mirror of
https://github.com/freqtrade/freqtrade.git
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474 lines
15 KiB
Python
474 lines
15 KiB
Python
import logging
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import re
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from pathlib import Path
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from typing import Dict, List
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import numpy as np
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import pytest
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import rapidjson
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from freqtrade.constants import FTHYPT_FILEVERSION
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from freqtrade.exceptions import OperationalException
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from freqtrade.optimize.hyperopt_tools import HyperoptTools, hyperopt_serializer
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from tests.conftest import CURRENT_TEST_STRATEGY, log_has, log_has_re
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# Functions for recurrent object patching
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def create_results() -> List[Dict]:
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return [{"loss": 1, "result": "foo", "params": {}, "is_best": True}]
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def test_save_results_saves_epochs(hyperopt, tmp_path, caplog) -> None:
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hyperopt.results_file = tmp_path / "ut_results.fthypt"
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hyperopt_epochs = HyperoptTools.load_filtered_results(hyperopt.results_file, {})
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assert log_has_re("Hyperopt file .* not found.", caplog)
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assert hyperopt_epochs == ([], 0)
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# Test writing to temp dir and reading again
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epochs = create_results()
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caplog.set_level(logging.DEBUG)
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for epoch in epochs:
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hyperopt._save_result(epoch)
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assert log_has(f"1 epoch saved to '{hyperopt.results_file}'.", caplog)
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hyperopt._save_result(epochs[0])
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assert log_has(f"2 epochs saved to '{hyperopt.results_file}'.", caplog)
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hyperopt_epochs = HyperoptTools.load_filtered_results(hyperopt.results_file, {})
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assert len(hyperopt_epochs) == 2
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assert hyperopt_epochs[1] == 2
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assert len(hyperopt_epochs[0]) == 2
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result_gen = HyperoptTools._read_results(hyperopt.results_file, 1)
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epoch = next(result_gen)
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assert len(epoch) == 1
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assert epoch[0] == epochs[0]
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epoch = next(result_gen)
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assert len(epoch) == 1
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epoch = next(result_gen)
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assert len(epoch) == 0
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with pytest.raises(StopIteration):
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next(result_gen)
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def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
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results_file = testdatadir / "hyperopt_results_SampleStrategy.pickle"
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with pytest.raises(
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OperationalException, match=r"Legacy hyperopt results are no longer supported.*"
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):
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HyperoptTools.load_filtered_results(results_file, {})
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@pytest.mark.parametrize(
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"spaces, expected_results",
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[
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(
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["buy"],
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{
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"buy": True,
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"sell": False,
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"roi": False,
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"stoploss": False,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["sell"],
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{
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"buy": False,
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"sell": True,
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"roi": False,
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"stoploss": False,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["roi"],
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{
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"buy": False,
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"sell": False,
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"roi": True,
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"stoploss": False,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["stoploss"],
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{
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"buy": False,
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"sell": False,
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"roi": False,
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"stoploss": True,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["trailing"],
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{
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"buy": False,
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"sell": False,
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"roi": False,
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"stoploss": False,
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"trailing": True,
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"protection": False,
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"trades": False,
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},
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),
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(
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["buy", "sell", "roi", "stoploss"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["buy", "sell", "roi", "stoploss", "trailing"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": True,
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"protection": False,
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"trades": False,
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},
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),
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(
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["buy", "roi"],
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{
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"buy": True,
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"sell": False,
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"roi": True,
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"stoploss": False,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["all"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": True,
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"protection": True,
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"trades": True,
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},
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),
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(
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["default"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["default", "trailing"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": True,
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"protection": False,
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"trades": False,
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},
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),
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(
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["all", "buy"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": True,
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"protection": True,
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"trades": True,
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},
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),
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(
