freqtrade_origin/tests/optimize/test_lookahead_analysis.py

# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock

import pytest

from freqtrade.commands.optimize_commands import start_lookahead_analysis
from freqtrade.data.history import get_timerange
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.analysis.lookahead import Analysis, LookaheadAnalysis
from freqtrade.optimize.analysis.lookahead_helpers import LookaheadAnalysisSubFunctions
from tests.conftest import EXMS, get_args, log_has_re, patch_exchange


@pytest.fixture
def lookahead_conf(default_conf_usdt, tmp_path):
    default_conf_usdt["user_data_dir"] = tmp_path
    default_conf_usdt["minimum_trade_amount"] = 10
    default_conf_usdt["targeted_trade_amount"] = 20
    default_conf_usdt["timerange"] = "20220101-20220501"

    default_conf_usdt["strategy_path"] = str(
        Path(__file__).parent.parent / "strategy/strats/lookahead_bias"
    )
    default_conf_usdt["strategy"] = "strategy_test_v3_with_lookahead_bias"
    default_conf_usdt["max_open_trades"] = 1
    default_conf_usdt["dry_run_wallet"] = 1000000000
    default_conf_usdt["pairs"] = ["UNITTEST/USDT"]
    return default_conf_usdt


def test_start_lookahead_analysis(mocker):
    single_mock = MagicMock()
    text_table_mock = MagicMock()
    mocker.patch.multiple(
        "freqtrade.optimize.analysis.lookahead_helpers.LookaheadAnalysisSubFunctions",
        initialize_single_lookahead_analysis=single_mock,
        text_table_lookahead_analysis_instances=text_table_mock,
    )
    args = [
        "lookahead-analysis",
        "--strategy",
        "strategy_test_v3_with_lookahead_bias",
        "--strategy-path",
        str(Path(__file__).parent.parent / "strategy/strats/lookahead_bias"),
        "--pairs",
        "UNITTEST/BTC",
        "--max-open-trades",
        "1",
        "--timerange",
        "20220101-20220201",
    ]
    pargs = get_args(args)
    pargs["config"] = None

    start_lookahead_analysis(pargs)
    assert single_mock.call_count == 1
    assert text_table_mock.call_count == 1

    single_mock.reset_mock()

    # Test invalid config
    args = [
        "lookahead-analysis",
        "--strategy",
        "strategy_test_v3_with_lookahead_bias",
        "--strategy-path",
        str(Path(__file__).parent.parent / "strategy/strats/lookahead_bias"),
        "--targeted-trade-amount",
        "10",
        "--minimum-trade-amount",
        "20",
    ]
    pargs = get_args(args)
    pargs["config"] = None
    with pytest.raises(
        OperationalException,
        match=r"Targeted trade amount can't be smaller than minimum trade amount.*",
    ):
        start_lookahead_analysis(pargs)

    # Missing timerange
    args = [
        "lookahead-analysis",
        "--strategy",
        "strategy_test_v3_with_lookahead_bias",
        "--strategy-path",
        str(Path(__file__).parent.parent / "strategy/strats/lookahead_bias"),
        "--pairs",
        "UNITTEST/BTC",
        "--max-open-trades",
        "1",
    ]
    pargs = get_args(args)
    pargs["config"] = None
    with pytest.raises(OperationalException, match=r"Please set a timerange\..*"):
        start_lookahead_analysis(pargs)


def test_lookahead_helper_invalid_config(lookahead_conf) -> None:
    conf = deepcopy(lookahead_conf)
    conf["targeted_trade_amount"] = 10
    conf["minimum_trade_amount"] = 40
    with pytest.raises(
        OperationalException,
        match=r"Targeted trade amount can't be smaller than minimum trade amount.*",
    ):
        LookaheadAnalysisSubFunctions.start(conf)


def test_lookahead_helper_no_strategy_defined(lookahead_conf):
    conf = deepcopy(lookahead_conf)
    conf["pairs"] = ["UNITTEST/USDT"]
    del conf["strategy"]
    with pytest.raises(OperationalException, match=r"No Strategy specified"):
        LookaheadAnalysisSubFunctions.start(conf)


def test_lookahead_helper_start(lookahead_conf, mocker) -> None:
    single_mock = MagicMock()
    text_table_mock = MagicMock()
    mocker.patch.multiple(
        "freqtrade.optimize.analysis.lookahead_helpers.LookaheadAnalysisSubFunctions",
        initialize_single_lookahead_analysis=single_mock,
        text_table_lookahead_analysis_instances=text_table_mock,
    )
    LookaheadAnalysisSubFunctions.start(lookahead_conf)
    assert single_mock.call_count == 1
    assert text_table_mock.call_count == 1

    single_mock.reset_mock()
    text_table_mock.reset_mock()


def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf):
    analysis = Analysis()
    analysis.has_bias = True
    analysis.total_signals = 5
    analysis.false_entry_signals = 4
    analysis.false_exit_signals = 3

    strategy_obj = {
        "name": "strategy_test_v3_with_lookahead_bias",
        "location": Path(lookahead_conf["strategy_path"], f"{lookahead_conf['strategy']}.py"),
    }

    instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
    instance.current_analysis = analysis
    _table, _headers, data = LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
        lookahead_conf, [instance]
    )

