backtesting over 7 different coins and a month of 5min ticker data

test/test_backtesting.py

@@ -3,14 +3,62 @@ import unittest
 from unittest.mock import patch
 import json
 import arrow
+from pandas import DataFrame
 from analyze import analyze_ticker
+from persistence import Trade
+from main import should_sell
+
+def print_results(results):
+    print('Made {} buys. Average profit of a deal was {:.1f}%. Total profit was {:.3f}. Average trade lasted {:.1f} minutes.'.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']
+    conf = {
+        "minimal_roi": {
+            "2880": 0.005,
+            "720":  0.01,
+            "0":  0.02
+        },
+        "stoploss": -0.10
+    }
 
-    def test_1_create_trade(self):
-        with open('test/testdata/btc-neo.json') as data_file:
-            data = json.load(data_file)
+    def test_backtest(self):
+        trades = []
+        with patch.dict('main._CONF', self.conf):
+            for pair in self.pairs:
+                with open('test/testdata/'+pair+'.json') as data_file:
+                    data = json.load(data_file)
 
-            with patch('analyze.get_ticker', return_value=data):
-                with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')):
-                    print(analyze_ticker('BTC-NEO'))
+                    with patch('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)