refactor backtesting to its own method as we use it also in hyperopt

freqtrade/tests/test_backtesting.py

@@ -21,6 +21,10 @@ def print_results(results):
         results.duration.mean() * 5
     ))
 
+def print_pair_results(pair, results):
+    print('For currency {}:'.format(pair))
+    print_results(results[results.currency == pair])
+
 @pytest.fixture
 def pairs():
     return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
@@ -38,9 +42,7 @@ def conf():
         "stoploss": -0.40
     }
 
-
+def backtest(conf, pairs, mocker):
-@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
-def test_backtest(conf, pairs, mocker):
     trades = []
     mocker.patch.dict('freqtrade.main._CONF', conf)
     for pair in pairs:
@@ -64,14 +66,15 @@ def test_backtest(conf, pairs, mocker):
 
                         trades.append((pair, current_profit, index2 - 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)
 
     print('====================== BACKTESTING REPORT ================================')
-
+    [print_pair_results(pair, results) for pair in pairs]
-    for pair in pairs:
-        print('For currency {}:'.format(pair))
-        print_results(results[results.currency == pair])
     print('TOTAL OVER ALL TRADES:')
     print_results(results)

freqtrade/tests/test_hyperopt.py

@@ -14,15 +14,9 @@ from freqtrade.analyze import analyze_ticker
 from freqtrade.main import should_sell
 from freqtrade.persistence import Trade
 
-logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
+from freqtrade.tests.test_backtesting import backtest, print_results
 
-def print_results(results):
+logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
-    print('Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
-        len(results.index),
-        results.profit.mean() * 100.0,
-        results.profit.sum(),
-        results.duration.mean() * 5
-    ))
 
 @pytest.fixture
 def pairs():
@@ -42,7 +36,7 @@ def conf():
     }
 
 
-def backtest(conf, pairs, mocker, buy_strategy):
+def backtest2(conf, pairs, mocker, buy_strategy):
     trades = []
     mocker.patch.dict('freqtrade.main._CONF', conf)
     for pair in pairs:
@@ -121,8 +115,18 @@ 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 optimizer(params):
+        # return backtest2(conf, pairs, mocker, buy_strategy_generator(params))
+
     def optimizer(params):
-        return backtest(conf, pairs, mocker, buy_strategy_generator(params))
+        buy_strategy = buy_strategy_generator(params)
+        mocker.patch('freqtrade.analyze.populate_buy_trend', side_effect=buy_strategy)
+        results = backtest(conf, pairs, mocker)
+
+        print_results(results)
+        if len(results.index) < 800: # require at least 800 trades
+            return 100000 # return large number to "ignore" this result
+        return results.duration.mean() ** 3 / results.profit.sum() / results.profit.mean() # the smaller the better
 
     space = {
         'mfi': hp.choice('mfi', [
@@ -162,5 +166,4 @@ def test_hyperopt(conf, pairs, mocker):
             {'type': 'faststoch10'}
         ]),
     }
-
     print('Best parameters {}'.format(fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=40)))