Merge pull request #242 from gcarq/backtesting-unittests

Backtesting and hyperopt unit tests

freqtrade/tests/optimize/test_backtesting.py

@@ -1,12 +1,36 @@
 # pragma pylint: disable=missing-docstring,W0212
 
 import os
+import pandas as pd
 from freqtrade import exchange, optimize
 from freqtrade.exchange import Bittrex
-from freqtrade.optimize.backtesting import backtest
+from freqtrade.optimize.backtesting import backtest, generate_text_table, get_timeframe
 from freqtrade.optimize.__init__ import testdata_path, download_pairs, download_backtesting_testdata
 
 
+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]
+        }
+    )
+    assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == (
+        'pair       buy count  avg profit    total profit      avg duration\n'
+        '-------  -----------  ------------  --------------  --------------\n'
+        'BTC_ETH            2  15.00%        0.60000000 BTC             100\n'
+        'TOTAL              2  15.00%        0.60000000 BTC             100')
+
+
+def test_get_timeframe():
+    data = optimize.load_data(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_conf, mocker):
     mocker.patch.dict('freqtrade.main._CONF', default_conf)
     exchange._API = Bittrex({'key': '', 'secret': ''})

freqtrade/tests/optimize/test_hyperopt.py

@@ -0,0 +1,79 @@
+# pragma pylint: disable=missing-docstring,W0212,C0103
+
+from freqtrade.optimize.hyperopt import calculate_loss, TARGET_TRADES, EXPECTED_MAX_PROFIT, start, \
+    log_results
+
+
+def test_loss_calculation_prefer_correct_trade_count():
+    correct = calculate_loss(1, TARGET_TRADES)
+    over = calculate_loss(1, TARGET_TRADES + 100)
+    under = calculate_loss(1, TARGET_TRADES - 100)
+    assert over > correct
+    assert under > correct
+
+
+def test_loss_calculation_has_limited_profit():
+    correct = calculate_loss(EXPECTED_MAX_PROFIT, TARGET_TRADES)
+    over = calculate_loss(EXPECTED_MAX_PROFIT * 2, TARGET_TRADES)
+    under = calculate_loss(EXPECTED_MAX_PROFIT / 2, TARGET_TRADES)
+    assert over == correct
+    assert under > correct
+
+
+def create_trials(mocker):
+    return mocker.Mock(
+        results=[{
+            'loss': 1,
+            'result': 'foo'
+        }]
+    )
+
+
+def test_start_calls_fmin(mocker):
+    mocker.patch('freqtrade.optimize.hyperopt.Trials', return_value=create_trials(mocker))
+    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.load_data')
+    mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
+
+    args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False)
+    start(args)
+
+    mock_fmin.assert_called_once()
+
+
+def test_start_uses_mongotrials(mocker):
+    mock_mongotrials = mocker.patch('freqtrade.optimize.hyperopt.MongoTrials',
+                                    return_value=create_trials(mocker))
+    mocker.patch('freqtrade.optimize.preprocess')
+    mocker.patch('freqtrade.optimize.load_data')
+    mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={})
+
+    args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True)
+    start(args)
+
+    mock_mongotrials.assert_called_once()
+
+
+def test_log_results_if_loss_improves(mocker):
+    logger = mocker.patch('freqtrade.optimize.hyperopt.logger.info')
+    global CURRENT_BEST_LOSS
+    CURRENT_BEST_LOSS = 2
+    log_results({
+        'loss': 1,
+        'current_tries': 1,
+        'total_tries': 2,
+        'result': 'foo'
+    })
+
+    logger.assert_called_once()
+
+
+def test_no_log_if_loss_does_not_improve(mocker):
+    logger = mocker.patch('freqtrade.optimize.hyperopt.logger.info')
+    global CURRENT_BEST_LOSS
+    CURRENT_BEST_LOSS = 2
+    log_results({
+        'loss': 3,
+    })
+
+    assert not logger.called

freqtrade/tests/test_optimize_hyperopt.py

@@ -1,6 +0,0 @@
-# pragma pylint: disable=missing-docstring,W0212
-
-
-def test_optimizer(default_conf, mocker):
-    # TODO: implement test
-    pass