201 lines
7.6 KiB
Python
Executable File
201 lines
7.6 KiB
Python
Executable File
import logging
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from unittest.mock import MagicMock, PropertyMock
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import pandas as pd
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import pytest
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from freqtrade.commands.analyze_commands import start_analysis_entries_exits
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from freqtrade.commands.optimize_commands import start_backtesting
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from freqtrade.enums import ExitType
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from freqtrade.optimize.backtesting import Backtesting
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from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
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@pytest.fixture(autouse=True)
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def entryexitanalysis_cleanup() -> None:
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yield None
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Backtesting.cleanup()
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def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmpdir, capsys):
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caplog.set_level(logging.INFO)
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default_conf.update({
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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})
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patch_exchange(mocker)
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result1 = pd.DataFrame({'pair': ['ETH/BTC', 'LTC/BTC', 'ETH/BTC', 'LTC/BTC'],
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'profit_ratio': [0.025, 0.05, -0.1, -0.05],
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'profit_abs': [0.5, 2.0, -4.0, -2.0],
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'open_date': pd.to_datetime(['2018-01-29 18:40:00',
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'2018-01-30 03:30:00',
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'2018-01-30 08:10:00',
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'2018-01-31 13:30:00', ], utc=True
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),
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'close_date': pd.to_datetime(['2018-01-29 20:45:00',
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'2018-01-30 05:35:00',
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'2018-01-30 09:10:00',
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'2018-01-31 15:00:00', ], utc=True),
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'trade_duration': [235, 40, 60, 90],
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'is_open': [False, False, False, False],
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'stake_amount': [0.01, 0.01, 0.01, 0.01],
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'open_rate': [0.104445, 0.10302485, 0.10302485, 0.10302485],
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'close_rate': [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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'enter_tag': ["enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b"],
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'exit_reason': [ExitType.ROI,
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ExitType.EXIT_SIGNAL,
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ExitType.STOP_LOSS,
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ExitType.TRAILING_STOP_LOSS]
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})
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backtestmock = MagicMock(side_effect=[
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{
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'results': result1,
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'config': default_conf,
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'locks': [],
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'rejected_signals': 20,
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'timedout_entry_orders': 0,
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'timedout_exit_orders': 0,
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'canceled_trade_entries': 0,
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'canceled_entry_orders': 0,
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'replaced_entry_orders': 0,
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'final_balance': 1000,
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}
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])
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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PropertyMock(return_value=['ETH/BTC', 'LTC/BTC', 'DASH/BTC']))
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mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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'backtesting',
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'--config', 'config.json',
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'--datadir', str(testdatadir),
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'--user-data-dir', str(tmpdir),
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'--timeframe', '5m',
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'--timerange', '1515560100-1517287800',
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'--export', 'signals',
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'--cache', 'none',
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert 'BACKTESTING REPORT' in captured.out
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assert 'EXIT REASON STATS' in captured.out
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assert 'LEFT OPEN TRADES REPORT' in captured.out
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base_args = [
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'backtesting-analysis',
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'--config', 'config.json',
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'--datadir', str(testdatadir),
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'--user-data-dir', str(tmpdir),
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]
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# test group 0 and indicator list
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args = get_args(base_args +
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['--analysis-groups', "0",
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'--indicator-list', "close", "rsi", "profit_abs"]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert '0.5' in captured.out
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assert '-4' in captured.out
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assert '-2' in captured.out
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assert '-3.5' in captured.out
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assert '50' in captured.out
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assert '0' in captured.out
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assert '0.01616' in captured.out
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assert '34.049' in captured.out
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assert '0.104411' in captured.out
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assert '52.8292' in captured.out
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# test group 1
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args = get_args(base_args + ['--analysis-groups', "1"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-3.5' in captured.out
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assert '-1.75' in captured.out
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assert '-7.5' in captured.out
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assert '-3.75' in captured.out
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assert '0' in captured.out
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# test group 2
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args = get_args(base_args + ['--analysis-groups', "2"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-10' in captured.out
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assert '-5' in captured.out
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assert '2.5' in captured.out
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# test group 3
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args = get_args(base_args + ['--analysis-groups', "3"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-7.5' in captured.out
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assert '-3.75' in captured.out
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assert '-1.75' in captured.out
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assert '0' in captured.out
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assert '2' in captured.out
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# test group 4
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args = get_args(base_args + ['--analysis-groups', "4"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'LTC/BTC' in captured.out
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assert 'ETH/BTC' in captured.out
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assert 'enter_tag_long_a' in captured.out
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assert 'enter_tag_long_b' in captured.out
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assert 'exit_signal' in captured.out
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assert 'roi' in captured.out
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assert 'stop_loss' in captured.out
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assert 'trailing_stop_loss' in captured.out
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assert 'total_profit_pct' in captured.out
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assert '-10' in captured.out
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assert '-5' in captured.out
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assert '-4' in captured.out
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assert '0.5' in captured.out
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assert '1' in captured.out
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assert '2.5' in captured.out
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# test date filtering
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args = get_args(base_args +
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['--analysis-date-start', "20180129",
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'--analysis-date-end', "20180130"]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert 'enter_tag_long_b' not in captured.out
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