Add tests validating backtest details

2018-07-09 21:38:49 +02:00 · 2018-07-09 21:38:49 +02:00 · e0fda7a5dd
commit e0fda7a5dd
parent d66ff78e79
1 changed files with 77 additions and 0 deletions
--- a/freqtrade/tests/optimize/test_backtest_detail.py
+++ b/freqtrade/tests/optimize/test_backtest_detail.py
@ -0,0 +1,77 @@
+# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
+import logging
+from unittest.mock import MagicMock
+
+import pandas as pd
+import pytest
+from arrow import get as getdate
+
+from freqtrade.optimize.backtesting import Backtesting
+from freqtrade.tests.conftest import patch_exchange, log_has
+
+
+columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell']
+data_profit = pd.DataFrame([[getdate('2018-07-08 18:00:00').datetime,
+                             0.0009910, 0.001011, 0.00098618, 0.001000, 47027.0, 1, 0],
+                            [getdate('2018-07-08 19:00:00').datetime,
+                             0.001000, 0.001010, 0.0009900, 0.0009900, 87116.0, 0, 0],
+                            [getdate('2018-07-08 20:00:00').datetime,
+                             0.0009900, 0.001011, 0.00091618, 0.0009900, 58539.0, 0, 0],
+                            [getdate('2018-07-08 21:00:00').datetime,
+                             0.001000, 0.001011, 0.00098618, 0.001100,  37498.0, 0, 1],
+                            [getdate('2018-07-08 22:00:00').datetime,
+                             0.001000, 0.001011, 0.00098618, 0.0009900,  59792.0, 0, 0]],
+                           columns=columns)
+
+data_loss = pd.DataFrame([[getdate('2018-07-08 18:00:00').datetime,
+                           0.0009910, 0.001011, 0.00098618, 0.001000, 47027.0, 1, 0],
+                          [getdate('2018-07-08 19:00:00').datetime,
+                           0.001000, 0.001010, 0.0009900, 0.001000, 87116.0, 0, 0],
+                          [getdate('2018-07-08 20:00:00').datetime,
+                           0.001000, 0.001011, 0.0010618, 0.00091618, 58539.0, 0, 0],
+                          [getdate('2018-07-08 21:00:00').datetime,
+                           0.001000, 0.001011, 0.00098618, 0.00091618,  37498.0, 0, 0],
+                          [getdate('2018-07-08 22:00:00').datetime,
+                           0.001000, 0.001011, 0.00098618, 0.00091618,  59792.0, 0, 0]],
+                         columns=columns)
+
+
+@pytest.mark.parametrize("data, stoploss, tradecount, profit_perc, sl", [
+                         (data_profit, -0.01, 1, 0.10557, False),  # should be stoploss - drops 8%
+                         # (data_profit, -0.10, 1, 0.10557, True),  # win
+                         (data_loss, -0.05, 1, -0.08839, True),  # Stoploss ...
+                         ])
+def test_backtest_results(default_conf, fee, mocker, caplog,
+                          data, stoploss, tradecount, profit_perc, sl) -> None:
+    """
+    run functional tests
+    """
+    default_conf["stoploss"] = stoploss
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
+    mocker.patch('freqtrade.analyze.Analyze.populate_sell_trend', MagicMock(return_value=data))
+    mocker.patch('freqtrade.analyze.Analyze.populate_buy_trend', MagicMock(return_value=data))
+    patch_exchange(mocker)
+
+    backtesting = Backtesting(default_conf)
+    caplog.set_level(logging.DEBUG)
+
+    pair = 'UNITTEST/BTC'
+    # Dummy data as we mock the analyze functions
+    data_processed = {pair: pd.DataFrame()}
+    results = backtesting.backtest(
+        {
+            'stake_amount': default_conf['stake_amount'],
+            'processed': data_processed,
+            'max_open_trades': 10,
+            'realistic': True
+        }
+    )
+    print(results.T)
+
+    assert len(results) == tradecount
+    assert round(results["profit_percent"].sum(), 5) == profit_perc
+    if sl:
+        assert log_has("Stop loss hit.", caplog.record_tuples)
+    else:
+
+        assert not log_has("Stop loss hit.", caplog.record_tuples)