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Merge pull request #10782 from freqtrade/feat/bt_reverse

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Enable future positions to reverse their position
This commit is contained in:
Matthias
2024-11-01 09:29:35 +01:00
committed by GitHub
parent dafabd5b99 c03f8afca1
commit 67f26fa1ac
6 changed files with 107 additions and 7 deletions
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67
tests/optimize/test_backtest_detail.py
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@@ -1121,6 +1121,70 @@ tc53 = BTContainer(
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2, is_short=True)],
)
# Test 54: Switch position from long to short
tc54 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 0, 0],
[1, 5000, 5000, 4951, 5000, 6172, 0, 0, 0, 0],
[2, 4910, 5150, 4910, 5100, 6172, 0, 0, 1, 0], # Enter short signal being ignored
[3, 5100, 5100, 4950, 4950, 6172, 0, 1, 1, 0], # exit - re-enter short
[4, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 1],
[5, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
],
stop_loss=-0.10,
roi={"0": 0.10},
profit_perc=0.00,
use_exit_signal=True,
trades=[
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False),
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=5, is_short=True),
],
)
# Test 55: Switch position from short to long
tc55 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5000, 4951, 5000, 6172, 1, 0, 0, 0], # Enter long signal being ignored
[2, 4910, 5150, 4910, 5100, 6172, 1, 0, 0, 1], # Exit - reenter long
[3, 5100, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 1, 0, 0],
[5, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
],
stop_loss=-0.10,
roi={"0": 0.10},
profit_perc=-0.04,
use_exit_signal=True,
trades=[
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=3, is_short=True),
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=3, close_tick=5, is_short=False),
],
)
# Test 56: Switch position from long to short
tc56 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0, 0, 0],
[1, 5000, 5000, 4951, 5000, 6172, 0, 0, 0, 0],
[2, 4910, 5150, 4910, 5100, 6172, 0, 0, 1, 0], # exit on stoploss - re-enter short
[3, 5100, 5100, 4888, 4950, 6172, 0, 0, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 1],
[5, 5000, 5100, 4950, 4950, 6172, 0, 0, 0, 0],
],
stop_loss=-0.02,
roi={"0": 0.10},
profit_perc=-0.0,
use_exit_signal=True,
trades=[
BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=3, is_short=False),
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=3, close_tick=5, is_short=True),
],
)
TESTS = [
tc0,
tc1,
@@ -1176,6 +1240,9 @@ TESTS = [
tc51,
tc52,
tc53,
tc54,
tc55,
tc56,
]

4
tests/optimize/test_backtesting.py
View File

@@ -1899,7 +1899,7 @@ def test_backtest_multi_pair_long_short_switch(
if use_detail:
# Backtest loop is called once per candle per pair
assert bl_spy.call_count == 1071
assert bl_spy.call_count == 1523
else:
assert bl_spy.call_count == 479
@@ -1909,7 +1909,7 @@ def test_backtest_multi_pair_long_short_switch(
assert len(evaluate_result_multi(results["results"], "5m", 1)) == 0
# Expect 26 results initially
assert len(results["results"]) == 30
assert len(results["results"]) == 53
def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):