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Update tests and docs

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This commit is contained in:
Anuj Jain
2024-09-11 15:33:26 +05:30
parent 4765656f87
commit addd27faf8
2 changed files with 323 additions and 0 deletions
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docs/advanced-backtesting.md
+19
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@@ -149,6 +149,25 @@ to distinguish the values at the entry and exit points of the trade.
`profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`, `profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`,
`min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders` `min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders`
#### Filtering Indicators Based on Entry or Exit Signals
The `--indicator-list` option, by default, displays indicator values for both entry and exit signals. To filter the indicator values exclusively for entry signals, you can use the `--entry-only` argument. Similarly, to display indicator values only at exit signals, use the `--exit-only` argument.
Example: Display indicator values at entry signals:
```bash
freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only
```
Example: Display indicator values at exit signals:
```bash
freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only
```
!!! note
When using these filters, the indicator names will not be suffixed with `(entry)` or `(exit)`.
### Filtering the trade output by date ### Filtering the trade output by date
To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format: To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format:
tests/data/test_entryexitanalysis.py
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@@ -7,6 +7,7 @@ import pytest
from freqtrade.commands.analyze_commands import start_analysis_entries_exits from freqtrade.commands.analyze_commands import start_analysis_entries_exits
from freqtrade.commands.optimize_commands import start_backtesting from freqtrade.commands.optimize_commands import start_backtesting
from freqtrade.enums import ExitType from freqtrade.enums import ExitType
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.backtesting import Backtesting from freqtrade.optimize.backtesting import Backtesting
from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
@@ -256,3 +257,306 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
start_analysis_entries_exits(args) start_analysis_entries_exits(args)
captured = capsys.readouterr() captured = capsys.readouterr()
assert "no rejected signals" in captured.out assert "no rejected signals" in captured.out
def test_backtest_analysis_with_invalid_config(
default_conf, mocker, caplog, testdatadir, user_dir, capsys
):
caplog.set_level(logging.INFO)
(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
default_conf.update(
{
"use_exit_signal": True,
"exit_profit_only": False,
"exit_profit_offset": 0.0,
"ignore_roi_if_entry_signal": False,
}
)
patch_exchange(mocker)
result1 = pd.DataFrame(
{
"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
"profit_ratio": [0.025, 0.05, -0.1, -0.05],
"profit_abs": [0.5, 2.0, -4.0, -2.0],
"open_date": pd.to_datetime(
[
"2018-01-29 18:40:00",
"2018-01-30 03:30:00",
"2018-01-30 08:10:00",
"2018-01-31 13:30:00",
],
utc=True,
),
"close_date": pd.to_datetime(
[
"2018-01-29 20:45:00",
"2018-01-30 05:35:00",
"2018-01-30 09:10:00",
"2018-01-31 15:00:00",
],
utc=True,
),
"trade_duration": [235, 40, 60, 90],
"is_open": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
"is_short": [False, False, False, False],
"enter_tag": [
"enter_tag_long_a",
"enter_tag_long_b",
"enter_tag_long_a",
"enter_tag_long_b",
],
"exit_reason": [
ExitType.ROI.value,
ExitType.EXIT_SIGNAL.value,
ExitType.STOP_LOSS.value,
ExitType.TRAILING_STOP_LOSS.value,
],
}
)
backtestmock = MagicMock(
side_effect=[
{
"results": result1,
"config": default_conf,
"locks": [],
"rejected_signals": 20,
"timedout_entry_orders": 0,
"timedout_exit_orders": 0,
"canceled_trade_entries": 0,
"canceled_entry_orders": 0,
"replaced_entry_orders": 0,
"final_balance": 1000,
}
]
)
mocker.patch(
"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
)
mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
patched_configuration_load_config_file(mocker, default_conf)
args = [
"backtesting",
"--config",
