ruff format: More updates to tests
This commit is contained in:
Matthias
+355
-303
@@ -37,70 +37,82 @@ timeframe_in_minute = 60
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# End helper functions
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# Open trade should be removed from the end
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tc0 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1]], # enter trade (signal on last candle)
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stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00,
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trades=[]
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tc0 = BTContainer(
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data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1],
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], # enter trade (signal on last candle)
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stop_loss=-0.99,
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roi={"0": float("inf")},
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profit_perc=0.00,
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trades=[],
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)
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# Two complete trades within dataframe(with sell hit for all)
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tc1 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
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[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
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[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
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[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
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[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
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],
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stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00,
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trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=2),
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BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=6)]
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tc1 = BTContainer(
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data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
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[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
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[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
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[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
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[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
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],
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stop_loss=-0.99,
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roi={"0": float("inf")},
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profit_perc=0.00,
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trades=[
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BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=2),
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BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=6),
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],
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)
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# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
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tc2 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
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tc2 = BTContainer(
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data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.01,
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roi={"0": float("inf")},
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profit_perc=-0.01,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
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)
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# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
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tc3 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
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tc3 = BTContainer(
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data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.03,
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roi={"0": float("inf")},
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profit_perc=-0.03,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
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)
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# 5) Stoploss and sell are hit. should sell on stoploss
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tc4 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)]
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tc4 = BTContainer(
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data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal
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[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
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],
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stop_loss=-0.03,
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roi={"0": float("inf")},
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profit_perc=-0.03,
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trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)],
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)
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TESTS = [
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tc0,
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tc1,
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tc2,
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tc3,
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tc4
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]
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TESTS = [tc0, tc1, tc2, tc3, tc4]
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@pytest.mark.parametrize("data", TESTS)
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@@ -114,7 +126,7 @@ def test_edge_results(edge_conf, mocker, caplog, data) -> None:
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caplog.set_level(logging.DEBUG)
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edge.fee = 0
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trades = edge._find_trades_for_stoploss_range(frame, 'TEST/BTC', [data.stop_loss])
