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Update tests and docs
This commit is contained in:
Anuj Jain
parent
4765656f87
commit
addd27faf8
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@ -149,6 +149,25 @@ to distinguish the values at the entry and exit points of the trade.
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`profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`,
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`min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders`
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#### Filtering Indicators Based on Entry or Exit Signals
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The `--indicator-list` option, by default, displays indicator values for both entry and exit signals. To filter the indicator values exclusively for entry signals, you can use the `--entry-only` argument. Similarly, to display indicator values only at exit signals, use the `--exit-only` argument.
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Example: Display indicator values at entry signals:
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```bash
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freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only
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```
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Example: Display indicator values at exit signals:
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```bash
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freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only
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```
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!!! note
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When using these filters, the indicator names will not be suffixed with `(entry)` or `(exit)`.
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### Filtering the trade output by date
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To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format:
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@ -7,6 +7,7 @@ import pytest
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from freqtrade.commands.analyze_commands import start_analysis_entries_exits
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from freqtrade.commands.optimize_commands import start_backtesting
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from freqtrade.enums import ExitType
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from freqtrade.exceptions import OperationalException
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from freqtrade.optimize.backtesting import Backtesting
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from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
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@ -256,3 +257,306 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "no rejected signals" in captured.out
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def test_backtest_analysis_with_invalid_config(
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default_conf, mocker, caplog, testdatadir, user_dir, capsys
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):
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caplog.set_level(logging.INFO)
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(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
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default_conf.update(
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{
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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}
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)
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patch_exchange(mocker)
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result1 = pd.DataFrame(
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{
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"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
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"profit_ratio": [0.025, 0.05, -0.1, -0.05],
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"profit_abs": [0.5, 2.0, -4.0, -2.0],
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"open_date": pd.to_datetime(
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[
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"2018-01-29 18:40:00",
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"2018-01-30 03:30:00",
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"2018-01-30 08:10:00",
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"2018-01-31 13:30:00",
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],
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utc=True,
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),
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"close_date": pd.to_datetime(
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[
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"2018-01-29 20:45:00",
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"2018-01-30 05:35:00",
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"2018-01-30 09:10:00",
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"2018-01-31 15:00:00",
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],
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utc=True,
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),
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"trade_duration": [235, 40, 60, 90],
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"is_open": [False, False, False, False],
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"stake_amount": [0.01, 0.01, 0.01, 0.01],
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"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
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"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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"enter_tag": [
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"enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b",
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],
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"exit_reason": [
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ExitType.ROI.value,
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ExitType.EXIT_SIGNAL.value,
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ExitType.STOP_LOSS.value,
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ExitType.TRAILING_STOP_LOSS.value,
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],
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}
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)
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backtestmock = MagicMock(
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side_effect=[
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{
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"results": result1,
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"config": default_conf,
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"locks": [],
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"rejected_signals": 20,
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"timedout_entry_orders": 0,
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"timedout_exit_orders": 0,
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"canceled_trade_entries": 0,
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"canceled_entry_orders": 0,
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"replaced_entry_orders": 0,
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"final_balance": 1000,
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}
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]
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)
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mocker.patch(
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"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
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PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
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)
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mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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"backtesting",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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"--timeframe",
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"5m",
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"--timerange",
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"1515560100-1517287800",
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"--export",
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"signals",
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"--cache",
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"none",
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert "BACKTESTING REPORT" in captured.out
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assert "EXIT REASON STATS" in captured.out
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assert "LEFT OPEN TRADES REPORT" in captured.out
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base_args = [
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"backtesting-analysis",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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]
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# test with both entry and exit only arguments
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args = get_args(
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base_args
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+ [
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"--analysis-groups",
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"0",
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"--indicator-list",
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"close",
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"rsi",
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"profit_abs",
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"--entry-only",
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"--exit-only",
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]
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)
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with pytest.raises(
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OperationalException,
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match=r"Cannot use --entry-only and --exit-only at the same time. Please choose one.",
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):
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start_analysis_entries_exits(args)
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def test_backtest_analysis_on_entry_and_rejected_signals_only_entry_signals(
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default_conf, mocker, caplog, testdatadir, user_dir, capsys
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):
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caplog.set_level(logging.INFO)
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(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
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default_conf.update(
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{
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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}
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)
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patch_exchange(mocker)
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result1 = pd.DataFrame(
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{
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"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
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"profit_ratio": [0.025, 0.05, -0.1, -0.05],
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"profit_abs": [0.5, 2.0, -4.0, -2.0],
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"open_date": pd.to_datetime(
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[
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"2018-01-29 18:40:00",
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"2018-01-30 03:30:00",
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"2018-01-30 08:10:00",
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"2018-01-31 13:30:00",
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],
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utc=True,
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),
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"close_date": pd.to_datetime(
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[
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"2018-01-29 20:45:00",
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"2018-01-30 05:35:00",
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"2018-01-30 09:10:00",
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"2018-01-31 15:00:00",
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],
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utc=True,
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),
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"trade_duration": [235, 40, 60, 90],
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"is_open": [False, False, False, False],
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"stake_amount": [0.01, 0.01, 0.01, 0.01],
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"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
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"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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"enter_tag": [
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"enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b",
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],
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"exit_reason": [
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ExitType.ROI.value,
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ExitType.EXIT_SIGNAL.value,
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ExitType.STOP_LOSS.value,
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ExitType.TRAILING_STOP_LOSS.value,
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],
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}
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)
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backtestmock = MagicMock(
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side_effect=[
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{
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"results": result1,
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"config": default_conf,
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"locks": [],
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"rejected_signals": 20,
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"timedout_entry_orders": 0,
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"timedout_exit_orders": 0,
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"canceled_trade_entries": 0,
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"canceled_entry_orders": 0,
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"replaced_entry_orders": 0,
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"final_balance": 1000,
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}
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]
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)
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mocker.patch(
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"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
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PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
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)
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mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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"backtesting",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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"--timeframe",
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"5m",
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"--timerange",
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"1515560100-1517287800",
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"--export",
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"signals",
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"--cache",
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"none",
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert "BACKTESTING REPORT" in captured.out
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assert "EXIT REASON STATS" in captured.out
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assert "LEFT OPEN TRADES REPORT" in captured.out
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base_args = [
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"backtesting-analysis",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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]
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# test group 0 and indicator list
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args = get_args(
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base_args
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+ [
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"--analysis-groups",
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"0",
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"--indicator-list",
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"close",
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"rsi",
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"profit_abs",
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"--entry-only",
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]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "LTC/BTC" in captured.out
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assert "ETH/BTC" in captured.out
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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assert "0.5" in captured.out
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assert "-4" in captured.out
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assert "-2" in captured.out
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assert "-3.5" in captured.out
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assert "50" in captured.out
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assert "0" in captured.out
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assert "0.016" in captured.out
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assert "34.049" in captured.out
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assert "0.104" in captured.out
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assert "52.829" in captured.out
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# assert indicator list
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assert "close" in captured.out
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assert "close (entry)" not in captured.out
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assert "0.016" in captured.out
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assert "rsi (entry)" not in captured.out
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assert "rsi" in captured.out
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assert "54.320" in captured.out
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assert "close (exit)" not in captured.out
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assert "rsi (exit)" not in captured.out
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assert "52.829" in captured.out
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assert "profit_abs" in captured.out
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