78 lines
2.6 KiB
Python
78 lines
2.6 KiB
Python
# pragma pylint: disable=missing-docstring
|
|
import json
|
|
import logging
|
|
import os
|
|
|
|
import pytest
|
|
import arrow
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.analyze import analyze_ticker
|
|
from freqtrade.main import should_sell
|
|
from freqtrade.persistence import Trade
|
|
|
|
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
|
|
|
|
def print_results(results):
|
|
print('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
|
|
))
|
|
|
|
@pytest.fixture
|
|
def pairs():
|
|
return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
|
|
'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
|
|
|
|
@pytest.fixture
|
|
def conf():
|
|
return {
|
|
"minimal_roi": {
|
|
"60": 0.0,
|
|
"40": 0.01,
|
|
"20": 0.02,
|
|
"0": 0.03
|
|
},
|
|
"stoploss": -0.40
|
|
}
|
|
|
|
|
|
@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
|
|
def test_backtest(conf, pairs, mocker):
|
|
trades = []
|
|
mocker.patch.dict('freqtrade.main._CONF', conf)
|
|
for pair in pairs:
|
|
with open('freqtrade/tests/testdata/'+pair+'.json') as data_file:
|
|
data = json.load(data_file)
|
|
|
|
mocker.patch('freqtrade.analyze.get_ticker_history', return_value=data)
|
|
mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
|
|
ticker = analyze_ticker(pair)
|
|
# for each buy point
|
|
for index, row in ticker[ticker.buy == 1].iterrows():
|
|
trade = Trade(
|
|
open_rate=row['close'],
|
|
open_date=arrow.get(row['date']).datetime,
|
|
amount=1,
|
|
)
|
|
# calculate win/lose forwards from buy point
|
|
for index2, row2 in ticker[index:].iterrows():
|
|
if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime):
|
|
current_profit = (row2['close'] - trade.open_rate) / trade.open_rate
|
|
|
|
trades.append((pair, current_profit, index2 - index))
|
|
break
|
|
|
|
labels = ['currency', 'profit', 'duration']
|
|
results = DataFrame.from_records(trades, columns=labels)
|
|
|
|
print('====================== BACKTESTING REPORT ================================')
|
|
|
|
for pair in pairs:
|
|
print('For currency {}:'.format(pair))
|
|
print_results(results[results.currency == pair])
|
|
print('TOTAL OVER ALL TRADES:')
|
|
print_results(results)
|