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freqtrade_origin/tests/edge/test_edge.py
Matthias 099b1fc8c4 ruff format: More updates to tests
2024-05-13 07:10:24 +02:00

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# pragma pylint: disable=missing-docstring, C0103, C0330
# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
import logging
import math
from datetime import timedelta
from unittest.mock import MagicMock
import numpy as np
import pytest
from pandas import DataFrame
from freqtrade.data.converter import ohlcv_to_dataframe
from freqtrade.edge import Edge, PairInfo
from freqtrade.enums import ExitType
from freqtrade.exceptions import OperationalException
from freqtrade.util.datetime_helpers import dt_ts, dt_utc
from tests.conftest import EXMS, get_patched_freqtradebot, log_has
from tests.optimize import (
BTContainer,
BTrade,
_build_backtest_dataframe,
_get_frame_time_from_offset,
)
# 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
####################################################################
tests_start_time = dt_utc(2018, 10, 3)
timeframe_in_minute = 60
# End helper functions
# Open trade should be removed from the end
tc0 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 1],
], # enter trade (signal on last candle)
stop_loss=-0.99,
roi={"0": float("inf")},
profit_perc=0.00,
trades=[],
)
# Two complete trades within dataframe(with sell hit for all)
tc1 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
],
stop_loss=-0.99,
roi={"0": float("inf")},
profit_perc=0.00,
trades=[
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=2),
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=6),
],
)
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
tc2 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.01,
roi={"0": float("inf")},
profit_perc=-0.01,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
)
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
tc3 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.03,
roi={"0": float("inf")},
profit_perc=-0.03,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
)
# 5) Stoploss and sell are hit. should sell on stoploss
tc4 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.03,
roi={"0": float("inf")},
profit_perc=-0.03,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
)
TESTS = [tc0, tc1, tc2, tc3, tc4]
@pytest.mark.parametrize("data", TESTS)
def test_edge_results(edge_conf, mocker, caplog, data) -> None:
"""
run functional tests
"""
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
frame = _build_backtest_dataframe(data.data)
caplog.set_level(logging.DEBUG)
edge.fee = 0
trades = edge._find_trades_for_stoploss_range(frame, "TEST/BTC", [data.stop_loss])
results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
assert len(trades) == len(data.trades)
if not results.empty:
assert round(results["profit_ratio"].sum(), 3) == round(data.profit_perc, 3)
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.exit_type == trade.exit_reason
assert res.open_date == _get_frame_time_from_offset(trade.open_tick).replace(tzinfo=None)
assert res.close_date == _get_frame_time_from_offset(trade.close_tick).replace(tzinfo=None)
def test_adjust(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
),
)
pairs = ["A/B", "C/D", "E/F", "G/H"]
assert edge.adjust(pairs) == ["E/F", "C/D"]
def test_edge_get_stoploss(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
),
)
assert edge.get_stoploss("E/F") == -0.01
def test_nonexisting_get_stoploss(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
),
)
assert edge.get_stoploss("N/O") == -0.1
def test_edge_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"E/F": PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
),
)
assert edge._capital_ratio == 0.5
assert (
edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 31.25
)
assert edge.stake_amount("E/F", free_capital=20, total_capital=100, capital_in_trade=25) == 20
assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=25) == 0
# Test with increased allowed_risk
# Result should be no more than allowed capital
edge._allowed_risk = 0.4
edge._capital_ratio = 0.5
assert (
edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 62.5
)
assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 50
edge._capital_ratio = 1
# Full capital is available
assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 100
# Full capital is available
assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=0) == 0
def test_nonexisting_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch(
"freqtrade.edge.Edge._cached_pairs",
mocker.PropertyMock(
return_value={
"E/F": PairInfo(-0.11, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
),
)
# should use strategy stoploss
assert edge.stake_amount("N/O", 1, 2, 1) == 0.15
def test_edge_heartbeat_calculate(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
heartbeat = edge_conf["edge"]["process_throttle_secs"]
# should not recalculate if heartbeat not reached
edge._last_updated = dt_ts() - heartbeat + 1
assert edge.calculate(edge_conf["exchange"]["pair_whitelist"]) is False
def mocked_load_data(datadir, pairs=None, timeframe="0m", timerange=None, *args, **kwargs):
if pairs is None:
pairs = []
hz = 0.1
base = 0.001
NEOBTC = [
[
dt_ts(tests_start_time + timedelta(minutes=(x * timeframe_in_minute))),
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 = [
[
dt_ts(tests_start_time + timedelta(minutes=(x * timeframe_in_minute))),
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": ohlcv_to_dataframe(NEOBTC, "1h", pair="NEO/BTC", fill_missing=True),
"LTC/BTC": ohlcv_to_dataframe(LTCBTC, "1h", pair="LTC/BTC", fill_missing=True),
}
return pairdata
def test_edge_process_downloaded_data(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
assert edge.calculate(edge_conf["exchange"]["pair_whitelist"])
