def test_validate_backtest_data_warn(default_conf, mocker, caplog,
testdatadir) -> None:
patch_exchange(mocker)
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
data = strategy.ohlcvdata_to_dataframe(
load_data(datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC'],
fill_up_missing=False))
min_date, max_date = get_timerange(data)
caplog.clear()
assert validate_backtest_data(data['UNITTEST/BTC'],
'UNITTEST/BTC', min_date, max_date,
timeframe_to_minutes('1m'))
assert len(caplog.record_tuples) == 1
assert log_has(
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
caplog)
def test_simplified_interface_failed(mocker, hyperopt_conf, method, space) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': space})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
delattr(hyperopt.custom_hyperopt.__class__, method)
with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
hyperopt.start()
def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> None:
patch_exchange(mocker)
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.ohlcvdata_to_dataframe(
load_data(
datadir=testdatadir,
timeframe='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange
)
)
min_date, max_date = get_timerange(data)
caplog.clear()
assert not validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
min_date, max_date, timeframe_to_minutes('5m'))
assert len(caplog.record_tuples) == 0
def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog,
capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
mocker.patch(
'freqtrade.optimize.hyperopt.get_timeframe',
MagicMock(return_value=(datetime(2017, 12, 10),
datetime(2017, 12, 13))))
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1,
'results_explanation': 'foo result',
'params': {}
}]))
patch_exchange(mocker)
default_conf.update({
'config': 'config.json.example',
'epochs': 1,
'timerange': None,
'spaces': 'roi stoploss',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(default_conf)
hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert '{"minimal_roi":{},"stoploss":null}' in out
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
async def load_pairs(pair, timeframe, since):
return _load_pair_as_ticks(pair, timeframe)
api_mock = MagicMock()
api_mock.fetch_ohlcv = load_pairs
patch_exchange(mocker, api_mock)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest',
MagicMock())
mocker.patch(
'freqtrade.optimize.backtesting.Backtesting._generate_text_table',
MagicMock())
patched_configuration_load_config_file(mocker, default_conf)
args = [
'--config', 'config.json', '--strategy', 'DefaultStrategy',
'--datadir',
str(testdatadir), 'backtesting', '--ticker-interval', '1m',
'--timerange', '-100', '--enable-position-stacking',
'--disable-max-market-positions'
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: -100 ...',
f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...',
'Backtesting with data from 2017-11-14T21:17:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...'
]
for line in exists:
assert log_has(line, caplog)
def test_backtesting_start_no_data(default_conf, mocker, caplog,
testdatadir) -> None:
def get_timerange(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.data.history.history_utils.load_pair_history',
MagicMock(return_value=pd.DataFrame()))
mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
default_conf['timeframe'] = "1m"
default_conf['datadir'] = testdatadir
default_conf['export'] = None
default_conf['timerange'] = '20180101-20180102'
backtesting = Backtesting(default_conf)
with pytest.raises(OperationalException,
match='No data found. Terminating.'):
backtesting.start()
def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
# No hyperopt needed
del hyperopt_conf['hyperopt']
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
})
hyperopt = Hyperopt(hyperopt_conf)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
assert len(list(buy_rsi_range)) == 51
hyperopt.start()
def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None:
default_conf['ask_strategy']['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
# Run a backtesting for an exiting 1min timeframe
timerange = TimeRange.parse_timerange('1510688220-1510700340')
data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=1,
position_stacking=False,
)
assert not results.empty
assert len(results) == 1
def test_simplified_interface_failed(mocker, hyperopt_conf, space) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
mocker.patch('freqtrade.optimize.hyperopt_auto.HyperOptAuto._generate_indicator_space',
return_value=[])
patch_exchange(mocker)
hyperopt_conf.update({'spaces': space})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
hyperopt.start()
def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
patched_configuration_load_config_file(mocker, default_conf)
args = [
'backtesting',
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--datadir', str(testdatadir),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions'
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14T20:57:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Backtesting with data from 2017-11-14T21:17:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...'
