Improve backtest tests
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Matthias
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ad28543d4d
commit
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@ -3684,9 +3684,13 @@ def test__fetch_and_calculate_funding_fees(
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type(api_mock).has = PropertyMock(return_value={'fetchFundingRateHistory': True})
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exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange)
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# TODO-lev: test this for longs
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funding_fees = exchange._fetch_and_calculate_funding_fees('ADA/USDT', amount, True, d1, d2)
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funding_fees = exchange._fetch_and_calculate_funding_fees(
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pair='ADA/USDT', amount=amount, is_short=True, open_date=d1, close_date=d2)
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assert pytest.approx(funding_fees) == expected_fees
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# Fees for Longs are inverted
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funding_fees = exchange._fetch_and_calculate_funding_fees(
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pair='ADA/USDT', amount=amount, is_short=False, open_date=d1, close_date=d2)
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assert pytest.approx(funding_fees) == -expected_fees
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@pytest.mark.parametrize('exchange,expected_fees', [
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@ -1169,6 +1169,107 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
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assert 'STRATEGY SUMMARY' in captured.out
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@pytest.mark.filterwarnings("ignore:deprecated")
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def test_backtest_start_nomock_futures(default_conf_usdt, mocker,
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caplog, testdatadir, capsys):
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# Tests detail-data loading
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default_conf_usdt.update({
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"trading_mode": "futures",
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"collateral": "isolated",
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"use_sell_signal": True,
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"sell_profit_only": False,
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"sell_profit_offset": 0.0,
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"ignore_roi_if_buy_signal": False,
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"strategy": CURRENT_TEST_STRATEGY,
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})
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patch_exchange(mocker)
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result1 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT'],
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'profit_ratio': [0.0, 0.0],
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'profit_abs': [0.0, 0.0],
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'open_date': pd.to_datetime(['2021-11-18 18:00:00',
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'2021-11-18 03:00:00', ], utc=True
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),
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'close_date': pd.to_datetime(['2021-11-18 20:00:00',
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'2021-11-18 05:00:00', ], utc=True),
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'trade_duration': [235, 40],
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'is_open': [False, False],
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'is_short': [False, False],
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'stake_amount': [0.01, 0.01],
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'open_rate': [0.104445, 0.10302485],
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'close_rate': [0.104969, 0.103541],
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'sell_reason': [SellType.ROI, SellType.ROI]
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})
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result2 = pd.DataFrame({'pair': ['XRP/USDT', 'XRP/USDT', 'XRP/USDT'],
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'profit_ratio': [0.03, 0.01, 0.1],
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'profit_abs': [0.01, 0.02, 0.2],
