# pragma pylint: disable=missing-docstring import logging import os import pytest import arrow from pandas import DataFrame from freqtrade import exchange from freqtrade.analyze import analyze_ticker from freqtrade.exchange import Bittrex from freqtrade.main import should_sell from freqtrade.persistence import Trade logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot def format_results(results): return '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) def print_pair_results(pair, results): print('For currency {}:'.format(pair)) print(format_results(results[results.currency == pair])) def backtest(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', backtest_conf) mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')) 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 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(backtest_conf, backdata, mocker, report=True): results = backtest(backtest_conf, backdata, mocker) print('====================== BACKTESTING REPORT ================================') for pair in backdata: print_pair_results(pair, results) print('TOTAL OVER ALL TRADES:') print(format_results(results))