Add explicit test for expand_trades_over_period

freqtrade/data/btanalysis.py

@@ -9,6 +9,7 @@ import numpy as np
 import pandas as pd
 
 from freqtrade.constants import LAST_BT_RESULT_FN
+from freqtrade.exchange import timeframe_to_prev_date
 from freqtrade.misc import json_load
 from freqtrade.persistence import LocalTrade, Trade, init_db
 
@@ -202,7 +203,8 @@ def expand_trades_over_period(results: pd.DataFrame, timeframe: str,
         from freqtrade.exchange import timeframe_to_minutes
         timeframe_min = timeframe_to_minutes(timeframe)
     # compute how long each trade was left outstanding as date indexes
-    dates = [pd.Series(pd.date_range(row[1]['open_date'], row[1]['close_date'],
+    dates = [pd.Series(pd.date_range(timeframe_to_prev_date(timeframe, row[1]['open_date']),
+                                     timeframe_to_prev_date(timeframe, row[1]['close_date']),
                                      freq=f"{timeframe_min}min"))
              for row in results[['open_date', 'close_date']].iterrows()]
     deltas = [len(x) for x in dates]

tests/data/test_btanalysis.py

@@ -1,3 +1,4 @@
+from datetime import datetime
 from math import isclose
 from pathlib import Path
 from unittest.mock import MagicMock
@@ -12,9 +13,9 @@ from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_
                                        analyze_trade_parallelism, calculate_csum,
                                        calculate_market_change, calculate_max_drawdown,
                                        combine_dataframes_with_mean, create_cum_profit,
-                                       extract_trades_of_period, get_latest_backtest_filename,
+                                       expand_trades_over_period, extract_trades_of_period,
-                                       get_latest_hyperopt_file, load_backtest_data, load_trades,
+                                       get_latest_backtest_filename, get_latest_hyperopt_file,
-                                       load_trades_from_db)
+                                       load_backtest_data, load_trades, load_trades_from_db)
 from freqtrade.data.history import load_data, load_pair_history
 from tests.conftest import create_mock_trades
 from tests.conftest_trades import MOCK_TRADE_COUNT
@@ -178,6 +179,55 @@ def test_analyze_trade_parallelism(default_conf, mocker, testdatadir):
     assert res['open_trades'].min() == 0
 
 
+def test_expand_trades_over_period(testdatadir):
+    filename = testdatadir / "backtest-result_test.json"
+    bt_data = load_backtest_data(filename)
+
+    res = expand_trades_over_period(bt_data, "5m")
+    assert isinstance(res, DataFrame)
+    assert res['pair'].str.contains('ADA/BTC').sum() == 1970
+    pair_res = res[res['pair'] == 'ADA/BTC']
+    assert all(pair_res.iloc[[0]].index == '2018-01-10 07:15:00')
+    assert all(pair_res.iloc[[1]].index == '2018-01-10 07:20:00')
+
+    res = expand_trades_over_period(bt_data, "15m")
+    # Expanding over 15m should produce fewer rows.
+    assert isinstance(res, DataFrame)
+    assert res['pair'].str.contains('ADA/BTC').sum() == 672
+    pair_res = res[res['pair'] == 'ADA/BTC']
+    assert all(pair_res.iloc[[0]].index == '2018-01-10 07:15:00')
+    assert all(pair_res.iloc[[1]].index == '2018-01-10 07:30:00')
+
+    trade_results = DataFrame(
+        {
+            'pair': ['ETH/USDT', 'ETH/USDT', 'ETH/USDT', 'ETH/USDT'],
+            'profit_ratio': [-0.1, 0.2, -0.1, 0.3],
+            'profit_abs': [-0.2, 0.4, -0.2, 0.6],
+            'trade_duration': [10, 30, 10, 10],
+            'amount': [0.1, 0.1, 0.1, 0.1],
+            'open_date':
+            [
+                datetime(2019, 1, 1, 9, 15, 0),
+                datetime(2019, 1, 2, 8, 55, 0),
+                datetime(2019, 1, 3, 9, 15, 0),
+                datetime(2019, 1, 4, 9, 15, 0),
+            ],
+            'close_date':
+            [
+                datetime(2019, 1, 1, 9, 25, 0),
+                datetime(2019, 1, 2, 9, 25, 0),
+                datetime(2019, 1, 3, 9, 25, 0),
+                datetime(2019, 1, 4, 9, 25, 0),
+            ],
+        }
+    )
+
+    res = expand_trades_over_period(trade_results, "5m")
+    assert res['pair'].str.contains('ETH/USDT').sum() == 16
+    assert all(res.iloc[[0]].index == '2019-01-01 09:15:00')
+    assert all(res.iloc[[1]].index == '2019-01-01 09:20:00')
+
+
 def test_load_trades(default_conf, mocker):
     db_mock = mocker.patch("freqtrade.data.btanalysis.load_trades_from_db", MagicMock())
     bt_mock = mocker.patch("freqtrade.data.btanalysis.load_backtest_data", MagicMock())