67 lines
2.4 KiB
Python
67 lines
2.4 KiB
Python
# pragma pylint: disable=missing-docstring
|
|
import json
|
|
import logging
|
|
import os
|
|
|
|
import pytest
|
|
import arrow
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade import exchange
|
|
from freqtrade.analyze import analyze_ticker
|
|
from freqtrade.exchange import Bittrex
|
|
from freqtrade.main import should_sell
|
|
from freqtrade.persistence import Trade
|
|
|
|
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
|
|
|
|
|
|
def format_results(results):
|
|
return '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)
|
|
|
|
|
|
def print_pair_results(pair, results):
|
|
print('For currency {}:'.format(pair))
|
|
print(format_results(results[results.currency == pair]))
|
|
|
|
|
|
def backtest(conf, backdata, mocker):
|
|
trades = []
|
|
exchange._API = Bittrex({'key': '', 'secret': ''})
|
|
mocked_history = mocker.patch('freqtrade.analyze.get_ticker_history')
|
|
mocker.patch.dict('freqtrade.main._CONF', conf)
|
|
mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
|
|
for pair, pair_data in backdata.items():
|
|
mocked_history.return_value = pair_data
|
|
ticker = analyze_ticker(pair)[['close', 'date', 'buy']].copy()
|
|
# for each buy point
|
|
for row in ticker[ticker.buy == 1].itertuples(index=True):
|
|
trade = Trade(
|
|
open_rate=row.close,
|
|
open_date=row.date,
|
|
amount=1,
|
|
fee=exchange.get_fee() * 2
|
|
)
|
|
# calculate win/lose forwards from buy point
|
|
for row2 in ticker[row.Index:].itertuples(index=True):
|
|
if should_sell(trade, row2.close, row2.date):
|
|
current_profit = trade.calc_profit(row2.close)
|
|
|
|
trades.append((pair, current_profit, row2.Index - row.Index))
|
|
break
|
|
labels = ['currency', 'profit', 'duration']
|
|
results = DataFrame.from_records(trades, columns=labels)
|
|
return results
|
|
|
|
|
|
@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
|
|
def test_backtest(conf, backdata, mocker, report=True):
|
|
results = backtest(conf, backdata, mocker)
|
|
|
|
print('====================== BACKTESTING REPORT ================================')
|
|
for pair in backdata:
|
|
print_pair_results(pair, results)
|
|
print('TOTAL OVER ALL TRADES:')
|
|
print(format_results(results))
|