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Merge branch 'lev-strat' into lev-freqtradebot

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Sam Germain
2021-09-08 00:00:53 -06:00
parent dc83e04f9b b752516f65
commit e13b0414d8
22 changed files with 1129 additions and 208 deletions
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97
tests/strategy/test_interface.py
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@@ -1,4 +1,5 @@
# pragma pylint: disable=missing-docstring, C0103
from freqtrade.enums.signaltype import SignalDirection
import logging
from datetime import datetime, timedelta, timezone
from pathlib import Path
@@ -30,28 +31,56 @@ _STRATEGY = StrategyTestV2(config={})
_STRATEGY.dp = DataProvider({}, None, None)
def test_returns_latest_signal(mocker, default_conf, ohlcv_history):
def test_returns_latest_signal(ohlcv_history):
ohlcv_history.loc[1, 'date'] = arrow.utcnow()
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'sell'] = 1
mocked_history['enter_long'] = 0
mocked_history['exit_long'] = 0
mocked_history['enter_short'] = 0
mocked_history['exit_short'] = 0
mocked_history.loc[1, 'exit_long'] = 1
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, True, None)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 1
assert _STRATEGY.get_entry_signal('ETH/BTC', '5m', mocked_history) == (None, None)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (False, True)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, False)
mocked_history.loc[1, 'exit_long'] = 0
mocked_history.loc[1, 'enter_long'] = 1
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False, None)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 0
assert _STRATEGY.get_entry_signal('ETH/BTC', '5m', mocked_history
) == (SignalDirection.LONG, None)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (True, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, False)
mocked_history.loc[1, 'exit_long'] = 0
mocked_history.loc[1, 'enter_long'] = 0
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, False, None)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 1
assert _STRATEGY.get_entry_signal('ETH/BTC', '5m', mocked_history) == (None, None)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (False, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, False)
mocked_history.loc[1, 'exit_long'] = 0
mocked_history.loc[1, 'enter_long'] = 1
mocked_history.loc[1, 'buy_tag'] = 'buy_signal_01'
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False, 'buy_signal_01')
assert _STRATEGY.get_entry_signal(
'ETH/BTC', '5m', mocked_history) == (SignalDirection.LONG, 'buy_signal_01')
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (True, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, False)
mocked_history.loc[1, 'exit_long'] = 0
mocked_history.loc[1, 'enter_long'] = 0
mocked_history.loc[1, 'enter_short'] = 1
mocked_history.loc[1, 'exit_short'] = 0
assert _STRATEGY.get_entry_signal(
'ETH/BTC', '5m', mocked_history) == (SignalDirection.SHORT, None)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (False, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (True, False)
mocked_history.loc[1, 'enter_short'] = 0
mocked_history.loc[1, 'exit_short'] = 1
assert _STRATEGY.get_entry_signal(
'ETH/BTC', '5m', mocked_history) == (None, None)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history) == (False, False)
assert _STRATEGY.get_exit_signal('ETH/BTC', '5m', mocked_history, True) == (False, True)
def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
@@ -67,18 +96,18 @@ def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
assert log_has('Empty dataframe for pair ETH/BTC', caplog)
def test_get_signal_empty(default_conf, mocker, caplog):
assert (False, False, None) == _STRATEGY.get_signal(
def test_get_signal_empty(default_conf, caplog):
assert (None, None) == _STRATEGY.get_latest_candle(
'foo', default_conf['timeframe'], DataFrame()
)
assert log_has('Empty candle (OHLCV) data for pair foo', caplog)
caplog.clear()
assert (False, False, None) == _STRATEGY.get_signal('bar', default_conf['timeframe'], None)
assert (None, None) == _STRATEGY.get_latest_candle('bar', default_conf['timeframe'], None)
assert log_has('Empty candle (OHLCV) data for pair bar', caplog)
caplog.clear()
assert (False, False, None) == _STRATEGY.get_signal(
assert (None, None) == _STRATEGY.get_latest_candle(
'baz',
default_conf['timeframe'],
DataFrame([])
@@ -86,7 +115,7 @@ def test_get_signal_empty(default_conf, mocker, caplog):
assert log_has('Empty candle (OHLCV) data for pair baz', caplog)
def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_history):
def test_get_signal_exception_valueerror(mocker, caplog, ohlcv_history):
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'ohlcv', return_value=ohlcv_history)
mocker.patch.object(
@@ -111,14 +140,14 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'buy'] = 1
mocked_history['exit_long'] = 0
mocked_history['enter_long'] = 0
mocked_history.loc[1, 'enter_long'] = 1
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY, 'assert_df')
assert (False, False, None) == _STRATEGY.get_signal(
assert (None, None) == _STRATEGY.get_latest_candle(
'xyz',
default_conf['timeframe'],
mocked_history
@@ -134,13 +163,13 @@ def test_get_signal_no_sell_column(default_conf, mocker, caplog, ohlcv_history):
mocked_history = ohlcv_history.copy()
# Intentionally don't set sell column
# mocked_history['sell'] = 0
mocked_history['buy'] = 0
mocked_history.loc[1, 'buy'] = 1
mocked_history['enter_long'] = 0
mocked_history.loc[1, 'enter_long'] = 1
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY, 'assert_df')
assert (True, False, None) == _STRATEGY.get_signal(
assert (SignalDirection.LONG, None) == _STRATEGY.get_entry_signal(
'xyz',
default_conf['timeframe'],
mocked_history
@@ -452,27 +481,35 @@ def test_custom_sell(default_conf, fee, caplog) -> None:
)
now = arrow.utcnow().datetime
res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
res = strategy.should_exit(trade, 1, now,
enter=False, exit_=False,
low=None, high=None)
assert res.sell_flag is False
assert res.sell_type == SellType.NONE
strategy.custom_sell = MagicMock(return_value=True)
res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
res = strategy.should_exit(trade, 1, now,
enter=False, exit_=False,
low=None, high=None)
assert res.sell_flag is True
assert res.sell_type == SellType.CUSTOM_SELL
assert res.sell_reason == 'custom_sell'
strategy.custom_sell = MagicMock(return_value='hello world')
res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
res = strategy.should_exit(trade, 1, now,
enter=False, exit_=False,
low=None, high=None)
assert res.sell_type == SellType.CUSTOM_SELL
assert res.sell_flag is True
assert res.sell_reason == 'hello world'
caplog.clear()
strategy.custom_sell = MagicMock(return_value='h' * 100)
res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
res = strategy.should_exit(trade, 1, now,
enter=False, exit_=False,
low=None, high=None)
assert res.sell_type == SellType.CUSTOM_SELL
assert res.sell_flag is True
assert res.sell_reason == 'h' * 64