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Merge branch 'feat/short' into funding-fee-backtesting

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This commit is contained in:
Sam Germain 2021-10-22 11:50:49 -06:00
commit b1a270a53d
18 changed files with 260 additions and 198 deletions
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33
docs/backtesting.md
View File

@ -21,6 +21,7 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--timeframe-detail TIMEFRAME_DETAIL]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export {none,trades}] [--export-filename PATH]
[--breakdown {day,week,month} [{day,week,month} ...]]
optional arguments:
-h, --help show this help message and exit
@ -30,7 +31,7 @@ optional arguments:
Specify what timerange of data to use.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `None`).
(default: `json`).
--max-open-trades INT
Override the value of the `max_open_trades`
configuration setting.
@ -65,8 +66,7 @@ optional arguments:
set either in config or via command line. When using
this together with `--export trades`, the strategy-
name is injected into the filename (so `backtest-
data.json` becomes `backtest-data-
SampleStrategy.json`
data.json` becomes `backtest-data-SampleStrategy.json`
--export {none,trades}
Export backtest results (default: trades).
--export-filename PATH
@ -74,6 +74,8 @@ optional arguments:
Requires `--export` to be set as well. Example:
`--export-filename=user_data/backtest_results/backtest
_today.json`
--breakdown {day,week,month} [{day,week,month} ...]
Show backtesting breakdown per [day, week, month].
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
@ -429,6 +431,31 @@ It contains some useful key metrics about performance of your strategy on backte
- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
- `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.
### Daily / Weekly / Monthly breakdown
You can get an overview over daily / weekly or monthly results by using the `--breakdown <>` switch.
To visualize daily and weekly breakdowns, you can use the following:
``` bash
freqtrade backtesting --strategy MyAwesomeStrategy --breakdown day month
```
``` output
======================== DAY BREAKDOWN =========================
| Day | Tot Profit USDT | Wins | Draws | Losses |
|------------+-------------------+--------+---------+----------|
| 03/07/2021 | 200.0 | 2 | 0 | 0 |
| 04/07/2021 | -50.31 | 0 | 0 | 2 |
| 05/07/2021 | 220.611 | 3 | 2 | 0 |
| 06/07/2021 | 150.974 | 3 | 0 | 2 |
| 07/07/2021 | -70.193 | 1 | 0 | 2 |
| 08/07/2021 | 212.413 | 2 | 0 | 3 |
```
The output will show a table containing the realized absolute Profit (in stake currency) for the given timeperiod, as well as wins, draws and losses that materialized (closed) on this day.
### Further backtest-result analysis
To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file).

3
docs/utils.md
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@ -667,6 +667,7 @@ usage: freqtrade hyperopt-show [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--profitable] [-n INT] [--print-json]
[--hyperopt-filename FILENAME] [--no-header]
[--disable-param-export]
[--breakdown {day,week,month} [{day,week,month} ...]]
optional arguments:
-h, --help show this help message and exit
@ -680,6 +681,8 @@ optional arguments:
--no-header Do not print epoch details header.
--disable-param-export
Disable automatic hyperopt parameter export.
--breakdown {day,week,month} [{day,week,month} ...]
Show backtesting breakdown per [day, week, month].
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).

5
freqtrade/commands/arguments.py
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@ -23,7 +23,8 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet", "timeframe_detail",
"strategy_list", "export", "exportfilename"]
"strategy_list", "export", "exportfilename",
"backtest_breakdown"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"position_stacking", "use_max_market_positions",
@ -89,7 +90,7 @@ ARGS_HYPEROPT_LIST = ["hyperopt_list_best", "hyperopt_list_profitable",
ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperopt_show_index",
"print_json", "hyperoptexportfilename", "hyperopt_show_no_header",
"disableparamexport"]
"disableparamexport", "backtest_breakdown"]
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-data",

6
freqtrade/commands/cli_options.py
View File

@ -193,6 +193,12 @@ AVAILABLE_CLI_OPTIONS = {
type=float,
metavar='FLOAT',
),
"backtest_breakdown": Arg(
'--breakdown',
help='Show backtesting breakdown per [day, week, month].',
nargs='+',
choices=constants.BACKTEST_BREAKDOWNS
),
# Edge
"stoploss_range": Arg(
'--stoplosses',

2
freqtrade/commands/hyperopt_commands.py
View File

@ -96,7 +96,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
if 'strategy_name' in metrics:
strategy_name = metrics['strategy_name']
show_backtest_result(strategy_name, metrics,
metrics['stake_currency'])
metrics['stake_currency'], config.get('backtest_breakdown', []))
HyperoptTools.try_export_params(config, strategy_name, val)