]
for line in exists:
assert log_has(line, caplog)
def _make_backtest_conf(mocker,
datadir,
conf=None,
pair='UNITTEST/BTC',
record=None):
data = history.load_data(datadir=datadir,
ticker_interval='1m',
pairs=[pair])
data = trim_dictlist(data, -201)
patch_exchange(mocker)
backtesting = Backtesting(conf)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timeframe(processed)
return {
'stake_amount': conf['stake_amount'],
'processed': processed,
'max_open_trades': 10,
'position_stacking': False,
'record': record,
'start_date': min_date,
'end_date': max_date,
}
def test_generate_text_table_strategyn(default_conf, mocker):
"""
Test Backtesting.generate_text_table_sell_reason() method
"""
patch_exchange(mocker)
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf)
results = {}
results['ETH/BTC'] = pd.DataFrame({
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
results['LTC/BTC'] = pd.DataFrame({
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'profit_percent': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15],
'profit': [4, 1, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
})
result_str = (
'| Strategy | buy count | avg profit % | cum profit % '
'| tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:-----------|------------:|---------------:|---------------:'
'|-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 3 | 20.00 | 60.00 '
'| 1.10000000 | 30.00 | 0:17:00 | 3 | 0 |\n'
'| LTC/BTC | 3 | 30.00 | 90.00 '
'| 1.30000000 | 45.00 | 0:20:00 | 3 | 0 |'
)
assert backtesting._generate_text_table_strategy(
all_results=results) == result_str
def test_rpc_count(mocker, default_conf, ticker, fee, markets) -> None:
patch_exchange(mocker)
mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_balances=MagicMock(return_value=ticker),
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(return_value=markets)
)
freqtradebot = FreqtradeBot(default_conf)
patch_get_signal(freqtradebot, (True, False))
rpc = RPC(freqtradebot)
counts = rpc._rpc_count()
assert counts["current"] == 0
# Create some test data
freqtradebot.create_trades()
counts = rpc._rpc_count()
assert counts["current"] == 1
def test_forcebuy_handle(default_conf, update, markets, mocker) -> None:
mocker.patch('freqtrade.rpc.rpc.CryptoToFiatConverter._find_price',
return_value=15000.0)
mocker.patch('freqtrade.rpc.telegram.Telegram._send_msg', MagicMock())
mocker.patch('freqtrade.rpc.telegram.Telegram._init', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
markets=PropertyMock(markets),
)
fbuy_mock = MagicMock(return_value=None)
mocker.patch('freqtrade.rpc.RPC._rpc_forcebuy', fbuy_mock)
freqtradebot = FreqtradeBot(default_conf)
patch_get_signal(freqtradebot, (True, False))
telegram = Telegram(freqtradebot)
# /forcebuy ETH/BTC
context = MagicMock()
context.args = ["ETH/BTC"]
telegram._forcebuy(update=update, context=context)
assert fbuy_mock.call_count == 1
assert fbuy_mock.call_args_list[0][0][0] == 'ETH/BTC'
assert fbuy_mock.call_args_list[0][0][1] is None
# Reset and retry with specified price
fbuy_mock = MagicMock(return_value=None)
mocker.patch('freqtrade.rpc.RPC._rpc_forcebuy', fbuy_mock)
# /forcebuy ETH/BTC 0.055
context = MagicMock()
context.args = ["ETH/BTC", "0.055"]
telegram._forcebuy(update=update, context=context)
assert fbuy_mock.call_count == 1
assert fbuy_mock.call_args_list[0][0][0] == 'ETH/BTC'
assert isinstance(fbuy_mock.call_args_list[0][0][1], float)
assert fbuy_mock.call_args_list[0][0][1] == 0.055
def test_download_data_all_pairs(mocker, markets):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
dl_mock = mocker.patch('freqtrade.commands.data_commands.refresh_backtest_ohlcv_data',
MagicMock(return_value=["ETH/BTC", "XRP/BTC"]))
patch_exchange(mocker)
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)
)
args = [
"download-data",
"--exchange",
"binance",
"--pairs",
".*/USDT"
]
pargs = get_args(args)
pargs['config'] = None
start_download_data(pargs)
expected = set(['ETH/USDT', 'XRP/USDT', 'NEO/USDT', 'TKN/USDT'])
