stable/freqtrade/tests/optimize/test_backtesting.py
kryofly f7398e615a Improve backtesting tests (#256)
* test bugfix dataframe trimming

* flake8 (as usual)

* tests backtesting cleanup and bugfix

* flake8

* test backtesting::start()

* tests cleanup set() usage

* tests: add missing assert
2017-12-30 11:55:23 +01:00

160 lines
6.1 KiB
Python

# pragma pylint: disable=missing-docstring,W0212
import math
import pandas as pd
# from unittest.mock import MagicMock
from freqtrade import exchange, optimize
from freqtrade.exchange import Bittrex
from freqtrade.optimize.backtesting import backtest, generate_text_table, get_timeframe
# import freqtrade.optimize.backtesting as backtesting
def test_generate_text_table():
results = pd.DataFrame(
{
'currency': ['BTC_ETH', 'BTC_ETH'],
'profit_percent': [0.1, 0.2],
'profit_BTC': [0.2, 0.4],
'duration': [10, 30]
}
)
assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == (
'pair buy count avg profit total profit avg duration\n'
'------- ----------- ------------ -------------- --------------\n'
'BTC_ETH 2 15.00% 0.60000000 BTC 100\n'
'TOTAL 2 15.00% 0.60000000 BTC 100')
def test_get_timeframe():
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
min_date, max_date = get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
def test_backtest(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
exchange._API = Bittrex({'key': '', 'secret': ''})
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 10, True)
assert not results.empty
def test_backtest_1min_ticker_interval(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
exchange._API = Bittrex({'key': '', 'secret': ''})
# Run a backtesting for an exiting 5min ticker_interval
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 1, True)
assert not results.empty
def trim_dictlist(dl, num):
new = {}
for pair, pair_data in dl.items():
# Can't figure out why -num wont work
new[pair] = pair_data[num:]
return new
def load_data_test(what):
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
data = trim_dictlist(data, -100)
pair = data['BTC_UNITEST']
datalen = len(pair)
# Depending on the what parameter we now adjust the
# loaded data looks:
# pair :: [{'O': 0.123, 'H': 0.123, 'L': 0.123,
# 'C': 0.123, 'V': 123.123,
# 'T': '2017-11-04T23:02:00', 'BV': 0.123}]
base = 0.001
if what == 'raise':
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': x * base, # But replace O,H,L,C
'H': x * base + 0.0001,
'L': x * base - 0.0001,
'C': x * base} for x in range(0, datalen)]}
if what == 'lower':
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': 1 - x * base, # But replace O,H,L,C
'H': 1 - x * base + 0.0001,
'L': 1 - x * base - 0.0001,
'C': 1 - x * base} for x in range(0, datalen)]}
if what == 'sine':
hz = 0.1 # frequency
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': math.sin(x*hz) / 1000 + base, # But replace O,H,L,C
'H': math.sin(x*hz) / 1000 + base + 0.0001,
'L': math.sin(x*hz) / 1000 + base - 0.0001,
'C': math.sin(x*hz) / 1000 + base} for x in range(0, datalen)]}
return data
def simple_backtest(config, contour, num_results):
data = load_data_test(contour)
processed = optimize.preprocess(data)
assert isinstance(processed, dict)
results = backtest(config['stake_amount'], processed, 1, True)
# results :: <class 'pandas.core.frame.DataFrame'>
assert len(results) == num_results
# Test backtest on offline data
# loaded by freqdata/optimize/__init__.py::load_data()
def test_backtest2(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 10, True)
assert not results.empty
def test_processed(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
dict_of_tickerrows = load_data_test('raise')
dataframes = optimize.preprocess(dict_of_tickerrows)
dataframe = dataframes['BTC_UNITEST']
cols = dataframe.columns
# assert the dataframe got some of the indicator columns
for col in ['close', 'high', 'low', 'open', 'date',
'ema50', 'ao', 'macd', 'plus_dm']:
assert col in cols
def test_backtest_pricecontours(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
tests = [['raise', 17], ['lower', 0], ['sine', 17]]
for [contour, numres] in tests:
simple_backtest(default_conf, contour, numres)
# Please make this work, the load_config needs to be mocked
# and cleanups.
# def test_backtest_start(default_conf, mocker):
# default_conf['exchange']['pair_whitelist'] = ['BTC_UNITEST']
# mocker.patch.dict('freqtrade.main._CONF', default_conf)
# # see https://pypi.python.org/pypi/pytest-mock/
# # and http://www.voidspace.org.uk/python/mock/patch.html
# # No usage example of simple function mocking,
# # and no documentation of side_effect
# mocker.patch('freqtrade.misc.load_config', new=lambda s, t: {})
# args = MagicMock()
# args.level = 10
# #load_config('foo')
# backtesting.start(args)
#
# Check what sideeffect backtstesting has done.
# Probably need to capture standard-output and
# check for the generated report table.