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Merge pull request #9152 from stash86/bt-metrics
Add recursive-analysis sub-command
This commit is contained in:
Matthias
188
tests/optimize/test_recursive_analysis.py
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188
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 RecursiveAnalysis
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from freqtrade.optimize.recursive_analysis_helpers import RecursiveAnalysisSubFunctions
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from tests.conftest import 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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default_conf_usdt['startup_candle'] = [100]
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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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# Missing timerange
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args = [
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"recursive-analysis",
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"--strategy",
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"strategy_test_v3_with_recursive_bias",
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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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]
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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_recursive_analysis(pargs)
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def test_recursive_helper_no_strategy_defined(recursive_conf):
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conf = deepcopy(recursive_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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RecursiveAnalysisSubFunctions.start(conf)
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def test_recursive_helper_start(recursive_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.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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RecursiveAnalysisSubFunctions.start(recursive_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_recursive_helper_text_table_recursive_analysis_instances(recursive_conf):
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dict_diff = dict()
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dict_diff['rsi'] = {}
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dict_diff['rsi'][100] = "0.078%"
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strategy_obj = {
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'name': "strategy_test_v3_recursive_issue",
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'location': Path(recursive_conf['strategy_path'], f"{recursive_conf['strategy']}.py")
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}
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instance = RecursiveAnalysis(recursive_conf, strategy_obj)
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instance.dict_recursive = dict_diff
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table, headers, data = (RecursiveAnalysisSubFunctions.
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text_table_recursive_analysis_instances([instance]))
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# check row contents for a try that has too few signals
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assert data[0][0] == 'rsi'
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assert data[0][1] == '0.078%'
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assert len(data[0]) == 2
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# now check when there is no issue
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dict_diff = dict()
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instance = RecursiveAnalysis(recursive_conf, strategy_obj)
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instance.dict_recursive = dict_diff
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table, headers, data = (RecursiveAnalysisSubFunctions.
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text_table_recursive_analysis_instances([instance]))
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assert len(data) == 0
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def test_initialize_single_recursive_analysis(recursive_conf, mocker, caplog):
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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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recursive_conf['pairs'] = ['UNITTEST/BTC']
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recursive_conf['timeframe'] = '5m'
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recursive_conf['timerange'] = '20180119-20180122'
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start_mock = mocker.patch('freqtrade.optimize.recursive_analysis.RecursiveAnalysis.start')
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strategy_obj = {
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'name': "strategy_test_v3_recursive_issue",
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'location': Path(recursive_conf['strategy_path'], f"{recursive_conf['strategy']}.py")
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}
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instance = RecursiveAnalysisSubFunctions.initialize_single_recursive_analysis(
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recursive_conf, strategy_obj)
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assert log_has_re(r"Recursive 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_recursive_issue"
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@pytest.mark.parametrize('scenario', [
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'no_bias', 'bias1', 'bias2'
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])
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def test_recursive_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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recursive_conf['pairs'] = ['UNITTEST/BTC']
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recursive_conf['timeframe'] = '5m'
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recursive_conf['timerange'] = '20180119-20180122'
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recursive_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(recursive_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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if scenario == "bias2":
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assert log_has_re("=> found lookahead in indicator rsi", caplog)
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diff_pct = abs(float(instance.dict_recursive['rsi'][100].replace("%", "")))
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# check non-biased strategy
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if scenario == "no_bias":
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assert diff_pct < 0.01
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# check biased strategy
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elif scenario in ("bias1", "bias2"):
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assert diff_pct >= 0.01
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