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tests: Improve hyperopt loss tests

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Matthias
2024-12-03 19:17:01 +01:00
parent 18305a5bf6
commit ad8f621287
1 changed files with 73 additions and 11 deletions
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84
tests/optimize/test_hyperoptloss.py
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@@ -39,13 +39,34 @@ def test_loss_calculation_prefer_correct_trade_count(hyperopt_conf, hyperopt_res
hyperopt_conf.update({"hyperopt_loss": "ShortTradeDurHyperOptLoss"})
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
correct = hl.hyperopt_loss_function(
hyperopt_results, 600, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=hyperopt_results,
trade_count=600,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": hyperopt_results["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
over = hl.hyperopt_loss_function(
hyperopt_results, 600 + 100, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=hyperopt_results,
trade_count=600 + 100,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": hyperopt_results["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
under = hl.hyperopt_loss_function(
hyperopt_results, 600 - 100, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=hyperopt_results,
trade_count=600 - 100,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": hyperopt_results["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
assert over > correct
assert under > correct
@@ -58,9 +79,25 @@ def test_loss_calculation_prefer_shorter_trades(hyperopt_conf, hyperopt_results)
hyperopt_conf.update({"hyperopt_loss": "ShortTradeDurHyperOptLoss"})
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
longer = hl.hyperopt_loss_function(
hyperopt_results, 100, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=hyperopt_results,
trade_count=100,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": hyperopt_results["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
shorter = hl.hyperopt_loss_function(
results=resultsb,
trade_count=100,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": resultsb["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
shorter = hl.hyperopt_loss_function(resultsb, 100, datetime(2019, 1, 1), datetime(2019, 5, 1))
assert shorter < longer
@@ -73,11 +110,34 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
hyperopt_conf.update({"hyperopt_loss": "ShortTradeDurHyperOptLoss"})
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
correct = hl.hyperopt_loss_function(
hyperopt_results, 600, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=hyperopt_results,
trade_count=600,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": hyperopt_results["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
over = hl.hyperopt_loss_function(
results=results_over,
trade_count=600,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": results_over["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
over = hl.hyperopt_loss_function(results_over, 600, datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(
results_under, 600, datetime(2019, 1, 1), datetime(2019, 5, 1)
results=results_under,
trade_count=600,
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=hyperopt_conf,
processed=None,
backtest_stats={"profit_total": results_under["profit_abs"].sum()},
starting_balance=hyperopt_conf["dry_run_wallet"],
)
assert over < correct
assert under > correct
@@ -109,7 +169,7 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
default_conf.update({"hyperopt_loss": lossfunction})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
correct = hl.hyperopt_loss_function(
hyperopt_results,
results=hyperopt_results,
trade_count=len(hyperopt_results),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
@@ -119,22 +179,24 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
starting_balance=default_conf["dry_run_wallet"],
)
over = hl.hyperopt_loss_function(
results_over,
results=results_over,
trade_count=len(results_over),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={"profit_total": results_over["profit_abs"].sum()},
starting_balance=default_conf["dry_run_wallet"],
)
under = hl.hyperopt_loss_function(
results_under,
results=results_under,
trade_count=len(results_under),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={"profit_total": results_under["profit_abs"].sum()},
starting_balance=default_conf["dry_run_wallet"],
)
assert over < correct
assert under > correct