adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

refactor get_timeframe out of backtesting class

This commit is contained in:
Matthias 2018-10-17 19:59:33 +02:00
parent 8a3272e7c5
commit d7459bbbf3
4 changed files with 41 additions and 39 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

17
freqtrade/optimize/__init__.py
View File

@ -11,7 +11,10 @@ except ImportError:
import logging
import os
from typing import Optional, List, Dict, Tuple, Any
import operator
import arrow
from pandas import DataFrame
from freqtrade import misc, constants, OperationalException
from freqtrade.exchange import Exchange
@ -59,6 +62,20 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
return tickerlist[start_index:stop_index]
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
"""
Get the maximum timeframe for the given backtest data
:param data: dictionary with preprocessed backtesting data
:return: tuple containing min_date, max_date
"""
timeframe = [
(arrow.get(frame['date'].min()), arrow.get(frame['date'].max()))
for frame in data.values()
]
return min(timeframe, key=operator.itemgetter(0))[0], \
max(timeframe, key=operator.itemgetter(1))[1]
def load_tickerdata_file(
datadir: str, pair: str,
ticker_interval: str,

20
freqtrade/optimize/backtesting.py
View File

@ -4,14 +4,12 @@
This module contains the backtesting logic
"""
import logging
import operator
from argparse import Namespace
from copy import deepcopy
from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional, Tuple
from typing import Any, Dict, List, NamedTuple, Optional
import arrow
from pandas import DataFrame
from tabulate import tabulate
@ -91,20 +89,6 @@ class Backtesting(object):
self.advise_buy = strategy.advise_buy
self.advise_sell = strategy.advise_sell
@staticmethod
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
"""
Get the maximum timeframe for the given backtest data
:param data: dictionary with preprocessed backtesting data
:return: tuple containing min_date, max_date
"""
timeframe = [
(arrow.get(frame['date'].min()), arrow.get(frame['date'].max()))
for frame in data.values()
]
return min(timeframe, key=operator.itemgetter(0))[0], \
max(timeframe, key=operator.itemgetter(1))[1]
def _generate_text_table(self, data: Dict[str, Dict], results: DataFrame,
skip_nan: bool = False) -> str:
"""
@ -373,7 +357,7 @@ class Backtesting(object):
preprocessed = self.strategy.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = self.get_timeframe(preprocessed)
min_date, max_date = optimize.get_timeframe(preprocessed)
logger.info(
'Measuring data from %s up to %s (%s days)..',
min_date.isoformat(),

24
freqtrade/tests/optimize/test_backtesting.py
View File

@ -336,22 +336,6 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
def test_get_timeframe(default_conf, mocker) -> None:
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
data = backtesting.strategy.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = backtesting.get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_generate_text_table(default_conf, mocker):
patch_exchange(mocker)
backtesting = Backtesting(default_conf)
@ -451,17 +435,17 @@ def test_generate_text_table_strategyn(default_conf, mocker):
def test_backtesting_start(default_conf, mocker, caplog) -> None:
def get_timeframe(input1, input2):
def get_timeframe(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
mocker.patch('freqtrade.optimize.get_timeframe', get_timeframe)
mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
get_timeframe=get_timeframe,
)
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
@ -486,17 +470,17 @@ def test_backtesting_start(default_conf, mocker, caplog) -> None:
def test_backtesting_start_no_data(default_conf, mocker, caplog) -> None:
def get_timeframe(input1, input2):
def get_timeframe(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
mocker.patch('freqtrade.optimize.load_data', MagicMock(return_value={}))
mocker.patch('freqtrade.optimize.get_timeframe', get_timeframe)
mocker.patch('freqtrade.exchange.Exchange.refresh_tickers', MagicMock())
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.optimize.backtesting.Backtesting',
backtest=MagicMock(),
_generate_text_table=MagicMock(return_value='1'),
get_timeframe=get_timeframe,
)
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']

19
freqtrade/tests/optimize/test_optimize.py
View File

@ -15,7 +15,8 @@ from freqtrade.optimize.__init__ import (download_backtesting_testdata,
load_cached_data_for_updating,
load_tickerdata_file,
make_testdata_path, trim_tickerlist)
from freqtrade.tests.conftest import get_patched_exchange, log_has
from freqtrade.strategy.default_strategy import DefaultStrategy
from freqtrade.tests.conftest import get_patched_exchange, log_has, patch_exchange
# Change this if modifying UNITTEST/BTC testdatafile
_BTC_UNITTEST_LENGTH = 13681
@ -433,3 +434,19 @@ def test_file_dump_json() -> None:
# Remove the file
_clean_test_file(file)
def test_get_timeframe(default_conf, mocker) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
optimize.load_data(
None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = optimize.get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'