from copy import deepcopy from datetime import datetime, timezone from pathlib import Path from unittest.mock import PropertyMock import pytest from freqtrade.commands.optimize_commands import setup_optimize_configuration from freqtrade.configuration.timerange import TimeRange from freqtrade.data import history from freqtrade.data.dataprovider import DataProvider from freqtrade.enums import RunMode from freqtrade.enums.candletype import CandleType from freqtrade.exceptions import OperationalException from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.optimize.backtesting import Backtesting from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, get_patched_exchange, log_has_re, patch_exchange, patched_configuration_load_config_file) from tests.freqai.conftest import get_patched_freqai_strategy def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir, caplog): patch_exchange(mocker) now = datetime.now(timezone.utc) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT'])) mocker.patch('freqtrade.optimize.backtesting.history.load_data') mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now)) patched_configuration_load_config_file(mocker, freqai_conf) args = [ 'backtesting', '--config', 'config.json', '--datadir', str(testdatadir), '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'), '--timeframe', '1m', '--strategy-list', CURRENT_TEST_STRATEGY ] args = get_args(args) bt_config = setup_optimize_configuration(args, RunMode.BACKTEST) Backtesting(bt_config) assert log_has_re('Using --strategy-list with FreqAI REQUIRES all strategies to have identical', caplog) Backtesting.cleanup() @pytest.mark.parametrize( "timeframe, expected_startup_candle_count", [ ("5m", 876), ("15m", 492), ("1d", 302), ], ) def test_freqai_backtest_load_data(freqai_conf, mocker, caplog, timeframe, expected_startup_candle_count): patch_exchange(mocker) now = datetime.now(timezone.utc) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT'])) mocker.patch('freqtrade.optimize.backtesting.history.load_data') mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now)) freqai_conf['timeframe'] = timeframe freqai_conf.get('freqai', {}).get('feature_parameters', {}).update({'include_timeframes': []}) backtesting = Backtesting(deepcopy(freqai_conf)) backtesting.load_bt_data() assert log_has_re(f'Increasing startup_candle_count for freqai on {timeframe} ' f'to {expected_startup_candle_count}', caplog) assert history.load_data.call_args[1]['startup_candles'] == expected_startup_candle_count Backtesting.cleanup() def test_freqai_backtest_live_models_model_not_found(freqai_conf, mocker, testdatadir, caplog): patch_exchange(mocker) now = datetime.now(timezone.utc) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT'])) mocker.patch('freqtrade.optimize.backtesting.history.load_data') mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now)) freqai_conf["timerange"] = "" freqai_conf.get("freqai", {}).update({"backtest_using_historic_predictions": False}) patched_configuration_load_config_file(mocker, freqai_conf) args = [ 'backtesting', '--config', 'config.json', '--datadir', str(testdatadir), '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'), '--timeframe', '5m', '--freqai-backtest-live-models' ] args = get_args(args) bt_config = setup_optimize_configuration(args, RunMode.BACKTEST) with pytest.raises(OperationalException, match=r".* Historic predictions data is required to run backtest .*"): Backtesting(bt_config) Backtesting.cleanup() def test_freqai_backtest_consistent_timerange(mocker, freqai_conf): freqai_conf['runmode'] = 'backtest' mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['XRP/USDT:USDT'])) gbs = mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats') freqai_conf['candle_type_def'] = CandleType.FUTURES freqai_conf.get('exchange', {}).update({'pair_whitelist': ['XRP/USDT:USDT']}) freqai_conf.get('freqai', {}).get('feature_parameters', {}).update( {'include_timeframes': ['5m', '1h'], 'include_corr_pairlist': []}) freqai_conf['timerange'] = '20211120-20211121' strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20211115-20211122") freqai.dd.load_all_pair_histories(timerange, freqai.dk) backtesting = Backtesting(deepcopy(freqai_conf)) backtesting.start() gbs.call_args[1]['min_date'] == datetime(2021, 11, 20, 0, 0, tzinfo=timezone.utc) gbs.call_args[1]['max_date'] == datetime(2021, 11, 21, 0, 0, tzinfo=timezone.utc) Backtesting.cleanup()