stable/tests/optimize/test_backtesting.py

# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument

import random
from pathlib import Path
from unittest.mock import MagicMock, PropertyMock

import numpy as np
import pandas as pd
import pytest
from arrow import Arrow

from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.data.btanalysis import BT_DATA_COLUMNS, evaluate_result_multi
from freqtrade.data.converter import clean_ohlcv_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import get_timerange
from freqtrade.enums import RunMode, SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import LocalTrade
from freqtrade.resolvers import StrategyResolver
from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
                            patched_configuration_load_config_file)


ORDER_TYPES = [
    {
        'buy': 'limit',
        'sell': 'limit',
        'stoploss': 'limit',
        'stoploss_on_exchange': False
    },
    {
        'buy': 'limit',
        'sell': 'limit',
        'stoploss': 'limit',
        'stoploss_on_exchange': True
    }]


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


def load_data_test(what, testdatadir):
    timerange = TimeRange.parse_timerange('1510694220-1510700340')
    data = history.load_pair_history(pair='UNITTEST/BTC', datadir=testdatadir,
                                     timeframe='1m', timerange=timerange,
                                     drop_incomplete=False,
                                     fill_up_missing=False)

    base = 0.001
    if what == 'raise':
        data.loc[:, 'open'] = data.index * base
        data.loc[:, 'high'] = data.index * base + 0.0001
        data.loc[:, 'low'] = data.index * base - 0.0001
        data.loc[:, 'close'] = data.index * base

    if what == 'lower':
        data.loc[:, 'open'] = 1 - data.index * base
        data.loc[:, 'high'] = 1 - data.index * base + 0.0001
        data.loc[:, 'low'] = 1 - data.index * base - 0.0001
        data.loc[:, 'close'] = 1 - data.index * base

    if what == 'sine':
        hz = 0.1  # frequency
        data.loc[:, 'open'] = np.sin(data.index * hz) / 1000 + base
        data.loc[:, 'high'] = np.sin(data.index * hz) / 1000 + base + 0.0001
        data.loc[:, 'low'] = np.sin(data.index * hz) / 1000 + base - 0.0001
        data.loc[:, 'close'] = np.sin(data.index * hz) / 1000 + base

    return {'UNITTEST/BTC': clean_ohlcv_dataframe(data, timeframe='1m', pair='UNITTEST/BTC',
                                                  fill_missing=True)}


def simple_backtest(config, contour, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    config['timeframe'] = '1m'
    backtesting = Backtesting(config)
    backtesting._set_strategy(backtesting.strategylist[0])

    data = load_data_test(contour, testdatadir)
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    assert isinstance(processed, dict)
    results = backtesting.backtest(
        processed=processed,
        start_date=min_date,
        end_date=max_date,
        max_open_trades=1,
        position_stacking=False,
        enable_protections=config.get('enable_protections', False),
    )
    # results :: <class 'pandas.core.frame.DataFrame'>
    return results


# FIX: fixturize this?
def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
    data = history.load_data(datadir=datadir, timeframe='1m', pairs=[pair])
    data = trim_dictlist(data, -201)
    patch_exchange(mocker)
    backtesting = Backtesting(conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    return {
        'processed': processed,
        'start_date': min_date,
        'end_date': max_date,
        'max_open_trades': 10,
        'position_stacking': False,
    }


def _trend(signals, buy_value, sell_value):
    n = len(signals['low'])
    buy = np.zeros(n)
    sell = np.zeros(n)
    for i in range(0, len(signals['buy'])):
        if random.random() > 0.5:  # Both buy and sell signals at same timeframe
            buy[i] = buy_value
            sell[i] = sell_value
    signals['buy'] = buy
    signals['sell'] = sell
    return signals


def _trend_alternate(dataframe=None, metadata=None):
    signals = dataframe
    low = signals['low']
    n = len(low)
    buy = np.zeros(n)
    sell = np.zeros(n)
    for i in range(0, len(buy)):
        if i % 2 == 0:
            buy[i] = 1
        else:
            sell[i] = 1
    signals['buy'] = buy
    signals['sell'] = sell
    return dataframe


