# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument from copy import deepcopy from unittest.mock import MagicMock import pandas as pd import pytest from freqtrade.configuration import TimeRange from freqtrade.data import history from freqtrade.data.history import get_timerange from freqtrade.enums import ExitType from freqtrade.optimize.backtesting import Backtesting from freqtrade.util.datetime_helpers import dt_utc from tests.conftest import EXMS, patch_exchange def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None: default_conf["use_exit_signal"] = False default_conf["max_open_trades"] = 10 mocker.patch(f"{EXMS}.get_fee", fee) mocker.patch( "freqtrade.optimize.backtesting.amount_to_contract_precision", lambda x, *args, **kwargs: round(x, 8), ) mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=0.00001) mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float("inf")) patch_exchange(mocker) default_conf.update( {"stake_amount": 100.0, "dry_run_wallet": 1000.0, "strategy": "StrategyTestV3"} ) backtesting = Backtesting(default_conf) backtesting._set_strategy(backtesting.strategylist[0]) pair = "UNITTEST/BTC" timerange = TimeRange("date", None, 1517227800, 0) data = history.load_data( datadir=testdatadir, timeframe="5m", pairs=["UNITTEST/BTC"], timerange=timerange ) backtesting.strategy.position_adjustment_enable = True processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) result = backtesting.backtest( processed=deepcopy(processed), start_date=min_date, end_date=max_date, ) results = result["results"] assert not results.empty assert len(results) == 2 expected = pd.DataFrame( { "pair": [pair, pair], "stake_amount": [500.0, 100.0], "max_stake_amount": [500.0, 100], "amount": [4806.87657523, 970.63960782], "open_date": pd.to_datetime( [dt_utc(2018, 1, 29, 18, 40, 0), dt_utc(2018, 1, 30, 3, 30, 0)], utc=True ), "close_date": pd.to_datetime( [dt_utc(2018, 1, 29, 22, 00, 0), dt_utc(2018, 1, 30, 4, 10, 0)], utc=True ), "open_rate": [0.10401764891917063, 0.10302485], "close_rate": [0.10453904064307624, 0.10354126528822055], "fee_open": [0.0025, 0.0025], "fee_close": [0.0025, 0.0025], "trade_duration": [200, 40], "profit_ratio": [0.0, 0.0], "profit_abs": [0.0, 0.0], "exit_reason": [ExitType.ROI.value, ExitType.ROI.value], "initial_stop_loss_abs": [0.0940005, 0.092722365], "initial_stop_loss_ratio": [-0.1, -0.1], "stop_loss_abs": [0.0940005, 0.092722365], "stop_loss_ratio": [-0.1, -0.1], "min_rate": [0.10370188, 0.103000000], "max_rate": [0.10481985, 0.103888870], "is_open": [False, False], "enter_tag": ["", ""], "leverage": [1.0, 1.0], "is_short": [False, False], "open_timestamp": [1517251200000, 1517283000000], "close_timestamp": [1517263200000, 1517285400000], "funding_fees": [0.0, 0.0], } ) # TODO: pandas3 - create correctly above ?!? expected["open_date"] = expected["open_date"].astype("datetime64[ms, UTC]") expected["close_date"] = expected["close_date"].astype("datetime64[ms, UTC]") results_no = results.drop(columns=["orders"]) pd.testing.assert_frame_equal(results_no, expected, check_exact=True) data_pair = processed[pair] assert len(results.iloc[0]["orders"]) == 6 assert len(results.iloc[1]["orders"]) == 2 for _, t in results.iterrows(): ln = data_pair.loc[data_pair["date"] == t["open_date"]] # Check open trade rate aligns to open rate assert ln is not None # check close trade rate aligns 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) @pytest.mark.parametrize("leverage", [1, 2]) def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, leverage) -> None: default_conf["use_exit_signal"] = False mocker.patch(f"{EXMS}.get_fee", fee) mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=10) mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float("inf")) mocker.patch(f"{EXMS}.get_max_leverage", return_value=10) mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0.1, 