mirror of
https://github.com/freqtrade/freqtrade.git
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611 lines
22 KiB
Python
611 lines
22 KiB
Python
# pragma pylint: disable=missing-docstring,W0212,C0103
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import os
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from datetime import datetime
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from unittest.mock import MagicMock
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import pandas as pd
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import pytest
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from arrow import Arrow
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from filelock import Timeout
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from freqtrade import DependencyException
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.data.history import load_tickerdata_file
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from freqtrade.optimize import setup_configuration, start_hyperopt
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from freqtrade.optimize.default_hyperopt import DefaultHyperOpts
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from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss
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from freqtrade.optimize.hyperopt import (HYPEROPT_LOCKFILE, TICKERDATA_PICKLE,
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Hyperopt)
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from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver, HyperOptLossResolver
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from freqtrade.state import RunMode
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from freqtrade.strategy.interface import SellType
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from freqtrade.tests.conftest import (get_args, log_has, log_has_re,
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patch_exchange,
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patched_configuration_load_config_file)
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@pytest.fixture(scope='function')
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def hyperopt(default_conf, mocker):
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patch_exchange(mocker)
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return Hyperopt(default_conf)
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@pytest.fixture(scope='function')
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def hyperopt_results():
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return pd.DataFrame(
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{
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'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
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'profit_percent': [0.1, 0.2, 0.3],
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'profit_abs': [0.2, 0.4, 0.5],
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'trade_duration': [10, 30, 10],
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'profit': [2, 0, 0],
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'loss': [0, 0, 1],
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'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
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}
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)
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# Functions for recurrent object patching
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def create_trials(mocker, hyperopt) -> None:
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"""
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When creating trials, mock the hyperopt Trials so that *by default*
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- we don't create any pickle'd files in the filesystem
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- we might have a pickle'd file so make sure that we return
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false when looking for it
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"""
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hyperopt.trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle')
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mocker.patch('freqtrade.optimize.hyperopt.os.path.exists', return_value=False)
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mocker.patch('freqtrade.optimize.hyperopt.os.path.getsize', return_value=1)
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mocker.patch('freqtrade.optimize.hyperopt.os.remove', return_value=True)
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mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
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return [{'loss': 1, 'result': 'foo', 'params': {}}]
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def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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'--config', 'config.json',
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'hyperopt'
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]
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config = setup_configuration(get_args(args), RunMode.HYPEROPT)
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assert 'max_open_trades' in config
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assert 'stake_currency' in config
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assert 'stake_amount' in config
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assert 'exchange' in config
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assert 'pair_whitelist' in config['exchange']
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assert 'datadir' in config
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assert log_has(
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'Using data directory: {} ...'.format(config['datadir']),
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caplog.record_tuples
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)
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assert 'ticker_interval' in config
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assert not log_has_re('Parameter -i/--ticker-interval detected .*', caplog.record_tuples)
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assert 'live' not in config
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assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
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assert 'position_stacking' not in config
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assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
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assert 'refresh_pairs' not in config
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assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
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assert 'timerange' not in config
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assert 'runmode' in config
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assert config['runmode'] == RunMode.HYPEROPT
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def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplog) -> None:
