stable/freqtrade/tests/optimize/test_backtesting.py

# pragma pylint: disable=missing-docstring,W0212

import logging
import math
import pandas as pd
import pytest
from unittest.mock import MagicMock
from freqtrade import exchange, optimize
from freqtrade.exchange import Bittrex
from freqtrade.optimize import preprocess
from freqtrade.optimize.backtesting import backtest, generate_text_table, get_timeframe
import freqtrade.optimize.backtesting as backtesting
from freqtrade.strategy.strategy import Strategy


@pytest.fixture
def default_strategy():
    strategy = Strategy()
    strategy.init({'strategy': 'default_strategy'})
    return strategy


def trim_dictlist(dl, num):
    new = {}
    for pair, pair_data in dl.items():
        new[pair] = pair_data[num:]
    return new


def test_generate_text_table():
    results = pd.DataFrame(
        {
            'currency': ['BTC_ETH', 'BTC_ETH'],
            'profit_percent': [0.1, 0.2],
            'profit_BTC': [0.2, 0.4],
            'duration': [10, 30],
            'profit': [2, 0],
            'loss': [0, 0]
        }
    )
    print(generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5))
    assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == (
        'pair       buy count    avg profit %    total profit BTC    avg duration    profit    loss\n'  # noqa
        '-------  -----------  --------------  ------------------  --------------  --------  ------\n'  # noqa
        'BTC_ETH            2           15.00          0.60000000           100.0         2       0\n'  # noqa
        'TOTAL              2           15.00          0.60000000           100.0         2       0')  # noqa


def test_get_timeframe(default_strategy):
    data = preprocess(optimize.load_data(
        None, ticker_interval=1, pairs=['BTC_UNITEST']))
    min_date, max_date = get_timeframe(data)
    assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
    assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'


def test_backtest(default_strategy, default_conf, mocker):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    exchange._API = Bittrex({'key': '', 'secret': ''})

    data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
    data = trim_dictlist(data, -200)
    results = backtest({'stake_amount': default_conf['stake_amount'],
                        'processed': optimize.preprocess(data),
                        'max_open_trades': 10,
                        'realistic': True})
    assert not results.empty


def test_backtest_1min_ticker_interval(default_strategy, default_conf, mocker):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    exchange._API = Bittrex({'key': '', 'secret': ''})

    # Run a backtesting for an exiting 5min ticker_interval
    data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
    data = trim_dictlist(data, -200)
    results = backtest({'stake_amount': default_conf['stake_amount'],
                        'processed': optimize.preprocess(data),
                        'max_open_trades': 1,
                        'realistic': True})
    assert not results.empty


def load_data_test(what):
    timerange = ((None, 'line'), None, -100)
    data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'], timerange=timerange)
    pair = data['BTC_UNITEST']
    datalen = len(pair)
    # Depending on the what parameter we now adjust the
    # loaded data looks:
    # pair :: [{'O': 0.123, 'H': 0.123, 'L': 0.123,
    #           'C': 0.123, 'V': 123.123,
    #           'T': '2017-11-04T23:02:00', 'BV': 0.123}]
    base = 0.001
    if what == 'raise':
        return {'BTC_UNITEST':
                [{'T': pair[x]['T'],  # Keep old dates
                  'V': pair[x]['V'],  # Keep old volume
                  'BV': pair[x]['BV'],  # keep too
                  'O': x * base,        # But replace O,H,L,C
                  'H': x * base + 0.0001,
                  'L': x * base - 0.0001,
                  'C': x * base} for x in range(0, datalen)]}
    if what == 'lower':
        return {'BTC_UNITEST':
                [{'T': pair[x]['T'],  # Keep old dates
                  'V': pair[x]['V'],  # Keep old volume
                  'BV': pair[x]['BV'],  # keep too
                  'O': 1 - x * base,        # But replace O,H,L,C
                  'H': 1 - x * base + 0.0001,
                  'L': 1 - x * base - 0.0001,
                  'C': 1 - x * base} for x in range(0, datalen)]}
    if what == 'sine':
        hz = 0.1  # frequency
        return {'BTC_UNITEST':
                [{'T': pair[x]['T'],  # Keep old dates
                  'V': pair[x]['V'],  # Keep old volume
                  'BV': pair[x]['BV'],  # keep too
                  # But replace O,H,L,C
                  'O': math.sin(x * hz) / 1000 + base,
                  'H': math.sin(x * hz) / 1000 + base + 0.0001,
                  'L': math.sin(x * hz) / 1000 + base - 0.0001,
                  'C': math.sin(x * hz) / 1000 + base} for x in range(0, datalen)]}
    return data


def simple_backtest(config, contour, num_results):
    data = load_data_test(contour)
    processed = optimize.preprocess(data)
    assert isinstance(processed, dict)
    results = backtest({'stake_amount': config['stake_amount'],
                        'processed': processed,
                        'max_open_trades': 1,
                        'realistic': True})
    # results :: <class 'pandas.core.frame.DataFrame'>
    assert len(results) == num_results


# Test backtest on offline data
# loaded by freqdata/optimize/__init__.py::load_data()


def test_backtest2(default_conf, mocker, default_strategy):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
    data = trim_dictlist(data, -200)
    results = backtest({'stake_amount': default_conf['stake_amount'],
                        'processed': optimize.preprocess(data),
                        'max_open_trades': 10,
                        'realistic': True})
    assert not results.empty


def test_processed(default_conf, mocker, default_strategy):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    dict_of_tickerrows = load_data_test('raise')
    dataframes = optimize.preprocess(dict_of_tickerrows)
    dataframe = dataframes['BTC_UNITEST']
    cols = dataframe.columns
    # assert the dataframe got some of the indicator columns
    for col in ['close', 'high', 'low', 'open', 'date',
                'ema50', 'ao', 'macd', 'plus_dm']:
        assert col in cols


def test_backtest_pricecontours(default_conf, mocker, default_strategy):
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    tests = [['raise', 17], ['lower', 0], ['sine', 17]]
    for [contour, numres] in tests:
        simple_backtest(default_conf, contour, numres)


def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False, timerange=None):
    tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1, timerange=timerange)
    pairdata = {'BTC_UNITEST': tickerdata}
    return pairdata


def test_backtest_start(default_conf, mocker, caplog):
    default_conf['exchange']['pair_whitelist'] = ['BTC_UNITEST']
    mocker.patch.dict('freqtrade.main._CONF', default_conf)
    mocker.patch('freqtrade.misc.load_config', new=lambda s: default_conf)
    mocker.patch.multiple('freqtrade.optimize',
                          load_data=mocked_load_data)
    args = MagicMock()
    args.ticker_interval = 1
    args.level = 10
    args.live = False
    args.datadir = None
    args.export = None
    args.timerange = '-100'  # needed due to MagicMock malleability
    backtesting.start(args)
    # check the logs, that will contain the backtest result
    exists = ['Using max_open_trades: 1 ...',
              'Using stake_amount: 0.001 ...',
              'Measuring data from 2017-11-14T21:17:00+00:00 '
              'up to 2017-11-14T22:59:00+00:00 (0 days)..']
    for line in exists:
        assert ('freqtrade.optimize.backtesting',
                logging.INFO,
                line) in caplog.record_tuples