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initial test
This commit is contained in:
Stefano Ariestasia
370
tests/optimize/test_recursive_analysis.py
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370
tests/optimize/test_recursive_analysis.py
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# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
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from copy import deepcopy
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from pathlib import Path
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from unittest.mock import MagicMock, PropertyMock
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import pytest
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from freqtrade.commands.optimize_commands import start_recursive_analysis
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from freqtrade.data.history import get_timerange
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from freqtrade.exceptions import OperationalException
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from freqtrade.optimize.recursive_analysis import Analysis, RecursiveAnalysis
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from freqtrade.optimize.recursive_analysis_helpers import RecursiveAnalysisSubFunctions
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from tests.conftest import EXMS, get_args, log_has_re, patch_exchange
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@pytest.fixture
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def recursive_conf(default_conf_usdt):
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default_conf_usdt['timerange'] = '20220101-20220501'
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default_conf_usdt['strategy_path'] = str(
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Path(__file__).parent.parent / "strategy/strats")
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default_conf_usdt['strategy'] = 'strategy_test_v3_recursive_issue'
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default_conf_usdt['pairs'] = ['UNITTEST/USDT']
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return default_conf_usdt
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def test_start_recursive_analysis(mocker):
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single_mock = MagicMock()
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text_table_mock = MagicMock()
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mocker.patch.multiple(
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'freqtrade.optimize.recursive_analysis_helpers.RecursiveAnalysisSubFunctions',
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initialize_single_recursive_analysis=single_mock,
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text_table_recursive_analysis_instances=text_table_mock,
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)
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args = [
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"recursive-analysis",
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"--strategy",
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"strategy_test_v3_recursive_issue",
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"--strategy-path",
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str(Path(__file__).parent.parent / "strategy/strats"),
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"--pairs",
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"UNITTEST/BTC",
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"--timerange",
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"20220101-20220201"
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]
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pargs = get_args(args)
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pargs['config'] = None
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start_recursive_analysis(pargs)
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assert single_mock.call_count == 1
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assert text_table_mock.call_count == 1
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single_mock.reset_mock()
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# Test invalid config
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args = [
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"lookahead-analysis",
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"--strategy",
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"strategy_test_v3_with_lookahead_bias",
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"--strategy-path",
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str(Path(__file__).parent.parent / "strategy/strats/lookahead_bias"),
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"--targeted-trade-amount",
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"10",
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"--minimum-trade-amount",
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"20",
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]
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pargs = get_args(args)
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pargs['config'] = None
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with pytest.raises(OperationalException,
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match=r"Targeted trade amount can't be smaller than minimum trade amount.*"):
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start_lookahead_analysis(pargs)
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# Missing timerange
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args = [
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"lookahead-analysis",
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"--strategy",
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"strategy_test_v3_with_lookahead_bias",
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"--strategy-path",
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str(Path(__file__).parent.parent / "strategy/strats/lookahead_bias"),
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"--pairs",
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"UNITTEST/BTC",
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"--max-open-trades",
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"1",
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]
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pargs = get_args(args)
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pargs['config'] = None
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with pytest.raises(OperationalException,
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match=r"Please set a timerange\..*"):
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start_lookahead_analysis(pargs)
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def test_lookahead_helper_invalid_config(lookahead_conf) -> None:
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conf = deepcopy(lookahead_conf)
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conf['targeted_trade_amount'] = 10
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conf['minimum_trade_amount'] = 40
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with pytest.raises(OperationalException,
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match=r"Targeted trade amount can't be smaller than minimum trade amount.*"):
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LookaheadAnalysisSubFunctions.start(conf)
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def test_lookahead_helper_no_strategy_defined(lookahead_conf):
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conf = deepcopy(lookahead_conf)
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conf['pairs'] = ['UNITTEST/USDT']
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del conf['strategy']
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with pytest.raises(OperationalException,
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match=r"No Strategy specified"):
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LookaheadAnalysisSubFunctions.start(conf)
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def test_lookahead_helper_start(lookahead_conf, mocker) -> None:
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single_mock = MagicMock()
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text_table_mock = MagicMock()
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mocker.patch.multiple(
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'freqtrade.optimize.lookahead_analysis_helpers.LookaheadAnalysisSubFunctions',
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initialize_single_lookahead_analysis=single_mock,
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text_table_lookahead_analysis_instances=text_table_mock,
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)
