mirror of
https://github.com/freqtrade/freqtrade.git
synced 2025-11-29 08:33:07 +00:00
test: remove edge from tests (initial round)
This commit is contained in:
Matthias
@@ -16,7 +16,6 @@ from xdist.scheduler.loadscope import LoadScopeScheduling
|
||||
from freqtrade import constants
|
||||
from freqtrade.commands import Arguments
|
||||
from freqtrade.data.converter import ohlcv_to_dataframe, trades_list_to_df
|
||||
from freqtrade.edge import PairInfo
|
||||
from freqtrade.enums import CandleType, MarginMode, RunMode, SignalDirection, TradingMode
|
||||
from freqtrade.exchange import Exchange, timeframe_to_minutes, timeframe_to_seconds
|
||||
from freqtrade.freqtradebot import FreqtradeBot
|
||||
|
||||
@@ -1,606 +0,0 @@
|
||||
# pragma pylint: disable=missing-docstring, C0103, C0330
|
||||
# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
|
||||
|
||||
import logging
|
||||
import math
|
||||
from datetime import timedelta
|
||||
from unittest.mock import MagicMock
|
||||
|
||||
import numpy as np
|
||||
import pytest
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade.data.converter import ohlcv_to_dataframe
|
||||
from freqtrade.edge import Edge, PairInfo
|
||||
from freqtrade.enums import ExitType
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.util.datetime_helpers import dt_ts, dt_utc
|
||||
from tests.conftest import EXMS, get_patched_freqtradebot, log_has
|
||||
from tests.optimize import (
|
||||
BTContainer,
|
||||
BTrade,
|
||||
_build_backtest_dataframe,
|
||||
_get_frame_time_from_offset,
|
||||
)
|
||||
|
||||
|
||||
# Cases to be tested:
|
||||
# 1) Open trade should be removed from the end
|
||||
# 2) Two complete trades within dataframe (with sell hit for all)
|
||||
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
|
||||
# 4) Entered, sl 3%, candle drops 4%, recovers to 1% => Trade closed, 3% loss
|
||||
# 5) Stoploss and sell are hit. should sell on stoploss
|
||||
####################################################################
|
||||
|
||||
tests_start_time = dt_utc(2018, 10, 3)
|
||||
timeframe_in_minute = 60
|
||||
|
||||
# End helper functions
|
||||
# Open trade should be removed from the end
|
||||
tc0 = BTContainer(
|
||||
data=[
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 1],
|
||||
], # enter trade (signal on last candle)
|
||||
stop_loss=-0.99,
|
||||
roi={"0": float("inf")},
|
||||
profit_perc=0.00,
|
||||
trades=[],
|
||||
)
|
||||
|
||||
# Two complete trades within dataframe(with sell hit for all)
|
||||
tc1 = BTContainer(
|
||||
data=[
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
|
||||
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
|
||||
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
|
||||
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
|
||||
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
|
||||
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
|
||||
],
|
||||
stop_loss=-0.99,
|
||||
roi={"0": float("inf")},
|
||||
profit_perc=0.00,
|
||||
trades=[
|
||||
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=2),
|
||||
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=6),
|
||||
],
|
||||
)
|
||||
|
||||
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
|
||||
tc2 = BTContainer(
|
||||
data=[
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
|
||||
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
],
|
||||
stop_loss=-0.01,
|
||||
roi={"0": float("inf")},
|
||||
profit_perc=-0.01,
|
||||
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
|
||||
)
|
||||
|
||||
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
|
||||
tc3 = BTContainer(
|
||||
data=[
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
|
||||
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
],
|
||||
stop_loss=-0.03,
|
||||
roi={"0": float("inf")},
|
||||
profit_perc=-0.03,
|
||||
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
|
||||
)
|
||||
|
||||
# 5) Stoploss and sell are hit. should sell on stoploss
|
||||
tc4 = BTContainer(
|
||||
data=[
|
||||
# D O H L C V B S
|
||||
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
||||
[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
|
||||
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
||||
],
|
||||
stop_loss=-0.03,
|
||||
roi={"0": float("inf")},
|
||||
profit_perc=-0.03,
|
||||
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
|
||||
)
|
||||
|
||||
TESTS = [tc0, tc1, tc2, tc3, tc4]
|
||||
|
||||
|
||||
@pytest.mark.parametrize("data", TESTS)
|
||||
def test_edge_results(edge_conf, mocker, caplog, data) -> None:
|
||||
"""
|
||||
run functional tests
|
||||
"""
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
frame = _build_backtest_dataframe(data.data)
|
||||
caplog.set_level(logging.DEBUG)
|
||||
edge.fee = 0
|
||||
|
||||
trades = edge._find_trades_for_stoploss_range(frame, "TEST/BTC", [data.stop_loss])
|
||||
results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
|
||||
|
||||
assert len(trades) == len(data.trades)
|
||||
|
||||
if not results.empty:
|
||||
assert round(results["profit_ratio"].sum(), 3) == round(data.profit_perc, 3)