4
freqtrade/configuration/configuration.py
View File

@ -269,8 +269,12 @@ class Configuration:
self._args_to_config(config, argname='export',
logstring='Parameter --export detected: {} ...')
self._args_to_config(config, argname='backtest_breakdown',
logstring='Parameter --breakdown detected ...')
self._args_to_config(config, argname='disableparamexport',
logstring='Parameter --disableparamexport detected: {} ...')
# Edge section:
if 'stoploss_range' in self.args and self.args["stoploss_range"]:
txt_range = eval(self.args["stoploss_range"])

5
freqtrade/constants.py
View File

@ -32,6 +32,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
@ -150,6 +151,10 @@ CONF_SCHEMA = {
'ignore_buying_expired_candle_after': {'type': 'number'},
'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
'collateral_type': {'type': 'string', 'enum': COLLATERAL_TYPES},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
},
'bot_name': {'type': 'string'},
'unfilledtimeout': {
'type': 'object',

17
freqtrade/exchange/exchange.py
View File

@ -90,7 +90,6 @@ class Exchange:
self._api: ccxt.Exchange = None
self._api_async: ccxt_async.Exchange = None
self._markets: Dict = {}
self._leverage_brackets: Dict = {}
self._config.update(config)
@ -159,9 +158,6 @@ class Exchange:
self._api_async = self._init_ccxt(
exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
logger.info('Using Exchange "%s"', self.name)
if validate:
@ -184,6 +180,10 @@ class Exchange:
self.markets_refresh_interval: int = exchange_config.get(
"markets_refresh_interval", 60) * 60
self._leverage_brackets: Dict = {}
if self.trading_mode != TradingMode.SPOT:
self.fill_leverage_brackets()
def __del__(self):
"""
Destructor - clean up async stuff
@ -1707,6 +1707,7 @@ class Exchange:
"""
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
Not used if the exchange has a static max leverage value for the account or each pair
"""
return
@ -1716,6 +1717,14 @@ class Exchange:
:param pair: The base/quote currency pair being traded
:nominal_value: The total value of the trade in quote currency (collateral + debt)
"""
market = self.markets[pair]
if (
'limits' in market and
'leverage' in market['limits'] and
'max' in market['limits']['leverage']
):
return market['limits']['leverage']['max']
else:
return 1.0
@retrier

17
freqtrade/exchange/ftx.py
View File

@ -169,21 +169,6 @@ class Ftx(Exchange):
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']
def fill_leverage_brackets(self):
"""
FTX leverage is static across the account, and doesn't change from pair to pair,
so _leverage_brackets doesn't need to be set
"""
return
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx
:param pair: Here for super method, not used on FTX
:nominal_value: Here for super method, not used on FTX
"""
return 20.0
def _get_mark_price_history(
self,
pair: str,
@ -191,7 +176,7 @@ class Ftx(Exchange):
end: Optional[int]
) -> Dict:
"""
Get's the mark price history for a pair
Get's the index price history for a pair
"""
if end:
params = {

34
freqtrade/exchange/kraken.py
View File

@ -139,40 +139,6 @@ class Kraken(Exchange):
except ccxt.BaseError as e:
raise OperationalException(e) from e
def fill_leverage_brackets(self):
"""
Assigns property _leverage_brackets to a dictionary of information about the leverage
allowed on each pair
"""
leverages = {}
for pair, market in self.markets.items():
leverages[pair] = [1]
info = market['info']
leverage_buy = info.get('leverage_buy', [])
leverage_sell = info.get('leverage_sell', [])
if len(leverage_buy) > 0 or len(leverage_sell) > 0:
if leverage_buy != leverage_sell:
logger.warning(
f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal"
"for {pair}. Please notify freqtrade because this has never happened before"
)
if max(leverage_buy) <= max(leverage_sell):
leverages[pair] += [int(lev) for lev in leverage_buy]
else:
leverages[pair] += [int(lev) for lev in leverage_sell]
else:
leverages[pair] += [int(lev) for lev in leverage_buy]
self._leverage_brackets = leverages
def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float:
"""
Returns the maximum leverage that a pair can be traded at
:param pair: The base/quote currency pair being traded
:nominal_value: Here for super class, not needed on Kraken
"""
return float(max(self._leverage_brackets[pair]))
def _set_leverage(
self,
leverage: float,

