Merge pull request #29 from gcarq/backtesting

Backtesting

main.py

@@ -107,6 +107,28 @@ def execute_sell(trade: Trade, current_rate: float) -> None:
     telegram.send_msg(message)
 
 
+def should_sell(trade: Trade, current_rate: float, current_time: datetime) -> bool:
+    """
+    Based an earlier trade and current price and configuration, decides whether bot should sell
+    :return True if bot should sell at current rate
+    """
+    current_profit = (current_rate - trade.open_rate) / trade.open_rate
+
+    if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']):
+        logger.debug('Stop loss hit.')
+        return True
+
+    for duration, threshold in sorted(_CONF['minimal_roi'].items()):
+        duration, threshold = float(duration), float(threshold)
+        # Check if time matches and current rate is above threshold
+        time_diff = (current_time - trade.open_date).total_seconds() / 60
+        if time_diff > duration and current_profit > threshold:
+            return True
+
+    logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit * 100.0)
+    return False
+
+
 def handle_trade(trade: Trade) -> None:
     """
     Sells the current pair if the threshold is reached and updates the trade record.
@@ -117,24 +139,12 @@ def handle_trade(trade: Trade) -> None:
             raise ValueError('attempt to handle closed trade: {}'.format(trade))
 
         logger.debug('Handling open trade %s ...', trade)
-        # Get current rate
+
         current_rate = exchange.get_ticker(trade.pair)['bid']
-        current_profit = 100.0 * ((current_rate - trade.open_rate) / trade.open_rate)
-
-        if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']) * 100.0:
-            logger.debug('Stop loss hit.')
+        if should_sell(trade, current_rate, datetime.utcnow()):
             execute_sell(trade, current_rate)
             return
 
-        for duration, threshold in sorted(_CONF['minimal_roi'].items()):
-            duration, threshold = float(duration), float(threshold)
-            # Check if time matches and current rate is above threshold
-            time_diff = (datetime.utcnow() - trade.open_date).total_seconds() / 60
-            if time_diff > duration and current_rate > (1 + threshold) * trade.open_rate:
-                execute_sell(trade, current_rate)
-                return
-
-        logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit)
     except ValueError:
         logger.exception('Unable to handle open order')
 

test/test_backtesting.py

@@ -0,0 +1,66 @@
+# pragma pylint: disable=missing-docstring
+import unittest
+from unittest.mock import patch
+import os
+import json
+import arrow
+from pandas import DataFrame
+from analyze import analyze_ticker
+from persistence import Trade
+from main import should_sell
+
+def print_results(results):
+    print('Made {} buys. Average profit {:.1f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
+        len(results.index),
+        results.profit.mean() * 100.0,
+        results.profit.sum(),
+        results.duration.mean()*5
+    ))
+
+class TestMain(unittest.TestCase):
+    pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
+    conf = {
+        "minimal_roi": {
+            "2880": 0.005,
+            "720":  0.01,
+            "0":  0.02
+        },
+        "stoploss": -0.10
+    }
+
+    @unittest.skipIf(not os.environ.get('BACKTEST', False), "slow, should be run manually")
+    def test_backtest(self):
+        trades = []
+        with patch.dict('main._CONF', self.conf):
+            for pair in self.pairs:
+                with open('test/testdata/'+pair+'.json') as data_file:
+                    data = json.load(data_file)
+
+                    with patch('analyze.get_ticker', return_value=data):
+                        with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')):
+                            ticker = analyze_ticker(pair)
+                            # for each buy point
+                            for index, row in ticker[ticker.buy == 1].iterrows():
+                                trade = Trade(
+                                    open_rate=row['close'],
+                                    open_date=arrow.get(row['date']).datetime,
+                                    amount=1,
+                                )
+                                # calculate win/lose forwards from buy point
+                                for index2, row2 in ticker[index:].iterrows():
+                                    if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime):
+                                        current_profit = (row2['close'] - trade.open_rate) / trade.open_rate
+
+                                        trades.append((pair, current_profit, index2 - index))
+                                        break
+            
+        labels = ['currency', 'profit', 'duration']
+        results = DataFrame.from_records(trades, columns=labels)
+
+        print('====================== BACKTESTING REPORT ================================')
+
+        for pair in self.pairs:
+            print('For currency {}:'.format(pair))
+            print_results(results[results.currency == pair])
+        print('TOTAL OVER ALL TRADES:')
+        print_results(results)