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trades = edge._find_trades_for_stoploss_range(frame, "TEST/BTC", [data.stop_loss])
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results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
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assert len(trades) == len(data.trades)
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@@ -132,106 +144,117 @@ def test_edge_results(edge_conf, mocker, caplog, data) -> None:
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def test_adjust(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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'C/D': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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'N/O': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60)
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}
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))
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mocker.patch(
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"freqtrade.edge.Edge._cached_pairs",
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mocker.PropertyMock(
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return_value={
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"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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),
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)
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pairs = ['A/B', 'C/D', 'E/F', 'G/H']
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assert (edge.adjust(pairs) == ['E/F', 'C/D'])
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pairs = ["A/B", "C/D", "E/F", "G/H"]
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assert edge.adjust(pairs) == ["E/F", "C/D"]
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def test_edge_get_stoploss(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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'C/D': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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'N/O': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60)
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}
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))
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mocker.patch(
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"freqtrade.edge.Edge._cached_pairs",
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mocker.PropertyMock(
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return_value={
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"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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"C/D": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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"N/O": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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),
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)
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assert edge.get_stoploss('E/F') == -0.01
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assert edge.get_stoploss("E/F") == -0.01
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def test_nonexisting_get_stoploss(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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))
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mocker.patch(
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"freqtrade.edge.Edge._cached_pairs",
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mocker.PropertyMock(
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return_value={
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"E/F": PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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),
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)
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assert edge.get_stoploss('N/O') == -0.1
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assert edge.get_stoploss("N/O") == -0.1
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def test_edge_stake_amount(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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))
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mocker.patch(
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"freqtrade.edge.Edge._cached_pairs",
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mocker.PropertyMock(
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return_value={
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"E/F": PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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),
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)
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assert edge._capital_ratio == 0.5
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assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
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capital_in_trade=25) == 31.25
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assert (
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edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 31.25
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)
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assert edge.stake_amount('E/F', free_capital=20, total_capital=100,
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capital_in_trade=25) == 20
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assert edge.stake_amount("E/F", free_capital=20, total_capital=100, capital_in_trade=25) == 20
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assert edge.stake_amount('E/F', free_capital=0, total_capital=100,
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capital_in_trade=25) == 0
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assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=25) == 0
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# Test with increased allowed_risk
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# Result should be no more than allowed capital
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edge._allowed_risk = 0.4
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edge._capital_ratio = 0.5
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assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
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capital_in_trade=25) == 62.5
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assert (
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edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=25) == 62.5
