implement backtest subcommand

freqtrade/main.py

@@ -318,6 +318,11 @@ def main():
     global _CONF
     args = build_arg_parser().parse_args()
 
+    # Check if subcommand has been selected
+    if hasattr(args, 'func'):
+        args.func(args)
+        exit(0)
+
     # Initialize logger
     logging.basicConfig(
         level=args.loglevel,

freqtrade/misc.py

@@ -1,6 +1,7 @@
 import argparse
 import enum
 import logging
+import os
 import time
 from typing import Any, Callable
 
@@ -92,9 +93,40 @@ def build_arg_parser() -> argparse.ArgumentParser:
         help='dynamically generate and update whitelist based on 24h BaseVolume',
         action='store_true',
     )
+    build_subcommands(parser)
     return parser
 
 
+def build_subcommands(parser: argparse.ArgumentParser) -> None:
+    """ Builds and attaches all subcommands """
+    subparsers = parser.add_subparsers(dest='subparser')
+    backtest = subparsers.add_parser('backtest', help='backtesting module')
+    backtest.set_defaults(func=start_backtesting)
+    backtest.add_argument(
+        '-l', '--live',
+        action='store_true',
+        dest='live',
+        help='using live data',
+    )
+
+
+def start_backtesting(args) -> None:
+    """
+    Exports all args as environment variables and starts backtesting via pytest.
+    :param args: arguments namespace
+    :return:
+    """
+    import pytest
+
+    os.environ.update({
+        'BACKTEST': 'true',
+        'BACKTEST_LIVE': 'true' if args.live else '',
+        'BACKTEST_CONFIG': args.config,
+    })
+    path = os.path.join(os.path.dirname(__file__), 'tests', 'test_backtesting.py')
+    pytest.main(['-s', path])
+
+
 # Required json-schema for user specified config
 CONF_SCHEMA = {
     'type': 'object',

freqtrade/tests/conftest.py

@@ -3,6 +3,7 @@ import json
 from datetime import datetime
 from unittest.mock import MagicMock
 
+import os
 import pytest
 from jsonschema import validate
 from telegram import Message, Chat, Update
@@ -67,11 +68,12 @@ def backtest_conf():
 
 @pytest.fixture(scope="module")
 def backdata():
+    path = os.path.abspath(os.path.dirname(__file__))
     result = {}
     for pair in ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
                  'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']:
-        with open('freqtrade/tests/testdata/' + pair + '.json') as data_file:
-            result[pair] = json.load(data_file)
+        with open('{abspath}/testdata/{pair}.json'.format(abspath=path, pair=pair)) as fp:
+            result[pair] = json.load(fp)
     return result
 
 

freqtrade/tests/test_backtesting.py

@@ -1,10 +1,13 @@
 # pragma pylint: disable=missing-docstring
-from typing import Dict
+
+import json
 import logging
 import os
+from typing import Tuple, Dict
 
-import pytest
 import arrow
+import pytest
+from arrow import Arrow
 from pandas import DataFrame
 
 from freqtrade import exchange
@@ -14,15 +17,20 @@ from freqtrade.exchange import Bittrex
 from freqtrade.main import min_roi_reached
 from freqtrade.persistence import Trade
 
-logging.disable(logging.DEBUG)  # disable debug logs that slow backtesting a lot
+logger = logging.getLogger(__name__)
 
 
-def format_results(results):
-    return 'Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
-        len(results.index), results.profit.mean() * 100.0, results.profit.sum(), results.duration.mean() * 5)
+def format_results(results: DataFrame):
+    return 'Made {} buys. Average profit {:.2f}%. ' \
+           'Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
+               len(results.index),
+               results.profit.mean() * 100.0,
+               results.profit.sum(),
+               results.duration.mean() * 5,
+           )
 
 
-def print_pair_results(pair, results):
+def print_pair_results(pair: str, results: DataFrame):
     print('For currency {}:'.format(pair))
     print(format_results(results[results.currency == pair]))
 
@@ -34,11 +42,21 @@ def preprocess(backdata) -> Dict[str, DataFrame]:
     return processed
 
 
+def get_timeframe(backdata: Dict[str, Dict]) -> Tuple[Arrow, Arrow]:
+    min_date, max_date = None, None
+    for values in backdata.values():
+        values = sorted(values, key=lambda d: arrow.get(d['T']))
+        if not min_date or values[0]['T'] < min_date:
+            min_date = values[0]['T']
+        if not max_date or values[-1]['T'] > max_date:
+            max_date = values[-1]['T']
+    return arrow.get(min_date), arrow.get(max_date)
+
+
 def backtest(backtest_conf, processed, mocker):
     trades = []
     exchange._API = Bittrex({'key': '', 'secret': ''})
     mocker.patch.dict('freqtrade.main._CONF', backtest_conf)
-    mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
     for pair, pair_data in processed.items():
         pair_data['buy'] = 0
         pair_data['sell'] = 0
@@ -62,12 +80,35 @@ def backtest(backtest_conf, processed, mocker):
     return DataFrame.from_records(trades, columns=labels)
 
 
-@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
-def test_backtest(backtest_conf, backdata, mocker, report=True):
-    results = backtest(backtest_conf, preprocess(backdata), mocker)
+@pytest.mark.skipif(not os.environ.get('BACKTEST'), reason="BACKTEST not set")
+def test_backtest(backtest_conf, backdata, mocker):
+    print('')
 
+    config = None
+    conf_path = os.environ.get('BACKTEST_CONFIG')
+    if conf_path:
+        print('Using config: {} ...'.format(conf_path))
+        with open(conf_path, 'r') as fp:
+            config = json.load(fp)
+
+    livedata = {}
+    if os.environ.get('BACKTEST_LIVE'):
+        print('Downloading data for all pairs in whitelist ...'.format(conf_path))
+        exchange._API = Bittrex({'key': '', 'secret': ''})
+        for pair in config['exchange']['pair_whitelist']:
+            livedata[pair] = exchange.get_ticker_history(pair)
+
+    config = config or backtest_conf
+    data = livedata or backdata
+
+    min_date, max_date = get_timeframe(data)
+    print('Measuring data from {} up to {} ...'.format(
+        min_date.isoformat(), max_date.isoformat()
+    ))
+
+    results = backtest(config, preprocess(data), mocker)
     print('====================== BACKTESTING REPORT ================================')
-    for pair in backdata:
+    for pair in data:
         print_pair_results(pair, results)
     print('TOTAL OVER ALL TRADES:')
     print(format_results(results))