assert set(dl_mock.call_args_list[0][1]['pairs']) == expected
assert dl_mock.call_count == 1
dl_mock.reset_mock()
args = [
"download-data",
"--exchange",
"binance",
"--pairs",
".*/USDT",
"--include-inactive-pairs",
]
pargs = get_args(args)
pargs['config'] = None
start_download_data(pargs)
expected = set(['ETH/USDT', 'LTC/USDT', 'XRP/USDT', 'NEO/USDT', 'TKN/USDT'])
assert set(dl_mock.call_args_list[0][1]['pairs']) == expected
def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
timerange = TimeRange(None, 'line', 0, -100)
tick = history.load_tickerdata_file(testdatadir,
'UNITTEST/BTC',
'1m',
timerange=timerange)
tickerlist = {
'UNITTEST/BTC':
parse_ticker_dataframe(tick,
'1m',
pair="UNITTEST/BTC",
fill_missing=True)
}
backtesting = Backtesting(default_conf)
data = backtesting.strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
strategy = DefaultStrategy(default_conf)
data2 = strategy.tickerdata_to_dataframe(tickerlist)
assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> 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)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
# Run a backtesting for an exiting 1min timeframe
timerange = TimeRange.parse_timerange('1510688220-1510700340')
data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=processed,
start_date=min_date,
end_date=max_date,
max_open_trades=1,
position_stacking=False,
)
assert not results['results'].empty
assert len(results['results']) == 1
def test_start_not_installed(mocker, default_conf, import_fails) -> None:
start_mock = MagicMock()
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
patch_exchange(mocker)
args = [
'hyperopt',
'--config',
'config.json',
'--strategy',
'HyperoptableStrategy',
'--epochs',
'5',
'--hyperopt-loss',
'SharpeHyperOptLossDaily',
]
pargs = get_args(args)
with pytest.raises(OperationalException,
match=r"Please ensure that the hyperopt dependencies"):
start_hyperopt(pargs)
def test_main_reload_conf(mocker, default_conf, caplog) -> None:
patch_exchange(mocker)
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.cleanup', MagicMock())
# Simulate Running, reload, running workflow
worker_mock = MagicMock(side_effect=[State.RUNNING,
State.RELOAD_CONF,
State.RUNNING,
OperationalException("Oh snap!")])
mocker.patch('freqtrade.worker.Worker._worker', worker_mock)
patched_configuration_load_config_file(mocker, default_conf)
reconfigure_mock = mocker.patch('freqtrade.worker.Worker._reconfigure', MagicMock())
mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock())
mocker.patch('freqtrade.freqtradebot.persistence.init', MagicMock())
args = Arguments(['trade', '-c', 'config.json.example']).get_parsed_arg()
worker = Worker(args=args, config=default_conf)
with pytest.raises(SystemExit):
main(['trade', '-c', 'config.json.example'])
assert log_has('Using config: config.json.example ...', caplog)
assert worker_mock.call_count == 4
assert reconfigure_mock.call_count == 1
assert isinstance(worker.freqtrade, FreqtradeBot)
def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
patch_exchange(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
# No hyperopt needed
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['all']
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.exchange.get_max_leverage = MagicMock(
return_value=1.0)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
assert len(list(buy_rsi_range)) == 51
hyperopt.start()
# All values should've changed.
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30
assert hyperopt.backtesting.strategy.buy_rsi.value != 35
assert hyperopt.backtesting.strategy.sell_rsi.value != 74
hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1'
with pytest.raises(OperationalException,
match="Estimator ET1 not supported."):
hyperopt.get_optimizer([], 2)
def test_main_operational_exception1(mocker, default_conf, caplog) -> None:
patch_exchange(mocker)
mocker.patch(
'freqtrade.commands.list_commands.validate_exchanges',
MagicMock(side_effect=ValueError('Oh snap!'))