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["default", "buy"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": False,
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"protection": False,
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"trades": False,
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},
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),
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(
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["all"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": True,
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"protection": True,
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"trades": True,
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},
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),
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(
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["protection"],
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{
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"buy": False,
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"sell": False,
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"roi": False,
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"stoploss": False,
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"trailing": False,
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"protection": True,
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"trades": False,
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},
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),
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(
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["trades"],
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{
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"buy": False,
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"sell": False,
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"roi": False,
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"stoploss": False,
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"trailing": False,
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"protection": False,
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"trades": True,
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},
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),
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(
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["default", "trades"],
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{
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"buy": True,
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"sell": True,
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"roi": True,
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"stoploss": True,
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"trailing": False,
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"protection": False,
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"trades": True,
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},
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),
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],
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)
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def test_has_space(hyperopt_conf, spaces, expected_results):
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for s in ["buy", "sell", "roi", "stoploss", "trailing", "protection", "trades"]:
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hyperopt_conf.update({"spaces": spaces})
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assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
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def test_show_epoch_details(capsys):
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test_result = {
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"params_details": {
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"trailing": {
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"trailing_stop": True,
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"trailing_stop_positive": 0.02,
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"trailing_stop_positive_offset": 0.04,
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"trailing_only_offset_is_reached": True,
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},
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"roi": {0: 0.18, 90: 0.14, 225: 0.05, 430: 0},
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},
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"results_explanation": "foo result",
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"is_initial_point": False,
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"total_profit": 0,
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"current_epoch": 2, # This starts from 1 (in a human-friendly manner)
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"is_best": True,
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}
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HyperoptTools.show_epoch_details(test_result, 5, False, no_header=True)
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captured = capsys.readouterr()
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assert "# Trailing stop:" in captured.out
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# re.match(r"Pairs for .*", captured.out)
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assert re.search(r"^\s+trailing_stop = True$", captured.out, re.MULTILINE)
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assert re.search(r"^\s+trailing_stop_positive = 0.02$", captured.out, re.MULTILINE)
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assert re.search(r"^\s+trailing_stop_positive_offset = 0.04$", captured.out, re.MULTILINE)
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assert re.search(r"^\s+trailing_only_offset_is_reached = True$", captured.out, re.MULTILINE)
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assert "# ROI table:" in captured.out
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assert re.search(r"^\s+minimal_roi = \{$", captured.out, re.MULTILINE)
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assert re.search(r"^\s+\"90\"\:\s0.14,\s*$", captured.out, re.MULTILINE)
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def test__pprint_dict():
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params = {"buy_std": 1.2, "buy_rsi": 31, "buy_enable": True, "buy_what": "asdf"}
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non_params = {"buy_notoptimied": 55}
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x = HyperoptTools._pprint_dict(params, non_params)
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assert (
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x
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== """{
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"buy_std": 1.2,
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"buy_rsi": 31,
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"buy_enable": True,
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"buy_what": "asdf",
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"buy_notoptimied": 55, # value loaded from strategy
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}"""
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)
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def test_get_strategy_filename(default_conf, tmp_path):
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default_conf["user_data_dir"] = tmp_path
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x = HyperoptTools.get_strategy_filename(default_conf, "StrategyTestV3")
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assert isinstance(x, Path)
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assert x == Path(__file__).parents[1] / "strategy/strats/strategy_test_v3.py"
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x = HyperoptTools.get_strategy_filename(default_conf, "NonExistingStrategy")
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assert x is None
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def test_export_params(tmp_path):
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filename = tmp_path / f"{CURRENT_TEST_STRATEGY}.json"
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assert not filename.is_file()
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params = {
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"params_details": {
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"buy": {"buy_rsi": 30},
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"sell": {"sell_rsi": 70},
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"roi": {"0": 0.528, "346": 0.08499, "507": 0.049, "1595": 0},
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"max_open_trades": {"max_open_trades": 5},
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},
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"params_not_optimized": {
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"stoploss": -0.05,
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"trailing": {
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"trailing_stop": False,
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"trailing_stop_positive": 0.05,