|
||||
|
||||
for c, trade in enumerate(data.trades):
|
||||
res = results.iloc[c]
|
||||
assert res.exit_type == trade.exit_reason
|
||||
assert res.open_date == _get_frame_time_from_offset(trade.open_tick).replace(tzinfo=None)
|
||||
assert res.close_date == _get_frame_time_from_offset(trade.close_tick).replace(tzinfo=None)
|
||||
|
||||
|
||||
def test_adjust(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.Edge._cached_pairs",
|
||||
mocker.PropertyMock(
|
||||
return_value={
|
||||
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
}
|
||||
),
|
||||
)
|
||||
|
||||
pairs = ["A/B", "C/D", "E/F", "G/H"]
|
||||
assert edge.adjust(pairs) == ["E/F", "C/D"]
|
||||
|
||||
|
||||
def test_edge_get_stoploss(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.Edge._cached_pairs",
|
||||
mocker.PropertyMock(
|
||||
return_value={
|
||||
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
}
|
||||
),
|
||||
)
|
||||
|
||||
assert edge.get_stoploss("E/F") == -0.01
|
||||
|
||||
|
||||
def test_nonexisting_get_stoploss(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.Edge._cached_pairs",
|
||||
mocker.PropertyMock(
|
||||
return_value={
|
||||
"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
}
|
||||
),
|
||||
)
|
||||
|
||||
assert edge.get_stoploss("N/O") == -0.1
|
||||
|
||||
|
||||
def test_edge_stake_amount(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.Edge._cached_pairs",
|
||||
mocker.PropertyMock(
|
||||
return_value={
|
||||
"E/F": PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
}
|
||||
),
|
||||
)
|
||||
assert edge._capital_ratio == 0.5
|
||||
assert (
|
||||
edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 31.25
|
||||
)
|
||||
|
||||
assert edge.stake_amount("E/F", free_capital=20, total_capital=100, capital_in_trade=25) == 20
|
||||
|
||||
assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=25) == 0
|
||||
|
||||
# Test with increased allowed_risk
|
||||
# Result should be no more than allowed capital
|
||||
edge._allowed_risk = 0.4
|
||||
edge._capital_ratio = 0.5
|
||||
assert (
|
||||
edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 62.5
|
||||
)
|
||||
|
||||
assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 50
|
||||
|
||||
edge._capital_ratio = 1
|
||||
# Full capital is available
|
||||
assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 100
|
||||
# Full capital is available
|
||||
assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=0) == 0
|
||||
|
||||
|
||||
def test_nonexisting_stake_amount(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.Edge._cached_pairs",
|
||||
mocker.PropertyMock(
|
||||
return_value={
|
||||
"E/F": PairInfo(-0.11, 0.66, 3.71, 0.50, 1.71, 10, 60),
|
||||
}
|
||||
),
|
||||
)
|
||||
# should use strategy stoploss
|
||||
assert edge.stake_amount("N/O", 1, 2, 1) == 0.15
|
||||
|
||||
|
||||
def test_edge_heartbeat_calculate(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
heartbeat = edge_conf["edge"]["process_throttle_secs"]
|
||||
|
||||
# should not recalculate if heartbeat not reached
|
||||
edge._last_updated = dt_ts() - heartbeat + 1
|
||||
|
||||
assert edge.calculate(edge_conf["exchange"]["pair_whitelist"]) is False
|
||||
|
||||
|
||||
def mocked_load_data(datadir, pairs=None, timeframe="0m", timerange=None, *args, **kwargs):
|
||||
if pairs is None:
|
||||
pairs = []
|
||||
hz = 0.1
|
||||
base = 0.001
|
||||
|
||||
NEOBTC = [
|
||||
[
|
||||
dt_ts(tests_start_time + timedelta(minutes=(x * timeframe_in_minute))),
|
||||
math.sin(x * hz) / 1000 + base,
|
||||
math.sin(x * hz) / 1000 + base + 0.0001,
|
||||
math.sin(x * hz) / 1000 + base - 0.0001,
|
||||
math.sin(x * hz) / 1000 + base,
|
||||
123.45,
|
||||
]
|
||||
for x in range(0, 500)
|
||||
]
|
||||
|
||||
hz = 0.2
|
||||
base = 0.002
|
||||
LTCBTC = [
|
||||
[
|
||||
dt_ts(tests_start_time + timedelta(minutes=(x * timeframe_in_minute))),
|
||||
math.sin(x * hz) / 1000 + base,
|
||||
math.sin(x * hz) / 1000 + base + 0.0001,
|
||||
math.sin(x * hz) / 1000 + base - 0.0001,
|
||||
math.sin(x * hz) / 1000 + base,
|
||||
123.45,
|
||||
]
|
||||
for x in range(0, 500)
|
||||
]
|
||||
|
||||
pairdata = {
|
||||
"NEO/BTC": ohlcv_to_dataframe(NEOBTC, "1h", pair="NEO/BTC", fill_missing=True),
|
||||
"LTC/BTC": ohlcv_to_dataframe(LTCBTC, "1h", pair="LTC/BTC", fill_missing=True),
|
||||
}
|
||||
return pairdata
|
||||
|
||||
|
||||
def test_edge_process_downloaded_data(mocker, edge_conf):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
|
||||
mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
assert edge.calculate(edge_conf["exchange"]["pair_whitelist"])
|
||||
assert len(edge._cached_pairs) == 2
|
||||
assert edge._last_updated <= dt_ts() + 2
|
||||
|
||||
|
||||
def test_edge_process_no_data(mocker, edge_conf, caplog):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
|
||||
mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", MagicMock(return_value={}))
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
|
||||
assert len(edge._cached_pairs) == 0
|
||||