)
patched_configuration_load_config_file(mocker, default_conf)
args = ['list-exchanges']
# Test Main + the KeyboardInterrupt exception
with pytest.raises(SystemExit):
main(args)
assert log_has('Fatal exception!', caplog)
assert not log_has_re(r'SIGINT.*', caplog)
mocker.patch(
'freqtrade.commands.list_commands.validate_exchanges',
MagicMock(side_effect=KeyboardInterrupt)
)
with pytest.raises(SystemExit):
main(args)
assert log_has_re(r'SIGINT.*', caplog)
def test_performance_handle(default_conf, update, ticker, fee, limit_buy_order,
limit_sell_order, markets, mocker) -> None:
patch_exchange(mocker)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
get_fee=fee,
markets=PropertyMock(markets),
)
mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock())
freqtradebot = FreqtradeBot(default_conf)
patch_get_signal(freqtradebot, (True, False))
telegram = Telegram(freqtradebot)
# Create some test data
freqtradebot.create_trades()
trade = Trade.query.first()
assert trade
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
# Simulate fulfilled LIMIT_SELL order for trade
trade.update(limit_sell_order)
trade.close_date = datetime.utcnow()
trade.is_open = False
telegram._performance(update=update, context=MagicMock())
assert msg_mock.call_count == 1
assert 'Performance' in msg_mock.call_args_list[0][0][0]
assert '<code>ETH/BTC\t6.20% (1)</code>' in msg_mock.call_args_list[0][0][
0]
def test_count_handle(default_conf, update, ticker, fee, markets,
mocker) -> None:
patch_exchange(mocker)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
buy=MagicMock(return_value={'id': 'mocked_order_id'}),
markets=PropertyMock(markets))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
freqtradebot = FreqtradeBot(default_conf)
patch_get_signal(freqtradebot, (True, False))
telegram = Telegram(freqtradebot)
freqtradebot.state = State.STOPPED
telegram._count(update=update, context=MagicMock())
assert msg_mock.call_count == 1
assert 'not running' in msg_mock.call_args_list[0][0][0]
msg_mock.reset_mock()
freqtradebot.state = State.RUNNING
# Create some test data
freqtradebot.create_trades()
msg_mock.reset_mock()
telegram._count(update=update, context=MagicMock())
msg = '<pre> current max total stake\n--------- ----- -------------\n' \
' 1 {} {}</pre>'\
.format(
default_conf['max_open_trades'],
default_conf['stake_amount']
)
assert msg in msg_mock.call_args_list[0][0][0]
def test_backtest_1min_ticker_interval(default_conf, fee, mocker,
testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
# Run a backtesting for an exiting 1min ticker_interval
timerange = TimeRange(None, 'line', 0, -200)
data = history.load_data(datadir=testdatadir,
ticker_interval='1m',
pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
min_date, max_date = get_timeframe(processed)
results = backtesting.backtest({
'stake_amount': default_conf['stake_amount'],
'processed': processed,
'max_open_trades': 1,
'position_stacking': False,
'start_date': min_date,
'end_date': max_date,
})
assert not results.empty
assert len(results) == 1
def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'all', })
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
del hyperopt.custom_hyperopt.__class__.indicator_space
del hyperopt.custom_hyperopt.__class__.sell_indicator_space
with pytest.raises(OperationalException, match=r"The 'buy' space is included into *"):
hyperopt.start()
def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys):
patch_exchange(mocker)
backtestmock = MagicMock(side_effect=[
pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'],
'profit_percent': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_time': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00', ], utc=True
),
'close_time': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00', ], utc=True),
'open_index': [78, 184],
'close_index': [125, 192],
'trade_duration': [235, 40],
'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
}),
pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_percent': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_time': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00',
'2018-01-30 05:30:00'], utc=True
),
'close_time': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00',
'2018-01-30 08:30:00'], utc=True),
'open_index': [78, 184, 185],
'close_index': [125, 224, 205],
'trade_duration': [47, 40, 20],
'open_at_end': [False, False, False],
'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]
}),
])
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/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),