# Unit tests
def test_setup_optimize_configuration_without_arguments(mocker, default_conf, caplog) -> None:
    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
        '--export', 'none'
    ]

    config = setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
    assert 'max_open_trades' in config
    assert 'stake_currency' in config
    assert 'stake_amount' in config
    assert 'exchange' in config
    assert 'pair_whitelist' in config['exchange']
    assert 'datadir' in config
    assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
    assert 'timeframe' in config
    assert not log_has_re('Parameter -i/--ticker-interval detected .*', caplog)

    assert 'position_stacking' not in config
    assert not log_has('Parameter --enable-position-stacking detected ...', caplog)

    assert 'timerange' not in config
    assert 'export' in config
    assert config['export'] == 'none'
    assert 'runmode' in config
    assert config['runmode'] == RunMode.BACKTEST


def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) -> None:
    patched_configuration_load_config_file(mocker, default_conf)
    mocker.patch(
        'freqtrade.configuration.configuration.create_datadir',
        lambda c, x: x
    )

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
        '--datadir', '/foo/bar',
        '--timeframe', '1m',
        '--enable-position-stacking',
        '--disable-max-market-positions',
        '--timerange', ':100',
        '--export-filename', 'foo_bar.json',
        '--fee', '0',
    ]

    config = setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
    assert 'max_open_trades' in config
    assert 'stake_currency' in config
    assert 'stake_amount' in config
    assert 'exchange' in config
    assert 'pair_whitelist' in config['exchange']
    assert 'datadir' in config
    assert config['runmode'] == RunMode.BACKTEST

    assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
    assert 'timeframe' in config
    assert log_has('Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
                   caplog)

    assert 'position_stacking' in config
    assert log_has('Parameter --enable-position-stacking detected ...', caplog)

    assert 'use_max_market_positions' in config
    assert log_has('Parameter --disable-max-market-positions detected ...', caplog)
    assert log_has('max_open_trades set to unlimited ...', caplog)

    assert 'timerange' in config
    assert log_has('Parameter --timerange detected: {} ...'.format(config['timerange']), caplog)

    assert 'export' in config
    assert 'exportfilename' in config
    assert isinstance(config['exportfilename'], Path)
    assert log_has('Storing backtest results to {} ...'.format(config['exportfilename']), caplog)

    assert 'fee' in config
    assert log_has('Parameter --fee detected, setting fee to: {} ...'.format(config['fee']), caplog)


def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog) -> None:

    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
        '--stake-amount', '1',
        '--starting-balance', '2'
    ]

    conf = setup_optimize_configuration(get_args(args), RunMode.BACKTEST)
    assert isinstance(conf, dict)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
        '--stake-amount', '1',
        '--starting-balance', '0.5'
    ]
    with pytest.raises(OperationalException, match=r"Starting balance .* smaller .*"):
        setup_optimize_configuration(get_args(args), RunMode.BACKTEST)


def test_start(mocker, fee, default_conf, caplog) -> None:
    start_mock = MagicMock()
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.start', start_mock)
    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
    ]
    pargs = get_args(args)
    start_backtesting(pargs)
    assert log_has('Starting freqtrade in Backtesting mode', caplog)
    assert start_mock.call_count == 1


@pytest.mark.parametrize("order_types", ORDER_TYPES)
def test_backtesting_init(mocker, default_conf, order_types) -> None:
    """
    Check that stoploss_on_exchange is set to False while backtesting
    since backtesting assumes a perfect stoploss anyway.
    """
    default_conf["order_types"] = order_types
    patch_exchange(mocker)
    get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.config == default_conf
    assert backtesting.timeframe == '5m'
    assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
    assert callable(backtesting.strategy.advise_enter)
    assert callable(backtesting.strategy.advise_exit)
    assert isinstance(backtesting.strategy.dp, DataProvider)
    get_fee.assert_called()
    assert backtesting.fee == 0.5
    assert not backtesting.strategy.order_types["stoploss_on_exchange"]


def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
    patch_exchange(mocker)
    del default_conf['timeframe']
    default_conf['strategy_list'] = ['DefaultStrategy',
                                     'SampleStrategy']

    mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
    with pytest.raises(OperationalException):
        Backtesting(default_conf)
    log_has("Ticker-interval needs to be set in either configuration "
            "or as cli argument `--ticker-interval 5m`", caplog)


def test_data_with_fee(default_conf, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    default_conf['fee'] = 0.1234

    fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.fee == 0.1234
    assert fee_mock.call_count == 0

    default_conf['fee'] = 0.0
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    assert backtesting.fee == 0.0
    assert fee_mock.call_count == 0


def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    timerange = TimeRange.parse_timerange('1510694220-1510700340')
    data = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
                             fill_up_missing=True)
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    assert len(processed['UNITTEST/BTC']) == 102

