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Rename some methods, improve some testing

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This commit is contained in:
Matthias 2020-05-25 20:46:31 +02:00
parent 462c35cf75
commit 6a9a8f927e
3 changed files with 102 additions and 13 deletions
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10
freqtrade/optimize/optimize_reports.py
View File

@ -78,7 +78,7 @@ def _generate_result_line(result: DataFrame, max_open_trades: int, first_column:
}
def generate_pair_results(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
results: DataFrame, skip_nan: bool = False) -> List[Dict]:
"""
Generates and returns a list for the given backtest data and the results dataframe
@ -184,7 +184,7 @@ def generate_text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]],
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def generate_strategy_summary(stake_currency: str, max_open_trades: int,
def generate_strategy_metrics(stake_currency: str, max_open_trades: int,
all_results: Dict) -> List[Dict]:
"""
Generate summary per strategy
@ -249,12 +249,12 @@ def generate_edge_table(results: dict) -> str:
def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame]):
for strategy, results in all_results.items():
pair_results = generate_pair_results(btdata, stake_currency=config['stake_currency'],
pair_results = generate_pair_metrics(btdata, stake_currency=config['stake_currency'],
max_open_trades=config['max_open_trades'],
results=results, skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=config['max_open_trades'],
results=results)
left_open_results = generate_pair_results(btdata, stake_currency=config['stake_currency'],
left_open_results = generate_pair_metrics(btdata, stake_currency=config['stake_currency'],
max_open_trades=config['max_open_trades'],
results=results.loc[results['open_at_end']],
skip_nan=True)
@ -282,7 +282,7 @@ def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
if len(all_results) > 1:
# Print Strategy summary table
strategy_results = generate_strategy_summary(stake_currency=config['stake_currency'],
strategy_results = generate_strategy_metrics(stake_currency=config['stake_currency'],
max_open_trades=config['max_open_trades'],
all_results=all_results)

93
tests/optimize/test_backtesting.py
View File

@ -665,9 +665,9 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
mocker.patch.multiple('freqtrade.optimize.optimize_reports',
generate_text_table=gen_table_mock,
generate_text_table_strategy=gen_strattable_mock,
generate_pair_results=MagicMock(),
generate_pair_metrics=MagicMock(),
generate_sell_reason_stats=sell_reason_mock,
generate_strategy_summary=gen_strat_summary,
generate_strategy_metrics=gen_strat_summary,
)
patched_configuration_load_config_file(mocker, default_conf)
@ -712,3 +712,92 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
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):
patch_exchange(mocker)
backtestmock = MagicMock(side_effect=[
pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'],
'profit_percent': [0.0, 0.0],
'profit_abs': [0.0, 0.0],
'open_time': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00', ], utc=True
),
'close_time': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00', ], utc=True),
'open_index': [78, 184],
'close_index': [125, 192],
'trade_duration': [235, 40],
'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],
'sell_reason': [SellType.ROI, SellType.ROI]
}),
pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'],
'profit_percent': [0.03, 0.01, 0.1],
'profit_abs': [0.01, 0.02, 0.2],
'open_time': pd.to_datetime(['2018-01-29 18:40:00',
'2018-01-30 03:30:00',
'2018-01-30 05:30:00'], utc=True
),
'close_time': pd.to_datetime(['2018-01-29 20:45:00',
'2018-01-30 05:35:00',
'2018-01-30 08:30:00'], utc=True),
'open_index': [78, 184, 185],
'close_index': [125, 224, 205],
'trade_duration': [47, 40, 20],
'open_at_end': [False, False, False],
'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]
}),
])
mocker.patch('freqtrade.pairlist.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'),
'--ticker-interval', '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/--ticker-interval detected ... Using ticker_interval: 1m ...',
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
'Parameter --timerange detected: 1510694220-1510700340 ...',
f'Using data directory: {testdatadir} ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Loading data from 2017-11-14T20:57:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (0 days)..',
'Backtesting with data from 2017-11-14T21:17:00+00:00 '
'up to 2017-11-14T22:58:00+00:00 (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 'STRATEGY SUMMARY' in captured.out

12
tests/optimize/test_optimize_reports.py
View File

@ -6,8 +6,8 @@ from arrow import Arrow
from freqtrade.edge import PairInfo
from freqtrade.optimize.optimize_reports import (
generate_pair_results, generate_edge_table, generate_sell_reason_stats,
generate_text_table, generate_text_table_sell_reason, generate_strategy_summary,
generate_pair_metrics, generate_edge_table, generate_sell_reason_stats,
generate_text_table, generate_text_table_sell_reason, generate_strategy_metrics,
generate_text_table_strategy, store_backtest_result)
from freqtrade.strategy.interface import SellType
from tests.conftest import patch_exchange
@ -38,13 +38,13 @@ def test_generate_text_table(default_conf, mocker):
' 15.00 | 0:20:00 | 2 | 0 | 0 |'
)
pair_results = generate_pair_results(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
max_open_trades=2, results=results)
assert generate_text_table(pair_results,
stake_currency='BTC') == result_str
def test_generate_pair_results(default_conf, mocker):
def test_generate_pair_metrics(default_conf, mocker):
results = pd.DataFrame(
{
@ -58,7 +58,7 @@ def test_generate_pair_results(default_conf, mocker):
}
)
pair_results = generate_pair_results(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
max_open_trades=2, results=results)
assert isinstance(pair_results, list)
assert len(pair_results) == 2
@ -174,7 +174,7 @@ def test_generate_text_table_strategy(default_conf, mocker):
' 45.00 | 0:20:00 | 3 | 0 | 0 |'
)
strategy_results = generate_strategy_summary(stake_currency='BTC',
strategy_results = generate_strategy_metrics(stake_currency='BTC',
max_open_trades=2,
all_results=results)