66 lines
2.5 KiB
Python
66 lines
2.5 KiB
Python
# pragma pylint: disable=missing-docstring
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import logging
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import os
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import pytest
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import arrow
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from pandas import DataFrame
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from freqtrade import exchange
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from freqtrade.analyze import analyze_ticker
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from freqtrade.exchange import Bittrex
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from freqtrade.main import should_sell
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from freqtrade.persistence import Trade
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logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
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def format_results(results):
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return 'Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
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len(results.index), results.profit.mean() * 100.0, results.profit.sum(), results.duration.mean() * 5)
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def print_pair_results(pair, results):
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print('For currency {}:'.format(pair))
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print(format_results(results[results.currency == pair]))
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def backtest(backtest_conf, backdata, mocker):
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trades = []
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exchange._API = Bittrex({'key': '', 'secret': ''})
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mocked_history = mocker.patch('freqtrade.analyze.get_ticker_history')
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mocker.patch.dict('freqtrade.main._CONF', backtest_conf)
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mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
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for pair, pair_data in backdata.items():
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mocked_history.return_value = pair_data
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ticker = analyze_ticker(pair)[['close', 'date', 'buy', 'sell']].copy()
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# for each buy point
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for row in ticker[ticker.buy == 1].itertuples(index=True):
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trade = Trade(
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open_rate=row.close,
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open_date=row.date,
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amount=1,
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fee=exchange.get_fee() * 2
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)
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# calculate win/lose forwards from buy point
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for row2 in ticker[row.Index:].itertuples(index=True):
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if should_sell(trade, row2.close, row2.date) or row2.sell == 1:
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current_profit = trade.calc_profit(row2.close)
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trades.append((pair, current_profit, row2.Index - row.Index))
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break
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labels = ['currency', 'profit', 'duration']
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results = DataFrame.from_records(trades, columns=labels)
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return results
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@pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set")
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def test_backtest(backtest_conf, backdata, mocker, report=True):
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results = backtest(backtest_conf, backdata, mocker)
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print('====================== BACKTESTING REPORT ================================')
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for pair in backdata:
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print_pair_results(pair, results)
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print('TOTAL OVER ALL TRADES:')
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print(format_results(results))
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