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freqtrade_origin/freqtrade/tests/edge/test_edge.py

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from freqtrade.tests.conftest import get_patched_exchange
from freqtrade.edge import Edge
from pandas import DataFrame, to_datetime
from freqtrade.strategy.interface import SellType
import arrow
import numpy as np
import math
from unittest.mock import MagicMock
# Cases to be tested:
# 1) Open trade should be removed from the end
# 2) Two complete trades within dataframe (with sell hit for all)
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
# 4) Entered, sl 3%, candle drops 4%, recovers to 1% => Trade closed, 3% loss
# 5) Stoploss and sell are hit. should sell on stoploss
####################################################################
ticker_start_time = arrow.get(2018, 10, 3)
ticker_interval_in_minute = 60
_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
def test_filter(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
}
))
pairs = ['A/B', 'C/D', 'E/F', 'G/H']
assert(edge.filter(pairs) == ['E/F', 'C/D'])
def test_stoploss(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
}
))
assert edge.stoploss('E/F') == -0.01
def _validate_ohlc(buy_ohlc_sell_matrice):
for index, ohlc in enumerate(buy_ohlc_sell_matrice):
# if not high < open < low or not high < close < low
if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
return True
def _build_dataframe(buy_ohlc_sell_matrice):
_validate_ohlc(buy_ohlc_sell_matrice)
tickers = []
for ohlc in buy_ohlc_sell_matrice:
ticker = {
'date': ticker_start_time.shift(
minutes=(
ohlc[0] *
ticker_interval_in_minute)).timestamp *
1000,
'buy': ohlc[1],
'open': ohlc[2],
'high': ohlc[3],
'low': ohlc[4],
'close': ohlc[5],
'sell': ohlc[6]}
tickers.append(ticker)
frame = DataFrame(tickers)
frame['date'] = to_datetime(frame['date'],
unit='ms',
utc=True,
infer_datetime_format=True)
return frame
def _time_on_candle(number):
return np.datetime64(ticker_start_time.shift(
minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
def test_edge_heartbeat_calculate(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
heartbeat = default_conf['edge']['process_throttle_secs']
# should not recalculate if heartbeat not reached
edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
assert edge.calculate() is False
def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
timerange=None, exchange=None):
hz = 0.1
base = 0.001
ETHBTC = [
[
ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
math.sin(x * hz) / 1000 + base,
math.sin(x * hz) / 1000 + base + 0.0001,
math.sin(x * hz) / 1000 + base - 0.0001,
math.sin(x * hz) / 1000 + base,
123.45
] for x in range(0, 500)]
hz = 0.2
base = 0.002
LTCBTC = [
[
ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
math.sin(x * hz) / 1000 + base,
math.sin(x * hz) / 1000 + base + 0.0001,
math.sin(x * hz) / 1000 + base - 0.0001,
math.sin(x * hz) / 1000 + base,
123.45
] for x in range(0, 500)]
pairdata = {'NEO/BTC': ETHBTC, 'LTC/BTC': LTCBTC}
return pairdata
def test_edge_process_downloaded_data(mocker, default_conf):
default_conf['datadir'] = None
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
edge = Edge(default_conf, exchange)
assert edge.calculate()
assert len(edge._cached_pairs) == 2
assert edge._last_updated <= arrow.utcnow().timestamp + 2
def test_process_expectancy(mocker, default_conf):
default_conf['edge']['min_trade_number'] = 2
exchange = get_patched_exchange(mocker, default_conf)
def get_fee():
return 0.001
exchange.get_fee = get_fee
edge = Edge(default_conf, exchange)
trades = [
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:05:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:10:00.000000000'),
'open_index': 1,
'close_index': 1,
'trade_duration': '',
'open_rate': 17,
'close_rate': 17,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
'open_index': 4,
'close_index': 4,
'trade_duration': '',
'open_rate': 20,
'close_rate': 20,
'exit_type': 'sell_signal'},