    # Load strategy to compare the result between Backtesting function and strategy are the same
    default_conf.update({'strategy': 'DefaultStrategy'})
    strategy = StrategyResolver.load_strategy(default_conf)

    processed2 = strategy.ohlcvdata_to_dataframe(data)
    assert processed['UNITTEST/BTC'].equals(processed2['UNITTEST/BTC'])


def test_backtest_abort(default_conf, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
    backtesting.check_abort()

    backtesting.abort = True

    with pytest.raises(DependencyException, match="Stop requested"):
        backtesting.check_abort()
    # abort flag resets
    assert backtesting.abort is False
    assert backtesting.progress.progress == 0


def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
    def get_timerange(input1):
        return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)

    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
    mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
    mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
    sbs = mocker.patch('freqtrade.optimize.backtesting.store_backtest_stats')
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))

    default_conf['timeframe'] = '1m'
    default_conf['datadir'] = testdatadir
    default_conf['export'] = 'trades'
    default_conf['exportfilename'] = 'export.txt'
    default_conf['timerange'] = '-1510694220'

    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.bot_loop_start = MagicMock()
    backtesting.start()
    # check the logs, that will contain the backtest result
    exists = [
        'Backtesting with data from 2017-11-14 21:17:00 '
        'up to 2017-11-14 22:59:00 (0 days).'
    ]
    for line in exists:
        assert log_has(line, caplog)
    assert backtesting.strategy.dp._pairlists is not None
    assert backtesting.strategy.bot_loop_start.call_count == 1
    assert sbs.call_count == 1


def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) -> None:
    def get_timerange(input1):
        return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)

    mocker.patch('freqtrade.data.history.history_utils.load_pair_history',
                 MagicMock(return_value=pd.DataFrame()))
    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))

    default_conf['timeframe'] = "1m"
    default_conf['datadir'] = testdatadir
    default_conf['export'] = 'none'
    default_conf['timerange'] = '20180101-20180102'

    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    with pytest.raises(OperationalException, match='No data found. Terminating.'):
        backtesting.start()


def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) -> None:
    mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
    mocker.patch('freqtrade.data.history.history_utils.load_pair_history',
                 MagicMock(return_value=pd.DataFrame()))
    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=[]))

    default_conf['timeframe'] = "1m"
    default_conf['datadir'] = testdatadir
    default_conf['export'] = 'none'
    default_conf['timerange'] = '20180101-20180102'

    with pytest.raises(OperationalException, match='No pair in whitelist.'):
        Backtesting(default_conf)

    default_conf['pairlists'] = [{"method": "VolumePairList", "number_assets": 5}]
    with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'):
        Backtesting(default_conf)


def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, tickers) -> None:
    mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
    mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
    mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y)
    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['XRP/BTC']))
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.refresh_pairlist')

    default_conf['ticker_interval'] = "1m"
    default_conf['datadir'] = testdatadir
    default_conf['export'] = 'none'
    # Use stoploss from strategy
    del default_conf['stoploss']
    default_conf['timerange'] = '20180101-20180102'

    default_conf['pairlists'] = [{"method": "VolumePairList", "number_assets": 5}]
    with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'):
        Backtesting(default_conf)

    default_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PerformanceFilter"}]
    with pytest.raises(OperationalException,
                       match='PerformanceFilter not allowed for backtesting.'):
        Backtesting(default_conf)

    default_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}, ]
    Backtesting(default_conf)

