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Merge pull request #95 from gcarq/improve_backtests

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Share pytest fixtures. Cache testfile loading.
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Michael Egger 2017-11-07 18:40:00 +01:00 committed by GitHub
commit e36444df27
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3 changed files with 50 additions and 63 deletions
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26
freqtrade/tests/conftest.py Normal file
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@ -0,0 +1,26 @@
# pragma pylint: disable=missing-docstring
import json
import pytest
@pytest.fixture(scope="module")
def conf():
return {
"minimal_roi": {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"0": 0.04
},
"stoploss": -0.05
}
@pytest.fixture(scope="module")
def backdata():
result = {}
for pair in ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']:
with open('freqtrade/tests/testdata/' + pair + '.json') as data_file:
result[pair] = json.load(data_file)
return result

62
freqtrade/tests/test_backtesting.py
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@ -26,61 +26,41 @@ def print_pair_results(pair, results):
print(format_results(results[results.currency == pair]))
@pytest.fixture
def pairs():
return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
@pytest.fixture
def conf():
return {
"minimal_roi": {
"50": 0.0,
"40": 0.01,
"30": 0.02,
"0": 0.045
},
"stoploss": -0.40
}
def backtest(conf, pairs, mocker):
def backtest(conf, backdata, mocker):
trades = []
exchange._API = Bittrex({'key': '', 'secret': ''})
mocked_history = mocker.patch('freqtrade.analyze.get_ticker_history')
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
for pair in pairs:
with open('freqtrade/tests/testdata/' + pair + '.json') as data_file:
mocked_history.return_value = json.load(data_file)
ticker = analyze_ticker(pair)[['close', 'date', 'buy']].copy()
# for each buy point
for row in ticker[ticker.buy == 1].itertuples(index=True):
trade = Trade(
open_rate=row.close,
open_date=row.date,
amount=1,
fee=exchange.get_fee() * 2
)
# calculate win/lose forwards from buy point
for row2 in ticker[row.Index:].itertuples(index=True):
if should_sell(trade, row2.close, row2.date):
current_profit = trade.calc_profit(row2.close)
for pair, pair_data in backdata.items():
mocked_history.return_value = pair_data
ticker = analyze_ticker(pair)[['close', 'date', 'buy']].copy()
# for each buy point
for row in ticker[ticker.buy == 1].itertuples(index=True):
trade = Trade(
open_rate=row.close,
open_date=row.date,
amount=1,
fee=exchange.get_fee() * 2
)
# calculate win/lose forwards from buy point
for row2 in ticker[row.Index:].itertuples(index=True):
if should_sell(trade, row2.close, row2.date):
current_profit = trade.calc_profit(row2.close)
trades.append((pair, current_profit, row2.Index - row.Index))
break
trades.append((pair, current_profit, row2.Index - row.Index))
break
labels = ['currency', 'profit', 'duration']
results = DataFrame.from_records(trades, columns=labels)
return results
@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
def test_backtest(conf, pairs, mocker, report=True):
results = backtest(conf, pairs, mocker)
def test_backtest(conf, backdata, mocker, report=True):
results = backtest(conf, backdata, mocker)
print('====================== BACKTESTING REPORT ================================')
for pair in pairs:
for pair in backdata:
print_pair_results(pair, results)
print('TOTAL OVER ALL TRADES:')
print(format_results(results))

25
freqtrade/tests/test_hyperopt.py
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@ -18,25 +18,6 @@ logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
TARGET_TRADES = 1200
@pytest.fixture
def pairs():
return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
@pytest.fixture
def conf():
return {
"minimal_roi": {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"0": 0.04
},
"stoploss": -0.05
}
def buy_strategy_generator(params):
print(params)
@ -82,13 +63,13 @@ def buy_strategy_generator(params):
@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
def test_hyperopt(conf, pairs, mocker):
def test_hyperopt(conf, backdata, mocker):
mocked_buy_trend = mocker.patch('freqtrade.analyze.populate_buy_trend')
def optimizer(params):
mocked_buy_trend.side_effect = buy_strategy_generator(params)
results = backtest(conf, pairs, mocker)
results = backtest(conf, backdata, mocker)
result = format_results(results)
print(result)
@ -148,7 +129,7 @@ def test_hyperopt(conf, pairs, mocker):
}
trials = Trials()
best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=4, trials=trials)
print('\n\n\n\n====================== HYPEROPT BACKTESTING REPORT ================================')
print('\n\n\n\n==================== HYPEROPT BACKTESTING REPORT ==============================')
print('Best parameters {}'.format(best))
newlist = sorted(trials.results, key=itemgetter('loss'))
print('Result: {}'.format(newlist[0]['result']))