{'pair': 'TEST/BTC',
'stoploss': -0.9,
'profit_percent': '',
'profit_abs': '',
'open_time': np.datetime64('2018-10-03T00:30:00.000000000'),
'close_time': np.datetime64('2018-10-03T00:40:00.000000000'),
'open_index': 6,
'close_index': 7,
'trade_duration': '',
'open_rate': 26,
'close_rate': 34,
'exit_type': 'sell_signal'}
]
trades_df = DataFrame(trades)
trades_df = edge._fill_calculable_fields(trades_df)
final = edge._process_expectancy(trades_df)
assert len(final) == 1
assert 'TEST/BTC' in final
assert final['TEST/BTC'].stoploss == -0.9
assert round(final['TEST/BTC'].winrate, 10) == 0.3333333333
assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128
# 1) Open trade should be removed from the end
def test_case_1(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[3, 1, 12, 25, 11, 20, 0], # ->
[4, 0, 20, 30, 19, 25, 1], # -> should enter the trade
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# No trade should be found
assert len(trades) == 0
# 2) Two complete trades within dataframe (with sell hit for all)
def test_case_2(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.99 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 18, 13, 14, 1], # -> should enter the trade as B signal recieved on last candle
[2, 0, 14, 15, 11, 12, 0], # -> exit the trade as the sell signal recieved on last candle
[3, 1, 12, 25, 11, 20, 0], # -> no action
[4, 0, 20, 30, 19, 25, 0], # -> should enter the trade
[5, 0, 25, 27, 22, 26, 1], # -> no action
[6, 0, 26, 36, 25, 35, 0], # -> should sell
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 2
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == ticker[2][_ohlc['open']]
assert trades[0]['exit_type'] == SellType.SELL_SIGNAL
##############################################################
# Second trade check
assert trades[1]['open_time'] == _time_on_candle(4)
assert trades[1]['close_time'] == _time_on_candle(6)
assert trades[1]['open_rate'] == ticker[4][_ohlc['open']]
assert trades[1]['close_rate'] == ticker[6][_ohlc['open']]
assert trades[1]['exit_type'] == SellType.SELL_SIGNAL
##############################################################
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
def test_case_3(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.01 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 14, 15, 11, 12, 0], # -> enter to trade, stoploss hit
[2, 1, 12, 25, 11, 20, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(1)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
def test_case_4(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.03 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
[2, 0, 16, 17, 14.4, 15.5, 0], # -> stoploss hit
[3, 0, 17, 25, 16.9, 22, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################
# 5) Stoploss and sell are hit. should sell on stoploss
def test_case_5(mocker, default_conf):
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
exchange = get_patched_exchange(mocker, default_conf)
edge = Edge(default_conf, exchange)
stoploss = -0.03 # we don't want stoploss to be hit in this test
ticker = [
# D=Date, B=Buy, O=Open, H=High, L=Low, C=Close, S=Sell
# D, B, O, H, L, C, S
[0, 1, 15, 20, 12, 17, 0], # -> no action
[1, 0, 17, 22, 16.90, 17, 0], # -> enter to trade
[2, 0, 16, 17, 14.4, 15.5, 1], # -> stoploss hit and also sell signal
[3, 0, 17, 25, 16.9, 22, 0], # -> no action
]
ticker_df = _build_dataframe(ticker)
trades = edge._find_trades_for_stoploss_range(ticker_df, 'TEST/BTC', [stoploss])
# Two trades must have occured
assert len(trades) == 1
# First trade check
assert trades[0]['open_time'] == _time_on_candle(1)
assert trades[0]['close_time'] == _time_on_candle(2)
assert trades[0]['open_rate'] == ticker[1][_ohlc['open']]
assert trades[0]['close_rate'] == (stoploss + 1) * trades[0]['open_rate']
assert trades[0]['exit_type'] == SellType.STOP_LOSS
##############################################################
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