import logging from unittest.mock import MagicMock, PropertyMock import pandas as pd import pytest from freqtrade.commands.analyze_commands import start_analysis_entries_exits from freqtrade.commands.optimize_commands import start_backtesting from freqtrade.enums import ExitType from freqtrade.optimize.backtesting import Backtesting from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file @pytest.fixture(autouse=True) def entryexitanalysis_cleanup() -> None: yield None Backtesting.cleanup() def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmpdir, capsys): caplog.set_level(logging.INFO) default_conf.update({ "use_exit_signal": True, "exit_profit_only": False, "exit_profit_offset": 0.0, "ignore_roi_if_entry_signal": False, }) patch_exchange(mocker) result1 = pd.DataFrame({'pair': ['ETH/BTC', 'LTC/BTC', 'ETH/BTC', 'LTC/BTC'], 'profit_ratio': [0.025, 0.05, -0.1, -0.05], 'profit_abs': [0.5, 2.0, -4.0, -2.0], 'open_date': pd.to_datetime(['2018-01-29 18:40:00', '2018-01-30 03:30:00', '2018-01-30 08:10:00', '2018-01-31 13:30:00', ], utc=True ), 'close_date': pd.to_datetime(['2018-01-29 20:45:00', '2018-01-30 05:35:00', '2018-01-30 09:10:00', '2018-01-31 15:00:00', ], utc=True), 'trade_duration': [235, 40, 60, 90], 'is_open': [False, False, False, False], 'stake_amount': [0.01, 0.01, 0.01, 0.01], 'open_rate': [0.104445, 0.10302485, 0.10302485, 0.10302485], 'close_rate': [0.104969, 0.103541, 0.102041, 0.102541], "is_short": [False, False, False, False], 'enter_tag': ["enter_tag_long_a", "enter_tag_long_b", "enter_tag_long_a", "enter_tag_long_b"], 'exit_reason': [ExitType.ROI, ExitType.EXIT_SIGNAL, ExitType.STOP_LOSS, ExitType.TRAILING_STOP_LOSS] }) backtestmock = MagicMock(side_effect=[ { 'results': result1, 'config': default_conf, 'locks': [], 'rejected_signals': 20, 'timedout_entry_orders': 0, 'timedout_exit_orders': 0, 'canceled_trade_entries': 0, 'canceled_entry_orders': 0, 'replaced_entry_orders': 0, 'final_balance': 1000, } ]) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['ETH/BTC', 'LTC/BTC', 'DASH/BTC'])) mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock) patched_configuration_load_config_file(mocker, default_conf) args = [ 'backtesting', '--config', 'config.json', '--datadir', str(testdatadir), '--user-data-dir', str(tmpdir), '--timeframe', '5m', '--timerange', '1515560100-1517287800', '--export', 'signals', '--cache', 'none', ] args = get_args(args) start_backtesting(args) captured = capsys.readouterr() assert 'BACKTESTING REPORT' in captured.out assert 'EXIT REASON STATS' in captured.out assert 'LEFT OPEN TRADES REPORT' in captured.out base_args = [ 'backtesting-analysis', '--config', 'config.json', '--datadir', str(testdatadir), '--user-data-dir', str(tmpdir), ] # test group 0 and indicator list args = get_args(base_args + ['--analysis-groups', "0", '--indicator-list', "close", "rsi", "profit_abs"] ) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'LTC/BTC' in captured.out assert 'ETH/BTC' in captured.out assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' in captured.out assert 'exit_signal' in captured.out assert 'roi' in captured.out assert 'stop_loss' in captured.out assert 'trailing_stop_loss' in captured.out assert '0.5' in captured.out assert '-4' in captured.out assert '-2' in captured.out assert '-3.5' in captured.out assert '50' in captured.out assert '0' in captured.out assert '0.01616' in captured.out assert '34.049' in captured.out assert '0.104411' in captured.out assert '52.8292' in captured.out # test group 1 args = get_args(base_args + ['--analysis-groups', "1"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' in captured.out assert 'total_profit_pct' in captured.out assert '-3.5' in captured.out assert '-1.75' in captured.out assert '-7.5' in captured.out assert '-3.75' in captured.out assert '0' in captured.out # test group 2 args = get_args(base_args + ['--analysis-groups', "2"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' in captured.out assert 'exit_signal' in captured.out assert 'roi' in captured.out assert 'stop_loss' in captured.out assert 'trailing_stop_loss' in captured.out assert 'total_profit_pct' in captured.out assert '-10' in captured.out assert '-5' in captured.out assert '2.5' in captured.out # test group 3 args = get_args(base_args + ['--analysis-groups', "3"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'LTC/BTC' in captured.out assert 'ETH/BTC' in captured.out assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' in captured.out assert 'total_profit_pct' in captured.out assert '-7.5' in captured.out assert '-3.75' in captured.out assert '-1.75' in captured.out assert '0' in captured.out assert '2' in captured.out # test group 4 args = get_args(base_args + ['--analysis-groups', "4"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'LTC/BTC' in captured.out assert 'ETH/BTC' in captured.out assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' in captured.out assert 'exit_signal' in captured.out assert 'roi' in captured.out assert 'stop_loss' in captured.out assert 'trailing_stop_loss' in captured.out assert 'total_profit_pct' in captured.out assert '-10' in captured.out assert '-5' in captured.out assert '-4' in captured.out assert '0.5' in captured.out assert '1' in captured.out assert '2.5' in captured.out # test group 5 args = get_args(base_args + ['--analysis-groups', "5"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'exit_signal' in captured.out assert 'roi' in captured.out assert 'stop_loss' in captured.out assert 'trailing_stop_loss' in captured.out # test date filtering args = get_args(base_args + ['--timerange', "20180129-20180130"]) start_analysis_entries_exits(args) captured = capsys.readouterr() assert 'enter_tag_long_a' in captured.out assert 'enter_tag_long_b' not in captured.out