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)
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assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
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capital_in_trade=0) == 50
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assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 50
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edge._capital_ratio = 1
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# Full capital is available
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assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
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capital_in_trade=0) == 100
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assert edge.stake_amount("E/F", free_capital=100, total_capital=100, capital_in_trade=0) == 100
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# Full capital is available
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assert edge.stake_amount('E/F', free_capital=0, total_capital=100,
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capital_in_trade=0) == 0
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assert edge.stake_amount("E/F", free_capital=0, total_capital=100, capital_in_trade=0) == 0
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def test_nonexisting_stake_amount(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
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return_value={
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'E/F': PairInfo(-0.11, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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))
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mocker.patch(
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"freqtrade.edge.Edge._cached_pairs",
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mocker.PropertyMock(
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return_value={
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"E/F": PairInfo(-0.11, 0.66, 3.71, 0.50, 1.71, 10, 60),
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}
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),
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)
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# should use strategy stoploss
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assert edge.stake_amount('N/O', 1, 2, 1) == 0.15
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assert edge.stake_amount("N/O", 1, 2, 1) == 0.15
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def test_edge_heartbeat_calculate(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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heartbeat = edge_conf['edge']['process_throttle_secs']
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heartbeat = edge_conf["edge"]["process_throttle_secs"]
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# should not recalculate if heartbeat not reached
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edge._last_updated = dt_ts() - heartbeat + 1
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assert edge.calculate(edge_conf['exchange']['pair_whitelist']) is False
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assert edge.calculate(edge_conf["exchange"]["pair_whitelist"]) is False
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def mocked_load_data(datadir, pairs=None, timeframe='0m',
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timerange=None, *args, **kwargs):
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def mocked_load_data(datadir, pairs=None, timeframe="0m", timerange=None, *args, **kwargs):
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if pairs is None:
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pairs = []
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hz = 0.1
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@@ -244,8 +267,10 @@ def mocked_load_data(datadir, pairs=None, timeframe='0m',
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math.sin(x * hz) / 1000 + base + 0.0001,
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math.sin(x * hz) / 1000 + base - 0.0001,
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math.sin(x * hz) / 1000 + base,
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123.45
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] for x in range(0, 500)]
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123.45,
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]
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for x in range(0, 500)
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]
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hz = 0.2
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base = 0.002
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@@ -256,36 +281,38 @@ def mocked_load_data(datadir, pairs=None, timeframe='0m',
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math.sin(x * hz) / 1000 + base + 0.0001,
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math.sin(x * hz) / 1000 + base - 0.0001,
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math.sin(x * hz) / 1000 + base,
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123.45
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] for x in range(0, 500)]
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123.45,
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]
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for x in range(0, 500)
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]
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pairdata = {'NEO/BTC': ohlcv_to_dataframe(NEOBTC, '1h', pair="NEO/BTC",
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fill_missing=True),
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'LTC/BTC': ohlcv_to_dataframe(LTCBTC, '1h', pair="LTC/BTC",
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fill_missing=True)}
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pairdata = {
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"NEO/BTC": ohlcv_to_dataframe(NEOBTC, "1h", pair="NEO/BTC", fill_missing=True),
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"LTC/BTC": ohlcv_to_dataframe(LTCBTC, "1h", pair="LTC/BTC", fill_missing=True),
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}
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return pairdata
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def test_edge_process_downloaded_data(mocker, edge_conf):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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mocker.patch(f'{EXMS}.get_fee', MagicMock(return_value=0.001))
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mocker.patch('freqtrade.edge.edge_positioning.refresh_data', MagicMock())
