stable/freqtrade/tests/test_backtesting.py
2017-11-16 16:53:34 +01:00

66 lines
2.5 KiB
Python

# pragma pylint: disable=missing-docstring
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 min_roi_reached
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(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', backtest_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', 'sell']].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 min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
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(backtest_conf, backdata, mocker, report=True):
results = backtest(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))