    # Multiple strategies
    default_conf['strategy_list'] = ['DefaultStrategy', 'TestStrategyLegacy']
    with pytest.raises(OperationalException,
                       match='PrecisionFilter not allowed for backtesting multiple strategies.'):
        Backtesting(default_conf)


def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
    default_conf['use_sell_signal'] = False
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    patch_exchange(mocker)
    default_conf['stake_amount'] = 'unlimited'
    default_conf['max_open_trades'] = 2
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    pair = 'UNITTEST/BTC'
    row = [
        pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
        1,  # Sell
        0.001,  # Open
        0.0011,  # Close
        0,  # Sell
        0.00099,  # Low
        0.0012,  # High
        '',  # Buy Signal Name
    ]
    trade = backtesting._enter_trade(pair, row=row)
    assert isinstance(trade, LocalTrade)
    assert trade.stake_amount == 495

    # Fake 2 trades, so there's not enough amount for the next trade left.
    LocalTrade.trades_open.append(trade)
    LocalTrade.trades_open.append(trade)
    trade = backtesting._enter_trade(pair, row=row)
    assert trade is None
    LocalTrade.trades_open.pop()
    trade = backtesting._enter_trade(pair, row=row)
    assert trade is not None

    backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
    trade = backtesting._enter_trade(pair, row=row)
    assert trade
    assert trade.stake_amount == 123.5

    # In case of error - use proposed stake
    backtesting.strategy.custom_stake_amount = lambda **kwargs: 20 / 0
    trade = backtesting._enter_trade(pair, row=row)
    assert trade
    assert trade.stake_amount == 495

    # Stake-amount too high!
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)

    trade = backtesting._enter_trade(pair, row=row)
    assert trade is None

    # Stake-amount throwing error
    mocker.patch("freqtrade.wallets.Wallets.get_trade_stake_amount",
                 side_effect=DependencyException)

    trade = backtesting._enter_trade(pair, row=row)
    assert trade is None


def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
    default_conf['use_sell_signal'] = False
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    patch_exchange(mocker)
    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)
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    result = backtesting.backtest(
        processed=processed,
        start_date=min_date,
        end_date=max_date,
        max_open_trades=10,
        position_stacking=False,
    )
    results = result['results']
    assert not results.empty
    assert len(results) == 2

    expected = pd.DataFrame(
        {'pair': [pair, pair],
         'stake_amount': [0.001, 0.001],
         'amount': [0.00957442, 0.0097064],
         'open_date': pd.to_datetime([Arrow(2018, 1, 29, 18, 40, 0).datetime,
                                      Arrow(2018, 1, 30, 3, 30, 0).datetime], utc=True
                                     ),
         'close_date': pd.to_datetime([Arrow(2018, 1, 29, 22, 35, 0).datetime,
                                       Arrow(2018, 1, 30, 4, 10, 0).datetime], utc=True),
         'open_rate': [0.104445, 0.10302485],
         'close_rate': [0.104969, 0.103541],
         'fee_open': [0.0025, 0.0025],
         'fee_close': [0.0025, 0.0025],
         'trade_duration': [235, 40],
         'profit_ratio': [0.0, 0.0],
         'profit_abs': [0.0, 0.0],
         'sell_reason': [SellType.ROI.value, SellType.ROI.value],
         'initial_stop_loss_abs': [0.0940005, 0.09272236],
         'initial_stop_loss_ratio': [-0.1, -0.1],
         'stop_loss_abs': [0.0940005, 0.09272236],
         'stop_loss_ratio': [-0.1, -0.1],
         'min_rate': [0.1038, 0.10302485],
         'max_rate': [0.10501, 0.1038888],
         'is_open': [False, False],
         'buy_tag': [None, None],
         })
    pd.testing.assert_frame_equal(results, expected)
    data_pair = processed[pair]
    for _, t in results.iterrows():
        ln = data_pair.loc[data_pair["date"] == t["open_date"]]
        # Check open trade rate alignes to open rate
        assert ln is not None
        assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
        # check close trade rate alignes 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))


def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None:
    default_conf['use_sell_signal'] = False
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])

