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Merge pull request #1287 from freqtrade/backtest_data_validation

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Backtest data validation
This commit is contained in:
Matthias
2018-10-26 07:21:24 -04:00
committed by GitHub
parent 92e2a3c0ea 7f9f53248c
commit 7e1a30f9bf
7 changed files with 124 additions and 437 deletions
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42
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -89,7 +89,7 @@ def simple_backtest(config, contour, num_results, mocker) -> None:
backtesting = Backtesting(config)
data = load_data_test(contour)
processed = backtesting.tickerdata_to_dataframe(data)
processed = backtesting.strategy.tickerdata_to_dataframe(data)
assert isinstance(processed, dict)
results = backtesting.backtest(
{
@@ -119,13 +119,13 @@ def _load_pair_as_ticks(pair, tickfreq):
# FIX: fixturize this?
def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
data = optimize.load_data(None, ticker_interval='8m', pairs=[pair])
data = optimize.load_data(None, ticker_interval='1m', pairs=[pair])
data = trim_dictlist(data, -201)
patch_exchange(mocker)
backtesting = Backtesting(conf)
return {
'stake_amount': conf['stake_amount'],
'processed': backtesting.tickerdata_to_dataframe(data),
'processed': backtesting.strategy.tickerdata_to_dataframe(data),
'max_open_trades': 10,
'position_stacking': False,
'record': record
@@ -313,7 +313,7 @@ def test_backtesting_init(mocker, default_conf) -> None:
backtesting = Backtesting(default_conf)
assert backtesting.config == default_conf
assert backtesting.ticker_interval == '5m'
assert callable(backtesting.tickerdata_to_dataframe)
assert callable(backtesting.strategy.tickerdata_to_dataframe)
assert callable(backtesting.advise_buy)
assert callable(backtesting.advise_sell)
get_fee.assert_called()
@@ -327,7 +327,7 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
tickerlist = {'UNITTEST/BTC': tick}
backtesting = Backtesting(default_conf)
data = backtesting.tickerdata_to_dataframe(tickerlist)
data = backtesting.strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 99
# Load strategy to compare the result between Backtesting function and strategy are the same
@@ -336,22 +336,6 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
def test_get_timeframe(default_conf, mocker) -> None:
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
data = backtesting.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = backtesting.get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_generate_text_table(default_conf, mocker):
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
@@ -451,21 +435,21 @@ def test_generate_text_table_strategyn(default_conf, mocker):
def test_backtesting_start(default_conf, mocker, caplog) -> None:
def get_timeframe(input1, input2):
def get_timeframe(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
mocker.patch('freqtrade.optimize.get_timeframe', get_timeframe)
mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
get_timeframe=get_timeframe,
)
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
default_conf['ticker_interval'] = 1
default_conf['ticker_interval'] = "1m"
default_conf['live'] = False
default_conf['datadir'] = None
default_conf['export'] = None
@@ -486,17 +470,17 @@ def test_backtesting_start(default_conf, mocker, caplog) -> None:
def test_backtesting_start_no_data(default_conf, mocker, caplog) -> None:
def get_timeframe(input1, input2):
def get_timeframe(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.optimize.load_data', MagicMock(return_value={}))
mocker.patch('freqtrade.optimize.get_timeframe', get_timeframe)
mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
get_timeframe=get_timeframe,
)
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
@@ -520,7 +504,7 @@ def test_backtest(default_conf, fee, mocker) -> None:
pair = 'UNITTEST/BTC'
data = optimize.load_data(None, ticker_interval='5m', pairs=['UNITTEST/BTC'])
data = trim_dictlist(data, -200)
data_processed = backtesting.tickerdata_to_dataframe(data)
data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
results = backtesting.backtest(
{
'stake_amount': default_conf['stake_amount'],
@@ -571,7 +555,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
results = backtesting.backtest(
{
'stake_amount': default_conf['stake_amount'],
'processed': backtesting.tickerdata_to_dataframe(data),
'processed': backtesting.strategy.tickerdata_to_dataframe(data),
'max_open_trades': 1,
'position_stacking': False
}
@@ -585,7 +569,7 @@ def test_processed(default_conf, mocker) -> None:
backtesting = Backtesting(default_conf)
dict_of_tickerrows = load_data_test('raise')
dataframes = backtesting.tickerdata_to_dataframe(dict_of_tickerrows)
dataframes = backtesting.strategy.tickerdata_to_dataframe(dict_of_tickerrows)
dataframe = dataframes['UNITTEST/BTC']
cols = dataframe.columns
# assert the dataframe got some of the indicator columns

6
freqtrade/tests/optimize/test_hyperopt.py
View File

@@ -194,7 +194,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog) -> None:
default_conf.update({'spaces': 'all'})
hyperopt = Hyperopt(default_conf)
hyperopt.tickerdata_to_dataframe = MagicMock()
hyperopt.strategy.tickerdata_to_dataframe = MagicMock()
hyperopt.start()
parallel.assert_called_once()
@@ -242,7 +242,7 @@ def test_has_space(hyperopt):
def test_populate_indicators(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick}
dataframes = hyperopt.tickerdata_to_dataframe(tickerlist)
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], {'pair': 'UNITTEST/BTC'})
# Check if some indicators are generated. We will not test all of them
@@ -254,7 +254,7 @@ def test_populate_indicators(hyperopt) -> None:
def test_buy_strategy_generator(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick}
dataframes = hyperopt.tickerdata_to_dataframe(tickerlist)
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], {'pair': 'UNITTEST/BTC'})
populate_buy_trend = hyperopt.buy_strategy_generator(

63
freqtrade/tests/optimize/test_optimize.py
View File

@@ -7,7 +7,7 @@ from shutil import copyfile
import arrow
from freqtrade import optimize
from freqtrade import optimize, constants
from freqtrade.arguments import TimeRange
from freqtrade.misc import file_dump_json
from freqtrade.optimize.__init__ import (download_backtesting_testdata,
@@ -15,7 +15,8 @@ from freqtrade.optimize.__init__ import (download_backtesting_testdata,
load_cached_data_for_updating,
load_tickerdata_file,
make_testdata_path, trim_tickerlist)
from freqtrade.tests.conftest import get_patched_exchange, log_has
from freqtrade.strategy.default_strategy import DefaultStrategy
from freqtrade.tests.conftest import get_patched_exchange, log_has, patch_exchange
# Change this if modifying UNITTEST/BTC testdatafile
_BTC_UNITTEST_LENGTH = 13681
@@ -433,3 +434,61 @@ def test_file_dump_json() -> None:
# Remove the file
_clean_test_file(file)
def test_get_timeframe(default_conf, mocker) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = optimize.get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = optimize.get_timeframe(data)
caplog.clear()
assert optimize.validate_backtest_data(data, min_date, max_date,
constants.TICKER_INTERVAL_MINUTES["1m"])
assert len(caplog.record_tuples) == 1
assert log_has(
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
caplog.record_tuples)
def test_validate_backtest_data(default_conf, mocker, caplog) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange
)
)
min_date, max_date = optimize.get_timeframe(data)
caplog.clear()
assert not optimize.validate_backtest_data(data, min_date, max_date,
constants.TICKER_INTERVAL_MINUTES["5m"])
assert len(caplog.record_tuples) == 0