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patched_configuration_load_config_file(mocker, default_conf)
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mocker.patch(
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'freqtrade.configuration.configuration.create_datadir',
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lambda c, x: x
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)
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args = [
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'--config', 'config.json',
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'--datadir', '/foo/bar',
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'hyperopt',
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'--ticker-interval', '1m',
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'--timerange', ':100',
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'--refresh-pairs-cached',
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'--enable-position-stacking',
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'--disable-max-market-positions',
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'--epochs', '1000',
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'--spaces', 'all',
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'--print-all'
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]
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config = setup_configuration(get_args(args), RunMode.HYPEROPT)
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assert 'max_open_trades' in config
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assert 'stake_currency' in config
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assert 'stake_amount' in config
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assert 'exchange' in config
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assert 'pair_whitelist' in config['exchange']
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assert 'datadir' in config
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assert config['runmode'] == RunMode.HYPEROPT
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assert log_has(
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'Using data directory: {} ...'.format(config['datadir']),
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caplog.record_tuples
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)
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assert 'ticker_interval' in config
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assert log_has('Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...',
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caplog.record_tuples)
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assert 'position_stacking' in config
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assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
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assert 'use_max_market_positions' in config
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assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples)
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assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples)
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assert 'refresh_pairs' in config
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assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
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assert 'timerange' in config
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assert log_has(
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'Parameter --timerange detected: {} ...'.format(config['timerange']),
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caplog.record_tuples
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)
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assert 'epochs' in config
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assert log_has('Parameter --epochs detected ... Will run Hyperopt with for 1000 epochs ...',
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caplog.record_tuples)
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assert 'spaces' in config
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assert log_has(
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'Parameter -s/--spaces detected: {}'.format(config['spaces']),
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caplog.record_tuples
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)
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assert 'print_all' in config
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assert log_has('Parameter --print-all detected ...', caplog.record_tuples)
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def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
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patched_configuration_load_config_file(mocker, default_conf)
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hyperopts = DefaultHyperOpts
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delattr(hyperopts, 'populate_buy_trend')
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delattr(hyperopts, 'populate_sell_trend')
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mocker.patch(
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'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver._load_hyperopt',
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MagicMock(return_value=hyperopts)
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)
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x = HyperOptResolver(default_conf, ).hyperopt
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assert not hasattr(x, 'populate_buy_trend')
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assert not hasattr(x, 'populate_sell_trend')
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assert log_has("Custom Hyperopt does not provide populate_sell_trend. "
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"Using populate_sell_trend from DefaultStrategy.", caplog.record_tuples)
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assert log_has("Custom Hyperopt does not provide populate_buy_trend. "
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"Using populate_buy_trend from DefaultStrategy.", caplog.record_tuples)
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assert hasattr(x, "ticker_interval")
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def test_hyperoptlossresolver(mocker, default_conf, caplog) -> None:
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hl = DefaultHyperOptLoss
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mocker.patch(
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'freqtrade.resolvers.hyperopt_resolver.HyperOptLossResolver._load_hyperoptloss',
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MagicMock(return_value=hl)
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)
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x = HyperOptResolver(default_conf, ).hyperopt
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assert hasattr(x, "populate_indicators")
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assert hasattr(x, "ticker_interval")
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def test_start(mocker, default_conf, caplog) -> None:
