lychiyu/freqtrade_origin
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2024-11-10 10:21:59 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

Enable pairlist parsing for backtesting and hyperopt

Browse Source
This commit is contained in:
Matthias 2020-04-25 15:37:13 +02:00
parent a19ea0f46f
commit 8987859044
2 changed files with 41 additions and 10 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

11
freqtrade/optimize/backtesting.py
View File

@ -20,6 +20,7 @@ from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.optimize.optimize_reports import (show_backtest_results,
store_backtest_result)
from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.persistence import Trade
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.state import RunMode
@ -63,10 +64,16 @@ class Backtesting:
self.strategylist: List[IStrategy] = []
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
self.pairlists = PairListManager(self.exchange, self.config)
self.pairlists.refresh_pairlist()
if len(self.pairlists.whitelist) == 0:
raise OperationalException("No pair in whitelist.")
if config.get('fee'):
self.fee = config['fee']
else:
self.fee = self.exchange.get_fee(symbol=self.config['exchange']['pair_whitelist'][0])
self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0])
if self.config.get('runmode') != RunMode.HYPEROPT:
self.dataprovider = DataProvider(self.config, self.exchange)
@ -111,7 +118,7 @@ class Backtesting:
data = history.load_data(
datadir=self.config['datadir'],
pairs=self.config['exchange']['pair_whitelist'],
pairs=self.pairlists.whitelist,
timeframe=self.timeframe,
timerange=timerange,
startup_candles=self.required_startup,

40
tests/optimize/test_backtesting.py
View File

@ -2,7 +2,7 @@
import random
from pathlib import Path
from unittest.mock import MagicMock
from unittest.mock import MagicMock, PropertyMock
import numpy as np
import pandas as pd
@ -10,8 +10,9 @@ import pytest
from arrow import Arrow
from freqtrade import constants
from freqtrade.commands.optimize_commands import (setup_optimize_configuration,
start_backtesting)
from freqtrade.configuration import TimeRange
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
from freqtrade.data import history
from freqtrade.data.btanalysis import evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
@ -333,8 +334,9 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
default_conf['ticker_interval'] = '1m'
default_conf['datadir'] = testdatadir
default_conf['export'] = None
@ -362,9 +364,9 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
default_conf['ticker_interval'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = None
@ -375,6 +377,27 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
backtesting.start()
def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) -> None:
def get_timerange(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.data.history.history_utils.load_pair_history',
MagicMock(return_value=pd.DataFrame()))
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=[]))
default_conf['ticker_interval'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = None
default_conf['timerange'] = '20180101-20180102'
with pytest.raises(OperationalException, match='No pair in whitelist.'):
Backtesting(default_conf)
def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
default_conf['ask_strategy']['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
@ -585,12 +608,12 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results', MagicMock())
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
patched_configuration_load_config_file(mocker, default_conf)
args = [
@ -625,10 +648,11 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
patch_exchange(mocker)
backtestmock = MagicMock()
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
gen_table_mock = MagicMock()
mocker.patch('freqtrade.optimize.optimize_reports.generate_text_table', gen_table_mock)