assert len(edge._cached_pairs) == 2
assert edge._last_updated <= dt_ts() + 2
def test_edge_process_no_data(mocker, edge_conf, caplog):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
mocker.patch("freqtrade.edge.edge_positioning.load_data", MagicMock(return_value={}))
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
assert len(edge._cached_pairs) == 0
assert log_has("No data found. Edge is stopped ...", caplog)
assert edge._last_updated == 0
def test_edge_process_no_trades(mocker, edge_conf, caplog):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
mocker.patch(
"freqtrade.edge.edge_positioning.refresh_data",
)
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
# Return empty
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
assert len(edge._cached_pairs) == 0
assert log_has("No trades found.", caplog)
def test_edge_process_no_pairs(mocker, edge_conf, caplog):
edge_conf["exchange"]["pair_whitelist"] = []
mocker.patch("freqtrade.freqtradebot.validate_config_consistency")
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
fee_mock = mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
mocker.patch("freqtrade.edge.edge_positioning.refresh_data")
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
# Return empty
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
assert fee_mock.call_count == 0
assert edge.fee is None
assert not edge.calculate(["XRP/USDT"])
assert fee_mock.call_count == 1
assert edge.fee == 0.001
def test_edge_init_error(mocker, edge_conf):
edge_conf["stake_amount"] = 0.5
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
with pytest.raises(OperationalException, match="Edge works only with unlimited stake amount"):
get_patched_freqtradebot(mocker, edge_conf)
@pytest.mark.parametrize(
"fee,risk_reward_ratio,expectancy",
[
(0.0005, 306.5384615384, 101.5128205128),
(0.001, 152.6923076923, 50.2307692308),
],
)
def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectancy):
edge_conf["edge"]["min_trade_number"] = 2
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
def get_fee(*args, **kwargs):
return fee
freqtrade.exchange.get_fee = get_fee
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
trades = [
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
"trade_duration": "",
"open_rate": 17,
"close_rate": 17,
"exit_type": "exit_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"trade_duration": "",
"open_rate": 20,
"close_rate": 20,
"exit_type": "exit_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
"trade_duration": "",
"open_rate": 26,
"close_rate": 34,
"exit_type": "exit_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) == risk_reward_ratio
assert round(final["TEST/BTC"].required_risk_reward, 10) == 2.0
assert round(final["TEST/BTC"].expectancy, 10) == expectancy
# Pop last item so no trade is profitable
trades.pop()
trades_df = DataFrame(trades)
trades_df = edge._fill_calculable_fields(trades_df)
final = edge._process_expectancy(trades_df)
assert len(final) == 0
assert isinstance(final, dict)
def test_process_expectancy_remove_pumps(mocker, edge_conf, fee):
edge_conf["edge"]["min_trade_number"] = 2
edge_conf["edge"]["remove_pumps"] = True
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
freqtrade.exchange.get_fee = fee
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
trades = [
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
"open_index": 1,
"close_index": 1,
"trade_duration": "",
"open_rate": 17,
"close_rate": 15,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"open_index": 4,
"close_index": 4,
"trade_duration": "",
"open_rate": 20,
"close_rate": 10,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"open_index": 4,
"close_index": 4,
"trade_duration": "",
"open_rate": 20,
"close_rate": 10,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"open_index": 4,
"close_index": 4,
"trade_duration": "",
"open_rate": 20,
"close_rate": 10,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"open_index": 4,
"close_index": 4,
"trade_duration": "",
"open_rate": 20,
"close_rate": 10,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
"open_index": 6,
"close_index": 7,
"trade_duration": "",
"open_rate": 26,
"close_rate": 134,
"exit_type": "sell_signal",
},
]
trades_df = DataFrame(trades)
trades_df = edge._fill_calculable_fields(trades_df)
final = edge._process_expectancy(trades_df)
assert "TEST/BTC" in final
assert final["TEST/BTC"].stoploss == -0.9
assert final["TEST/BTC"].nb_trades == len(trades_df) - 1
assert round(final["TEST/BTC"].winrate, 10) == 0.0
def test_process_expectancy_only_wins(mocker, edge_conf, fee):
edge_conf["edge"]["min_trade_number"] = 2
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
freqtrade.exchange.get_fee = fee
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
trades = [
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
"open_index": 1,
"close_index": 1,
"trade_duration": "",
"open_rate": 15,
"close_rate": 17,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
"open_index": 4,
"close_index": 4,
"trade_duration": "",
"open_rate": 10,
"close_rate": 20,
"exit_type": "sell_signal",
},
{
"pair": "TEST/BTC",
"stoploss": -0.9,
"profit_percent": "",
"profit_abs": "",
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
"open_index": 6,
"close_index": 7,
"trade_duration": "",
"open_rate": 26,
"close_rate": 134,
"exit_type": "sell_signal",
},
]
trades_df = DataFrame(trades)
trades_df = edge._fill_calculable_fields(trades_df)
final = edge._process_expectancy(trades_df)
assert "TEST/BTC" in final
assert final["TEST/BTC"].stoploss == -0.9
assert final["TEST/BTC"].nb_trades == len(trades_df)
assert round(final["TEST/BTC"].winrate, 10) == 1.0
assert round(final["TEST/BTC"].risk_reward_ratio, 10) == float("inf")
assert round(final["TEST/BTC"].expectancy, 10) == float("inf")
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