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Merge pull request #894 from freqtrade/feature/force_close_backtest

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Display open trades after backtest period
This commit is contained in:
Matthias
2018-06-16 12:49:08 +02:00
committed by GitHub
parent 0347ce21fd 5c3e37412e
commit a5511e2e30
5 changed files with 198 additions and 106 deletions
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45
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -353,10 +353,10 @@ def test_generate_text_table(default_conf, mocker):
results = pd.DataFrame(
{
'currency': ['ETH/BTC', 'ETH/BTC'],
'pair': ['ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2],
'profit_BTC': [0.2, 0.4],
'duration': [10, 30],
'profit_abs': [0.2, 0.4],
'trade_duration': [10, 30],
'profit': [2, 0],
'loss': [0, 0]
}
@@ -469,6 +469,7 @@ def test_backtest(default_conf, fee, mocker) -> None:
}
)
assert not results.empty
assert len(results) == 2
def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
@@ -491,6 +492,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
}
)
assert not results.empty
assert len(results) == 1
def test_processed(default_conf, mocker) -> None:
@@ -512,7 +514,7 @@ def test_processed(default_conf, mocker) -> None:
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
tests = [['raise', 17], ['lower', 0], ['sine', 16]]
tests = [['raise', 18], ['lower', 0], ['sine', 16]]
for [contour, numres] in tests:
simple_backtest(default_conf, contour, numres, mocker)
@@ -572,7 +574,10 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
backtesting.populate_buy_trend = _trend_alternate # Override
backtesting.populate_sell_trend = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
assert len(results) == 3
backtesting._store_backtest_result("test_.json", results)
assert len(results) == 4
# One trade was force-closed at the end
assert len(results.loc[results.open_at_end]) == 1
def test_backtest_record(default_conf, fee, mocker):
@@ -584,22 +589,30 @@ def test_backtest_record(default_conf, fee, mocker):
'freqtrade.optimize.backtesting.file_dump_json',
new=lambda n, r: (names.append(n), records.append(r))
)
backtest_conf = _make_backtest_conf(
mocker,
conf=default_conf,
pair='UNITTEST/BTC',
record="trades"
)
backtesting = Backtesting(default_conf)
backtesting.populate_buy_trend = _trend_alternate # Override
backtesting.populate_sell_trend = _trend_alternate # Override
results = backtesting.backtest(backtest_conf)
assert len(results) == 3
results = pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC", "UNITTEST/BTC"],
"profit_percent": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_time": [Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime],
"close_time": [Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime],
"open_index": [1, 119, 153, 185],
"close_index": [118, 151, 184, 199],
"trade_duration": [123, 34, 31, 14]})
backtesting._store_backtest_result("backtest-result.json", results)
assert len(results) == 4
# Assert file_dump_json was only called once
assert names == ['backtest-result.json']
records = records[0]
# Ensure records are of correct type
assert len(records) == 3
assert len(records) == 4
# ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117)
# Below follows just a typecheck of the schema/type of trade-records
oix = None

4
freqtrade/tests/optimize/test_hyperopt.py
View File

@@ -362,7 +362,7 @@ def test_format_results(init_hyperopt):
('LTC/BTC', 1, 1, 123),
('XPR/BTC', -1, -2, -246)
]
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
df = pd.DataFrame.from_records(trades, columns=labels)
result = _HYPEROPT.format_results(df)
@@ -492,7 +492,7 @@ def test_generate_optimizer(mocker, init_hyperopt, default_conf) -> None:
trades = [
('POWR/BTC', 0.023117, 0.000233, 100)
]
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
labels = ['currency', 'profit_percent', 'profit_abs', 'trade_duration']
backtest_result = pd.DataFrame.from_records(trades, columns=labels)
mocker.patch(