def test_generate_optimizer(mocker, hyperopt_conf) -> None:
hyperopt_conf.update({
'spaces': 'all',
'hyperopt_min_trades': 1,
})
backtest_result = {
'results':
pd.DataFrame({
"pair":
["UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC"],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
hyperopt_conf,
'locks': [],
'final_balance':
1000,
}
mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest',
return_value=backtest_result)
mocker.patch('freqtrade.optimize.hyperopt.get_timerange',
return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.hyperopt.load',
return_value={'XRP/BTC': None})
optimizer_param = {
'adx-value': 0,
'fastd-value': 35,
'mfi-value': 0,
'rsi-value': 0,
'adx-enabled': False,
'fastd-enabled': True,
'mfi-enabled': False,
'rsi-enabled': False,
'trigger': 'macd_cross_signal',
'sell-adx-value': 0,
'sell-fastd-value': 75,
'sell-mfi-value': 0,
'sell-rsi-value': 0,
'sell-adx-enabled': False,
'sell-fastd-enabled': True,
'sell-mfi-enabled': False,
'sell-rsi-enabled': False,
'sell-trigger': 'macd_cross_signal',
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
'stoploss': -0.4,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
}
response_expected = {
'loss':
1.9147239021396234,
'results_explanation':
(' 4 trades. 4/0/0 Wins/Draws/Losses. '
'Avg profit 0.77%. Median profit 0.71%. Total profit '
'0.00003100 BTC ( 0.00\N{GREEK CAPITAL LETTER SIGMA}%). '
'Avg duration 0:50:00 min.').encode(locale.getpreferredencoding(),
'replace').decode('utf-8'),
'params_details': {
'buy': {
'adx-enabled': False,
'adx-value': 0,
'fastd-enabled': True,
'fastd-value': 35,
'mfi-enabled': False,
'mfi-value': 0,
'rsi-enabled': False,
'rsi-value': 0,
'trigger': 'macd_cross_signal'
},
'roi': {
0: 0.12000000000000001,
20.0: 0.02,
50.0: 0.01,
110.0: 0
},
'sell': {
'sell-adx-enabled': False,
'sell-adx-value': 0,
'sell-fastd-enabled': True,
'sell-fastd-value': 75,
'sell-mfi-enabled': False,
'sell-mfi-value': 0,
'sell-rsi-enabled': False,
'sell-rsi-value': 0,
'sell-trigger': 'macd_cross_signal'
},
'stoploss': {
'stoploss': -0.4
},
'trailing': {
'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07
}
},
'params_dict':
optimizer_param,
'params_not_optimized': {
'buy': {},
'sell': {}
},
'results_metrics':
ANY,
'total_profit':
3.1e-08
}
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.min_date = Arrow(2017, 12, 10)
hyperopt.max_date = Arrow(2017, 12, 13)
hyperopt.init_spaces()
hyperopt.dimensions = hyperopt.dimensions
generate_optimizer_value = hyperopt.generate_optimizer(
list(optimizer_param.values()))
assert generate_optimizer_value == response_expected
def test_generate_optimizer(mocker, hyperopt_conf) -> None:
hyperopt_conf.update({
'spaces': 'all',
'hyperopt_min_trades': 1,
})
backtest_result = {
'results':
pd.DataFrame({
"pair":
["UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC"],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
hyperopt_conf,
'locks': [],
'rejected_signals':
20,
'timedout_entry_orders':
0,
'timedout_exit_orders':
0,
'final_balance':
1000,
}
mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest',
return_value=backtest_result)
mocker.patch('freqtrade.optimize.hyperopt.get_timerange',
return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
patch_exchange(mocker)
mocker.patch.object(Path, 'open')
mocker.patch(
'freqtrade.configuration.config_validation.validate_config_schema')
mocker.patch('freqtrade.optimize.hyperopt.load',
return_value={'XRP/BTC': None})
optimizer_param = {
'buy_plusdi': 0.02,
'buy_rsi': 35,
'sell_minusdi': 0.02,
'sell_rsi': 75,
'protection_cooldown_lookback': 20,
'protection_enabled': True,
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
'stoploss': -0.4,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
}
response_expected = {
'loss':
1.9147239021396234,
'results_explanation':
(' 4 trades. 4/0/0 Wins/Draws/Losses. '
'Avg profit 0.77%. Median profit 0.71%. Total profit '
'0.00003100 BTC ( 0.00%). '
'Avg duration 0:50:00 min.'),
'params_details': {
'buy': {
'buy_plusdi': 0.02,
'buy_rsi': 35,
},
'roi': {
"0": 0.12000000000000001,
"20.0": 0.02,
"50.0": 0.01,
"110.0": 0
},
'protection': {
'protection_cooldown_lookback': 20,
'protection_enabled': True,
},
'sell': {
'sell_minusdi': 0.02,
'sell_rsi': 75,
},
'stoploss': {
'stoploss': -0.4
},
'trailing': {
'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07
}
},
'params_dict':
optimizer_param,
'params_not_optimized': {
