adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

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

Browse Source
This commit is contained in:
Janne Sinivirta 2017-09-25 21:06:15 +03:00
parent 4198220b68
commit 5f98649b7d
1 changed files with 54 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

54
test/test_backtesting.py
View File

@ -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:
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'))
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)