from pathlib import Path import pandas as pd import pytest from arrow import Arrow from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import ( generate_edge_table, generate_sell_reason_stats, generate_text_table, generate_text_table_sell_reason, generate_text_table_strategy, store_backtest_result) from freqtrade.strategy.interface import SellType from tests.conftest import patch_exchange def test_generate_text_table(default_conf, mocker): results = pd.DataFrame( { 'pair': ['ETH/BTC', 'ETH/BTC'], 'profit_percent': [0.1, 0.2], 'profit_abs': [0.2, 0.4], 'trade_duration': [10, 30], 'wins': [2, 0], 'draws': [0, 0], 'losses': [0, 0] } ) result_str = ( '| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |' ' Tot Profit % | Avg Duration | Wins | Draws | Losses |\n' '|---------+--------+----------------+----------------+------------------+' '----------------+----------------+--------+---------+----------|\n' '| ETH/BTC | 2 | 15.00 | 30.00 | 0.60000000 |' ' 15.00 | 0:20:00 | 2 | 0 | 0 |\n' '| TOTAL | 2 | 15.00 | 30.00 | 0.60000000 |' ' 15.00 | 0:20:00 | 2 | 0 | 0 |' ) assert generate_text_table(data={'ETH/BTC': {}}, stake_currency='BTC', max_open_trades=2, results=results) == result_str def test_generate_text_table_sell_reason(default_conf): results = pd.DataFrame( { 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], 'profit_percent': [0.1, 0.2, -0.1], 'profit_abs': [0.2, 0.4, -0.2], 'trade_duration': [10, 30, 10], 'wins': [2, 0, 0], 'draws': [0, 0, 0], 'losses': [0, 0, 1], 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] } ) result_str = ( '| Sell Reason | Sells | Wins | Draws | Losses |' ' Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % |\n' '|---------------+---------+--------+---------+----------+' '----------------+----------------+------------------+----------------|\n' '| roi | 2 | 2 | 0 | 0 |' ' 15 | 30 | 0.6 | 15 |\n' '| stop_loss | 1 | 0 | 0 | 1 |' ' -10 | -10 | -0.2 | -5 |' ) sell_reason_stats = generate_sell_reason_stats(max_open_trades=2, results=results) assert generate_text_table_sell_reason(sell_reason_stats=sell_reason_stats, stake_currency='BTC') == result_str def test_generate_sell_reason_stats(default_conf): results = pd.DataFrame( { 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], 'profit_percent': [0.1, 0.2, -0.1], 'profit_abs': [0.2, 0.4, -0.2], 'trade_duration': [10, 30, 10], 'wins': [2, 0, 0], 'draws': [0, 0, 0], 'losses': [0, 0, 1], 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] } ) sell_reason_stats = generate_sell_reason_stats(max_open_trades=2, results=results) roi_result = sell_reason_stats[0] assert roi_result['sell_reason'] == 'roi' assert roi_result['trades'] == 2 assert pytest.approx(roi_result['profit_mean']) == 0.15 assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2) assert pytest.approx(roi_result['profit_mean']) == 0.15 assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2) stop_result = sell_reason_stats[1] assert stop_result['sell_reason'] == 'stop_loss' assert stop_result['trades'] == 1 assert pytest.approx(stop_result['profit_mean']) == -0.1 assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2) assert pytest.approx(stop_result['profit_mean']) == -0.1 assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2) def test_generate_text_table_strategy(default_conf, mocker): results = {} results['TestStrategy1'] = pd.DataFrame( { 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], 'profit_percent': [0.1, 0.2, 0.3], 'profit_abs': [0.2, 0.4, 0.5], 'trade_duration': [10, 30, 10], 'wins': [2, 0, 0], 'draws': [0, 0, 0], 'losses': [0, 0, 1], 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] } ) results['TestStrategy2'] = pd.DataFrame( { 'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'], 'profit_percent': [0.4, 0.2, 0.3], 'profit_abs': [0.4, 0.4, 0.5], 'trade_duration': [15, 30, 15], 'wins': [4, 1, 0], 'draws': [0, 0, 0], 'losses': [0, 0, 1], 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] } ) result_str = ( '| Strategy | Buys | Avg Profit % | Cum Profit % | Tot' ' Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |\n' '|---------------+--------+----------------+----------------+------------------+' '----------------+----------------+--------+---------+----------|\n' '| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |' ' 30.00 | 0:17:00 | 3 | 0 | 0 |\n' '| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |' ' 45.00 | 0:20:00 | 3 | 0 | 0 |' ) assert generate_text_table_strategy('BTC', 2, all_results=results) == result_str def test_generate_edge_table(edge_conf, mocker): results = {} results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60) assert generate_edge_table(results).count('+') == 7 assert generate_edge_table(results).count('| ETH/BTC |') == 1 assert generate_edge_table(results).count( '| Risk Reward Ratio | Required Risk Reward | Expectancy |') == 1 def test_backtest_record(default_conf, fee, mocker): names = [] records = [] patch_exchange(mocker) mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) mocker.patch( 'freqtrade.optimize.optimize_reports.file_dump_json', new=lambda n, r: (names.append(n), records.append(r)) ) results = {'DefStrat': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC"], "profit_percent": [0.003312, 0.010801, 0.013803, 0.002780], "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], "open_time": [Arrow(2017, 11, 14, 19, 32, 00).datetime, Arrow(2017, 11, 14, 21, 36, 00).datetime, Arrow(2017, 11, 14, 22, 12, 00).datetime, Arrow(2017, 11, 14, 22, 44, 00).datetime], "close_time": [Arrow(2017, 11, 14, 21, 35, 00).datetime, Arrow(2017, 11, 14, 22, 10, 00).datetime, Arrow(2017, 11, 14, 22, 43, 00).datetime, Arrow(2017, 11, 14, 22, 58, 00).datetime], "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], "open_index": [1, 119, 153, 185], "close_index": [118, 151, 184, 199], "trade_duration": [123, 34, 31, 14], "open_at_end": [False, False, False, True], "sell_reason": [SellType.ROI, SellType.STOP_LOSS, SellType.ROI, SellType.FORCE_SELL] })} store_backtest_result(Path("backtest-result.json"), results) # Assert file_dump_json was only called once assert names == [Path('backtest-result.json')] records = records[0] # Ensure records are of correct type assert len(records) == 4 # reset test to test with strategy name names = [] records = [] results['Strat'] = results['DefStrat'] results['Strat2'] = results['DefStrat'] store_backtest_result(Path("backtest-result.json"), results) assert names == [ Path('backtest-result-DefStrat.json'), Path('backtest-result-Strat.json'), Path('backtest-result-Strat2.json'), ] records = records[0] # Ensure records are of correct type assert len(records) == 4 # ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117) # Below follows just a typecheck of the schema/type of trade-records oix = None for (pair, profit, date_buy, date_sell, buy_index, dur, openr, closer, open_at_end, sell_reason) in records: assert pair == 'UNITTEST/BTC' assert isinstance(profit, float) # FIX: buy/sell should be converted to ints assert isinstance(date_buy, float) assert isinstance(date_sell, float) assert isinstance(openr, float) assert isinstance(closer, float) assert isinstance(open_at_end, bool) assert isinstance(sell_reason, str) isinstance(buy_index, pd._libs.tslib.Timestamp) if oix: assert buy_index > oix oix = buy_index assert dur > 0