diff --git a/freqtrade/main.py b/freqtrade/main.py index 8508bb878..f1624f221 100755 --- a/freqtrade/main.py +++ b/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, diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 18f642c1e..08b4fc950 100644 --- a/freqtrade/misc.py +++ b/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', diff --git a/freqtrade/tests/conftest.py b/freqtrade/tests/conftest.py index 25273c546..8a04ae282 100644 --- a/freqtrade/tests/conftest.py +++ b/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 diff --git a/freqtrade/tests/test_backtesting.py b/freqtrade/tests/test_backtesting.py index f13d42418..1f7144965 100644 --- a/freqtrade/tests/test_backtesting.py +++ b/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))