def test_min_roi_reached3(default_conf, fee) -> None:
# test for issue #1948
min_roi = {20: 0.07,
30: 0.05,
55: 0.30,
}
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = min_roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
# Should not trigger with 20% profit since after 55 minutes only 30% is active.
assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
def test_add_indicators(default_conf, caplog):
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair, ticker_interval='1m',
datadir=None, timerange=timerange)
indicators1 = ["ema10"]
indicators2 = ["macd"]
# Generate buy/sell signals and indicators
strat = DefaultStrategy(default_conf)
data = strat.analyze_ticker(data, {'pair': pair})
fig = generage_empty_figure()
# Row 1
fig1 = add_indicators(fig=deepcopy(fig), row=1, indicators=indicators1, data=data)
figure = fig1.layout.figure
ema10 = find_trace_in_fig_data(figure.data, "ema10")
assert isinstance(ema10, go.Scatter)
assert ema10.yaxis == "y"
fig2 = add_indicators(fig=deepcopy(fig), row=3, indicators=indicators2, data=data)
figure = fig2.layout.figure
macd = find_trace_in_fig_data(figure.data, "macd")
assert isinstance(macd, go.Scatter)
assert macd.yaxis == "y3"
# No indicator found
fig3 = add_indicators(fig=deepcopy(fig), row=3, indicators=['no_indicator'], data=data)
assert fig == fig3
assert log_has_re(r'Indicator "no_indicator" ignored\..*', caplog)
def test_tickerdata_to_dataframe(default_conf) -> None:
strategy = DefaultStrategy(default_conf)
timerange = TimeRange(None, 'line', 0, -100)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': tick}
data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed
def test_tickerdata_to_dataframe(default_conf, testdatadir) -> None:
strategy = DefaultStrategy(default_conf)
timerange = TimeRange.parse_timerange('1510694220-1510700340')
tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC",
fill_missing=True)}
data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 102 # partial candle was removed
def test_get_timerange(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC']))
min_date, max_date = get_timerange(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_default_strategy(result):
strategy = DefaultStrategy()
assert type(strategy.minimal_roi) is dict
assert type(strategy.stoploss) is float
assert type(strategy.ticker_interval) is str
indicators = strategy.populate_indicators(result)
assert type(indicators) is DataFrame
assert type(strategy.populate_buy_trend(indicators)) is DataFrame
assert type(strategy.populate_sell_trend(indicators)) is DataFrame
def test_min_roi_reached(default_conf, fee) -> None:
# Use list to confirm sequence does not matter
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
def test_min_roi_reached(default_conf, fee) -> None:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = {0: 0.1, 20: 0.05, 55: 0.01}
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(
trade, 0.01,
arrow.utcnow().shift(minutes=-55).datetime)
assert strategy.min_roi_reached(trade, 0.12,
arrow.utcnow().shift(minutes=-55).datetime)
assert not strategy.min_roi_reached(
trade, 0.04,
arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06,
arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(
trade, -0.01,
arrow.utcnow().shift(minutes=-1).datetime)
assert strategy.min_roi_reached(trade, 0.02,
arrow.utcnow().shift(minutes=-1).datetime)
def test_default_strategy(result):
strategy = DefaultStrategy({})
metadata = {'pair': 'ETH/BTC'}
assert type(strategy.minimal_roi) is dict
assert type(strategy.stoploss) is float
assert type(strategy.ticker_interval) is str
indicators = strategy.populate_indicators(result, metadata)
assert type(indicators) is DataFrame
assert type(strategy.populate_buy_trend(indicators, metadata)) is DataFrame
assert type(strategy.populate_sell_trend(indicators, metadata)) is DataFrame
def test_common_datearray(default_conf) -> None:
strategy = DefaultStrategy(default_conf)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
dataframes = strategy.tickerdata_to_dataframe(tickerlist)
dates = common_datearray(dataframes)
assert dates.size == dataframes['UNITTEST/BTC']['date'].size
assert dates[0] == dataframes['UNITTEST/BTC']['date'][0]
assert dates[-1] == dataframes['UNITTEST/BTC']['date'][-1]
def test_generate_candlestick_graph_no_trades(default_conf, mocker,
testdatadir):
row_mock = mocker.patch('freqtrade.plot.plotting.add_indicators',
MagicMock(side_effect=fig_generating_mock))
trades_mock = mocker.patch('freqtrade.plot.plotting.plot_trades',
MagicMock(side_effect=fig_generating_mock))
pair = 'UNITTEST/BTC'
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair,
ticker_interval='1m',
datadir=testdatadir,
timerange=timerange)
# Generate buy/sell signals and indicators
strat = DefaultStrategy(default_conf)
