From 12e735e8316fc681ee0970f45b72f61fa17360fc Mon Sep 17 00:00:00 2001 From: misagh Date: Fri, 9 Nov 2018 20:51:15 +0100 Subject: [PATCH] 1) extracting edge_conf to a fixture 2) test cased adjusted to Backtesting 3) Formatted backtesting_details a bit --- freqtrade/tests/conftest.py | 35 ++- freqtrade/tests/edge/test_edge.py | 272 +++++++----------- .../tests/optimize/test_backtest_detail.py | 18 +- 3 files changed, 137 insertions(+), 188 deletions(-) diff --git a/freqtrade/tests/conftest.py b/freqtrade/tests/conftest.py index 37109767b..cbaca6c04 100644 --- a/freqtrade/tests/conftest.py +++ b/freqtrade/tests/conftest.py @@ -156,21 +156,6 @@ def default_conf(): "NEO/BTC" ] }, - "edge": { - "enabled": False, - "process_throttle_secs": 1800, - "calculate_since_number_of_days": 14, - "total_capital_in_stake_currency": 0.5, - "allowed_risk": 0.01, - "stoploss_range_min": -0.01, - "stoploss_range_max": -0.1, - "stoploss_range_step": -0.01, - "maximum_winrate": 0.80, - "minimum_expectancy": 0.20, - "min_trade_number": 15, - "max_trade_duration_minute": 1440, - "remove_pumps": True - }, "telegram": { "enabled": True, "token": "token", @@ -794,3 +779,23 @@ def buy_order_fee(): 'status': 'closed', 'fee': None } + +@pytest.fixture(scope="function") +def edge_conf(default_conf): + default_conf['edge'] = { + "enabled": False, + "process_throttle_secs": 1800, + "calculate_since_number_of_days": 14, + "total_capital_in_stake_currency": 0.5, + "allowed_risk": 0.01, + "stoploss_range_min": -0.01, + "stoploss_range_max": -0.1, + "stoploss_range_step": -0.01, + "maximum_winrate": 0.80, + "minimum_expectancy": 0.20, + "min_trade_number": 15, + "max_trade_duration_minute": 1440, + "remove_pumps": False + } + + return default_conf diff --git a/freqtrade/tests/edge/test_edge.py b/freqtrade/tests/edge/test_edge.py index 1ac5e62c4..aa45ddfff 100644 --- a/freqtrade/tests/edge/test_edge.py +++ b/freqtrade/tests/edge/test_edge.py @@ -1,17 +1,20 @@ -# pragma pylint: disable=missing-docstring, C0103 +# pragma pylint: disable=missing-docstring, C0103, C0330 # pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments +import pytest +import logging from freqtrade.tests.conftest import get_patched_freqtradebot from freqtrade.edge import Edge from pandas import DataFrame, to_datetime from freqtrade.strategy.interface import SellType +from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe, + _get_frame_time_from_offset) import arrow import numpy as np import math from unittest.mock import MagicMock - # Cases to be tested: # 1) Open trade should be removed from the end # 2) Two complete trades within dataframe (with sell hit for all) @@ -25,6 +28,101 @@ ticker_interval_in_minute = 60 _ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7} +# Open trade should be removed from the end +tc0 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4975, 4987, 6172, 0, 1]], # enter trade (signal on last candle) + stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + trades=[] +) + +# Two complete trades within dataframe(with sell hit for all) +tc1 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle) + [2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open + [3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action + [4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade + [5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action + [6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell +], + stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2), + BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)] +) + +# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss +tc2 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit + [2, 5000, 5025, 4975, 4987, 6172, 0, 0], +], + stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01, + trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] +) + +# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss +tc3 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit + [2, 5000, 5025, 4975, 4987, 6172, 0, 0], +], + stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03, + trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] +) + +#5) Stoploss and sell are hit. should sell on stoploss +tc4=BTContainer(data = [ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal + [2, 5000, 5025, 4975, 4987, 6172, 0, 0], +], + stop_loss = -0.03, roi = float('inf'), profit_perc = -0.03, + trades = [BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] +) + +TESTS = [ + tc0, + tc1, + tc2, + tc3, + tc4 +] + + +@pytest.mark.parametrize("data", TESTS) +def test_edge_results(edge_conf, mocker, caplog, data) -> None: + """ + run functional tests + """ + freqtrade = get_patched_freqtradebot(mocker, edge_conf) + edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy) + frame = _build_backtest_dataframe(data.data) + caplog.set_level(logging.DEBUG) + edge.fee = 0 + + trades = edge._find_trades_for_stoploss_range(frame, 'TEST/BTC', [data.stop_loss]) + results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame() + + print(results) + + assert len(trades) == len(data.trades) + + if not results.empty: + assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3) + + for c, trade in enumerate(data.trades): + res = results.iloc[c] + assert res.exit_type == trade.sell_reason + assert res.open_time == _get_frame_time_from_offset(trade.open_tick) + assert res.close_time == _get_frame_time_from_offset(trade.close_tick) + + def test_adjust(mocker, default_conf): freqtrade = get_patched_freqtradebot(mocker, default_conf) edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) @@ -94,10 +192,10 @@ def _time_on_candle(number): minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms') -def test_edge_heartbeat_calculate(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - heartbeat = default_conf['edge']['process_throttle_secs'] +def test_edge_heartbeat_calculate(mocker, edge_conf): + freqtrade = get_patched_freqtradebot(mocker, edge_conf) + edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy) + heartbeat = edge_conf['edge']['process_throttle_secs'] # should not recalculate if heartbeat not reached edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1 @@ -148,15 +246,15 @@ def test_edge_process_downloaded_data(mocker, default_conf): assert edge._last_updated <= arrow.utcnow().timestamp + 2 -def test_process_expectancy(mocker, default_conf): - default_conf['edge']['min_trade_number'] = 2 - freqtrade = get_patched_freqtradebot(mocker, default_conf) +def test_process_expectancy(mocker, edge_conf): + edge_conf['edge']['min_trade_number'] = 2 + freqtrade = get_patched_freqtradebot(mocker, edge_conf) def get_fee(): return 0.001 freqtrade.exchange.get_fee = get_fee - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) + edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy) trades = [ {'pair': 'TEST/BTC', @@ -210,157 +308,3 @@ def test_process_expectancy(mocker, default_conf): assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384 assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0 assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128 - -# 1) Open trade should be removed from the end - - -def test_case_1(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - stoploss = -0.99 # we don't want stoploss to be hit in this test - ticker = [ - # D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell - # D, B, O, H, L, C, S - [3, 1, 12, 25, 11, 20, 0], # -> - [4, 0, 20, 30, 19, 25, 1], # -> should enter the trade - ] - - ticker_df = _build_dataframe(ticker) - trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) - - # No trade should be found - assert len(trades) == 0 - - -# 2) Two complete trades within dataframe (with sell hit for all) -def test_case_2(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - stoploss = -0.99 # we don't want stoploss to be hit in this test - ticker = [ - # D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell - # D, B, O, H, L, C, S - [0, 1, 15, 20, 12, 17, 0], # -> no action - [1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle - [2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle - [3, 1, 12, 25, 11, 20, 0], # -> no action - [4, 0, 20, 30, 19, 25, 0], # -> should enter the trade - [5, 0, 25, 27, 22, 26, 1], # -> no action - [6, 0, 26, 36, 25, 35, 0], # -> should sell - ] - - ticker_df = _build_dataframe(ticker) - trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) - - # Two trades must have occured - assert len(trades) == 2 - - # First trade check - assert trades[0]['open_time'] == _time_on_candle(1) - assert trades[0]['close_time'] == _time_on_candle(2) - assert trades[0]['open_rate'] == ticker[1][_ohlc['open']] - assert trades[0]['close_rate'] == ticker[2][_ohlc['open']] - assert trades[0]['exit_type'] == SellType.SELL_SIGNAL - ############################################################## - - # Second trade check - assert trades[1]['open_time'] == _time_on_candle(4) - assert trades[1]['close_time'] == _time_on_candle(6) - assert trades[1]['open_rate'] == ticker[4][_ohlc['open']] - assert trades[1]['close_rate'] == ticker[6][_ohlc['open']] - assert trades[1]['exit_type'] == SellType.SELL_SIGNAL - ############################################################## - - -# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss -def test_case_3(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - stoploss = -0.01 # we don't want stoploss to be hit in this test - ticker = [ - # D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell - # D, B, O, H, L, C, S - [0, 1, 15, 20, 12, 17, 0], # -> no action - [1, 0, 14, 15, 11, 12, 0], # -> enter to trade, stoploss hit - [2, 1, 12, 25, 11, 20, 0], # -> no action - ] - - ticker_df = _build_dataframe(ticker) - trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) - - # Two trades must have occured - assert len(trades) == 1 - - # First trade check - assert trades[0]['open_time'] == _time_on_candle(1) - assert trades[0]['close_time'] == _time_on_candle(1) - assert trades[0]['open_rate'] == ticker[1][_ohlc['open']] - assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate'] - assert trades[0]['exit_type'] == SellType.STOP_LOSS - ############################################################## - - -# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss -def test_case_4(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - stoploss = -0.03 # we don't want stoploss to be hit in this test - ticker = [ - # D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell - # D, B, O, H, L, C, S - [0, 1, 15, 20, 12, 17, 0], # -> no action - [1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade - [2, 0, 16, 17, 14.4, 15.5, 0], # -> stoploss hit - [3, 0, 17, 25, 16.9, 22, 0], # -> no action - ] - - ticker_df = _build_dataframe(ticker) - trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) - - # Two trades must have occured - assert len(trades) == 1 - - # First trade check - assert trades[0]['open_time'] == _time_on_candle(1) - assert trades[0]['close_time'] == _time_on_candle(2) - assert trades[0]['open_rate'] == ticker[1][_ohlc['open']] - assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate'] - assert trades[0]['exit_type'] == SellType.STOP_LOSS - ############################################################## - - -# 5) Stoploss and sell are hit. should sell on stoploss -def test_case_5(mocker, default_conf): - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - freqtrade = get_patched_freqtradebot(mocker, default_conf) - edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) - - stoploss = -0.03 # we don't want stoploss to be hit in this test - ticker = [ - # D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell - # D, B, O, H, L, C, S - [0, 1, 15, 20, 12, 17, 0], # -> no action - [1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade - [2, 0, 16, 17, 14.4, 15.5, 1], # -> stoploss hit and also sell signal - [3, 0, 17, 25, 16.9, 22, 0], # -> no action - ] - - ticker_df = _build_dataframe(ticker) - trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss]) - - # Two trades must have occured - assert len(trades) == 1 - - # First trade check - assert trades[0]['open_time'] == _time_on_candle(1) - assert trades[0]['close_time'] == _time_on_candle(2) - assert trades[0]['open_rate'] == ticker[1][_ohlc['open']] - assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate'] - assert trades[0]['exit_type'] == SellType.STOP_LOSS - ############################################################## diff --git a/freqtrade/tests/optimize/test_backtest_detail.py b/freqtrade/tests/optimize/test_backtest_detail.py index 806c136bc..eaec3bf49 100644 --- a/freqtrade/tests/optimize/test_backtest_detail.py +++ b/freqtrade/tests/optimize/test_backtest_detail.py @@ -1,4 +1,4 @@ -# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument +# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument import logging from unittest.mock import MagicMock @@ -34,15 +34,15 @@ tc0 = BTContainer(data=[ # TC2: Stop-Loss Triggered 3% Loss tc1 = BTContainer(data=[ # D O H L C V B S - [0, 5000, 5025, 4975, 4987, 6172, 1, 0], - [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) - [2, 4987, 5012, 4962, 4975, 6172, 0, 0], - [3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit - [4, 4962, 4987, 4937, 4950, 6172, 0, 0], - [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) + [2, 4987, 5012, 4962, 4975, 6172, 0, 0], + [3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit + [4, 4962, 4987, 4937, 4950, 6172, 0, 0], + [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.03, roi=1, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)] - ) +) # Test 3 Candle drops 4%, Recovers 1%. @@ -127,7 +127,7 @@ tc6 = BTContainer(data=[ [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], stop_loss=-0.02, roi=0.03, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] - ) +) TESTS = [ tc0,