Override strategy 'stoploss' with value in config file: -0.5.", caplog)
|
|
|
|
|
|
def test_strategy_override_trailing_stop(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'trailing_stop': True
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.trailing_stop
|
|
assert isinstance(strategy.trailing_stop, bool)
|
|
assert log_has("Override strategy 'trailing_stop' with value in config file: True.", caplog)
|
|
|
|
|
|
def test_strategy_override_trailing_stop_positive(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'trailing_stop_positive': -0.1,
|
|
'trailing_stop_positive_offset': -0.2
|
|
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.trailing_stop_positive == -0.1
|
|
assert log_has("Override strategy 'trailing_stop_positive' with value in config file: -0.1.",
|
|
caplog)
|
|
|
|
assert strategy.trailing_stop_positive_offset == -0.2
|
|
assert log_has("Override strategy 'trailing_stop_positive' with value in config file: -0.1.",
|
|
caplog)
|
|
|
|
|
|
def test_strategy_override_timeframe(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'timeframe': 60,
|
|
'stake_currency': 'ETH'
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.timeframe == 60
|
|
assert strategy.stake_currency == 'ETH'
|
|
assert log_has("Override strategy 'timeframe' with value in config file: 60.",
|
|
caplog)
|
|
|
|
|
|
def test_strategy_override_process_only_new_candles(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'process_only_new_candles': True
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.process_only_new_candles
|
|
assert log_has("Override strategy 'process_only_new_candles' with value in config file: True.",
|
|
caplog)
|
|
|
|
|
|
def test_strategy_override_order_types(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
|
|
order_types = {
|
|
'buy': 'market',
|
|
'sell': 'limit',
|
|
'stoploss': 'limit',
|
|
'stoploss_on_exchange': True,
|
|
}
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'order_types': order_types
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.order_types
|
|
for method in ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']:
|
|
assert strategy.order_types[method] == order_types[method]
|
|
|
|
assert log_has("Override strategy 'order_types' with value in config file:"
|
|
" {'buy': 'market', 'sell': 'limit', 'stoploss': 'limit',"
|
|
" 'stoploss_on_exchange': True}.", caplog)
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'order_types': {'buy': 'market'}
|
|
})
|
|
# Raise error for invalid configuration
|
|
with pytest.raises(ImportError,
|
|
match=r"Impossible to load Strategy 'StrategyTestV2'. "
|
|
r"Order-types mapping is incomplete."):
|
|
StrategyResolver.load_strategy(default_conf)
|
|
|
|
|
|
def test_strategy_override_order_tif(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
|
|
order_time_in_force = {
|
|
'buy': 'fok',
|
|
'sell': 'gtc',
|
|
}
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'order_time_in_force': order_time_in_force
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.order_time_in_force
|
|
for method in ['buy', 'sell']:
|
|
assert strategy.order_time_in_force[method] == order_time_in_force[method]
|
|
|
|
assert log_has("Override strategy 'order_time_in_force' with value in config file:"
|
|
" {'buy': 'fok', 'sell': 'gtc'}.", caplog)
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'order_time_in_force': {'buy': 'fok'}
|
|
})
|
|
# Raise error for invalid configuration
|
|
with pytest.raises(ImportError,
|
|
match=r"Impossible to load Strategy 'StrategyTestV2'. "
|
|
r"Order-time-in-force mapping is incomplete."):
|
|
StrategyResolver.load_strategy(default_conf)
|
|
|
|
|
|
def test_strategy_override_use_sell_signal(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
assert strategy.use_sell_signal
|
|
assert isinstance(strategy.use_sell_signal, bool)
|
|
# must be inserted to configuration
|
|
assert 'use_sell_signal' in default_conf
|
|
assert default_conf['use_sell_signal']
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'use_sell_signal': False,
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert not strategy.use_sell_signal
|
|
assert isinstance(strategy.use_sell_signal, bool)
|
|
assert log_has("Override strategy 'use_sell_signal' with value in config file: False.", caplog)
|
|
|
|
|
|
def test_strategy_override_use_sell_profit_only(caplog, default_conf):
|
|
caplog.set_level(logging.INFO)
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
assert not strategy.sell_profit_only
|
|
assert isinstance(strategy.sell_profit_only, bool)
|
|
# must be inserted to configuration
|
|
assert 'sell_profit_only' in default_conf
|
|
assert not default_conf['sell_profit_only']
|
|
|
|
default_conf.update({
|
|
'strategy': 'StrategyTestV2',
|
|
'sell_profit_only': True,
|
|
})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
|
|
assert strategy.sell_profit_only
|
|
assert isinstance(strategy.sell_profit_only, bool)
|
|
assert log_has("Override strategy 'sell_profit_only' with value in config file: True.", caplog)
|
|
|
|
|
|
@pytest.mark.filterwarnings("ignore:deprecated")
|
|
def test_deprecate_populate_indicators(result, default_conf):
|
|
default_location = Path(__file__).parent / "strats"
|
|
default_conf.update({'strategy': 'TestStrategyLegacyV1',
|
|
'strategy_path': default_location})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
with warnings.catch_warnings(record=True) as w:
|
|
# Cause all warnings to always be triggered.
|
|
warnings.simplefilter("always")
|
|
indicators = strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
|
|
assert len(w) == 1
|
|
assert issubclass(w[-1].category, DeprecationWarning)
|
|
assert "deprecated - check out the Sample strategy to see the current function headers!" \
|
|
in str(w[-1].message)
|
|
|
|
with warnings.catch_warnings(record=True) as w:
|
|
# Cause all warnings to always be triggered.
|
|
warnings.simplefilter("always")
|
|
strategy.advise_buy(indicators, {'pair': 'ETH/BTC'})
|
|
assert len(w) == 1
|
|
assert issubclass(w[-1].category, DeprecationWarning)
|
|
assert "deprecated - check out the Sample strategy to see the current function headers!" \
|
|
in str(w[-1].message)
|
|
|
|
with warnings.catch_warnings(record=True) as w:
|
|
# Cause all warnings to always be triggered.
|
|
warnings.simplefilter("always")
|
|
strategy.advise_sell(indicators, {'pair': 'ETH_BTC'})
|
|
assert len(w) == 1
|
|
assert issubclass(w[-1].category, DeprecationWarning)
|
|
assert "deprecated - check out the Sample strategy to see the current function headers!" \
|
|
in str(w[-1].message)
|
|
|
|
|
|
@pytest.mark.filterwarnings("ignore:deprecated")
|
|
def test_call_deprecated_function(result, monkeypatch, default_conf, caplog):
|
|
default_location = Path(__file__).parent / "strats"
|
|
del default_conf['timeframe']
|
|
default_conf.update({'strategy': 'TestStrategyLegacyV1',
|
|
'strategy_path': default_location})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
metadata = {'pair': 'ETH/BTC'}
|
|
|
|
# Make sure we are using a legacy function
|
|
assert strategy._populate_fun_len == 2
|
|
assert strategy._buy_fun_len == 2
|
|
assert strategy._sell_fun_len == 2
|
|
assert strategy.INTERFACE_VERSION == 1
|
|
assert strategy.timeframe == '5m'
|
|
assert strategy.ticker_interval == '5m'
|
|
|
|
indicator_df = strategy.advise_indicators(result, metadata=metadata)
|
|
assert isinstance(indicator_df, DataFrame)
|
|
assert 'adx' in indicator_df.columns
|
|
|
|
buydf = strategy.advise_buy(result, metadata=metadata)
|
|
assert isinstance(buydf, DataFrame)
|
|
assert 'buy' in buydf.columns
|
|
|
|
selldf = strategy.advise_sell(result, metadata=metadata)
|
|
assert isinstance(selldf, DataFrame)
|
|
assert 'sell' in selldf
|
|
|
|
assert log_has("DEPRECATED: Please migrate to using 'timeframe' instead of 'ticker_interval'.",
|
|
caplog)
|
|
|
|
|
|
def test_strategy_interface_versioning(result, monkeypatch, default_conf):
|
|
default_conf.update({'strategy': 'StrategyTestV2'})
|
|
strategy = StrategyResolver.load_strategy(default_conf)
|
|
metadata = {'pair': 'ETH/BTC'}
|
|
|
|
# Make sure we are using a legacy function
|
|
assert strategy._populate_fun_len == 3
|
|
assert strategy._buy_fun_len == 3
|
|
assert strategy._sell_fun_len == 3
|
|
assert strategy.INTERFACE_VERSION == 2
|
|
|
|
indicator_df = strategy.advise_indicators(result, metadata=metadata)
|
|
assert isinstance(indicator_df, DataFrame)
|
|
assert 'adx' in indicator_df.columns
|
|
|
|
buydf = strategy.advise_buy(result, metadata=metadata)
|
|
assert isinstance(buydf, DataFrame)
|
|
assert 'buy' in buydf.columns
|
|
|
|
selldf = strategy.advise_sell(result, metadata=metadata)
|
|
assert isinstance(selldf, DataFrame)
|
|
assert 'sell' in selldf
|