data = strat.analyze_ticker(data, {'pair': pair})
indicators1 = []
indicators2 = []
fig = generate_candlestick_graph(pair=pair,
data=data,
trades=None,
indicators1=indicators1,
indicators2=indicators2)
assert isinstance(fig, go.Figure)
assert fig.layout.title.text == pair
figure = fig.layout.figure
assert len(figure.data) == 6
# Candlesticks are plotted first
candles = find_trace_in_fig_data(figure.data, "Price")
assert isinstance(candles, go.Candlestick)
volume = find_trace_in_fig_data(figure.data, "Volume")
assert isinstance(volume, go.Bar)
buy = find_trace_in_fig_data(figure.data, "buy")
assert isinstance(buy, go.Scatter)
# All buy-signals should be plotted
assert int(data.buy.sum()) == len(buy.x)
sell = find_trace_in_fig_data(figure.data, "sell")
assert isinstance(sell, go.Scatter)
# All buy-signals should be plotted
assert int(data.sell.sum()) == len(sell.x)
assert find_trace_in_fig_data(figure.data, "BB lower")
assert find_trace_in_fig_data(figure.data, "BB upper")
assert row_mock.call_count == 2
assert trades_mock.call_count == 1
def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None:
patch_exchange(mocker)
timerange = TimeRange(None, 'line', 0, -100)
tick = history.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', 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_validate_backtest_data(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.tickerdata_to_dataframe(
history.load_data(datadir=None,
ticker_interval='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange))
min_date, max_date = optimize.get_timeframe(data)
caplog.clear()
assert not optimize.validate_backtest_data(
data, min_date, max_date, constants.TICKER_INTERVAL_MINUTES["5m"])
assert len(caplog.record_tuples) == 0
def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
history.load_data(datadir=None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']))
min_date, max_date = optimize.get_timeframe(data)
caplog.clear()
assert optimize.validate_backtest_data(
data, min_date, max_date, constants.TICKER_INTERVAL_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.record_tuples)
def test_tickerdata_to_dataframe(default_conf) -> None:
strategy = DefaultStrategy(default_conf)
timerange = TimeRange(None, 'line', 0, -100)
tick = load_tickerdata_file(None,
'UNITTEST/BTC',
'1m',
timerange=timerange)
tickerlist = {
'UNITTEST/BTC':
parse_ticker_dataframe(tick,
'1m',
pair="UNITTEST/BTC",
fill_missing=True)
}
data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 102 # partial candle was removed
def test_validate_backtest_data(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.tickerdata_to_dataframe(
history.load_data(datadir=None,
ticker_interval='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange))
min_date, max_date = history.get_timeframe(data)
caplog.clear()
assert not history.validate_backtest_data(
data['UNITTEST/BTC'], 'UNITTEST/BTC', min_date, max_date,
timeframe_to_minutes('5m'))
assert len(caplog.record_tuples) == 0
def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
history.load_data(datadir=None,
ticker_interval='1m',
pairs=['UNITTEST/BTC'],
fill_up_missing=False))
min_date, max_date = history.get_timeframe(data)
caplog.clear()
assert history.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.record_tuples)
def test__analyze_ticker_internal_skip_analyze(ticker_history, mocker,
caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
strategy.process_only_new_candles = True
ret = strategy._analyze_ticker_internal(ticker_history,
{'pair': 'ETH/BTC'})
assert 'high' in ret.columns
assert 'low' in ret.columns
assert 'close' in ret.columns
assert isinstance(ret, DataFrame)
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog)
assert not log_has('Skipping TA Analysis for already analyzed candle',
caplog)
caplog.clear()
ret = strategy._analyze_ticker_internal(ticker_history,
{'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
# only skipped analyze adds buy and sell columns, otherwise it's all mocked
assert 'buy' in ret.columns
assert 'sell' in ret.columns
assert ret['buy'].sum() == 0
assert ret['sell'].sum() == 0
assert not log_has('TA Analysis Launched', caplog)
assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
def test_import_strategy(caplog):
caplog.set_level(logging.DEBUG)
default_config = {}
strategy = DefaultStrategy(default_config)
strategy.some_method = lambda *args, **kwargs: 42
assert strategy.__module__ == 'freqtrade.strategy.default_strategy'
assert strategy.some_method() == 42
imported_strategy = import_strategy(strategy, default_config)
assert dir(strategy) == dir(imported_strategy)
assert imported_strategy.__module__ == 'freqtrade.strategy'
assert imported_strategy.some_method() == 42