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start_mock = MagicMock()
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patched_configuration_load_config_file(mocker, default_conf)
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mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
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patch_exchange(mocker)
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args = [
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'--config', 'config.json',
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'hyperopt',
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'--epochs', '5'
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]
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args = get_args(args)
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start_hyperopt(args)
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import pprint
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pprint.pprint(caplog.record_tuples)
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assert log_has(
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'Starting freqtrade in Hyperopt mode',
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caplog.record_tuples
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)
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assert start_mock.call_count == 1
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def test_start_no_data(mocker, default_conf, caplog) -> None:
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patched_configuration_load_config_file(mocker, default_conf)
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock(return_value={}))
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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patch_exchange(mocker)
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args = [
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'--config', 'config.json',
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'hyperopt',
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'--epochs', '5'
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]
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args = get_args(args)
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start_hyperopt(args)
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import pprint
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pprint.pprint(caplog.record_tuples)
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assert log_has('No data found. Terminating.', caplog.record_tuples)
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def test_start_failure(mocker, default_conf, caplog) -> None:
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start_mock = MagicMock()
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patched_configuration_load_config_file(mocker, default_conf)
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mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
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patch_exchange(mocker)
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args = [
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'--config', 'config.json',
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'--strategy', 'TestStrategy',
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'hyperopt',
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'--epochs', '5'
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]
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args = get_args(args)
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with pytest.raises(DependencyException):
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start_hyperopt(args)
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assert log_has(
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"Please don't use --strategy for hyperopt.",
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caplog.record_tuples
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)
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def test_start_filelock(mocker, default_conf, caplog) -> None:
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start_mock = MagicMock(side_effect=Timeout(HYPEROPT_LOCKFILE))
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patched_configuration_load_config_file(mocker, default_conf)
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mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
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patch_exchange(mocker)
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args = [
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'--config', 'config.json',
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'hyperopt',
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'--epochs', '5'
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]
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args = get_args(args)
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start_hyperopt(args)
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assert log_has(
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"Another running instance of freqtrade Hyperopt detected.",
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caplog.record_tuples
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)
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def test_loss_calculation_prefer_correct_trade_count(default_conf, hyperopt_results) -> None:
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hl = HyperOptLossResolver(default_conf).hyperoptloss
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correct = hl.hyperopt_loss_function(hyperopt_results, 600)
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over = hl.hyperopt_loss_function(hyperopt_results, 600 + 100)
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under = hl.hyperopt_loss_function(hyperopt_results, 600 - 100)
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assert over > correct
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assert under > correct
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def test_loss_calculation_prefer_shorter_trades(default_conf, hyperopt_results) -> None:
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resultsb = hyperopt_results.copy()
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resultsb['trade_duration'][1] = 20
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hl = HyperOptLossResolver(default_conf).hyperoptloss
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longer = hl.hyperopt_loss_function(hyperopt_results, 100)
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shorter = hl.hyperopt_loss_function(resultsb, 100)
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assert shorter < longer
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def test_loss_calculation_has_limited_profit(default_conf, hyperopt_results) -> None:
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results_over = hyperopt_results.copy()
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results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
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results_under = hyperopt_results.copy()
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results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