    # check row contents for a try that has too few signals
    assert data[0][0] == "strategy_test_v3_with_lookahead_bias.py"
    assert data[0][1] == "strategy_test_v3_with_lookahead_bias"
    assert data[0][2].__contains__("too few trades")
    assert len(data[0]) == 3

    # now check for an error which occurred after enough trades
    analysis.total_signals = 12
    analysis.false_entry_signals = 11
    analysis.false_exit_signals = 10
    instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
    instance.current_analysis = analysis
    _table, _headers, data = LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
        lookahead_conf, [instance]
    )
    assert data[0][2].__contains__("error")

    # edit it into not showing an error
    instance.failed_bias_check = False
    _table, _headers, data = LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
        lookahead_conf, [instance]
    )
    assert data[0][0] == "strategy_test_v3_with_lookahead_bias.py"
    assert data[0][1] == "strategy_test_v3_with_lookahead_bias"
    assert data[0][2]  # True
    assert data[0][3] == 12
    assert data[0][4] == 11
    assert data[0][5] == 10
    assert data[0][6] == ""

    analysis.false_indicators.append("falseIndicator1")
    analysis.false_indicators.append("falseIndicator2")
    _table, _headers, data = LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
        lookahead_conf, [instance]
    )

    assert data[0][6] == "falseIndicator1, falseIndicator2"

    # check amount of returning rows
    assert len(data) == 1

    # check amount of multiple rows
    _table, _headers, data = LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
        lookahead_conf, [instance, instance, instance]
    )
    assert len(data) == 3


def test_lookahead_helper_export_to_csv(lookahead_conf):
    import pandas as pd

    lookahead_conf["lookahead_analysis_exportfilename"] = "temp_csv_lookahead_analysis.csv"

    # just to be sure the test won't fail: remove file if exists for some reason
    # (repeat this at the end once again to clean up)
    if Path(lookahead_conf["lookahead_analysis_exportfilename"]).exists():
        Path(lookahead_conf["lookahead_analysis_exportfilename"]).unlink()

    # before we can start we have to delete the

    # 1st check: create a new file and verify its contents
    analysis1 = Analysis()
    analysis1.has_bias = True
    analysis1.total_signals = 12
    analysis1.false_entry_signals = 11
    analysis1.false_exit_signals = 10
    analysis1.false_indicators.append("falseIndicator1")
    analysis1.false_indicators.append("falseIndicator2")
    lookahead_conf["lookahead_analysis_exportfilename"] = "temp_csv_lookahead_analysis.csv"

    strategy_obj1 = {
        "name": "strat1",
        "location": Path("file1.py"),
    }

    instance1 = LookaheadAnalysis(lookahead_conf, strategy_obj1)
    instance1.failed_bias_check = False
    instance1.current_analysis = analysis1

    LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance1])
    saved_data1 = pd.read_csv(lookahead_conf["lookahead_analysis_exportfilename"])

    expected_values1 = [
        ["file1.py", "strat1", True, 12, 11, 10, "falseIndicator1,falseIndicator2"],
    ]
    expected_columns = [
        "filename",
        "strategy",
        "has_bias",
        "total_signals",
        "biased_entry_signals",
        "biased_exit_signals",
        "biased_indicators",
    ]
    expected_data1 = pd.DataFrame(expected_values1, columns=expected_columns)

    assert Path(lookahead_conf["lookahead_analysis_exportfilename"]).exists()
    assert expected_data1.equals(saved_data1)

    # 2nd check: update the same strategy (which internally changed or is being retested)
    expected_values2 = [
        ["file1.py", "strat1", False, 22, 21, 20, "falseIndicator3,falseIndicator4"],
    ]
    expected_data2 = pd.DataFrame(expected_values2, columns=expected_columns)

    analysis2 = Analysis()
    analysis2.has_bias = False
    analysis2.total_signals = 22
    analysis2.false_entry_signals = 21
    analysis2.false_exit_signals = 20
    analysis2.false_indicators.append("falseIndicator3")
    analysis2.false_indicators.append("falseIndicator4")

    strategy_obj2 = {
        "name": "strat1",
        "location": Path("file1.py"),
    }

    instance2 = LookaheadAnalysis(lookahead_conf, strategy_obj2)
    instance2.failed_bias_check = False
    instance2.current_analysis = analysis2

    LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance2])
    saved_data2 = pd.read_csv(lookahead_conf["lookahead_analysis_exportfilename"])

    assert expected_data2.equals(saved_data2)

    # 3rd check: now we add a new row to an already existing file
    expected_values3 = [
        ["file1.py", "strat1", False, 22, 21, 20, "falseIndicator3,falseIndicator4"],
        ["file3.py", "strat3", True, 32, 31, 30, "falseIndicator5,falseIndicator6"],
    ]

    expected_data3 = pd.DataFrame(expected_values3, columns=expected_columns)

    analysis3 = Analysis()
    analysis3.has_bias = True
    analysis3.total_signals = 32
    analysis3.false_entry_signals = 31
    analysis3.false_exit_signals = 30
    analysis3.false_indicators.append("falseIndicator5")
    analysis3.false_indicators.append("falseIndicator6")
    lookahead_conf["lookahead_analysis_exportfilename"] = "temp_csv_lookahead_analysis.csv"

    strategy_obj3 = {
        "name": "strat3",
        "location": Path("file3.py"),
    }

    instance3 = LookaheadAnalysis(lookahead_conf, strategy_obj3)
    instance3.failed_bias_check = False
    instance3.current_analysis = analysis3

    LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance3])
    saved_data3 = pd.read_csv(lookahead_conf["lookahead_analysis_exportfilename"])
    assert expected_data3.equals(saved_data3)

    # remove csv file after the test is done
    if Path(lookahead_conf["lookahead_analysis_exportfilename"]).exists():
        Path(lookahead_conf["lookahead_analysis_exportfilename"]).unlink()


def test_initialize_single_lookahead_analysis(lookahead_conf, mocker, caplog):
    mocker.patch("freqtrade.data.history.get_timerange", get_timerange)
    mocker.patch(f"{EXMS}.get_fee", return_value=0.0)
    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)
    mocker.patch(
        "freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
        PropertyMock(return_value=["UNITTEST/BTC"]),
    )
    lookahead_conf["pairs"] = ["UNITTEST/USDT"]

    lookahead_conf["timeframe"] = "5m"
    lookahead_conf["timerange"] = "20180119-20180122"
    start_mock = mocker.patch("freqtrade.optimize.analysis.lookahead.LookaheadAnalysis.start")
    strategy_obj = {
        "name": "strategy_test_v3_with_lookahead_bias",
        "location": Path(lookahead_conf["strategy_path"], f"{lookahead_conf['strategy']}.py"),
    }

    instance = LookaheadAnalysisSubFunctions.initialize_single_lookahead_analysis(
        lookahead_conf, strategy_obj
    )
    assert log_has_re(r"Bias test of .* started\.", caplog)
    assert start_mock.call_count == 1

    assert instance.strategy_obj["name"] == "strategy_test_v3_with_lookahead_bias"


@pytest.mark.parametrize("scenario", ["no_bias", "bias1"])
def test_biased_strategy(lookahead_conf, mocker, caplog, scenario) -> None:
    patch_exchange(mocker)
    mocker.patch("freqtrade.data.history.get_timerange", get_timerange)
    mocker.patch(f"{EXMS}.get_fee", return_value=0.0)
    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"))
    mocker.patch(
        "freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
        PropertyMock(return_value=["UNITTEST/BTC"]),
    )
    lookahead_conf["pairs"] = ["UNITTEST/USDT"]

    lookahead_conf["timeframe"] = "5m"
    lookahead_conf["timerange"] = "20180119-20180122"

    # Patch scenario Parameter to allow for easy selection
    mocker.patch(
        "freqtrade.strategy.hyper.HyperStrategyMixin.load_params_from_file",
        return_value={"params": {"buy": {"scenario": scenario}}},
    )

    strategy_obj = {"name": "strategy_test_v3_with_lookahead_bias"}
    instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
    instance.start()
    # Assert init correct
    assert log_has_re(f"Strategy Parameter: scenario = {scenario}", caplog)

    # check non-biased strategy
    if scenario == "no_bias":
        assert not instance.current_analysis.has_bias
    # check biased strategy
    elif scenario == "bias1":
        assert instance.current_analysis.has_bias


def test_config_overrides(lookahead_conf):
    lookahead_conf["max_open_trades"] = 0
    lookahead_conf["dry_run_wallet"] = 1
    lookahead_conf["pairs"] = ["BTC/USDT", "ETH/USDT", "SOL/USDT"]
    lookahead_conf = LookaheadAnalysisSubFunctions.calculate_config_overrides(lookahead_conf)

    assert lookahead_conf["dry_run_wallet"] == 1000000000
    assert lookahead_conf["max_open_trades"] == 3