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Merge branch 'develop' into data_handler

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Matthias
2020-01-26 20:31:13 +01:00
parent fc2970f41b 27d46ed06f
commit 1b9af9d2d8
37 changed files with 1352 additions and 1274 deletions
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85
tests/optimize/test_backtesting.py
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@@ -11,13 +11,13 @@ from arrow import Arrow
from freqtrade import constants
from freqtrade.configuration import TimeRange
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
from freqtrade.data import history
from freqtrade.data.btanalysis import evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.optimize import setup_configuration, start_backtesting
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.state import RunMode
from freqtrade.strategy.default_strategy import DefaultStrategy
@@ -88,21 +88,19 @@ def simple_backtest(config, contour, num_results, mocker, testdatadir) -> None:
min_date, max_date = get_timerange(processed)
assert isinstance(processed, dict)
results = backtesting.backtest(
{
'stake_amount': config['stake_amount'],
'processed': processed,
'max_open_trades': 1,
'position_stacking': False,
'start_date': min_date,
'end_date': max_date,
}
processed=processed,
stake_amount=config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=1,
position_stacking=False,
)
# results :: <class 'pandas.core.frame.DataFrame'>
assert len(results) == num_results
# FIX: fixturize this?
def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC', record=None):
def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
data = history.load_data(datadir=datadir, timeframe='1m', pairs=[pair])
data = trim_dictlist(data, -201)
patch_exchange(mocker)
@@ -110,13 +108,12 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC', record=
processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
return {
'stake_amount': conf['stake_amount'],
'processed': processed,
'max_open_trades': 10,
'position_stacking': False,
'record': record,
'stake_amount': conf['stake_amount'],
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 10,
'position_stacking': False,
}
@@ -150,7 +147,7 @@ def _trend_alternate(dataframe=None, metadata=None):
# Unit tests
def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> None:
def test_setup_optimize_configuration_without_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
args = [
@@ -159,7 +156,7 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
'--strategy', 'DefaultStrategy',
]
config = setup_configuration(get_args(args), RunMode.BACKTEST)
config = setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
@@ -200,7 +197,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
'--fee', '0',
]
config = setup_configuration(get_args(args), RunMode.BACKTEST)
config = setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
@@ -233,7 +230,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
assert log_has('Parameter --fee detected, setting fee to: {} ...'.format(config['fee']), caplog)
def test_setup_configuration_unlimited_stake_amount(mocker, default_conf, caplog) -> None:
def test_setup_optimize_configuration_unlimited_stake_amount(mocker, default_conf, caplog) -> None:
default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
patched_configuration_load_config_file(mocker, default_conf)
@@ -245,7 +242,7 @@ def test_setup_configuration_unlimited_stake_amount(mocker, default_conf, caplog
]
with pytest.raises(DependencyException, match=r'.*stake amount.*'):
setup_configuration(get_args(args), RunMode.BACKTEST)
setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
def test_start(mocker, fee, default_conf, caplog) -> None:
@@ -389,14 +386,12 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None:
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(data_processed)
results = backtesting.backtest(
{
'stake_amount': default_conf['stake_amount'],
'processed': data_processed,
'max_open_trades': 10,
'position_stacking': False,
'start_date': min_date,
'end_date': max_date,
}
processed=data_processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=10,
position_stacking=False,
)
assert not results.empty
assert len(results) == 2
@@ -445,14 +440,12 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) -
processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
{
'stake_amount': default_conf['stake_amount'],
'processed': processed,
'max_open_trades': 1,
'position_stacking': False,
'start_date': min_date,
'end_date': max_date,
}
processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=1,
position_stacking=False,
)
assert not results.empty
assert len(results) == 1
@@ -492,7 +485,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
backtesting = Backtesting(default_conf)
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
results = backtesting.backtest(backtest_conf)
results = backtesting.backtest(**backtest_conf)
assert results.empty
@@ -507,7 +500,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
backtesting = Backtesting(default_conf)
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
results = backtesting.backtest(backtest_conf)
results = backtesting.backtest(**backtest_conf)
assert results.empty
@@ -520,7 +513,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
backtesting = Backtesting(default_conf)
backtesting.strategy.advise_buy = _trend_alternate # Override
backtesting.strategy.advise_sell = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
results = backtesting.backtest(**backtest_conf)
backtesting._store_backtest_result("test_.json", results)
# 200 candles in backtest data
# won't buy on first (shifted by 1)
@@ -565,15 +558,15 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timerange(data_processed)
backtest_conf = {
'stake_amount': default_conf['stake_amount'],
'processed': data_processed,
'max_open_trades': 3,
'position_stacking': False,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 3,
'position_stacking': False,
}
results = backtesting.backtest(backtest_conf)
results = backtesting.backtest(**backtest_conf)
# Make sure we have parallel trades
assert len(evaluate_result_multi(results, '5m', 2)) > 0
@@ -581,14 +574,14 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
assert len(evaluate_result_multi(results, '5m', 3)) == 0
backtest_conf = {
'stake_amount': default_conf['stake_amount'],
'processed': data_processed,
'max_open_trades': 1,
'position_stacking': False,
'stake_amount': default_conf['stake_amount'],
'start_date': min_date,
'end_date': max_date,
'max_open_trades': 1,
'position_stacking': False,
}
results = backtesting.backtest(backtest_conf)
results = backtesting.backtest(**backtest_conf)
assert len(evaluate_result_multi(results, '5m', 1)) == 0