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Merge pull request #11248 from xmatthias/fix/backtest_max_detail_2

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Improved Backtest timeframe-detail execution logic
This commit is contained in:
Matthias
2025-01-24 06:39:36 +01:00
committed by GitHub
parent 713979d80c 6b1af9b9a2
commit c3cc58a1af
5 changed files with 179 additions and 111 deletions
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29
tests/optimize/test_backtesting.py
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@@ -870,6 +870,7 @@ def test_backtest_one_detail(default_conf_usdt, mocker, testdatadir, use_detail)
backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.populate_entry_trend = advise_entry
backtesting.strategy.ignore_buying_expired_candle_after = 59
backtesting.strategy.custom_entry_price = custom_entry_price
pair = "XRP/ETH"
# Pick a timerange adapted to the pair we use to test
@@ -940,7 +941,7 @@ def test_backtest_one_detail(default_conf_usdt, mocker, testdatadir, use_detail)
@pytest.mark.parametrize(
"use_detail,exp_funding_fee, exp_ff_updates",
[
(True, -0.018054162, 11),
(True, -0.018054162, 10),
(False, -0.01780296, 6),
],
)
@@ -1002,7 +1003,7 @@ def test_backtest_one_detail_futures(
results = result["results"]
assert not results.empty
# Timeout settings from default_conf = entry: 10, exit: 30
assert len(results) == (5 if use_detail else 2)
assert len(results) == (4 if use_detail else 2)
assert "orders" in results.columns
data_pair = processed[pair]
@@ -1775,16 +1776,21 @@ def test_backtest_multi_pair_detail_simplified(
if use_detail:
# Backtest loop is called once per candle per pair
# Exact numbers depend on trade state - but should be around 3_800
assert bl_spy.call_count > 3_350
assert bl_spy.call_count < 3_800
# Exact numbers depend on trade state - but should be around 2_600
assert bl_spy.call_count > 2_170
assert bl_spy.call_count < 2_800
assert len(evaluate_result_multi(results["results"], "1h", 3)) > 0
else:
assert bl_spy.call_count < 995
assert len(evaluate_result_multi(results["results"], "1h", 3)) == 0
# Make sure we have parallel trades
assert len(evaluate_result_multi(results["results"], "1h", 2)) > 0
assert len(evaluate_result_multi(results["results"], "5m", 2)) > 0
# make sure we don't have trades with more than configured max_open_trades
assert len(evaluate_result_multi(results["results"], "1h", 3)) == 0
# This must evaluate on detail timeframe - as we can have entries within the candle.
assert len(evaluate_result_multi(results["results"], "5m", 3)) == 0
assert len(evaluate_result_multi(results["results"], "1m", 3)) == 0
# # Cached data correctly removed amounts
offset = 1 if tres == 0 else 0
@@ -1803,7 +1809,12 @@ def test_backtest_multi_pair_detail_simplified(
"end_date": max_date,
}
results = backtesting.backtest(**backtest_conf)
assert len(evaluate_result_multi(results["results"], "1h", 1)) == 0
if use_detail:
assert len(evaluate_result_multi(results["results"], "1h", 1)) > 0
else:
assert len(evaluate_result_multi(results["results"], "1h", 1)) == 0
assert len(evaluate_result_multi(results["results"], "5m", 1)) == 0
assert len(evaluate_result_multi(results["results"], "1m", 1)) == 0
@pytest.mark.parametrize("use_detail", [True, False])
@@ -1900,9 +1911,9 @@ 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 == 1484
assert bl_spy.call_count == 1511
else:
assert bl_spy.call_count == 479
assert bl_spy.call_count == 508
# Make sure we have parallel trades
assert len(evaluate_result_multi(results["results"], "5m", 0)) > 0