data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0,
1], # enter trade (signal on last candle)
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
],
stop_loss=-0.99,
roi={"0": float('inf')},
profit_perc=0.00,
trades=[
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=2),
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=4, close_tick=6)
])
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
tc2 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.01,
roi={"0": float('inf')},
profit_perc=-0.01,
trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=1)])
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0,
0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0], # exit with stoploss hit
[3, 5010, 5010, 4980, 5010, 6172, 0, 1],
[4, 5010, 5011, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]
],
stop_loss=-0.01,
roi={"0": 1},
profit_perc=0.002,
use_sell_signal=True,
trades=[
BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)
])
# Test 1: Stop-Loss Triggered 1% loss
# Test with Stop-loss at 1%
tc1 = BTContainer(
data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0,
0], # enter trade (signal on last candle)
[2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit
[3, 4975, 5000, 4975, 4977, 6172, 0, 0],
[4, 4977, 4995, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]
],
from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
_get_frame_time_from_offset, tests_timeframe)
# Test 0: Sell with signal sell in candle 3
# Test with Stop-loss at 1%
tc0 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4600, 6172, 0, 0], # exit with stoploss hit
[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
# Test 1: Stop-Loss Triggered 1% loss
# Test with Stop-loss at 1%
tc1 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit
[3, 4975, 5000, 4980, 4977, 6172, 0, 0],
[4, 4977, 4987, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
trades=[]
)
# Two complete trades within dataframe(with sell hit for all)
tc1 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 1], # enter trade (signal on last candle)
[2, 5000, 5025, 4975, 4987, 6172, 0, 0], # exit at open
[3, 5000, 5025, 4975, 4987, 6172, 1, 0], # no action
[4, 5000, 5025, 4975, 4987, 6172, 0, 0], # should enter the trade
[5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action
[6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell
],
stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2),
BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)]
)
# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
tc2 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit
[2, 5000, 5025, 4975, 4987, 6172, 0, 0],
],
stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01,
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
)
# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0,
0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0], # exit with stoploss hit
[3, 5010, 5010, 4980, 5010, 6172, 0, 1],
[4, 5010, 5011, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]
],
stop_loss=-0.01,
roi={"0": 1},
profit_perc=0.002,
use_exit_signal=True,
trades=[
BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4)
])
# Test 1: Stop-Loss Triggered 1% loss
# Test with Stop-loss at 1%
tc1 = BTContainer(
data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0,
0], # enter trade (signal on last candle)
[2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit
[3, 4975, 5000, 4975, 4977, 6172, 0, 0],
[4, 4977, 4995, 4977, 4995, 6172, 0, 0],
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]
],