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"trailing_stop_positive_offset": 0.1,
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"trailing_only_offset_is_reached": True,
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},
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},
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}
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HyperoptTools.export_params(params, CURRENT_TEST_STRATEGY, filename)
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assert filename.is_file()
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with filename.open("r") as f:
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content = rapidjson.load(f)
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assert content["strategy_name"] == CURRENT_TEST_STRATEGY
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assert "params" in content
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assert "buy" in content["params"]
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assert "sell" in content["params"]
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assert "roi" in content["params"]
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assert "stoploss" in content["params"]
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assert "trailing" in content["params"]
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assert "max_open_trades" in content["params"]
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def test_try_export_params(default_conf, tmp_path, caplog, mocker):
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default_conf["disableparamexport"] = False
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default_conf["user_data_dir"] = tmp_path
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export_mock = mocker.patch("freqtrade.optimize.hyperopt_tools.HyperoptTools.export_params")
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filename = tmp_path / f"{CURRENT_TEST_STRATEGY}.json"
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assert not filename.is_file()
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params = {
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"params_details": {
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"buy": {"buy_rsi": 30},
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"sell": {"sell_rsi": 70},
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"roi": {"0": 0.528, "346": 0.08499, "507": 0.049, "1595": 0},
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},
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"params_not_optimized": {
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"stoploss": -0.05,
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"trailing": {
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"trailing_stop": False,
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"trailing_stop_positive": 0.05,
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"trailing_stop_positive_offset": 0.1,
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"trailing_only_offset_is_reached": True,
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},
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},
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FTHYPT_FILEVERSION: 2,
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}
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HyperoptTools.try_export_params(default_conf, "StrategyTestVXXX", params)
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assert log_has("Strategy not found, not exporting parameter file.", caplog)
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assert export_mock.call_count == 0
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caplog.clear()
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HyperoptTools.try_export_params(default_conf, CURRENT_TEST_STRATEGY, params)
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assert export_mock.call_count == 1
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assert export_mock.call_args_list[0][0][1] == CURRENT_TEST_STRATEGY
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assert export_mock.call_args_list[0][0][2].name == "strategy_test_v3.json"
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def test_params_print(capsys):
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params = {
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"buy": {"buy_rsi": 30},
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"sell": {"sell_rsi": 70},
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}
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non_optimized = {
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"buy": {"buy_adx": 44},
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"sell": {"sell_adx": 65},
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"stoploss": {
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"stoploss": -0.05,
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},
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"roi": {
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"0": 0.05,
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"20": 0.01,
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},
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"trailing": {
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"trailing_stop": False,
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"trailing_stop_positive": 0.05,
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"trailing_stop_positive_offset": 0.1,
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"trailing_only_offset_is_reached": True,
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},
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"max_open_trades": {"max_open_trades": 5},
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}
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HyperoptTools._params_pretty_print(params, "buy", "No header", non_optimized)
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captured = capsys.readouterr()
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assert re.search("# No header", captured.out)
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assert re.search('"buy_rsi": 30,\n', captured.out)
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assert re.search('"buy_adx": 44, # value loaded.*\n', captured.out)
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assert not re.search("sell", captured.out)
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HyperoptTools._params_pretty_print(params, "sell", "Sell Header", non_optimized)
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captured = capsys.readouterr()
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assert re.search("# Sell Header", captured.out)
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assert re.search('"sell_rsi": 70,\n', captured.out)
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assert re.search('"sell_adx": 65, # value loaded.*\n', captured.out)
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HyperoptTools._params_pretty_print(params, "roi", "ROI Table:", non_optimized)
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captured = capsys.readouterr()
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assert re.search("# ROI Table: # value loaded.*\n", captured.out)
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assert re.search("minimal_roi = {\n", captured.out)
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assert re.search('"20": 0.01\n', captured.out)
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HyperoptTools._params_pretty_print(params, "trailing", "Trailing stop:", non_optimized)
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captured = capsys.readouterr()
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assert re.search("# Trailing stop:", captured.out)
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assert re.search("trailing_stop = False # value loaded.*\n", captured.out)
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assert re.search("trailing_stop_positive = 0.05 # value loaded.*\n", captured.out)
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assert re.search("trailing_stop_positive_offset = 0.1 # value loaded.*\n", captured.out)
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assert re.search("trailing_only_offset_is_reached = True # value loaded.*\n", captured.out)
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HyperoptTools._params_pretty_print(params, "max_open_trades", "Max Open Trades:", non_optimized)
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captured = capsys.readouterr()
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assert re.search("# Max Open Trades:", captured.out)
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assert re.search("max_open_trades = 5 # value loaded.*\n", captured.out)
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def test_hyperopt_serializer():
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assert isinstance(hyperopt_serializer(np.int_(5)), int)
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assert isinstance(hyperopt_serializer(np.bool_(True)), bool)
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assert isinstance(hyperopt_serializer(np.bool_(False)), bool)
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