mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-15 04:33:57 +00:00
198 lines
8.4 KiB
Python
198 lines
8.4 KiB
Python
# 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
|
|
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': ['', ''],
|
|
'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)
|
|
mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0.1, 0.1))
|
|
mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
|
|
|
|
patch_exchange(mocker)
|
|
default_conf.update({
|
|
"stake_amount": 100.0,
|
|
"dry_run_wallet": 1000.0,
|
|
"strategy": "StrategyTestV3",
|
|
"trading_mode": "futures",
|
|
"margin_mode": "isolated",
|
|
})
|
|
default_conf['pairlists'] = [{'method': 'StaticPairList', 'allow_inactive': True}]
|
|
backtesting = Backtesting(default_conf)
|
|
backtesting._can_short = True
|
|
backtesting._set_strategy(backtesting.strategylist[0])
|
|
pair = 'XRP/USDT: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')
|
|
current_time = row[0].to_pydatetime()
|
|
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)
|
|
assert pytest.approx(trade.liquidation_price) == (0.10278333 if leverage == 1 else 1.2122249)
|
|
|
|
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time)
|
|
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, 'PartIncrease'))
|
|
|
|
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time)
|
|
|
|
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.orders[-1].ft_order_tag == 'PartIncrease'
|
|
assert pytest.approx(trade.liquidation_price) == (0.1038916 if leverage == 1 else 1.2127791)
|
|
|
|
# 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, current_time)
|
|
|
|
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
|
|
assert pytest.approx(trade.liquidation_price) == (0.1038916 if leverage == 1 else 1.2127791)
|
|
|
|
# Reduce position by 50
|
|
backtesting.strategy.adjust_trade_position = MagicMock(return_value=(-100, 'partDecrease'))
|
|
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time)
|
|
|
|
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.orders[-1].ft_order_tag == 'partDecrease'
|
|
assert trade.nr_of_successful_entries == 2
|
|
assert trade.nr_of_successful_exits == 1
|
|
assert pytest.approx(trade.liquidation_price) == (0.1038916 if leverage == 1 else 1.2127791)
|
|
|
|
# Adjust below minimum
|
|
backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99)
|
|
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time)
|
|
|
|
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
|
|
assert pytest.approx(trade.liquidation_price) == (0.1038916 if leverage == 1 else 1.2127791)
|