'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
'--timeframe', '1m',
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
]
args = get_args(args)
start_backtesting(args)
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14T20:57:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Backtesting with data from 2017-11-14T21:17:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
]
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
assert 'STRATEGY SUMMARY' in captured.out
def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
patch_exchange(mocker)
backtestmock = MagicMock()
mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
text_table_mock = MagicMock()
sell_reason_mock = MagicMock()
strattable_mock = MagicMock()
strat_summary = MagicMock()
mocker.patch.multiple('freqtrade.optimize.optimize_reports',
text_table_bt_results=text_table_mock,
text_table_strategy=strattable_mock,
generate_pair_metrics=MagicMock(),
generate_sell_reason_stats=sell_reason_mock,
generate_strategy_metrics=strat_summary,
)
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', '1m',
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions',
'--strategy-list',
'DefaultStrategy',
'TestStrategyLegacy',
]
args = get_args(args)
start_backtesting(args)
# 2 backtests, 4 tables
assert backtestmock.call_count == 2
assert text_table_mock.call_count == 4
assert strattable_mock.call_count == 1
assert sell_reason_mock.call_count == 2
assert strat_summary.call_count == 1
# check the logs, that will contain the backtest result
exists = [
'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14T20:57:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Backtesting with data from 2017-11-14T21:17:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Parameter --enable-position-stacking detected ...',
'Running backtesting for Strategy DefaultStrategy',
'Running backtesting for Strategy TestStrategyLegacy',
]
for line in exists:
assert log_has(line, caplog)
def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10),
datetime(2017, 12, 13))))
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1,
'results_explanation': 'foo result',
'params': {},
'params_details': {
'buy': {
'mfi-value': None
},
'sell': {
'sell-mfi-value': None
},
'roi': {},
'stoploss': {
'stoploss': None
},
'trailing': {
'trailing_stop': None
}
},
'results_metrics': {
'trade_count': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 1.0,
'duration': 20.0
}
}]))
patch_exchange(mocker)
hyperopt_conf.update({
'spaces': 'all',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
result_str = (
'{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi"'
':{},"stoploss":null,"trailing_stop":null}')
assert result_str in out # noqa: E501
assert dumper.called
# Should be called twice, once for historical candle data, once to save evaluations
assert dumper.call_count == 2
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_backtest(default_conf, fee, mocker, testdatadir) -> None:
default_conf['ask_strategy']['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
pair = 'UNITTEST/BTC'
timerange = TimeRange('date', None, 1517227800, 0)
data = history.load_data(datadir=testdatadir,
timeframe='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=processed,
stake_amount=default_conf['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=10,
position_stacking=False,
)
assert not results.empty
assert len(results) == 2
expected = pd.DataFrame({
'pair': [pair, pair],
'profit_percent': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_date':
pd.to_datetime([
Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime
],
utc=True),
'open_rate': [0.104445, 0.10302485],
'open_fee': [0.0025, 0.0025],
'close_date':
pd.to_datetime([
Arrow(2018, 1, 29, 22, 35, 0).datetime,
Arrow(2018, 1, 30, 4, 10, 0).datetime
],
utc=True),
'close_rate': [0.104969, 0.103541],
'close_fee': [0.0025, 0.0025],
'amount': [0.00957442, 0.0097064],
'trade_duration': [235, 40],
'open_at_end': [False, False],
'sell_reason': [SellType.ROI, SellType.ROI]
})
pd.testing.assert_frame_equal(results, expected)
data_pair = processed[pair]
for _, t in results.iterrows():
ln = data_pair.loc[data_pair["date"] == t["open_date"]]
# Check open trade rate alignes to open rate
assert ln is not None
assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
# check close trade rate alignes to close rate or is between high and low
ln = data_pair.loc[data_pair["date"] == t["close_date"]]
assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6)
or round(ln.iloc[0]["low"], 6) < round(
t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
