stable/freqtrade/tests/test_backtesting.py

76 lines
2.9 KiB
Python
Raw Normal View History

# pragma pylint: disable=missing-docstring
import json
import logging
2017-09-28 21:26:28 +00:00
import os
import unittest
from unittest.mock import patch
import arrow
from pandas import DataFrame
2017-09-28 21:26:28 +00:00
from freqtrade.analyze import analyze_ticker
from freqtrade.main import should_sell
from freqtrade.persistence import Trade
def print_results(results):
print('Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
len(results.index),
results.profit.mean() * 100.0,
results.profit.sum(),
results.duration.mean()*5
))
class TestMain(unittest.TestCase):
pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
conf = {
"minimal_roi": {
"60": 0.0,
"40": 0.01,
"20": 0.02,
"0": 0.03
},
"stoploss": -0.40
}
@classmethod
def setUpClass(cls):
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
2017-09-25 18:39:43 +00:00
@unittest.skipIf(not os.environ.get('BACKTEST', False), "slow, should be run manually")
def test_backtest(self):
trades = []
2017-09-28 21:26:28 +00:00
with patch.dict('freqtrade.main._CONF', self.conf):
for pair in self.pairs:
2017-09-28 21:26:28 +00:00
with open('testdata/'+pair+'.json') as data_file:
data = json.load(data_file)
2017-09-28 21:26:28 +00:00
with patch('freqtrade.analyze.get_ticker', return_value=data):
with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')):
ticker = analyze_ticker(pair)
# for each buy point
for index, row in ticker[ticker.buy == 1].iterrows():
trade = Trade(
open_rate=row['close'],
open_date=arrow.get(row['date']).datetime,
amount=1,
)
# calculate win/lose forwards from buy point
for index2, row2 in ticker[index:].iterrows():
if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime):
current_profit = (row2['close'] - trade.open_rate) / trade.open_rate
trades.append((pair, current_profit, index2 - index))
break
labels = ['currency', 'profit', 'duration']
results = DataFrame.from_records(trades, columns=labels)
print('====================== BACKTESTING REPORT ================================')
for pair in self.pairs:
print('For currency {}:'.format(pair))
print_results(results[results.currency == pair])
print('TOTAL OVER ALL TRADES:')
print_results(results)