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hl = HyperOptLossResolver(default_conf).hyperoptloss
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correct = hl.hyperopt_loss_function(hyperopt_results, 600)
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over = hl.hyperopt_loss_function(results_over, 600)
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under = hl.hyperopt_loss_function(results_under, 600)
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assert over < correct
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assert under > correct
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def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
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results_over = hyperopt_results.copy()
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results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
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results_under = hyperopt_results.copy()
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results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
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default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
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hl = HyperOptLossResolver(default_conf).hyperoptloss
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correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
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datetime(2019, 1, 1), datetime(2019, 5, 1))
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over = hl.hyperopt_loss_function(results_over, len(hyperopt_results),
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datetime(2019, 1, 1), datetime(2019, 5, 1))
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under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
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datetime(2019, 1, 1), datetime(2019, 5, 1))
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assert over < correct
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assert under > correct
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def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
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hyperopt.current_best_loss = 2
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hyperopt.log_results(
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{
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'loss': 1,
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'current_tries': 1,
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'total_tries': 2,
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'result': 'foo.',
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'initial_point': False
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}
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)
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out, err = capsys.readouterr()
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assert ' 2/2: foo. Objective: 1.00000' in out
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def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
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hyperopt.current_best_loss = 2
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hyperopt.log_results(
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{
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'loss': 3,
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}
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)
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assert caplog.record_tuples == []
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def test_save_trials_saves_trials(mocker, hyperopt, caplog) -> None:
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trials = create_trials(mocker, hyperopt)
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mock_dump = mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
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hyperopt.trials = trials
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hyperopt.save_trials()
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trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle')
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assert log_has(
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'Saving 1 evaluations to \'{}\''.format(trials_file),
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caplog.record_tuples
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)
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mock_dump.assert_called_once()
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def test_read_trials_returns_trials_file(mocker, hyperopt, caplog) -> None:
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trials = create_trials(mocker, hyperopt)
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mock_load = mocker.patch('freqtrade.optimize.hyperopt.load', return_value=trials)
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hyperopt_trial = hyperopt.read_trials()
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trials_file = os.path.join('freqtrade', 'tests', 'optimize', 'ut_trials.pickle')
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assert log_has(
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'Reading Trials from \'{}\''.format(trials_file),
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caplog.record_tuples
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)
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assert hyperopt_trial == trials
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mock_load.assert_called_once()
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def test_roi_table_generation(hyperopt) -> None:
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params = {
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'roi_t1': 5,
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'roi_t2': 10,
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'roi_t3': 15,
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'roi_p1': 1,
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'roi_p2': 2,
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'roi_p3': 3,
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}
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assert hyperopt.custom_hyperopt.generate_roi_table(params) == {0: 6, 15: 3, 25: 1, 30: 0}
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def test_start_calls_optimizer(mocker, default_conf, caplog) -> None:
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dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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parallel = mocker.patch(
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'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
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MagicMock(return_value=[{'loss': 1, 'result': 'foo result', 'params': {}}])
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': 'all',
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.start()
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parallel.assert_called_once()
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assert log_has('Best result:\nfoo result\nwith values:\n', caplog.record_tuples)