assert log_has(
'Imported strategy freqtrade.strategy.default_strategy.DefaultStrategy '
'as freqtrade.strategy.DefaultStrategy', caplog)
def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)
buy_mock = MagicMock(side_effect=lambda x, meta: x)
sell_mock = MagicMock(side_effect=lambda x, meta: x)
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
advise_indicators=ind_mock,
advise_buy=buy_mock,
advise_sell=sell_mock,
)
strategy = DefaultStrategy({})
strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
assert ind_mock.call_count == 1
assert buy_mock.call_count == 1
assert buy_mock.call_count == 1
assert log_has('TA Analysis Launched', caplog.record_tuples)
assert not log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)
caplog.clear()
strategy.analyze_ticker(ticker_history, {'pair': 'ETH/BTC'})
# No analysis happens as process_only_new_candles is true
assert ind_mock.call_count == 2
assert buy_mock.call_count == 2
assert buy_mock.call_count == 2
assert log_has('TA Analysis Launched', caplog.record_tuples)
assert not log_has('Skippinig TA Analysis for already analyzed candle',
caplog.record_tuples)
def test_import_strategy(caplog):
caplog.set_level(logging.DEBUG)
strategy = DefaultStrategy()
strategy.some_method = lambda *args, **kwargs: 42
assert strategy.__module__ == 'freqtrade.strategy.default_strategy'
assert strategy.some_method() == 42
imported_strategy = import_strategy(strategy)
assert dir(strategy) == dir(imported_strategy)
assert imported_strategy.__module__ == 'freqtrade.strategy'
assert imported_strategy.some_method() == 42
assert (
'freqtrade.strategy',
logging.DEBUG,
'Imported strategy freqtrade.strategy.default_strategy.DefaultStrategy '
'as freqtrade.strategy.DefaultStrategy',
) in caplog.record_tuples
def test_is_pair_locked(default_conf):
strategy = DefaultStrategy(default_conf)
# dict should be empty
assert not strategy._pair_locked_until
pair = 'ETH/BTC'
assert not strategy.is_pair_locked(pair)
strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
# ETH/BTC locked for 4 minutes
assert strategy.is_pair_locked(pair)
# XRP/BTC should not be locked now
pair = 'XRP/BTC'
assert not strategy.is_pair_locked(pair)
def test_min_roi_reached2(default_conf, fee) -> None:
# test with ROI raising after last interval
min_roi_list = [
{
20: 0.07,
30: 0.05,
55: 0.30,
0: 0.1
},
{
0: 0.1,
20: 0.07,
30: 0.05,
55: 0.30
},
]
for roi in min_roi_list:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(
trade, 0.02,
arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(
trade, 0.12,
arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(
trade, 0.04,
arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(
trade, 0.071,
arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(
trade, 0.04,
arrow.utcnow().shift(minutes=-26).datetime)
assert strategy.min_roi_reached(
trade, 0.06,
arrow.utcnow().shift(minutes=-26).datetime)
# Should not trigger with 20% profit since after 55 minutes only 30% is active.
assert not strategy.min_roi_reached(
trade, 0.20,
arrow.utcnow().shift(minutes=-2).datetime)
assert strategy.min_roi_reached(
trade, 0.31,
arrow.utcnow().shift(minutes=-2).datetime)
import logging
from unittest.mock import MagicMock
import arrow
from pandas import DataFrame
from freqtrade.arguments import TimeRange
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.history import load_tickerdata_file
from freqtrade.persistence import Trade
from freqtrade.tests.conftest import get_patched_exchange, log_has
from freqtrade.strategy.default_strategy import DefaultStrategy
# Avoid to reinit the same object again and again
_STRATEGY = DefaultStrategy(config={})
def test_returns_latest_buy_signal(mocker, default_conf, ticker_history):
mocker.patch.object(_STRATEGY,
'analyze_ticker',
return_value=DataFrame([{
'buy': 1,
'sell': 0,
'date': arrow.utcnow()
}]))
assert _STRATEGY.get_signal('ETH/BTC', '5m',
ticker_history) == (True, False)
mocker.patch.object(_STRATEGY,
'analyze_ticker',
def test_is_pair_locked(default_conf):
strategy = DefaultStrategy(default_conf)
# dict should be empty
assert not strategy._pair_locked_until
pair = 'ETH/BTC'
assert not strategy.is_pair_locked(pair)
strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
# ETH/BTC locked for 4 minutes
assert strategy.is_pair_locked(pair)
# Test lock does not change
lock = strategy._pair_locked_until[pair]
strategy.lock_pair(pair, arrow.utcnow().shift(minutes=2).datetime)
assert lock == strategy._pair_locked_until[pair]
# XRP/BTC should not be locked now
pair = 'XRP/BTC'
assert not strategy.is_pair_locked(pair)
# Unlocking a pair that's not locked should not raise an error
strategy.unlock_pair(pair)
# Unlock original pair
pair = 'ETH/BTC'
strategy.unlock_pair(pair)
assert not strategy.is_pair_locked(pair)