'buy': {},
'protection': {},
'sell': {}
},
'results_metrics':
ANY,
'total_profit':
3.1e-08
}
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.min_date = Arrow(2017, 12, 10)
hyperopt.max_date = Arrow(2017, 12, 13)
hyperopt.init_spaces()
hyperopt.dimensions = hyperopt.dimensions
generate_optimizer_value = hyperopt.generate_optimizer(
list(optimizer_param.values()))
assert generate_optimizer_value == response_expected
def test_generate_optimizer(mocker, hyperopt_conf) -> None:
hyperopt_conf.update({
'spaces': 'all',
'hyperopt_min_trades': 1,
})
trades = [('TRX/BTC', 0.023117, 0.000233, 100)]
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest',
MagicMock(return_value=backtest_result))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13))))
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock())
optimizer_param = {
'adx-value': 0,
'fastd-value': 35,
'mfi-value': 0,
'rsi-value': 0,
'adx-enabled': False,
'fastd-enabled': True,
'mfi-enabled': False,
'rsi-enabled': False,
'trigger': 'macd_cross_signal',
'sell-adx-value': 0,
'sell-fastd-value': 75,
'sell-mfi-value': 0,
'sell-rsi-value': 0,
'sell-adx-enabled': False,
'sell-fastd-enabled': True,
'sell-mfi-enabled': False,
'sell-rsi-enabled': False,
'sell-trigger': 'macd_cross_signal',
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
'stoploss': -0.4,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
}
response_expected = {
'loss':
1.9840569076926293,
'results_explanation':
(' 1 trades. 1/0/0 Wins/Draws/Losses. '
'Avg profit 2.31%. Median profit 2.31%. Total profit '
'0.00023300 BTC ( 2.31\N{GREEK CAPITAL LETTER SIGMA}%). '
'Avg duration 100.0 min.').encode(locale.getpreferredencoding(),
'replace').decode('utf-8'),
'params_details': {
'buy': {
'adx-enabled': False,
'adx-value': 0,
'fastd-enabled': True,
'fastd-value': 35,
'mfi-enabled': False,
'mfi-value': 0,
'rsi-enabled': False,
'rsi-value': 0,
'trigger': 'macd_cross_signal'
},
'roi': {
0: 0.12000000000000001,
20.0: 0.02,
50.0: 0.01,
110.0: 0
},
'sell': {
'sell-adx-enabled': False,
'sell-adx-value': 0,
'sell-fastd-enabled': True,
'sell-fastd-value': 75,
'sell-mfi-enabled': False,
'sell-mfi-value': 0,
'sell-rsi-enabled': False,
'sell-rsi-value': 0,
'sell-trigger': 'macd_cross_signal'
},
'stoploss': {
'stoploss': -0.4
},
'trailing': {
'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07
}
},
'params_dict':
optimizer_param,
'results_metrics': {
'avg_profit': 2.3117,
'draws': 0,
'duration': 100.0,
'losses': 0,
'winsdrawslosses': ' 1 0 0',
'median_profit': 2.3117,
'profit': 2.3117,
'total_profit': 0.000233,
'trade_count': 1,
'wins': 1
},
'total_profit':
0.00023300
}
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.dimensions = hyperopt.hyperopt_space()
generate_optimizer_value = hyperopt.generate_optimizer(
list(optimizer_param.values()))
assert generate_optimizer_value == response_expected
def test_generate_optimizer(mocker, default_conf) -> None:
default_conf.update({'config': 'config.json.example'})
default_conf.update({'timerange': None})
default_conf.update({'spaces': 'all'})
default_conf.update({'hyperopt_min_trades': 1})
trades = [('POWR/BTC', 0.023117, 0.000233, 100)]
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest',
MagicMock(return_value=backtest_result))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timeframe',
MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13))))
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock())
optimizer_param = {
'adx-value': 0,
'fastd-value': 35,
'mfi-value': 0,
'rsi-value': 0,
'adx-enabled': False,
'fastd-enabled': True,
'mfi-enabled': False,
'rsi-enabled': False,
'trigger': 'macd_cross_signal',
'sell-adx-value': 0,
'sell-fastd-value': 75,
'sell-mfi-value': 0,
'sell-rsi-value': 0,
'sell-adx-enabled': False,
'sell-fastd-enabled': True,
'sell-mfi-enabled': False,
'sell-rsi-enabled': False,
'sell-trigger': 'macd_cross_signal',
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
'stoploss': -0.4,
}
response_expected = {
'loss':
1.9840569076926293,
'results_explanation':
' 1 trades. Avg profit 2.31%. Total profit 0.00023300 BTC '
'( 2.31Σ%). Avg duration 100.0 mins.',
'params':
optimizer_param,
'total_profit':
0.00023300
}
hyperopt = Hyperopt(default_conf)
hyperopt.dimensions = hyperopt.hyperopt_space()
generate_optimizer_value = hyperopt.generate_optimizer(
list(optimizer_param.values()))
assert generate_optimizer_value == response_expected