    # Run a backtesting for an exiting 1min timeframe
    timerange = TimeRange.parse_timerange('1510688220-1510700340')
    data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'],
                             timerange=timerange)
    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    results = backtesting.backtest(
        processed=processed,
        start_date=min_date,
        end_date=max_date,
        max_open_trades=1,
        position_stacking=False,
    )
    assert not results['results'].empty
    assert len(results['results']) == 1


def test_processed(default_conf, mocker, testdatadir) -> None:
    patch_exchange(mocker)
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])

    dict_of_tickerrows = load_data_test('raise', testdatadir)
    dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows)
    dataframe = dataframes['UNITTEST/BTC']
    cols = dataframe.columns
    # assert the dataframe got some of the indicator columns
    for col in ['close', 'high', 'low', 'open', 'date',
                'ema10', 'rsi', 'fastd', 'plus_di']:
        assert col in cols


def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatadir) -> None:
    # While this test IS a copy of test_backtest_pricecontours, it's needed to ensure
    # results do not carry-over to the next run, which is not given by using parametrize.
    default_conf['protections'] = [
        {
            "method": "CooldownPeriod",
            "stop_duration": 3,
        }]

    default_conf['enable_protections'] = True
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    tests = [
        ['sine', 9],
        ['raise', 10],
        ['lower', 0],
        ['sine', 9],
        ['raise', 10],
    ]
    # While buy-signals are unrealistic, running backtesting
    # over and over again should not cause different results
    for [contour, numres] in tests:
        assert len(simple_backtest(default_conf, contour, mocker, testdatadir)['results']) == numres


@pytest.mark.parametrize('protections,contour,expected', [
    (None, 'sine', 35),
    (None, 'raise', 19),
    (None, 'lower', 0),
    (None, 'sine', 35),
    (None, 'raise', 19),
    ([{"method": "CooldownPeriod", "stop_duration": 3}], 'sine', 9),
    ([{"method": "CooldownPeriod", "stop_duration": 3}], 'raise', 10),
    ([{"method": "CooldownPeriod", "stop_duration": 3}], 'lower', 0),
    ([{"method": "CooldownPeriod", "stop_duration": 3}], 'sine', 9),
    ([{"method": "CooldownPeriod", "stop_duration": 3}], 'raise', 10),
])
def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
                                protections, contour, expected) -> None:
    if protections:
        default_conf['protections'] = protections
        default_conf['enable_protections'] = True

    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    # While buy-signals are unrealistic, running backtesting
    # over and over again should not cause different results
    assert len(simple_backtest(default_conf, contour, mocker, testdatadir)['results']) == expected


def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
    # Override the default buy trend function in our default_strategy
    def fun(dataframe=None, pair=None):
        buy_value = 1
        sell_value = 1
        return _trend(dataframe, buy_value, sell_value)

    backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_enter = fun  # Override
    backtesting.strategy.advise_exit = fun  # Override
    result = backtesting.backtest(**backtest_conf)
    assert result['results'].empty


def test_backtest_only_sell(mocker, default_conf, testdatadir):
    # Override the default buy trend function in our default_strategy
    def fun(dataframe=None, pair=None):
        buy_value = 0
        sell_value = 1
        return _trend(dataframe, buy_value, sell_value)

    backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_enter = fun  # Override
    backtesting.strategy.advise_exit = fun  # Override
    result = backtesting.backtest(**backtest_conf)
    assert result['results'].empty


def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
                                        pair='UNITTEST/BTC', datadir=testdatadir)
    default_conf['timeframe'] = '1m'
    backtesting = Backtesting(default_conf)
    backtesting.required_startup = 0
    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_enter = _trend_alternate  # Override
    backtesting.strategy.advise_exit = _trend_alternate  # Override
    result = backtesting.backtest(**backtest_conf)
    # 200 candles in backtest data
    # won't buy on first (shifted by 1)
    # 100 buys signals
    results = result['results']
    assert len(results) == 100
    # Cached data should be 200 (no change since required_startup is 0)
    assert len(backtesting.dataprovider.get_analyzed_dataframe('UNITTEST/BTC', '1m')[0]) == 200