87
freqtrade/optimize/optimize_reports.py
View File

@ -4,7 +4,7 @@ from pathlib import Path
from typing import Any, Dict, List, Union
from numpy import int64
from pandas import DataFrame
from pandas import DataFrame, to_datetime
from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
@ -189,7 +189,6 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
def generate_edge_table(results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', 'd', 'd')
tabular_data = []
headers = ['Pair', 'Stoploss', 'Win Rate', 'Risk Reward Ratio',
@ -214,6 +213,41 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def _get_resample_from_period(period: str) -> str:
if period == 'day':
return '1d'
if period == 'week':
return '1w'
if period == 'month':
return '1M'
raise ValueError(f"Period {period} is not supported.")
def generate_periodic_breakdown_stats(trade_list: List, period: str) -> List[Dict[str, Any]]:
results = DataFrame.from_records(trade_list)
if len(results) == 0:
return []
results['close_date'] = to_datetime(results['close_date'], utc=True)
resample_period = _get_resample_from_period(period)
resampled = results.resample(resample_period, on='close_date')
stats = []
for name, day in resampled:
profit_abs = day['profit_abs'].sum().round(10)
wins = sum(day['profit_abs'] > 0)
draws = sum(day['profit_abs'] == 0)
loses = sum(day['profit_abs'] < 0)
stats.append(
{
'date': name.strftime('%d/%m/%Y'),
'profit_abs': profit_abs,
'wins': wins,
'draws': draws,
'loses': loses
}
)
return stats
def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
""" Generate overall trade statistics """
if len(results) == 0:
@ -329,7 +363,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days
backtest_days = (max_date - min_date).days or 1
strat_stats = {
'trades': results.to_dict(orient='records'),
'locks': [lock.to_json() for lock in content['locks']],
@ -338,6 +372,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
# 'days_breakdown_stats': days_breakdown_stats,
'total_trades': len(results),
'total_volume': float(results['stake_amount'].sum()),
'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
@ -354,7 +390,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'backtest_run_start_ts': content['backtest_start_time'],
'backtest_run_end_ts': content['backtest_end_time'],
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'trades_per_day': round(len(results) / backtest_days, 2),
'market_change': market_change,
'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'],
@ -506,6 +542,28 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_periodic_breakdown(days_breakdown_stats: List[Dict[str, Any]],
stake_currency: str, period: str) -> str:
"""
Generate small table with Backtest results by days
:param days_breakdown_stats: Days breakdown metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
period.capitalize(),
f'Tot Profit {stake_currency}',
'Wins',
'Draws',
'Losses',
]
output = [[
d['date'], round_coin_value(d['profit_abs'], stake_currency, False),
d['wins'], d['draws'], d['loses'],
] for d in days_breakdown_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
Generate summary table per strategy
@ -557,7 +615,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{round(strat_results['profit_total'] / strat_results['backtest_days'] * 100, 2)}%"),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
@ -614,7 +675,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
return message
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str):
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str,
backtest_breakdown=[]):
"""
Print results for one strategy
"""
@ -636,6 +698,15 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
for period in backtest_breakdown:
days_breakdown_stats = generate_periodic_breakdown_stats(
trade_list=results['trades'], period=period)
table = text_table_periodic_breakdown(days_breakdown_stats=days_breakdown_stats,
stake_currency=stake_currency, period=period)
if isinstance(table, str) and len(table) > 0:
print(f' {period.upper()} BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_add_metrics(results)
if isinstance(table, str) and len(table) > 0:
print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '='))
@ -650,7 +721,9 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config['stake_currency']
for strategy, results in backtest_stats['strategy'].items():
show_backtest_result(strategy, results, stake_currency)
show_backtest_result(
strategy, results, stake_currency,
config.get('backtest_breakdown', []))
if len(backtest_stats['strategy']) > 1:
# Print Strategy summary table

32
tests/conftest.py
View File

@ -590,10 +590,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
},
'info': {
'leverage_buy': ['2'],
'leverage_sell': ['2'],
'leverage': {
'min': 1.0,
'max': 2.0
}
},
},
'TKN/BTC': {
@ -619,10 +619,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
},
'info': {
'leverage_buy': ['2', '3', '4', '5'],
'leverage_sell': ['2', '3', '4', '5'],
'leverage': {
'min': 1.0,
'max': 5.0
}
},
},
'BLK/BTC': {
@ -647,10 +647,10 @@ def get_markets():
'min': 0.0001,
'max': 500000,
},
'leverage': {
'min': 1.0,
'max': 3.0
},
'info': {
'leverage_buy': ['2', '3'],
'leverage_sell': ['2', '3'],
},
},
'LTC/BTC': {
@ -676,10 +676,7 @@ def get_markets():
'max': 500000,
},
},
'info': {
'leverage_buy': [],
'leverage_sell': [],
},
'info': {},
},
'XRP/BTC': {
'id': 'xrpbtc',
@ -757,10 +754,7 @@ def get_markets():
'max': None
}
},
'info': {
'leverage_buy': [],
'leverage_sell': [],
},
'info': {},
},
'ETH/USDT': {
'id': 'USDT-ETH',

