93 lines
3.8 KiB
Python
93 lines
3.8 KiB
Python
from unittest.mock import MagicMock
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import pytest
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from arrow import Arrow
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from pandas import DataFrame, to_datetime
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from freqtrade.arguments import TimeRange, Arguments
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from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, create_cum_profit,
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extract_trades_of_period,
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load_backtest_data, load_trades_from_db)
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from freqtrade.data.history import load_pair_history, make_testdata_path
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from freqtrade.tests.test_persistence import create_mock_trades
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def test_load_backtest_data():
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filename = make_testdata_path(None) / "backtest-result_test.json"
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bt_data = load_backtest_data(filename)
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assert isinstance(bt_data, DataFrame)
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assert list(bt_data.columns) == BT_DATA_COLUMNS + ["profitabs"]
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assert len(bt_data) == 179
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# Test loading from string (must yield same result)
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bt_data2 = load_backtest_data(str(filename))
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assert bt_data.equals(bt_data2)
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with pytest.raises(ValueError, match=r"File .* does not exist\."):
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load_backtest_data(str("filename") + "nofile")
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@pytest.mark.usefixtures("init_persistence")
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def test_load_trades_db(default_conf, fee, mocker):
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create_mock_trades(fee)
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# remove init so it does not init again
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init_mock = mocker.patch('freqtrade.persistence.init', MagicMock())
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trades = load_trades_from_db(db_url=default_conf['db_url'])
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assert init_mock.call_count == 1
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assert len(trades) == 3
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assert isinstance(trades, DataFrame)
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assert "pair" in trades.columns
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assert "open_time" in trades.columns
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def test_extract_trades_of_period():
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pair = "UNITTEST/BTC"
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timerange = TimeRange(None, 'line', 0, -1000)
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data = load_pair_history(pair=pair, ticker_interval='1m',
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datadir=None, timerange=timerange)
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# timerange = 2017-11-14 06:07 - 2017-11-14 22:58:00
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trades = DataFrame(
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{'pair': [pair, pair, pair, pair],
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'profit_percent': [0.0, 0.1, -0.2, -0.5],
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'profit_abs': [0.0, 1, -2, -5],
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'open_time': to_datetime([Arrow(2017, 11, 13, 15, 40, 0).datetime,
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Arrow(2017, 11, 14, 9, 41, 0).datetime,
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Arrow(2017, 11, 14, 14, 20, 0).datetime,
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Arrow(2017, 11, 15, 3, 40, 0).datetime,
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], utc=True
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),
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'close_time': to_datetime([Arrow(2017, 11, 13, 16, 40, 0).datetime,
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Arrow(2017, 11, 14, 10, 41, 0).datetime,
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Arrow(2017, 11, 14, 15, 25, 0).datetime,
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Arrow(2017, 11, 15, 3, 55, 0).datetime,
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], utc=True)
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})
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trades1 = extract_trades_of_period(data, trades)
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# First and last trade are dropped as they are out of range
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assert len(trades1) == 2
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assert trades1.iloc[0].open_time == Arrow(2017, 11, 14, 9, 41, 0).datetime
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assert trades1.iloc[0].close_time == Arrow(2017, 11, 14, 10, 41, 0).datetime
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assert trades1.iloc[-1].open_time == Arrow(2017, 11, 14, 14, 20, 0).datetime
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assert trades1.iloc[-1].close_time == Arrow(2017, 11, 14, 15, 25, 0).datetime
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def test_create_cum_profit():
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filename = make_testdata_path(None) / "backtest-result_test.json"
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bt_data = load_backtest_data(filename)
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timerange = Arguments.parse_timerange("20180110-20180112")
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df = load_pair_history(pair="POWR/BTC", ticker_interval='5m',
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datadir=None, timerange=timerange)
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cum_profits = create_cum_profit(df.set_index('date'),
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bt_data[bt_data["pair"] == 'POWR/BTC'],
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"cum_profits")
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assert "cum_profits" in cum_profits.columns
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assert cum_profits.iloc[0]['cum_profits'] == 0
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assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
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