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mocker.patch('freqtrade.edge.edge_positioning.load_data', mocked_load_data)
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mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
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mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
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mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
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edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
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assert edge.calculate(edge_conf['exchange']['pair_whitelist'])
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assert edge.calculate(edge_conf["exchange"]["pair_whitelist"])
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assert len(edge._cached_pairs) == 2
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assert edge._last_updated <= dt_ts() + 2
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def test_edge_process_no_data(mocker, edge_conf, caplog):
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freqtrade = get_patched_freqtradebot(mocker, edge_conf)
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mocker.patch(f'{EXMS}.get_fee', MagicMock(return_value=0.001))
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mocker.patch('freqtrade.edge.edge_positioning.refresh_data', MagicMock())
|
||||
mocker.patch('freqtrade.edge.edge_positioning.load_data', MagicMock(return_value={}))
|
||||
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
|
||||
mocker.patch("freqtrade.edge.edge_positioning.refresh_data", MagicMock())
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", MagicMock(return_value={}))
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
assert not edge.calculate(edge_conf['exchange']['pair_whitelist'])
|
||||
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
|
||||
assert len(edge._cached_pairs) == 0
|
||||
assert log_has("No data found. Edge is stopped ...", caplog)
|
||||
assert edge._last_updated == 0
|
||||
@@ -293,50 +320,55 @@ def test_edge_process_no_data(mocker, edge_conf, caplog):
|
||||
|
||||
def test_edge_process_no_trades(mocker, edge_conf, caplog):
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
mocker.patch(f'{EXMS}.get_fee', return_value=0.001)
|
||||
mocker.patch('freqtrade.edge.edge_positioning.refresh_data', )
|
||||
mocker.patch('freqtrade.edge.edge_positioning.load_data', mocked_load_data)
|
||||
mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
|
||||
mocker.patch(
|
||||
"freqtrade.edge.edge_positioning.refresh_data",
|
||||
)
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
|
||||
# Return empty
|
||||
mocker.patch('freqtrade.edge.Edge._find_trades_for_stoploss_range', return_value=[])
|
||||
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
assert not edge.calculate(edge_conf['exchange']['pair_whitelist'])
|
||||
assert not edge.calculate(edge_conf["exchange"]["pair_whitelist"])
|
||||
assert len(edge._cached_pairs) == 0
|
||||
assert log_has("No trades found.", caplog)
|
||||
|
||||
|
||||
def test_edge_process_no_pairs(mocker, edge_conf, caplog):
|
||||
edge_conf['exchange']['pair_whitelist'] = []
|
||||
mocker.patch('freqtrade.freqtradebot.validate_config_consistency')
|
||||
edge_conf["exchange"]["pair_whitelist"] = []
|
||||
mocker.patch("freqtrade.freqtradebot.validate_config_consistency")
|
||||
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
fee_mock = mocker.patch(f'{EXMS}.get_fee', return_value=0.001)
|
||||
mocker.patch('freqtrade.edge.edge_positioning.refresh_data')
|
||||
mocker.patch('freqtrade.edge.edge_positioning.load_data', mocked_load_data)
|
||||
fee_mock = mocker.patch(f"{EXMS}.get_fee", return_value=0.001)
|
||||
mocker.patch("freqtrade.edge.edge_positioning.refresh_data")
|
||||
mocker.patch("freqtrade.edge.edge_positioning.load_data", mocked_load_data)
|
||||
# Return empty
|
||||
mocker.patch('freqtrade.edge.Edge._find_trades_for_stoploss_range', return_value=[])
|
||||
mocker.patch("freqtrade.edge.Edge._find_trades_for_stoploss_range", return_value=[])
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
assert fee_mock.call_count == 0
|
||||
assert edge.fee is None
|
||||
|
||||
assert not edge.calculate(['XRP/USDT'])
|
||||
assert not edge.calculate(["XRP/USDT"])
|
||||
assert fee_mock.call_count == 1
|
||||
assert edge.fee == 0.001
|
||||
|
||||
|
||||
def test_edge_init_error(mocker, edge_conf,):
|
||||
edge_conf['stake_amount'] = 0.5
|
||||
mocker.patch(f'{EXMS}.get_fee', MagicMock(return_value=0.001))
|
||||
with pytest.raises(OperationalException, match='Edge works only with unlimited stake amount'):
|
||||
def test_edge_init_error(mocker, edge_conf):
|
||||
edge_conf["stake_amount"] = 0.5
|
||||
mocker.patch(f"{EXMS}.get_fee", MagicMock(return_value=0.001))
|
||||
with pytest.raises(OperationalException, match="Edge works only with unlimited stake amount"):
|
||||
get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("fee,risk_reward_ratio,expectancy", [
|
||||
(0.0005, 306.5384615384, 101.5128205128),
|
||||
(0.001, 152.6923076923, 50.2307692308),
|
||||
])
|
||||
@pytest.mark.parametrize(
|
||||
"fee,risk_reward_ratio,expectancy",
|
||||
[
|
||||
(0.0005, 306.5384615384, 101.5128205128),
|
||||
(0.001, 152.6923076923, 50.2307692308),
|
||||
],
|
||||
)
|
||||
def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectancy):
|
||||
edge_conf['edge']['min_trade_number'] = 2
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
def get_fee(*args, **kwargs):
|
||||
@@ -346,38 +378,42 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:05:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:10:00.000000000'),
|
||||
'trade_duration': '',
|
||||
'open_rate': 17,
|
||||
'close_rate': 17,
|
||||
'exit_type': 'exit_signal'},
|
||||
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'trade_duration': '',
|
||||
'open_rate': 20,
|
||||
'close_rate': 20,
|
||||
'exit_type': 'exit_signal'},
|
||||
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:30:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:40:00.000000000'),
|
||||
'trade_duration': '',
|
||||
'open_rate': 26,
|
||||
'close_rate': 34,
|
||||
'exit_type': 'exit_signal'}
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 17,
|
||||
"close_rate": 17,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 20,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 34,
|
||||
"exit_type": "exit_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
@@ -385,12 +421,12 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc
|
||||
final = edge._process_expectancy(trades_df)
|
||||
assert len(final) == 1
|
||||
|
||||
assert 'TEST/BTC' in final
|
||||
assert final['TEST/BTC'].stoploss == -0.9
|
||||