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LookaheadAnalysisSubFunctions.start(lookahead_conf)
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assert single_mock.call_count == 1
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assert text_table_mock.call_count == 1
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single_mock.reset_mock()
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text_table_mock.reset_mock()
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def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf):
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analysis = Analysis()
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analysis.has_bias = True
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analysis.total_signals = 5
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analysis.false_entry_signals = 4
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analysis.false_exit_signals = 3
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strategy_obj = {
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'name': "strategy_test_v3_with_lookahead_bias",
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'location': Path(lookahead_conf['strategy_path'], f"{lookahead_conf['strategy']}.py")
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}
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instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
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instance.current_analysis = analysis
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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# check row contents for a try that has too few signals
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assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
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assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
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assert data[0][2].__contains__('too few trades')
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assert len(data[0]) == 3
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# now check for an error which occured after enough trades
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analysis.total_signals = 12
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analysis.false_entry_signals = 11
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analysis.false_exit_signals = 10
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instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
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instance.current_analysis = analysis
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][2].__contains__("error")
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# edit it into not showing an error
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instance.failed_bias_check = False
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
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assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
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assert data[0][2] # True
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assert data[0][3] == 12
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assert data[0][4] == 11
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assert data[0][5] == 10
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assert data[0][6] == ''
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analysis.false_indicators.append('falseIndicator1')
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analysis.false_indicators.append('falseIndicator2')
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][6] == 'falseIndicator1, falseIndicator2'
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# check amount of returning rows
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assert len(data) == 1
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# check amount of multiple rows
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table, headers, data = (LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
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lookahead_conf, [instance, instance, instance]))
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assert len(data) == 3
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def test_lookahead_helper_export_to_csv(lookahead_conf):
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import pandas as pd
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lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
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# just to be sure the test won't fail: remove file if exists for some reason
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# (repeat this at the end once again to clean up)
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if Path(lookahead_conf['lookahead_analysis_exportfilename']).exists():
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Path(lookahead_conf['lookahead_analysis_exportfilename']).unlink()
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# before we can start we have to delete the
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# 1st check: create a new file and verify its contents
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analysis1 = Analysis()
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analysis1.has_bias = True
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analysis1.total_signals = 12
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analysis1.false_entry_signals = 11
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analysis1.false_exit_signals = 10
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analysis1.false_indicators.append('falseIndicator1')
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analysis1.false_indicators.append('falseIndicator2')
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lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
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strategy_obj1 = {
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'name': "strat1",
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'location': Path("file1.py"),
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}
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instance1 = LookaheadAnalysis(lookahead_conf, strategy_obj1)
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instance1.failed_bias_check = False
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instance1.current_analysis = analysis1
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance1])
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saved_data1 = pd.read_csv(lookahead_conf['lookahead_analysis_exportfilename'])
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expected_values1 = [
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[
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'file1.py', 'strat1', True,
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12, 11, 10,
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"falseIndicator1,falseIndicator2"
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],
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]
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expected_columns = ['filename', 'strategy', 'has_bias',
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'total_signals', 'biased_entry_signals', 'biased_exit_signals',
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'biased_indicators']
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expected_data1 = pd.DataFrame(expected_values1, columns=expected_columns)
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assert Path(lookahead_conf['lookahead_analysis_exportfilename']).exists()
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assert expected_data1.equals(saved_data1)
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# 2nd check: update the same strategy (which internally changed or is being retested)
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expected_values2 = [
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[
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'file1.py', 'strat1', False,
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22, 21, 20,
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"falseIndicator3,falseIndicator4"
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],
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]
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expected_data2 = pd.DataFrame(expected_values2, columns=expected_columns)
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analysis2 = Analysis()
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analysis2.has_bias = False
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analysis2.total_signals = 22
