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Merge branch 'feat/short' into pr/samgermain/5378

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Matthias
2021-09-04 19:54:34 +02:00
parent b61735937c 5184cc7749
commit ca44d2e092
59 changed files with 566 additions and 276 deletions
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232
tests/optimize/test_backtesting.py
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@@ -1,7 +1,7 @@
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
import random
from datetime import timedelta
from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock
@@ -159,7 +159,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--export', 'none'
]
@@ -194,7 +194,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--enable-position-stacking',
@@ -244,7 +244,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--stake-amount', '1',
'--starting-balance', '2'
]
@@ -255,7 +255,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--stake-amount', '1',
'--starting-balance', '0.5'
]
@@ -273,7 +273,7 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
]
pargs = get_args(args)
start_backtesting(pargs)
@@ -306,7 +306,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
patch_exchange(mocker)
del default_conf['timeframe']
default_conf['strategy_list'] = ['DefaultStrategy',
default_conf['strategy_list'] = ['StrategyTestV2',
'SampleStrategy']
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
@@ -344,7 +344,7 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
assert len(processed['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
default_conf.update({'strategy': 'DefaultStrategy'})
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
processed2 = strategy.advise_all_indicators(data)
@@ -445,6 +445,15 @@ def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) ->
with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'):
Backtesting(default_conf)
default_conf.update({
'pairlists': [{"method": "StaticPairList"}],
'timeframe_detail': '1d',
})
with pytest.raises(OperationalException,
match='Detail timeframe must be smaller than strategy timeframe.'):
Backtesting(default_conf)
def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, tickers) -> None:
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
@@ -477,7 +486,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti
Backtesting(default_conf)
# Multiple strategies
default_conf['strategy_list'] = ['DefaultStrategy', 'TestStrategyLegacy']
default_conf['strategy_list'] = ['StrategyTestV2', 'TestStrategyLegacyV1']
with pytest.raises(OperationalException,
match='PrecisionFilter not allowed for backtesting multiple strategies.'):
Backtesting(default_conf)
@@ -495,7 +504,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
pair = 'UNITTEST/BTC'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
1, # Sell
1, # Buy
0.001, # Open
0.0011, # Close
0, # Sell
@@ -549,6 +558,88 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
backtesting.cleanup()
def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
patch_exchange(mocker)
default_conf['timeframe_detail'] = '1m'
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
pair = 'UNITTEST/BTC'
row = [
pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=55, tzinfo=timezone.utc),
1, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
201.5, # High
'', # Buy Signal Name
]
trade = backtesting._enter_trade(pair, row=row)
assert isinstance(trade, LocalTrade)
row_sell = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
0, # Buy
200, # Open
201, # Close
0, # Sell
195, # Low
210.5, # High
'', # Buy Signal Name
]
row_detail = pd.DataFrame(
[
[
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc),
1, 200, 199, 0, 197, 200.1, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=1, tzinfo=timezone.utc),
0, 199, 199.5, 0, 199, 199.7, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=2, tzinfo=timezone.utc),
0, 199.5, 200.5, 0, 199, 200.8, '',
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=3, tzinfo=timezone.utc),
0, 200.5, 210.5, 0, 193, 210.5, '', # ROI sell (?)
], [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=4, tzinfo=timezone.utc),
0, 200, 199, 0, 193, 200.1, '',
],
], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"]
)
# No data available.
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc)
# Enter new trade
trade = backtesting._enter_trade(pair, row=row)
assert isinstance(trade, LocalTrade)
# Assign empty ... no result.
backtesting.detail_data[pair] = pd.DataFrame(
[], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"])
res = backtesting._get_sell_trade_entry(trade, row)
assert res is None
# Assign backtest-detail data
backtesting.detail_data[pair] = row_detail
res = backtesting._get_sell_trade_entry(trade, row_sell)
assert res is not None
assert res.sell_reason == SellType.ROI.value
# Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
assert round(res.close_rate, 3) == round(209.0225, 3)
def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
@@ -704,7 +795,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our default_strategy
# Override the default buy trend function in our StrategyTestV2
def fun(dataframe=None, pair=None):
buy_value = 1
sell_value = 1
@@ -720,7 +811,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
def test_backtest_only_sell(mocker, default_conf, testdatadir):
# Override the default buy trend function in our default_strategy
# Override the default buy trend function in our StrategyTestV2
def fun(dataframe=None, pair=None):
buy_value = 0
sell_value = 1
@@ -849,7 +940,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--strategy', 'StrategyTestV2',
'--datadir', str(testdatadir),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
@@ -920,8 +1011,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
'StrategyTestV2',
'TestStrategyLegacyV1',
]
args = get_args(args)
start_backtesting(args)
@@ -943,8 +1034,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
'Backtesting with data from 2017-11-14 21:17:00 '
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
for line in exists:
@@ -1024,8 +1115,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
'StrategyTestV2',
'TestStrategyLegacyV1',
]
args = get_args(args)
start_backtesting(args)
@@ -1041,8 +1132,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'Backtesting with data from 2017-11-14 21:17:00 '
'up to 2017-11-14 22:58:00 (0 days).',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
'Running backtesting for Strategy StrategyTestV2',
'Running backtesting for Strategy TestStrategyLegacyV1',
]
for line in exists:
@@ -1054,3 +1145,102 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
assert 'LEFT OPEN TRADES REPORT' in captured.out
assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
assert 'STRATEGY SUMMARY' in captured.out
@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
caplog, testdatadir, capsys):
# Tests detail-data loading
default_conf.update({
"use_sell_signal": True,
"sell_profit_only": False,
"sell_profit_offset": 0.0,
"ignore_roi_if_buy_signal": False,
})
patch_exchange(mocker)
result1 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'],
'profit_ratio': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00', ], utc=True
),
'close_date': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00', ], utc=True),
'trade_duration': [235, 40],
'is_open': [False, False],
'stake_amount': [0.01, 0.01],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
})
result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_ratio': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_date': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00',
'2018-01-30 05:30:00'], utc=True
),
'close_date': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00',
'2018-01-30 08:30:00'], utc=True),
'trade_duration': [47, 40, 20],
'is_open': [False, False, False],
'stake_amount': [0.01, 0.01, 0.01],
'open_rate': [0.104445, 0.10302485, 0.122541],
'close_rate': [0.104969, 0.103541, 0.123541],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
backtestmock = MagicMock(side_effect=[
{
'results': result1,
'config': default_conf,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
},
{
'results': result2,
'config': default_conf,
'locks': [],
'rejected_signals': 20,
'final_balance': 1000,
}
])
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['XRP/ETH']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
patched_configuration_load_config_file(mocker, default_conf)
args = [
'backtesting',
'--config', 'config.json',
'--datadir', str(testdatadir),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '5m',
'--timeframe-detail', '1m',
'--strategy-list',
'StrategyTestV2'
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 5m ...',
'Parameter --timeframe-detail detected, using 1m for intra-candle backtesting ...',
f'Using data directory: {testdatadir} ...',
'Loading data from 2019-10-11 00:00:00 '
'up to 2019-10-13 11:10:00 (2 days).',
'Backtesting with data from 2019-10-11 01:40:00 '
'up to 2019-10-13 11:10:00 (2 days).',
'Running backtesting for Strategy StrategyTestV2',
]
for line in exists:
assert log_has(line, caplog)
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out