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assert dumper.called
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# Should be called twice, once for tickerdata, once to save evaluations
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assert dumper.call_count == 2
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assert hasattr(hyperopt, "advise_sell")
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assert hasattr(hyperopt, "advise_buy")
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assert hasattr(hyperopt, "max_open_trades")
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assert hyperopt.max_open_trades == default_conf['max_open_trades']
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assert hasattr(hyperopt, "position_stacking")
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def test_format_results(hyperopt):
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# Test with BTC as stake_currency
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trades = [
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('ETH/BTC', 2, 2, 123),
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('LTC/BTC', 1, 1, 123),
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('XPR/BTC', -1, -2, -246)
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]
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labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
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df = pd.DataFrame.from_records(trades, columns=labels)
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result = hyperopt.format_results(df)
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assert result.find(' 66.67%')
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assert result.find('Total profit 1.00000000 BTC')
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assert result.find('2.0000Σ %')
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# Test with EUR as stake_currency
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trades = [
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('ETH/EUR', 2, 2, 123),
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('LTC/EUR', 1, 1, 123),
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('XPR/EUR', -1, -2, -246)
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]
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df = pd.DataFrame.from_records(trades, columns=labels)
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result = hyperopt.format_results(df)
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assert result.find('Total profit 1.00000000 EUR')
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def test_has_space(hyperopt):
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hyperopt.config.update({'spaces': ['buy', 'roi']})
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assert hyperopt.has_space('roi')
|
|
assert hyperopt.has_space('buy')
|
|
assert not hyperopt.has_space('stoploss')
|
|
|
|
hyperopt.config.update({'spaces': ['all']})
|
|
assert hyperopt.has_space('buy')
|
|
|
|
|
|
def test_populate_indicators(hyperopt) -> None:
|
|
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
|
|
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
|
|
fill_missing=True)}
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|
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
|
|
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
|
|
{'pair': 'UNITTEST/BTC'})
|
|
|
|
# Check if some indicators are generated. We will not test all of them
|
|
assert 'adx' in dataframe
|
|
assert 'mfi' in dataframe
|
|
assert 'rsi' in dataframe
|
|
|
|
|
|
def test_buy_strategy_generator(hyperopt) -> None:
|
|
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
|
|
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
|
|
fill_missing=True)}
|
|
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
|
|
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
|
|
{'pair': 'UNITTEST/BTC'})
|
|
|
|
populate_buy_trend = hyperopt.custom_hyperopt.buy_strategy_generator(
|
|
{
|
|
'adx-value': 20,
|
|
'fastd-value': 20,
|
|
'mfi-value': 20,
|
|
'rsi-value': 20,
|
|
'adx-enabled': True,
|
|
'fastd-enabled': True,
|
|
'mfi-enabled': True,
|
|
'rsi-enabled': True,
|
|
'trigger': 'bb_lower'
|
|
}
|
|
)
|
|
result = populate_buy_trend(dataframe, {'pair': 'UNITTEST/BTC'})
|
|
# Check if some indicators are generated. We will not test all of them
|
|
assert 'buy' in result
|
|
assert 1 in result['buy']
|
|
|
|
|
|
def test_generate_optimizer(mocker, default_conf) -> None:
|
|
default_conf.update({'config': 'config.json.example'})
|
|
default_conf.update({'timerange': None})
|
|
default_conf.update({'spaces': 'all'})
|
|
default_conf.update({'hyperopt_min_trades': 1})
|
|
|
|
trades = [
|
|
('POWR/BTC', 0.023117, 0.000233, 100)
|
|
]
|
|
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
|
|
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
|
|
|
|
mocker.patch(
|
|
'freqtrade.optimize.hyperopt.Hyperopt.backtest',
|
|
MagicMock(return_value=backtest_result)
|
|
)
|
|
mocker.patch(
|
|
'freqtrade.optimize.hyperopt.get_timeframe',
|
|
MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
|
|
)
|
|
patch_exchange(mocker)
|
|
mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock())
|
|
|
|
optimizer_param = {
|
|
'adx-value': 0,
|
|
'fastd-value': 35,
|
|
'mfi-value': 0,
|
|
'rsi-value': 0,
|
|
'adx-enabled': False,
|
|
'fastd-enabled': True,
|
|
'mfi-enabled': False,
|
|
'rsi-enabled': False,
|
|
'trigger': 'macd_cross_signal',
|
|
'sell-adx-value': 0,
|
|
'sell-fastd-value': 75,
|
|
'sell-mfi-value': 0,
|
|
'sell-rsi-value': 0,
|
|
'sell-adx-enabled': False,
|
|
'sell-fastd-enabled': True,
|
|
'sell-mfi-enabled': False,
|
|
'sell-rsi-enabled': False,
|
|
'sell-trigger': 'macd_cross_signal',
|
|
'roi_t1': 60.0,
|
|
'roi_t2': 30.0,
|
|
'roi_t3': 20.0,
|
|
'roi_p1': 0.01,
|
|
'roi_p2': 0.01,
|
|
'roi_p3': 0.1,
|
|
'stoploss': -0.4,
|
|
}
|
|
response_expected = {
|
|
'loss': 1.9840569076926293,
|
|
'result': ' 1 trades. Avg profit 2.31%. Total profit 0.00023300 BTC '
|
|
'( 2.31Σ%). Avg duration 100.0 mins.',
|
|
'params': optimizer_param
|
|
}
|
|
|
|
hyperopt = Hyperopt(default_conf)
|
|
generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values()))
|
|
assert generate_optimizer_value == response_expected
|
|
|
|
|
|
def test_clean_hyperopt(mocker, default_conf, caplog):
|
|
patch_exchange(mocker)
|
|
default_conf.update({'config': 'config.json.example',
|
|
'epochs': 1,
|
|
'timerange': None,
|
|
'spaces': 'all',
|
|
'hyperopt_jobs': 1,
|
|
})
|
|
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
|
|
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
|
|
Hyperopt(default_conf)
|
|
|
|
assert unlinkmock.call_count == 2
|
|
assert log_has(f"Removing `{TICKERDATA_PICKLE}`.", caplog.record_tuples)
|
|
|
|
|
|
def test_continue_hyperopt(mocker, default_conf, caplog):
|
|
patch_exchange(mocker)
|
|
default_conf.update({'config': 'config.json.example',
|
|
'epochs': 1,
|
|
'timerange': None,
|
|
'spaces': 'all',
|
|
'hyperopt_jobs': 1,
|
|
'hyperopt_continue': True
|
|
})
|
|
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
|
|
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
|
|
Hyperopt(default_conf)
|
|
|
|
assert unlinkmock.call_count == 0
|
|
assert log_has(f"Continuing on previous hyperopt results.", caplog.record_tuples)
|