assert log_has("No data found. Edge is stopped ...", caplog)
|
||||
assert edge._last_updated == 0
|
||||
|
||||
|
||||
def test_edge_process_no_trades(mocker, edge_conf, caplog):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.edge_positioning.refresh_data",
|
||||
)
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
|
||||
# Return empty
|
||||
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
|
||||
assert len(edge._cached_pairs) == 0
|
||||
assert log_has("No trades found.", caplog)
|
||||
|
||||
|
||||
def test_edge_process_no_pairs(mocker, edge_conf, caplog):
|
||||
edge_conf["exchange"]["pair_whitelist"] = []
|
||||
mocker.patch("freqtrade.freqtradebot.validate_config_consistency")
|
||||
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
fee_mock = mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
|
||||
mocker.patch("freqtrade.edge.edge_positioning.refresh_data")
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
|
||||
# Return empty
|
||||
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
assert fee_mock.call_count == 0
|
||||
assert edge.fee is None
|
||||
|
||||
assert not edge.calculate(["XRP/USDT"])
|
||||
assert fee_mock.call_count == 1
|
||||
assert edge.fee == 0.001
|
||||
|
||||
|
||||
def test_edge_init_error(mocker, edge_conf):
|
||||
edge_conf["stake_amount"] = 0.5
|
||||
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
|
||||
with pytest.raises(OperationalException, match="Edge works only with unlimited stake amount"):
|
||||
get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"fee,risk_reward_ratio,expectancy",
|
||||
[
|
||||
(0.0005, 306.5384615384, 101.5128205128),
|
||||
(0.001, 152.6923076923, 50.2307692308),
|
||||
],
|
||||
)
|
||||
def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectancy):
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
def get_fee(*args, **kwargs):
|
||||
return fee
|
||||
|
||||
freqtrade.exchange.get_fee = get_fee
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 17,
|
||||
"close_rate": 17,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 20,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 34,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
assert len(final) == 1
|
||||
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 0.3333333333
|
||||
assert round(final["TEST/BTC"].risk_reward_ratio, 10) == risk_reward_ratio
|
||||
assert round(final["TEST/BTC"].required_risk_reward, 10) == 2.0
|
||||
assert round(final["TEST/BTC"].expectancy, 10) == expectancy
|
||||
|
||||
# Pop last item so no trade is profitable
|
||||
trades.pop()
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
assert len(final) == 0
|
||||
assert isinstance(final, dict)
|
||||
|
||||
|
||||
def test_process_expectancy_remove_pumps(mocker, edge_conf, fee):
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
edge_conf["edge"]["remove_pumps"] = True
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
freqtrade.exchange.get_fee = fee
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"open_index": 1,
|
||||
"close_index": 1,
|
||||
"trade_duration": "",
|
||||
"open_rate": 17,
|
||||
"close_rate": 15,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"open_index": 6,
|
||||
"close_index": 7,
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 134,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert final["TEST/BTC"].nb_trades == len(trades_df) - 1
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 0.0
|
||||
|
||||
|
||||
def test_process_expectancy_only_wins(mocker, edge_conf, fee):
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
freqtrade.exchange.get_fee = fee
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"open_index": 1,
|
||||
"close_index": 1,
|
||||
"trade_duration": "",
|
||||
"open_rate": 15,
|
||||
"close_rate": 17,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 10,
|
||||
"close_rate": 20,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"open_index": 6,
|
||||
"close_index": 7,
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 134,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert final["TEST/BTC"].nb_trades == len(trades_df)
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 1.0
|
||||
assert round(final["TEST/BTC"].risk_reward_ratio, 10) == float("inf")
|
||||
assert round(final["TEST/BTC"].expectancy, 10) == float("inf")
|
||||
@@ -1167,21 +1167,6 @@ def test_api_logs(botclient):
|
||||
assert len(rc1.json()["logs"]) == rc1.json()["log_count"]
|
||||
|
||||
|
||||
def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
|
||||
ftbot, client = botclient
|
||||
patch_get_signal(ftbot)
|
||||
mocker.patch.multiple(
|
||||
EXMS,
|
||||
get_balances=MagicMock(return_value=ticker),
|
||||
fetch_ticker=ticker,
|
||||
get_fee=fee,
|
||||
markets=PropertyMock(return_value=markets),
|
||||
)
|
||||
rc = client_get(client, f"{BASE_URI}/edge")
|
||||
assert_response(rc, 502)
|
||||
assert rc.json() == {"error": "Error querying /api/v1/edge: Edge is not enabled."}
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"is_short,expected",
|
||||
[
|
||||
|
||||
Reference in New Issue
Block a user