freqtrade_origin/tests/optimize/test_recursive_analysis.py

# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock

import pytest

from freqtrade.commands.optimize_commands import start_recursive_analysis
from freqtrade.data.history import get_timerange
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.recursive_analysis import RecursiveAnalysis
from freqtrade.optimize.recursive_analysis_helpers import RecursiveAnalysisSubFunctions
from tests.conftest import get_args, log_has_re, patch_exchange


@pytest.fixture
def recursive_conf(default_conf_usdt):
    default_conf_usdt['timerange'] = '20220101-20220501'

    default_conf_usdt['strategy_path'] = str(
        Path(__file__).parent.parent / "strategy/strats")
    default_conf_usdt['strategy'] = 'strategy_test_v3_recursive_issue'
    default_conf_usdt['pairs'] = ['UNITTEST/USDT']
    default_conf_usdt['startup_candle'] = [100]
    return default_conf_usdt


def test_start_recursive_analysis(mocker):
    single_mock = MagicMock()
    text_table_mock = MagicMock()
    mocker.patch.multiple(
        'freqtrade.optimize.recursive_analysis_helpers.RecursiveAnalysisSubFunctions',
        initialize_single_recursive_analysis=single_mock,
        text_table_recursive_analysis_instances=text_table_mock,
    )
    args = [
        "recursive-analysis",
        "--strategy",
        "strategy_test_v3_recursive_issue",
        "--strategy-path",
        str(Path(__file__).parent.parent / "strategy/strats"),
        "--pairs",
        "UNITTEST/BTC",
        "--timerange",
        "20220101-20220201"
    ]
    pargs = get_args(args)
    pargs['config'] = None

    start_recursive_analysis(pargs)
    assert single_mock.call_count == 1
    assert text_table_mock.call_count == 1

    single_mock.reset_mock()

    # Missing timerange
    args = [
        "recursive-analysis",
        "--strategy",
        "strategy_test_v3_with_recursive_bias",
        "--strategy-path",
        str(Path(__file__).parent.parent / "strategy/strats"),
        "--pairs",
        "UNITTEST/BTC"
    ]
    pargs = get_args(args)
    pargs['config'] = None
    with pytest.raises(OperationalException,
                       match=r"Please set a timerange\..*"):
        start_recursive_analysis(pargs)


def test_recursive_helper_no_strategy_defined(recursive_conf):
    conf = deepcopy(recursive_conf)
    conf['pairs'] = ['UNITTEST/USDT']
    del conf['strategy']
    with pytest.raises(OperationalException,
                       match=r"No Strategy specified"):
        RecursiveAnalysisSubFunctions.start(conf)


def test_recursive_helper_start(recursive_conf, mocker) -> None:
    single_mock = MagicMock()
    text_table_mock = MagicMock()
    mocker.patch.multiple(
        'freqtrade.optimize.recursive_analysis_helpers.RecursiveAnalysisSubFunctions',
        initialize_single_recursive_analysis=single_mock,
        text_table_recursive_analysis_instances=text_table_mock,
    )
    RecursiveAnalysisSubFunctions.start(recursive_conf)
    assert single_mock.call_count == 1
    assert text_table_mock.call_count == 1

    single_mock.reset_mock()
    text_table_mock.reset_mock()


def test_recursive_helper_text_table_recursive_analysis_instances(recursive_conf):
    dict_diff = dict()
    dict_diff['rsi'] = {}
    dict_diff['rsi'][100] = "0.078%"

    strategy_obj = {
        'name': "strategy_test_v3_recursive_issue",
        'location': Path(recursive_conf['strategy_path'], f"{recursive_conf['strategy']}.py")
    }

    instance = RecursiveAnalysis(recursive_conf, strategy_obj)
    instance.dict_recursive = dict_diff
    table, headers, data = (RecursiveAnalysisSubFunctions.
                            text_table_recursive_analysis_instances([instance]))

    # check row contents for a try that has too few signals
    assert data[0][0] == 'rsi'
    assert data[0][1] == '0.078%'
    assert len(data[0]) == 2

    # now check when there is no issue
    dict_diff = dict()
    instance = RecursiveAnalysis(recursive_conf, strategy_obj)
    instance.dict_recursive = dict_diff
    table, headers, data = (RecursiveAnalysisSubFunctions.
                            text_table_recursive_analysis_instances([instance]))
    assert len(data) == 0


def test_initialize_single_recursive_analysis(recursive_conf, mocker, caplog):
    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))
    recursive_conf['pairs'] = ['UNITTEST/BTC']

    recursive_conf['timeframe'] = '5m'
    recursive_conf['timerange'] = '20180119-20180122'
    start_mock = mocker.patch('freqtrade.optimize.recursive_analysis.RecursiveAnalysis.start')
    strategy_obj = {
        'name': "strategy_test_v3_recursive_issue",
        'location': Path(recursive_conf['strategy_path'], f"{recursive_conf['strategy']}.py")
    }

    instance = RecursiveAnalysisSubFunctions.initialize_single_recursive_analysis(
        recursive_conf, strategy_obj)
    assert log_has_re(r"Recursive test of .* started\.", caplog)
    assert start_mock.call_count == 1

    assert instance.strategy_obj['name'] == "strategy_test_v3_recursive_issue"


@pytest.mark.parametrize('scenario', [
    'no_bias', 'bias1', 'bias2'
])
def test_recursive_biased_strategy(recursive_conf, mocker, caplog, scenario) -> None:
    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))
    recursive_conf['pairs'] = ['UNITTEST/BTC']

    recursive_conf['timeframe'] = '5m'
    recursive_conf['timerange'] = '20180119-20180122'
    recursive_conf['startup_candle'] = [100]

    # Patch scenario Parameter to allow for easy selection
    mocker.patch('freqtrade.strategy.hyper.HyperStrategyMixin.load_params_from_file',
                 return_value={
                     'params': {
                         "buy": {
                             "scenario": scenario
                         }
                     }
                 })

    strategy_obj = {'name': "strategy_test_v3_recursive_issue"}
    instance = RecursiveAnalysis(recursive_conf, strategy_obj)
    instance.start()
    # Assert init correct
    assert log_has_re(f"Strategy Parameter: scenario = {scenario}", caplog)

    if scenario == "bias2":
        assert log_has_re("=> found lookahead in indicator rsi", caplog)
    else:
        diff_pct = abs(float(instance.dict_recursive['rsi'][100].replace("%", "")))
        # check non-biased strategy
        if scenario == "no_bias":
            assert diff_pct < 0.01
        # check biased strategy
        elif scenario == "bias1":
            assert diff_pct >= 0.01