    # One trade was force-closed at the end
    assert len(results.loc[results['is_open']]) == 0


@pytest.mark.parametrize("pair", ['ADA/BTC', 'LTC/BTC'])
@pytest.mark.parametrize("tres", [0, 20, 30])
def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir):

    def _trend_alternate_hold(dataframe=None, metadata=None):
        """
        Buy every xth candle - sell every other xth -2 (hold on to pairs a bit)
        """
        if metadata['pair'] in ('ETH/BTC', 'LTC/BTC'):
            multi = 20
        else:
            multi = 18
        dataframe['buy'] = np.where(dataframe.index % multi == 0, 1, 0)
        dataframe['sell'] = np.where((dataframe.index + multi - 2) % multi == 0, 1, 0)
        return dataframe

    mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
    patch_exchange(mocker)

    pairs = ['ADA/BTC', 'DASH/BTC', 'ETH/BTC', 'LTC/BTC', 'NXT/BTC']
    data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=pairs)
    # Only use 500 lines to increase performance
    data = trim_dictlist(data, -500)

    # Remove data for one pair from the beginning of the data
    data[pair] = data[pair][tres:].reset_index()
    default_conf['timeframe'] = '5m'

    backtesting = Backtesting(default_conf)
    backtesting._set_strategy(backtesting.strategylist[0])
    backtesting.strategy.advise_enter = _trend_alternate_hold  # Override
    backtesting.strategy.advise_exit = _trend_alternate_hold  # Override

    processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
    min_date, max_date = get_timerange(processed)
    backtest_conf = {
        'processed': processed,
        'start_date': min_date,
        'end_date': max_date,
        'max_open_trades': 3,
        'position_stacking': False,
    }

    results = backtesting.backtest(**backtest_conf)

    # Make sure we have parallel trades
    assert len(evaluate_result_multi(results['results'], '5m', 2)) > 0
    # make sure we don't have trades with more than configured max_open_trades
    assert len(evaluate_result_multi(results['results'], '5m', 3)) == 0

    # Cached data correctly removed amounts
    removed_candles = len(data[pair]) - 1 - backtesting.strategy.startup_candle_count
    assert len(backtesting.dataprovider.get_analyzed_dataframe(pair, '5m')[0]) == removed_candles

    backtest_conf = {
        'processed': processed,
        'start_date': min_date,
        'end_date': max_date,
        'max_open_trades': 1,
        'position_stacking': False,
    }
    results = backtesting.backtest(**backtest_conf)
    assert len(evaluate_result_multi(results['results'], '5m', 1)) == 0


def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):

    patch_exchange(mocker)
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
    mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
    mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))
    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--strategy', 'DefaultStrategy',
        '--datadir', str(testdatadir),
        '--timeframe', '1m',
        '--timerange', '1510694220-1510700340',
        '--enable-position-stacking',
        '--disable-max-market-positions'
    ]
    args = get_args(args)
    start_backtesting(args)
    # check the logs, that will contain the backtest result
    exists = [
        'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
        'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
        'Parameter --timerange detected: 1510694220-1510700340 ...',
        f'Using data directory: {testdatadir} ...',
        'Loading data from 2017-11-14 20:57:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Backtesting with data from 2017-11-14 21:17:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Parameter --enable-position-stacking detected ...'
    ]

    for line in exists:
        assert log_has(line, caplog)


@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):

    default_conf.update({
        "use_sell_signal": True,
        "sell_profit_only": False,
        "sell_profit_offset": 0.0,
        "ignore_roi_if_buy_signal": False,
    })
    patch_exchange(mocker)
    backtestmock = MagicMock(return_value={
        'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
        'config': default_conf,
        'locks': [],
        'rejected_signals': 20,
        'final_balance': 1000,
    })
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
    text_table_mock = MagicMock()
    sell_reason_mock = MagicMock()
    strattable_mock = MagicMock()
    strat_summary = MagicMock()

    mocker.patch.multiple('freqtrade.optimize.optimize_reports',
                          text_table_bt_results=text_table_mock,
                          text_table_strategy=strattable_mock,
                          generate_pair_metrics=MagicMock(),
                          generate_sell_reason_stats=sell_reason_mock,
                          generate_strategy_comparison=strat_summary,
                          generate_daily_stats=MagicMock(),
                          )
    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--datadir', str(testdatadir),
        '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
        '--timeframe', '1m',
        '--timerange', '1510694220-1510700340',
        '--enable-position-stacking',
        '--disable-max-market-positions',
        '--strategy-list',
        'DefaultStrategy',
        'TestStrategyLegacy',
    ]
    args = get_args(args)
    start_backtesting(args)
    # 2 backtests, 4 tables
    assert backtestmock.call_count == 2
    assert text_table_mock.call_count == 4
    assert strattable_mock.call_count == 1
    assert sell_reason_mock.call_count == 2
    assert strat_summary.call_count == 1

