diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index ea95a500f..a8260af49 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -15,7 +15,7 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe, # Test 0: Sell with signal sell in candle 3 # Test with Stop-loss at 1% tc0 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], # exit with stoploss hit @@ -29,7 +29,7 @@ tc0 = BTContainer(data=[ # Test 1: Stop-Loss Triggered 1% loss # Test with Stop-loss at 1% tc1 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit @@ -44,7 +44,7 @@ tc1 = BTContainer(data=[ # Test 2: Minus 4% Low, minus 1% close # Test with Stop-Loss at 3% tc2 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4962, 4975, 6172, 0, 0], @@ -63,7 +63,7 @@ tc2 = BTContainer(data=[ # Trade-A: Stop-Loss Triggered 2% Loss # Trade-B: Stop-Loss Triggered 2% Loss tc3 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4800, 4975, 6172, 0, 0], # exit with stoploss hit @@ -81,7 +81,7 @@ tc3 = BTContainer(data=[ # Test with Stop-loss at 2% ROI 6% # Stop-Loss Triggered 2% Loss tc4 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5750, 4850, 5750, 6172, 0, 0], # Exit with stoploss hit @@ -95,7 +95,7 @@ tc4 = BTContainer(data=[ # Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain # stop-loss: 1%, ROI: 3% tc5 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4980, 4987, 6172, 1, 0], [1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5025, 4975, 4987, 6172, 0, 0], @@ -109,7 +109,7 @@ tc5 = BTContainer(data=[ # Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss # stop-loss: 2% ROI: 5% tc6 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5300, 4850, 5050, 6172, 0, 0], # Exit with stoploss @@ -123,7 +123,7 @@ tc6 = BTContainer(data=[ # Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain # stop-loss: 2% ROI: 3% tc7 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5050, 6172, 0, 0], @@ -138,7 +138,7 @@ tc7 = BTContainer(data=[ # Test 8: trailing_stop should raise so candle 3 causes a stoploss. # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2 tc8 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5050, 4950, 5000, 6172, 0, 0], [2, 5000, 5250, 4750, 4850, 6172, 0, 0], @@ -152,7 +152,7 @@ tc8 = BTContainer(data=[ # Test 9: trailing_stop should raise - high and low in same candle. # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3 tc9 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5050, 4950, 5000, 6172, 0, 0], [2, 5000, 5050, 4950, 5000, 6172, 0, 0], @@ -166,7 +166,7 @@ tc9 = BTContainer(data=[ # without applying trailing_stop_positive since stoploss_offset is at 10%. # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2 tc10 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 5100, 5100, 6172, 0, 0], @@ -182,7 +182,7 @@ tc10 = BTContainer(data=[ # applying a positive trailing stop of 3% since stop_positive_offset is reached. # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2 tc11 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 5100, 5100, 6172, 0, 0], @@ -198,7 +198,7 @@ tc11 = BTContainer(data=[ # applying a positive trailing stop of 3% since stop_positive_offset is reached. # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2 tc12 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 4650, 5100, 6172, 0, 0], @@ -213,7 +213,7 @@ tc12 = BTContainer(data=[ # Test 13: Buy and sell ROI on same candle # stop-loss: 10% (should not apply), ROI: 1% tc13 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 4850, 5100, 6172, 0, 0], @@ -226,7 +226,7 @@ tc13 = BTContainer(data=[ # Test 14 - Buy and Stoploss on same candle # stop-loss: 5%, ROI: 10% (should not apply) tc14 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4600, 5100, 6172, 0, 0], [2, 5100, 5251, 4850, 5100, 6172, 0, 0], @@ -240,7 +240,7 @@ tc14 = BTContainer(data=[ # Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle # stop-loss: 5%, ROI: 10% (should not apply) tc15 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4900, 5100, 6172, 1, 0], [2, 5100, 5251, 4650, 5100, 6172, 0, 0], @@ -255,7 +255,7 @@ tc15 = BTContainer(data=[ # Causes negative profit even though sell-reason is ROI. # stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration) tc16 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5050, 6172, 0, 0], @@ -271,7 +271,7 @@ tc16 = BTContainer(data=[ # stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration) # Uses open as sell-rate (special case) - since the roi-time is a multiple of the timeframe. tc17 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5050, 6172, 0, 0], @@ -287,7 +287,7 @@ tc17 = BTContainer(data=[ # stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration) # uses open_rate as sell-price tc18 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5200, 6172, 0, 0], @@ -302,7 +302,7 @@ tc18 = BTContainer(data=[ # stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration) # uses calculated ROI (1%) as sell rate, otherwise identical to tc18 tc19 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5200, 6172, 0, 0], @@ -317,7 +317,7 @@ tc19 = BTContainer(data=[ # stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration) # uses calculated ROI (1%) as sell rate, otherwise identical to tc18 tc20 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], [2, 4987, 5300, 4950, 5200, 6172, 0, 0], @@ -333,7 +333,7 @@ tc20 = BTContainer(data=[ # which cannot happen in reality # stop-loss: 10%, ROI: 4%, Trailing stop adjusted at the sell candle tc21 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 