diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py
index b259a7977..65e27a2c2 100644
--- a/freqtrade/strategy/interface.py
+++ b/freqtrade/strategy/interface.py
@@ -453,18 +453,25 @@ class IStrategy(ABC, HyperStrategyMixin):
         """
         Ensure dataframe (length, last candle) was not modified, and has all elements we need.
         """
+        message_template = "Dataframe returned from strategy has mismatching {}."
         message = ""
-        if df_len != len(dataframe):
-            message = "length"
+        if dataframe is None:
+            message = "No dataframe returned (return statement missing?)."
+        elif 'buy' not in dataframe:
+            message = "Buy column not set."
+        elif 'sell' not in dataframe:
+            message = "Sell column not set."
+        elif df_len != len(dataframe):
+            message = message_template.format("length")
         elif df_close != dataframe["close"].iloc[-1]:
-            message = "last close price"
+            message = message_template.format("last close price")
         elif df_date != dataframe["date"].iloc[-1]:
-            message = "last date"
+            message = message_template.format("last date")
         if message:
             if self.disable_dataframe_checks:
-                logger.warning(f"Dataframe returned from strategy has mismatching {message}.")
+                logger.warning(message)
             else:
-                raise StrategyError(f"Dataframe returned from strategy has mismatching {message}.")
+                raise StrategyError(message)
 
     def get_signal(self, pair: str, timeframe: str, dataframe: DataFrame) -> Tuple[bool, bool]:
         """
diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py
index 64081fa37..04d12a51f 100644
--- a/tests/strategy/test_interface.py
+++ b/tests/strategy/test_interface.py
@@ -153,6 +153,8 @@ def test_assert_df_raise(mocker, caplog, ohlcv_history):
 
 def test_assert_df(ohlcv_history, caplog):
     df_len = len(ohlcv_history) - 1
+    ohlcv_history.loc[:, 'buy'] = 0
+    ohlcv_history.loc[:, 'sell'] = 0
     # Ensure it's running when passed correctly
     _STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
                         ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[df_len, 'date'])
@@ -170,6 +172,18 @@ def test_assert_df(ohlcv_history, caplog):
                        match=r"Dataframe returned from strategy.*last date\."):
         _STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
                             ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
+    with pytest.raises(StrategyError,
+                       match=r"No dataframe returned \(return statement missing\?\)."):
+        _STRATEGY.assert_df(None, len(ohlcv_history),
+                            ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
+    with pytest.raises(StrategyError,
+                       match="Buy column not set"):
+        _STRATEGY.assert_df(ohlcv_history.drop('buy', axis=1), len(ohlcv_history),
+                            ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
+    with pytest.raises(StrategyError,
+                       match="Sell column not set"):
+        _STRATEGY.assert_df(ohlcv_history.drop('sell', axis=1), len(ohlcv_history),
+                            ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date'])
 
     _STRATEGY.disable_dataframe_checks = True
     caplog.clear()