freqtrade_origin/tests/optimize/test_backtesting_adjust_position.py

# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument

from copy import deepcopy
from unittest.mock import MagicMock

import pandas as pd
import pytest

from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.data.history import get_timerange
from freqtrade.enums import ExitType, TradingMode
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.util.datetime_helpers import dt_utc
from tests.conftest import EXMS, patch_exchange


def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
    default_conf['use_exit_signal'] = False
    default_conf['max_open_trades'] = 10
    mocker.patch(f'{EXMS}.get_fee', fee)
    mocker.patch('freqtrade.optimize.backtesting.amount_to_contract_precision',
                 lambda x, *args, **kwargs: round(x, 8))
    mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001)
    mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
    patch_exchange(mocker)
    default_conf.update({
        "stake_amount": 100.0,
        "dry_run_wallet": 1000.0,
        "strategy": "StrategyTestV3"
    })
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    pair = 'UNITTEST/BTC'
    timerange = TimeRange('date', None, 1517227800, 0)
    data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
                             timerange=timerange)
    backtesting.strategy.position_adjustment_enable = True
    processed = backtesting.strategy.advise_all_indicators(data)
    min_date, max_date = get_timerange(processed)
    result = backtesting.backtest(
        processed=deepcopy(processed),
        start_date=min_date,
        end_date=max_date,
    )
    results = result['results']
    assert not results.empty
    assert len(results) == 2

    expected = pd.DataFrame(
        {'pair': [pair, pair],
         'stake_amount': [500.0, 100.0],
         'max_stake_amount': [500.0, 100],
         'amount': [4806.87657523, 970.63960782],
         'open_date': pd.to_datetime([dt_utc(2018, 1, 29, 18, 40, 0),
                                      dt_utc(2018, 1, 30, 3, 30, 0)], utc=True
                                     ),
         'close_date': pd.to_datetime([dt_utc(2018, 1, 29, 22, 00, 0),
                                       dt_utc(2018, 1, 30, 4, 10, 0)], utc=True),
         'open_rate': [0.10401764894444211, 0.10302485],
         'close_rate': [0.10453904066847439, 0.103541],
         'fee_open': [0.0025, 0.0025],
         'fee_close': [0.0025, 0.0025],
         'trade_duration': [200, 40],
         'profit_ratio': [0.0, 0.0],
         'profit_abs': [0.0, 0.0],
         'exit_reason': [ExitType.ROI.value, ExitType.ROI.value],
         'initial_stop_loss_abs': [0.0940005, 0.09272236],
         'initial_stop_loss_ratio': [-0.1, -0.1],
         'stop_loss_abs': [0.0940005, 0.09272236],
         'stop_loss_ratio': [-0.1, -0.1],
         'min_rate': [0.10370188, 0.10300000000000001],
         'max_rate': [0.10481985, 0.1038888],
         'is_open': [False, False],
         'enter_tag': [None, None],
         'leverage': [1.0, 1.0],
         'is_short': [False, False],
         'open_timestamp': [1517251200000, 1517283000000],
         'close_timestamp': [1517265300000, 1517285400000],
         })
    pd.testing.assert_frame_equal(results.drop(columns=['orders']), expected)
    data_pair = processed[pair]
    assert len(results.iloc[0]['orders']) == 6
    assert len(results.iloc[1]['orders']) == 2

    for _, t in results.iterrows():
        ln = data_pair.loc[data_pair["date"] == t["open_date"]]
        # Check open trade rate alignes to open rate
        assert ln is not None
        # check close trade rate alignes to close rate or is between high and low
        ln = data_pair.loc[data_pair["date"] == t["close_date"]]
        assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) or
                round(ln.iloc[0]["low"], 6) < round(
                t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))


@pytest.mark.parametrize('leverage', [
    1, 2
])
def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, leverage) -> None:
    default_conf['use_exit_signal'] = False
    mocker.patch(f'{EXMS}.get_fee', fee)
    mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=10)
    mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
    mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)

    patch_exchange(mocker)
    default_conf.update({
        "stake_amount": 100.0,
        "dry_run_wallet": 1000.0,
        "strategy": "StrategyTestV3",
    })
    backtesting = Backtesting(default_conf)
    backtesting.trading_mode = TradingMode.FUTURES
    backtesting._can_short = True
    backtesting._set_strategy(backtesting.strategylist[0])
    pair = 'XRP/USDT'
    row = [
            pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
            2.1,  # Open
            2.2,  # High
            1.9,  # Low
            2.1,  # Close
            1,  # enter_long
            0,  # exit_long
            0,  # enter_short
            0,  # exit_short
            '',  # enter_tag
            '',  # exit_tag
            ]
    backtesting.strategy.leverage = MagicMock(return_value=leverage)
    trade = backtesting._enter_trade(pair, row=row, direction='long')
    trade.orders[0].close_bt_order(row[0], trade)
    assert trade
    assert pytest.approx(trade.stake_amount) == 100.0
    assert pytest.approx(trade.amount) == 47.61904762 * leverage
    assert len(trade.orders) == 1
    backtesting.strategy.adjust_trade_position = MagicMock(return_value=None)

    trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)
    assert trade
    assert pytest.approx(trade.stake_amount) == 100.0
    assert pytest.approx(trade.amount) == 47.61904762 * leverage
    assert len(trade.orders) == 1
    # Increase position by 100
    backtesting.strategy.adjust_trade_position = MagicMock(return_value=100)

    trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)

    assert trade
    assert pytest.approx(trade.stake_amount) == 200.0
    assert pytest.approx(trade.amount) == 95.23809524 * leverage
    assert len(trade.orders) == 2

    # Reduce by more than amount - no change to trade.
    backtesting.strategy.adjust_trade_position = MagicMock(return_value=-500)

    trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)

    assert trade
    assert pytest.approx(trade.stake_amount) == 200.0
    assert pytest.approx(trade.amount) == 95.23809524 * leverage
    assert len(trade.orders) == 2
    assert trade.nr_of_successful_entries == 2

    # Reduce position by 50
    backtesting.strategy.adjust_trade_position = MagicMock(return_value=-100)
    trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)

    assert trade
    assert pytest.approx(trade.stake_amount) == 100.0
    assert pytest.approx(trade.amount) == 47.61904762 * leverage
    assert len(trade.orders) == 3
    assert trade.nr_of_successful_entries == 2
    assert trade.nr_of_successful_exits == 1

    # Adjust below minimum
    backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99)
    trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)

    assert trade
    assert pytest.approx(trade.stake_amount) == 100.0
    assert pytest.approx(trade.amount) == 47.61904762 * leverage
    assert len(trade.orders) == 3
    assert trade.nr_of_successful_entries == 2
    assert trade.nr_of_successful_exits == 1