13
tests/exchange/test_exchange.py
View File

@ -3275,6 +3275,19 @@ def test__ccxt_config(
assert exchange._ccxt_config == ccxt_config
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ETH/BTC", 0.0, 2.0),
("TKN/BTC", 100.0, 5.0),
("BLK/BTC", 173.31, 3.0),
("LTC/BTC", 0.0, 1.0),
("TKN/USDT", 210.30, 1.0),
])
def test_get_max_leverage(default_conf, mocker, pair, nominal_value, max_lev):
# Binance has a different method of getting the max leverage
exchange = get_patched_exchange(mocker, default_conf, id="kraken")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_get_mark_price():
return

17
tests/exchange/test_ftx.py
View File

@ -250,20 +250,3 @@ def test_get_order_id(mocker, default_conf):
}
}
assert exchange.get_order_id_conditional(order) == '1111'
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ADA/BTC", 0.0, 20.0),
("BTC/EUR", 100.0, 20.0),
("ZEC/USD", 173.31, 20.0),
])
def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="ftx")
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_fill_leverage_brackets_ftx(default_conf, mocker):
# FTX only has one account wide leverage, so there's no leverage brackets
exchange = get_patched_exchange(mocker, default_conf, id="ftx")
exchange.fill_leverage_brackets()
assert exchange._leverage_brackets == {}

39
tests/exchange/test_kraken.py
View File

@ -295,42 +295,3 @@ def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side):
# Test with invalid order case ...
order['type'] = 'stop_loss_limit'
assert not exchange.stoploss_adjust(sl3, order, side=side)
@pytest.mark.parametrize('pair,nominal_value,max_lev', [
("ADA/BTC", 0.0, 3.0),
("BTC/EUR", 100.0, 5.0),
("ZEC/USD", 173.31, 2.0),
])
def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev):
exchange = get_patched_exchange(mocker, default_conf, id="kraken")
exchange._leverage_brackets = {
'ADA/BTC': ['2', '3'],
'BTC/EUR': ['2', '3', '4', '5'],
'ZEC/USD': ['2']
}
assert exchange.get_max_leverage(pair, nominal_value) == max_lev
def test_fill_leverage_brackets_kraken(default_conf, mocker):
api_mock = MagicMock()
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
exchange.fill_leverage_brackets()
assert exchange._leverage_brackets == {
'BLK/BTC': [1, 2, 3],
'TKN/BTC': [1, 2, 3, 4, 5],
'ETH/BTC': [1, 2],
'LTC/BTC': [1],
'XRP/BTC': [1],
'NEO/BTC': [1],
'BTT/BTC': [1],
'ETH/USDT': [1],
'LTC/USDT': [1],
'LTC/USD': [1],
'XLTCUSDT': [1],
'LTC/ETH': [1],
'NEO/USDT': [1],
'TKN/USDT': [1],
'XRP/USDT': [1]
}

2
tests/optimize/test_backtesting.py
View File

@ -1121,6 +1121,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions',
'--breakdown', 'day',
'--strategy-list',
CURRENT_TEST_STRATEGY,
'TestStrategyLegacyV1',
@ -1149,6 +1150,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'DAY BREAKDOWN' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
assert 'STRATEGY SUMMARY' in captured.out

34
tests/optimize/test_optimize_reports.py
View File

@ -13,8 +13,10 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import get_latest_backtest_filename, load_backtest_data
from freqtrade.edge import PairInfo
from freqtrade.enums import SellType
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats,
generate_edge_table, generate_pair_metrics,
from freqtrade.optimize.optimize_reports import (_get_resample_from_period, generate_backtest_stats,
generate_daily_stats, generate_edge_table,
generate_pair_metrics,
generate_periodic_breakdown_stats,
generate_sell_reason_stats,
generate_strategy_comparison,
generate_trading_stats, store_backtest_stats,
@ -378,3 +380,31 @@ def test_generate_edge_table():
assert generate_edge_table(results).count('| ETH/BTC |') == 1
assert generate_edge_table(results).count(
'| Risk Reward Ratio | Required Risk Reward | Expectancy |') == 1
def test_generate_periodic_breakdown_stats(testdatadir):
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename).to_dict(orient='records')
res = generate_periodic_breakdown_stats(bt_data, 'day')
assert isinstance(res, list)
assert len(res) == 21
day = res[0]
assert 'date' in day
assert 'draws' in day
assert 'loses' in day
assert 'wins' in day
assert 'profit_abs' in day
# Select empty dataframe!
res = generate_periodic_breakdown_stats([], 'day')
assert res == []
def test__get_resample_from_period():
assert _get_resample_from_period('day') == '1d'
assert _get_resample_from_period('week') == '1w'
assert _get_resample_from_period('month') == '1M'
with pytest.raises(ValueError, match=r"Period noooo is not supported."):
_get_resample_from_period('noooo')