From e0fda7a5ddac9624276256343975a5ba17a9d0d4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 9 Jul 2018 21:38:49 +0200 Subject: [PATCH] Add tests validating backtest details --- .../tests/optimize/test_backtest_detail.py | 77 +++++++++++++++++++ 1 file changed, 77 insertions(+) create mode 100644 freqtrade/tests/optimize/test_backtest_detail.py diff --git a/freqtrade/tests/optimize/test_backtest_detail.py b/freqtrade/tests/optimize/test_backtest_detail.py new file mode 100644 index 000000000..fb88fe2a7 --- /dev/null +++ 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)