4650, 5100, 6172, 0, 0], @@ -349,7 +349,7 @@ tc21 = BTContainer(data=[ # applying a positive trailing stop of 3% - ROI should apply before trailing stop. # stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2 tc22 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 5100, 5100, 6172, 0, 0], @@ -368,7 +368,7 @@ tc22 = BTContainer(data=[ # Stoploss would trigger in this candle too, but it's no longer relevant. # stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2, ROI adjusted in candle 3 (causing the sell) tc23 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 5100, 5100, 6172, 0, 0], @@ -384,7 +384,7 @@ tc23 = BTContainer(data=[ # Stoploss at 1%. # Stoploss wins over Sell-signal (because sell-signal is acted on in the next candle) tc24 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], @@ -399,7 +399,7 @@ tc24 = BTContainer(data=[ # Stoploss at 1%. # Sell-signal wins over stoploss tc25 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], @@ -414,7 +414,7 @@ tc25 = BTContainer(data=[ # Stoploss at 10% (irrelevant), ROI at 5% (will trigger) # Sell-signal wins over stoploss tc26 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], @@ -428,7 +428,7 @@ tc26 = BTContainer(data=[ # Test 27: Sell with signal sell in candle 3 (ROI at signal candle) # Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal tc27 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], @@ -444,7 +444,7 @@ tc27 = BTContainer(data=[ # therefore "open" will be used # stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2 tc28 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5100, 4950, 5100, 6172, 0, 0], [2, 5100, 5251, 5100, 5100, 6172, 0, 0], @@ -460,7 +460,7 @@ tc28 = BTContainer(data=[ # high of stoploss candle. # stop-loss: 10%, ROI: 10% (should not apply) tc29 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5050, 5000, 5000, 6172, 0, 0], # enter trade (signal on last candle) [2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Triggers trailing-stoploss @@ -474,7 +474,7 @@ tc29 = BTContainer(data=[ # Test 30: trailing_stop should be triggered immediately on trade open candle. # stop-loss: 10%, ROI: 10% (should not apply) tc30 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4900, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -488,7 +488,7 @@ tc30 = BTContainer(data=[ # Test 31: trailing_stop should be triggered immediately on trade open candle. # stop-loss: 10%, ROI: 10% (should not apply) tc31 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4900, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -503,7 +503,7 @@ tc31 = BTContainer(data=[ # Test 32: trailing_stop should be triggered immediately on trade open candle. # stop-loss: 1%, ROI: 10% (should not apply) tc32 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 5000, 6172, 0, 0], # enter trade and stop [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -537,7 +537,7 @@ tc33 = BTContainer(data=[ # Test 34: Custom-entry-price below all candles should timeout - so no trade happens. tc34 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 5000, 6172, 0, 0], # timeout [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -549,7 +549,7 @@ tc34 = BTContainer(data=[ # Test 35: Custom-entry-price above all candles should have rate adjusted to "entry candle high" tc35 = BTContainer(data=[ - # D O H L C V B S + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 5000, 6172, 0, 0], # Timeout [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -566,7 +566,7 @@ tc35 = BTContainer(data=[ # below open, we treat this as cheating, and delay the sell by 1 candle. # details: https://github.com/freqtrade/freqtrade/issues/6261 tc36 = BTContainer(data=[ - # D O H L C V B S BT + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 4999, 6172, 0, 0], # Enter and immediate ROI [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -581,7 +581,7 @@ tc36 = BTContainer(data=[ # Would cause immediate ROI exit below close # details: https://github.com/freqtrade/freqtrade/issues/6261 tc37 = BTContainer(data=[ - # D O H L C V B S BT + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5400, 5500, 4951, 5100, 6172, 0, 0], # Enter and immediate ROI [2, 4900, 5250, 4500, 5100, 6172, 0, 0], @@ -595,7 +595,7 @@ tc37 = BTContainer(data=[ # Test 38: Custom exit price below all candles # Price adjusted to candle Low. tc38 = BTContainer(data=[ - # D O H L C V B S BT + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 5000, 6172, 0, 0], [2, 4900, 5250, 4900, 5100, 6172, 0, 1], # exit - but timeout @@ -610,7 +610,7 @@ tc38 = BTContainer(data=[ # Test 39: Custom exit price above all candles # causes sell signal timeout tc39 = BTContainer(data=[ - # D O H L C V B S BT + # D O H L C V EL XL ES Xs BT [0, 5000, 5050, 4950, 5000, 6172, 1, 0], [1, 5000, 5500, 4951, 5000, 6172, 0, 0], [2, 4900, 5250, 4900, 5100, 6172, 0, 1], # exit - but timeout @@ -622,12 +622,12 @@ tc39 = BTContainer(data=[ trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)] ) -# Test 39: (copy of test25 with leverage) +# Test 40: (copy of test25 with leverage) # Sell with signal sell in candle 3 (stoploss also triggers on this candle) # Stoploss at 1%. # Sell-signal wins over stoploss -tc39 = BTContainer(data=[ - # D O H L C V B S +tc40 = BTContainer(data=[ + # D O H L C V EL XL ES Xs BT [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle) [2, 4987, 5012, 4986, 4986, 6172, 0, 0], @@ -681,6 +681,7 @@ TESTS = [ tc37, tc38, tc39, + tc40, # TODO-lev: Add tests for short here ]