"config.json",
"--datadir",
str(testdatadir),
"--user-data-dir",
str(user_dir),
"--timeframe",
"5m",
"--timerange",
"1515560100-1517287800",
"--export",
"signals",
"--cache",
"none",
]
args = get_args(args)
start_backtesting(args)
captured = capsys.readouterr()
assert "BACKTESTING REPORT" in captured.out
assert "EXIT REASON STATS" in captured.out
assert "LEFT OPEN TRADES REPORT" in captured.out
base_args = [
"backtesting-analysis",
"--config",
"config.json",
"--datadir",
str(testdatadir),
"--user-data-dir",
str(user_dir),
]
# test with both entry and exit only arguments
args = get_args(
base_args
+ [
"--analysis-groups",
"0",
"--indicator-list",
"close",
"rsi",
"profit_abs",
"--entry-only",
"--exit-only",
]
)
with pytest.raises(
OperationalException,
match=r"Cannot use --entry-only and --exit-only at the same time. Please choose one.",
):
start_analysis_entries_exits(args)
def test_backtest_analysis_on_entry_and_rejected_signals_only_entry_signals(
default_conf, mocker, caplog, testdatadir, user_dir, capsys
):
caplog.set_level(logging.INFO)
(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
default_conf.update(
{
"use_exit_signal": True,
"exit_profit_only": False,
"exit_profit_offset": 0.0,
"ignore_roi_if_entry_signal": False,
}
)
patch_exchange(mocker)
result1 = pd.DataFrame(
{
"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
"profit_ratio": [0.025, 0.05, -0.1, -0.05],
"profit_abs": [0.5, 2.0, -4.0, -2.0],
"open_date": pd.to_datetime(
[
"2018-01-29 18:40:00",
"2018-01-30 03:30:00",
"2018-01-30 08:10:00",
"2018-01-31 13:30:00",
],
utc=True,
),
"close_date": pd.to_datetime(
[
"2018-01-29 20:45:00",
"2018-01-30 05:35:00",
"2018-01-30 09:10:00",
"2018-01-31 15:00:00",
],
utc=True,
),
"trade_duration": [235, 40, 60, 90],
"is_open": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
"is_short": [False, False, False, False],
"enter_tag": [
"enter_tag_long_a",
"enter_tag_long_b",
"enter_tag_long_a",
"enter_tag_long_b",
],
"exit_reason": [
ExitType.ROI.value,
ExitType.EXIT_SIGNAL.value,
ExitType.STOP_LOSS.value,
ExitType.TRAILING_STOP_LOSS.value,
],
}
)
backtestmock = MagicMock(
side_effect=[
{
"results": result1,
"config": default_conf,
"locks": [],
"rejected_signals": 20,
"timedout_entry_orders": 0,
"timedout_exit_orders": 0,
"canceled_trade_entries": 0,
"canceled_entry_orders": 0,
"replaced_entry_orders": 0,
"final_balance": 1000,
}
]
)
mocker.patch(
"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
)
mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
patched_configuration_load_config_file(mocker, default_conf)
args = [
"backtesting",
"--config",
"config.json",
"--datadir",
str(testdatadir),
"--user-data-dir",
str(user_dir),
"--timeframe",
"5m",
"--timerange",
"1515560100-1517287800",
"--export",
"signals",
"--cache",
"none",
]
args = get_args(args)
start_backtesting(args)
captured = capsys.readouterr()
assert "BACKTESTING REPORT" in captured.out
assert "EXIT REASON STATS" in captured.out
assert "LEFT OPEN TRADES REPORT" in captured.out
base_args = [
"backtesting-analysis",
"--config",
"config.json",
"--datadir",
str(testdatadir),
"--user-data-dir",
str(user_dir),
]
# test group 0 and indicator list
args = get_args(
base_args
+ [
"--analysis-groups",
"0",
"--indicator-list",
"close",
"rsi",
"profit_abs",
"--entry-only",
]
)
start_analysis_entries_exits(args)
captured = capsys.readouterr()
assert "LTC/BTC" in captured.out
assert "ETH/BTC" in captured.out
assert "enter_tag_long_a" in captured.out
assert "enter_tag_long_b" in captured.out
assert "exit_signal" in captured.out
assert "roi" in captured.out
assert "stop_loss" in captured.out
assert "trailing_stop_loss" in captured.out
assert "0.5" in captured.out
assert "-4" in captured.out
assert "-2" in captured.out
assert "-3.5" in captured.out
assert "50" in captured.out
assert "0" in captured.out
assert "0.016" in captured.out
assert "34.049" in captured.out
assert "0.104" in captured.out
assert "52.829" in captured.out
# assert indicator list
assert "close" in captured.out
assert "close (entry)" not in captured.out
assert "0.016" in captured.out
assert "rsi (entry)" not in captured.out
assert "rsi" in captured.out
assert "54.320" in captured.out
assert "close (exit)" not in captured.out
assert "rsi (exit)" not in captured.out
assert "52.829" in captured.out
assert "profit_abs" in captured.out