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'open_date': pd.to_datetime(['2021-11-19 18:00:00',
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'2021-11-19 03:00:00',
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'2021-11-19 05:00:00'], utc=True
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),
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'close_date': pd.to_datetime(['2021-11-19 20:00:00',
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'2021-11-19 05:00:00',
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'2021-11-19 08:00:00'], utc=True),
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'trade_duration': [47, 40, 20],
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'is_open': [False, False, False],
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'is_short': [False, False, False],
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'stake_amount': [0.01, 0.01, 0.01],
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'open_rate': [0.104445, 0.10302485, 0.122541],
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'close_rate': [0.104969, 0.103541, 0.123541],
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'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
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})
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backtestmock = MagicMock(side_effect=[
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{
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'results': result1,
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'config': default_conf_usdt,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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},
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{
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'results': result2,
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'config': default_conf_usdt,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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}
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])
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['XRP/USDT']))
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mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
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patched_configuration_load_config_file(mocker, default_conf_usdt)
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args = [
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'backtesting',
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'--config', 'config.json',
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'--datadir', str(testdatadir),
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'--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'),
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'--timeframe', '1h',
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]
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args = get_args(args)
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start_backtesting(args)
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# check the logs, that will contain the backtest result
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exists = [
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'Parameter -i/--timeframe detected ... Using timeframe: 1h ...',
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f'Using data directory: {testdatadir} ...',
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'Loading data from 2021-11-17 01:00:00 '
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'up to 2021-11-21 03:00:00 (4 days).',
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'Backtesting with data from 2021-11-17 21:00:00 '
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'up to 2021-11-21 03:00:00 (3 days).',
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'XRP/USDT, funding_rate, 8h, data starts at 2021-11-18 00:00:00',
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'XRP/USDT, mark, 8h, data starts at 2021-11-18 00:00:00',
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f'Running backtesting for Strategy {CURRENT_TEST_STRATEGY}',
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]
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for line in exists:
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assert log_has(line, caplog)
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captured = capsys.readouterr()
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assert 'BACKTESTING REPORT' in captured.out
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assert 'SELL REASON STATS' in captured.out