0.1)) mocker.patch("freqtrade.optimize.backtesting.Backtesting._run_funding_fees") patch_exchange(mocker) default_conf.update( { "stake_amount": 100.0, "dry_run_wallet": 1000.0, "strategy": "StrategyTestV3", "trading_mode": "futures", "margin_mode": "isolated", } ) default_conf["pairlists"] = [{"method": "StaticPairList", "allow_inactive": True}] backtesting = Backtesting(default_conf) backtesting._can_short = True backtesting._set_strategy(backtesting.strategylist[0]) pair = "XRP/USDT:USDT" row_enter = [ pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=0), 2.1, # Open 2.2, # High 1.9, # Low 2.1, # Close 1, # enter_long 0, # exit_long 0, # enter_short 0, # exit_short "", # enter_tag "", # exit_tag ] # Exit row - with slightly different values row_exit = [ pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0), 2.2, # Open 2.3, # High 2.0, # Low 2.2, # Close 1, # enter_long 0, # exit_long 0, # enter_short 0, # exit_short "", # enter_tag "", # exit_tag ] backtesting.strategy.leverage = MagicMock(return_value=leverage) trade = backtesting._enter_trade(pair, row=row_enter, direction="long") current_time = row_enter[0].to_pydatetime() assert trade assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.amount) == 47.61904762 * leverage assert len(trade.orders) == 1 backtesting.strategy.adjust_trade_position = MagicMock(return_value=None) assert pytest.approx(trade.liquidation_price) == (0.10278333 if leverage == 1 else 1.2122249) trade = backtesting._check_adjust_trade_for_candle(trade, row_enter, current_time) assert trade assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.amount) == 47.61904762 * leverage assert len(trade.orders) == 1 # Increase position by 100 backtesting.strategy.adjust_trade_position = MagicMock(return_value=(100, "PartIncrease")) trade = backtesting._check_adjust_trade_for_candle(trade, row_enter, current_time) liq_price = 0.1038916 if leverage == 1 else 1.2127791 assert trade assert pytest.approx(trade.stake_amount) == 200.0 assert pytest.approx(trade.amount) == 95.23809524 * leverage assert len(trade.orders) == 2 assert trade.orders[-1].ft_order_tag == "PartIncrease" assert pytest.approx(trade.liquidation_price) == liq_price # Reduce by more than amount - no change to trade. backtesting.strategy.adjust_trade_position = MagicMock(return_value=-500) current_time = row_exit[0].to_pydatetime() trade = backtesting._check_adjust_trade_for_candle(trade, row_exit, current_time) assert trade assert pytest.approx(trade.stake_amount) == 200.0 assert pytest.approx(trade.amount) == 95.23809524 * leverage assert len(trade.orders) == 2 assert trade.nr_of_successful_entries == 2 assert pytest.approx(trade.liquidation_price) == liq_price # Reduce position by 50 backtesting.strategy.adjust_trade_position = MagicMock(return_value=(-100, "partDecrease")) trade = backtesting._check_adjust_trade_for_candle(trade, row_exit, current_time) assert trade assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.amount) == 47.61904762 * leverage assert len(trade.orders) == 3 assert trade.orders[-1].ft_order_tag == "partDecrease" assert trade.nr_of_successful_entries == 2 assert trade.nr_of_successful_exits == 1 assert pytest.approx(trade.liquidation_price) == liq_price # Adjust below minimum backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99) trade = backtesting._check_adjust_trade_for_candle(trade, row_exit, current_time) assert trade assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.amount) == 47.61904762 * leverage assert len(trade.orders) == 3 assert trade.nr_of_successful_entries == 2 assert trade.nr_of_successful_exits == 1 assert pytest.approx(trade.liquidation_price) == liq_price # Adjust to close trade backtesting.strategy.adjust_trade_position = MagicMock(return_value=-trade.stake_amount) trade = backtesting._check_adjust_trade_for_candle(trade, row_exit, current_time) assert trade.is_open is False