assert round(final['TEST/BTC'].winrate, 10) == 0.3333333333
|
||||
assert round(final['TEST/BTC'].risk_reward_ratio, 10) == risk_reward_ratio
|
||||
assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
|
||||
assert round(final['TEST/BTC'].expectancy, 10) == expectancy
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 0.3333333333
|
||||
assert round(final["TEST/BTC"].risk_reward_ratio, 10) == risk_reward_ratio
|
||||
assert round(final["TEST/BTC"].required_risk_reward, 10) == 2.0
|
||||
assert round(final["TEST/BTC"].expectancy, 10) == expectancy
|
||||
|
||||
# Pop last item so no trade is profitable
|
||||
trades.pop()
|
||||
@@ -401,154 +437,170 @@ def test_process_expectancy(mocker, edge_conf, fee, risk_reward_ratio, expectanc
|
||||
assert isinstance(final, dict)
|
||||
|
||||
|
||||
def test_process_expectancy_remove_pumps(mocker, edge_conf, fee,):
|
||||
edge_conf['edge']['min_trade_number'] = 2
|
||||
edge_conf['edge']['remove_pumps'] = True
|
||||
def test_process_expectancy_remove_pumps(mocker, edge_conf, fee):
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
edge_conf["edge"]["remove_pumps"] = True
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
freqtrade.exchange.get_fee = fee
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:05:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:10:00.000000000'),
|
||||
'open_index': 1,
|
||||
'close_index': 1,
|
||||
'trade_duration': '',
|
||||
'open_rate': 17,
|
||||
'close_rate': 15,
|
||||
'exit_type': 'sell_signal'},
|
||||
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'open_index': 4,
|
||||
'close_index': 4,
|
||||
'trade_duration': '',
|
||||
'open_rate': 20,
|
||||
'close_rate': 10,
|
||||
'exit_type': 'sell_signal'},
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'open_index': 4,
|
||||
'close_index': 4,
|
||||
'trade_duration': '',
|
||||
'open_rate': 20,
|
||||
'close_rate': 10,
|
||||
'exit_type': 'sell_signal'},
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'open_index': 4,
|
||||
'close_index': 4,
|
||||
'trade_duration': '',
|
||||
'open_rate': 20,
|
||||
'close_rate': 10,
|
||||
'exit_type': 'sell_signal'},
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'open_index': 4,
|
||||
'close_index': 4,
|
||||
'trade_duration': '',
|
||||
'open_rate': 20,
|
||||
'close_rate': 10,
|
||||
'exit_type': 'sell_signal'},
|
||||
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:30:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:40:00.000000000'),
|
||||
'open_index': 6,
|
||||
'close_index': 7,
|
||||
'trade_duration': '',
|
||||
'open_rate': 26,
|
||||
'close_rate': 134,
|
||||
'exit_type': 'sell_signal'}
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"open_index": 1,
|
||||
"close_index": 1,
|
||||
"trade_duration": "",
|
||||
"open_rate": 17,
|
||||
"close_rate": 15,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 20,
|
||||
"close_rate": 10,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"open_index": 6,
|
||||
"close_index": 7,
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 134,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
|
||||
assert 'TEST/BTC' in final
|
||||
assert final['TEST/BTC'].stoploss == -0.9
|
||||
assert final['TEST/BTC'].nb_trades == len(trades_df) - 1
|
||||
assert round(final['TEST/BTC'].winrate, 10) == 0.0
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert final["TEST/BTC"].nb_trades == len(trades_df) - 1
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 0.0
|
||||
|
||||
|
||||
def test_process_expectancy_only_wins(mocker, edge_conf, fee,):
|
||||
edge_conf['edge']['min_trade_number'] = 2
|
||||
def test_process_expectancy_only_wins(mocker, edge_conf, fee):
|
||||
edge_conf["edge"]["min_trade_number"] = 2
|
||||
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
|
||||
|
||||
freqtrade.exchange.get_fee = fee
|
||||
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
|
||||
|
||||
trades = [
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:05:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:10:00.000000000'),
|
||||
'open_index': 1,
|
||||
'close_index': 1,
|
||||
'trade_duration': '',
|
||||
'open_rate': 15,
|
||||
'close_rate': 17,
|
||||
'exit_type': 'sell_signal'},
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:20:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:25:00.000000000'),
|
||||
'open_index': 4,
|
||||
'close_index': 4,
|
||||
'trade_duration': '',
|
||||
'open_rate': 10,
|
||||
'close_rate': 20,
|
||||
'exit_type': 'sell_signal'},
|
||||
{'pair': 'TEST/BTC',
|
||||
'stoploss': -0.9,
|
||||
'profit_percent': '',
|
||||
'profit_abs': '',
|
||||
'open_date': np.datetime64('2018-10-03T00:30:00.000000000'),
|
||||
'close_date': np.datetime64('2018-10-03T00:40:00.000000000'),
|
||||
'open_index': 6,
|
||||
'close_index': 7,
|
||||
'trade_duration': '',
|
||||
'open_rate': 26,
|
||||
'close_rate': 134,
|
||||
'exit_type': 'sell_signal'}
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:05:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:10:00.000000000"),
|
||||
"open_index": 1,
|
||||
"close_index": 1,
|
||||
"trade_duration": "",
|
||||
"open_rate": 15,
|
||||
"close_rate": 17,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:20:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:25:00.000000000"),
|
||||
"open_index": 4,
|
||||
"close_index": 4,
|
||||
"trade_duration": "",
|
||||
"open_rate": 10,
|
||||
"close_rate": 20,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
{
|
||||
"pair": "TEST/BTC",
|
||||
"stoploss": -0.9,
|
||||
"profit_percent": "",
|
||||
"profit_abs": "",
|
||||
"open_date": np.datetime64("2018-10-03T00:30:00.000000000"),
|
||||
"close_date": np.datetime64("2018-10-03T00:40:00.000000000"),
|
||||
"open_index": 6,
|
||||
"close_index": 7,
|
||||
"trade_duration": "",
|
||||
"open_rate": 26,
|
||||
"close_rate": 134,
|
||||
"exit_type": "sell_signal",
|
||||
},
|
||||
]
|
||||
|
||||
trades_df = DataFrame(trades)
|
||||
trades_df = edge._fill_calculable_fields(trades_df)
|
||||
final = edge._process_expectancy(trades_df)
|
||||
|
||||
assert 'TEST/BTC' in final
|
||||
assert final['TEST/BTC'].stoploss == -0.9
|
||||
assert final['TEST/BTC'].nb_trades == len(trades_df)
|
||||
assert round(final['TEST/BTC'].winrate, 10) == 1.0
|
||||
assert round(final['TEST/BTC'].risk_reward_ratio, 10) == float('inf')
|
||||
assert round(final['TEST/BTC'].expectancy, 10) == float('inf')
|
||||
assert "TEST/BTC" in final
|
||||
assert final["TEST/BTC"].stoploss == -0.9
|
||||
assert final["TEST/BTC"].nb_trades == len(trades_df)
|
||||
assert round(final["TEST/BTC"].winrate, 10) == 1.0
|
||||
assert round(final["TEST/BTC"].risk_reward_ratio, 10) == float("inf")
|
||||
assert round(final["TEST/BTC"].expectancy, 10) == float("inf")
|
||||
|
||||
Reference in New Issue
Block a user