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assert 'LEFT OPEN TRADES REPORT' in captured.out
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@pytest.mark.filterwarnings("ignore:deprecated")
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def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker,
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caplog, testdatadir, capsys):
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1
tests/testdata/futures/XRP_USDT-8h-funding_rate.json
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1
tests/testdata/futures/XRP_USDT-8h-funding_rate.json
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@ -0,0 +1 @@
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[[1637193600017,0.0001,0.0,0.0,0.0,0.0],[1637222400007,0.0001,0.0,0.0,0.0,0.0],[1637251200011,0.0001,0.0,0.0,0.0,0.0],[1637280000000,0.0001,0.0,0.0,0.0,0.0],[1637308800000,0.0001,0.0,0.0,0.0,0.0],[1637337600005,0.0001,0.0,0.0,0.0,0.0],[1637366400012,0.00013046,0.0,0.0,0.0,0.0],[1637395200000,0.0001,0.0,0.0,0.0,0.0],[1637424000007,0.0001,0.0,0.0,0.0,0.0],[1637452800000,0.00013862,0.0,0.0,0.0,0.0],[1637481600006,0.0001,0.0,0.0,0.0,0.0],[1637510400000,0.00019881,0.0,0.0,0.0,0.0],[1637539200004,0.00013991,0.0,0.0,0.0,0.0],[1637568000000,0.0001,0.0,0.0,0.0,0.0],[1637596800000,0.0001,0.0,0.0,0.0,0.0],[1637625600004,0.0001,0.0,0.0,0.0,0.0],[1637654400010,0.0001,0.0,0.0,0.0,0.0],[1637683200005,0.00017402,0.0,0.0,0.0,0.0],[1637712000001,0.00016775,0.0,0.0,0.0,0.0],[1637740800003,0.00033523,0.0,0.0,0.0,0.0],[1637769600010,0.0001,0.0,0.0,0.0,0.0],[1637798400000,0.00020066,0.0,0.0,0.0,0.0],[1637827200010,0.00034381,0.0,0.0,0.0,0.0],[1637856000000,0.00032096,0.0,0.0,0.0,0.0],[1637884800000,0.00058316,0.0,0.0,0.0,0.0],[1637913600000,0.0001646,0.0,0.0,0.0,0.0],[1637942400016,0.0001,0.0,0.0,0.0,0.0],[1637971200005,0.0001,0.0,0.0,0.0,0.0],[1638000000008,0.0001,0.0,0.0,0.0,0.0],[1638028800007,0.0001,0.0,0.0,0.0,0.0],[1638057600018,0.0001,0.0,0.0,0.0,0.0],[1638086400000,0.0001,0.0,0.0,0.0,0.0],[1638115200004,0.0001,0.0,0.0,0.0,0.0],[1638144000002,0.0001,0.0,0.0,0.0,0.0],[1638172800004,0.0001,0.0,0.0,0.0,0.0],[1638201600000,0.0001,0.0,0.0,0.0,0.0],[1638230400000,0.0001,0.0,0.0,0.0,0.0],[1638259200006,0.0001,0.0,0.0,0.0,0.0],[1638288000000,0.0001,0.0,0.0,0.0,0.0],[1638316800000,0.0001,0.0,0.0,0.0,0.0],[1638345600000,0.0001,0.0,0.0,0.0,0.0],[1638374400001,0.0001,0.0,0.0,0.0,0.0],[1638403200000,0.0001,0.0,0.0,0.0,0.0],[1638432000007,0.0001,0.0,0.0,0.0,0.0],[1638460800008,0.0001,0.0,0.0,0.0,0.0],[1638489600004,0.0001,0.0,0.0,0.0,0.0],[1638518400002,0.0001,0.0,0.0,0.0,0.0],[1638547200006,0.0001,0.0,0.0,0.0,0.0],[1638576000006,0.0001,0.0,0.0,0.0,0.0],[1638604800004,-0.00219334,0.0,0.0,0.0,0.0],[1638633600000,0.0001,0.0,0.0,0.0,0.0],[1638662400003,0.00006147,0.0,0.0,0.0,0.0],[1638691200008,0.0001,0.0,0.0,0.0,0.0],[1638720000007,0.0001,0.0,0.0,0.0,0.0],[1638748800009,0.0001,0.0,0.0,0.0,0.0],[1638777600001,0.0001,0.0,0.0,0.0,0.0],[1638806400000,0.0001,0.0,0.0,0.0,0.0],[1638835200018,0.0001,0.0,0.0,0.0,0.0],[1638864000000,0.0001,0.0,0.0,0.0,0.0],[1638892800000,0.0001,0.0,0.0,0.0,0.0],[1638921600000,0.0001,0.0,0.0,0.0,0.0],[1638950400018,0.0001,0.0,0.0,0.0,0.0],[1638979200010,0.0001,0.0,0.0,0.0,0.0],[1639008000010,0.0001,0.0,0.0,0.0,0.0],[1639036800000,0.0001,0.0,0.0,0.0,0.0],[1639065600000,0.0001,0.0,0.0,0.0,0.0],[1639094400000,0.0001,0.0,0.0,0.0,0.0],[1639123200008,0.0001,0.0,0.0,0.0,0.0],[1639152000012,0.00008995,0.0,0.0,0.0,0.0],[1639180800009,0.0001,0.0,0.0,0.0,0.0],[1639209600008,-0.00002574,0.0,0.0,0.0,0.0],[1639238400000,-0.00002024,0.0,0.0,0.0,0.0],[1639267200001,-0.00008282,0.0,0.0,0.0,0.0],[1639296000015,0.0001,0.0,0.0,0.0,0.0],[1639324800011,0.00008752,0.0,0.0,0.0,0.0],[1639353600006,0.0001,0.0,0.0,0.0,0.0],[1639382400019,0.0001,0.0,0.0,0.0,0.0],[1639411200000,0.0001,0.0,0.0,0.0,0.0],[1639440000004,0.00007825,0.0,0.0,0.0,0.0],[1639468800000,0.00007108,0.0,0.0,0.0,0.0],[1639497600015,0.0001,0.0,0.0,0.0,0.0],[1639526400000,0.0001,0.0,0.0,0.0,0.0],[1639555200008,0.0001,0.0,0.0,0.0,0.0],[1639584000005,0.0001,0.0,0.0,0.0,0.0],[1639612800006,0.0001,0.0,0.0,0.0,0.0],[1639641600009,0.0001,0.0,0.0,0.0,0.0],[1639670400000,0.0001,0.0,0.0,0.0,0.0],[1639699200000,0.0001,0.0,0.0,0.0,0.0],[1639728000005,0.0001,0.0,0.0,0.0,0.0],[1639756800006,0.0001,0.0,0.0,0.0,0.0],[1639785600014,0.0001,0.0,0.0,0.0,0.0]]
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1
tests/testdata/futures/XRP_USDT-8h-mark.json
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1
tests/testdata/futures/XRP_USDT-8h-mark.json
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