    # check the logs, that will contain the backtest result
    exists = [
        'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
        'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
        'Parameter --timerange detected: 1510694220-1510700340 ...',
        f'Using data directory: {testdatadir} ...',
        'Loading data from 2017-11-14 20:57:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Backtesting with data from 2017-11-14 21:17:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Parameter --enable-position-stacking detected ...',
        'Running backtesting for Strategy DefaultStrategy',
        'Running backtesting for Strategy TestStrategyLegacy',
    ]

    for line in exists:
        assert log_has(line, caplog)


@pytest.mark.filterwarnings("ignore:deprecated")
def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys):
    default_conf.update({
        "use_sell_signal": True,
        "sell_profit_only": False,
        "sell_profit_offset": 0.0,
        "ignore_roi_if_buy_signal": False,
    })
    patch_exchange(mocker)
    result1 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'],
                            'profit_ratio': [0.0, 0.0],
                            'profit_abs': [0.0, 0.0],
                            'open_date': pd.to_datetime(['2018-01-29 18:40:00',
                                                         '2018-01-30 03:30:00', ], utc=True
                                                        ),
                            'close_date': pd.to_datetime(['2018-01-29 20:45:00',
                                                          '2018-01-30 05:35:00', ], utc=True),
                            'trade_duration': [235, 40],
                            'is_open': [False, False],
                            'stake_amount': [0.01, 0.01],
                            'open_rate': [0.104445, 0.10302485],
                            'close_rate': [0.104969, 0.103541],
                            'sell_reason': [SellType.ROI, SellType.ROI]
                            })
    result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
                            'profit_ratio': [0.03, 0.01, 0.1],
                            'profit_abs': [0.01, 0.02, 0.2],
                            'open_date': pd.to_datetime(['2018-01-29 18:40:00',
                                                         '2018-01-30 03:30:00',
                                                         '2018-01-30 05:30:00'], utc=True
                                                        ),
                            'close_date': pd.to_datetime(['2018-01-29 20:45:00',
                                                          '2018-01-30 05:35:00',
                                                          '2018-01-30 08:30:00'], utc=True),
                            'trade_duration': [47, 40, 20],
                            'is_open': [False, False, False],
                            'stake_amount': [0.01, 0.01, 0.01],
                            'open_rate': [0.104445, 0.10302485, 0.122541],
                            'close_rate': [0.104969, 0.103541, 0.123541],
                            'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
                            })
    backtestmock = MagicMock(side_effect=[
        {
            'results': result1,
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
            'final_balance': 1000,
        },
        {
            'results': result2,
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
            'final_balance': 1000,
        }
    ])
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['UNITTEST/BTC']))
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)

    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--datadir', str(testdatadir),
        '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
        '--timeframe', '1m',
        '--timerange', '1510694220-1510700340',
        '--enable-position-stacking',
        '--disable-max-market-positions',
        '--strategy-list',
        'DefaultStrategy',
        'TestStrategyLegacy',
    ]
    args = get_args(args)
    start_backtesting(args)

    # check the logs, that will contain the backtest result
    exists = [
        'Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
        'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
        'Parameter --timerange detected: 1510694220-1510700340 ...',
        f'Using data directory: {testdatadir} ...',
        'Loading data from 2017-11-14 20:57:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Backtesting with data from 2017-11-14 21:17:00 '
        'up to 2017-11-14 22:58:00 (0 days).',
        'Parameter --enable-position-stacking detected ...',
        'Running backtesting for Strategy DefaultStrategy',
        'Running backtesting for Strategy TestStrategyLegacy',
    ]

    for line in exists:
        assert log_has(line, caplog)

    captured = capsys.readouterr()
    assert 'BACKTESTING REPORT' in captured.out
    assert 'SELL REASON STATS' in captured.out
    assert 'LEFT OPEN TRADES REPORT' in captured.out
    assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
    assert 'STRATEGY SUMMARY' in captured.out