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Add tests validating backtest details

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Matthias 2018-07-09 21:38:49 +02:00
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freqtrade/tests/optimize/test_backtest_detail.py Normal file
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# 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)