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analysis2.false_entry_signals = 21
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analysis2.false_exit_signals = 20
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analysis2.false_indicators.append('falseIndicator3')
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analysis2.false_indicators.append('falseIndicator4')
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strategy_obj2 = {
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'name': "strat1",
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'location': Path("file1.py"),
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}
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instance2 = LookaheadAnalysis(lookahead_conf, strategy_obj2)
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instance2.failed_bias_check = False
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instance2.current_analysis = analysis2
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance2])
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saved_data2 = pd.read_csv(lookahead_conf['lookahead_analysis_exportfilename'])
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assert expected_data2.equals(saved_data2)
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# 3rd check: now we add a new row to an already existing file
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expected_values3 = [
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[
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'file1.py', 'strat1', False,
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22, 21, 20,
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"falseIndicator3,falseIndicator4"
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],
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[
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'file3.py', 'strat3', True,
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32, 31, 30, "falseIndicator5,falseIndicator6"
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],
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]
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expected_data3 = pd.DataFrame(expected_values3, columns=expected_columns)
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analysis3 = Analysis()
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analysis3.has_bias = True
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analysis3.total_signals = 32
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analysis3.false_entry_signals = 31
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analysis3.false_exit_signals = 30
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analysis3.false_indicators.append('falseIndicator5')
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analysis3.false_indicators.append('falseIndicator6')
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lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
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strategy_obj3 = {
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'name': "strat3",
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'location': Path("file3.py"),
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}
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instance3 = LookaheadAnalysis(lookahead_conf, strategy_obj3)
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instance3.failed_bias_check = False
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instance3.current_analysis = analysis3
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance3])
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saved_data3 = pd.read_csv(lookahead_conf['lookahead_analysis_exportfilename'])
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assert expected_data3.equals(saved_data3)
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# remove csv file after the test is done
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if Path(lookahead_conf['lookahead_analysis_exportfilename']).exists():
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Path(lookahead_conf['lookahead_analysis_exportfilename']).unlink()
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def test_initialize_single_lookahead_analysis(lookahead_conf, mocker, caplog):
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mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
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mocker.patch(f'{EXMS}.get_fee', return_value=0.0)
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mocker.patch(f'{EXMS}.get_min_pair_stake_amount', return_value=0.00001)
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mocker.patch(f'{EXMS}.get_max_pair_stake_amount', return_value=float('inf'))
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patch_exchange(mocker)
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['UNITTEST/BTC']))
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lookahead_conf['pairs'] = ['UNITTEST/USDT']
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lookahead_conf['timeframe'] = '5m'
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lookahead_conf['timerange'] = '20180119-20180122'
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start_mock = mocker.patch('freqtrade.optimize.lookahead_analysis.LookaheadAnalysis.start')
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strategy_obj = {
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'name': "strategy_test_v3_with_lookahead_bias",
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'location': Path(lookahead_conf['strategy_path'], f"{lookahead_conf['strategy']}.py")
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}
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instance = LookaheadAnalysisSubFunctions.initialize_single_lookahead_analysis(
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lookahead_conf, strategy_obj)
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assert log_has_re(r"Bias test of .* started\.", caplog)
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assert start_mock.call_count == 1
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assert instance.strategy_obj['name'] == "strategy_test_v3_with_lookahead_bias"
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@pytest.mark.parametrize('scenario', [
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'no_bias', 'bias1'
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])
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def test_biased_strategy(recursive_conf, mocker, caplog, scenario) -> None:
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mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
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patch_exchange(mocker)
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['UNITTEST/BTC']))
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lookahead_conf['pairs'] = ['UNITTEST/USDT']
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lookahead_conf['timeframe'] = '5m'
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lookahead_conf['timerange'] = '20180119-20180122'
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lookahead_conf['startup_candle'] = [100]
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# Patch scenario Parameter to allow for easy selection
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mocker.patch('freqtrade.strategy.hyper.HyperStrategyMixin.load_params_from_file',
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return_value={
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'params': {
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"buy": {
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"scenario": scenario
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}
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}
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})
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strategy_obj = {'name': "strategy_test_v3_recursive_issue"}
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instance = RecursiveAnalysis(lookahead_conf, strategy_obj)
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instance.start()
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# Assert init correct
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assert log_has_re(f"Strategy Parameter: scenario = {scenario}", caplog)
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# check non-biased strategy
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if scenario == "no_bias":
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assert not instance.current_analysis.has_bias
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# check biased strategy
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elif scenario == "bias1":
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assert instance.current_analysis.has_bias
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