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Add test for create_cum_profit

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This commit is contained in:
Matthias 2019-06-29 17:19:42 +02:00
parent 044be3b93e
commit edd3fc8825
2 changed files with 22 additions and 3 deletions
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3
freqtrade/data/btanalysis.py
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@ -114,6 +114,9 @@ def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame) -> p
def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str):
"""
Adds a column `col_name` with the cumulative profit for the given trades array.
:param df: DataFrame with date index
:param trades: DataFrame containing trades (requires columns close_time and profitperc)
:return: Returns df with one additional column, col_name, containing the cumulative profit.
"""
df[col_name] = trades.set_index('close_time')['profitperc'].cumsum()
# Set first value to 0

22
freqtrade/tests/data/test_btanalysis.py
View File

@ -1,11 +1,11 @@
from unittest.mock import MagicMock
from arrow import Arrow
import pytest
from arrow import Arrow
from pandas import DataFrame, to_datetime
from freqtrade.arguments import TimeRange
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS,
from freqtrade.arguments import TimeRange, Arguments
from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, create_cum_profit,
extract_trades_of_period,
load_backtest_data, load_trades_from_db)
from freqtrade.data.history import load_pair_history, make_testdata_path
@ -74,3 +74,19 @@ def test_extract_trades_of_period():
assert trades1.iloc[0].close_time == Arrow(2017, 11, 14, 10, 41, 0).datetime
assert trades1.iloc[-1].open_time == Arrow(2017, 11, 14, 14, 20, 0).datetime
assert trades1.iloc[-1].close_time == Arrow(2017, 11, 14, 15, 25, 0).datetime
def test_create_cum_profit():
filename = make_testdata_path(None) / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = Arguments.parse_timerange("20180110-20180112")
df = load_pair_history(pair="POWR/BTC", ticker_interval='5m',
datadir=None, timerange=timerange)
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'POWR/BTC'],
"cum_profits")
assert "cum_profits" in cum_profits.columns
assert cum_profits.iloc[0]['cum_profits'] == 0
assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005