72 lines
2.9 KiB
Python
72 lines
2.9 KiB
Python
# pragma pylint: disable=missing-docstring
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import unittest
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from unittest.mock import patch
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import os
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import json
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import logging
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import arrow
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from pandas import DataFrame
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from analyze import analyze_ticker
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from persistence import Trade
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from main import should_sell
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def print_results(results):
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print('Made {} buys. Average profit {:.1f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
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len(results.index),
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results.profit.mean() * 100.0,
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results.profit.sum(),
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results.duration.mean()*5
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))
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class TestMain(unittest.TestCase):
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pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
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conf = {
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"minimal_roi": {
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"2880": 0.005,
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"720": 0.01,
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"0": 0.02
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},
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"stoploss": -0.10
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}
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@classmethod
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def setUpClass(cls):
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logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
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@unittest.skipIf(not os.environ.get('BACKTEST', False), "slow, should be run manually")
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def test_backtest(self):
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trades = []
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with patch.dict('main._CONF', self.conf):
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for pair in self.pairs:
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with open('test/testdata/'+pair+'.json') as data_file:
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data = json.load(data_file)
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with patch('analyze.get_ticker', return_value=data):
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with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')):
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ticker = analyze_ticker(pair)
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# for each buy point
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for index, row in ticker[ticker.buy == 1].iterrows():
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trade = Trade(
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open_rate=row['close'],
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open_date=arrow.get(row['date']).datetime,
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amount=1,
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)
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# calculate win/lose forwards from buy point
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for index2, row2 in ticker[index:].iterrows():
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if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime):
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current_profit = (row2['close'] - trade.open_rate) / trade.open_rate
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trades.append((pair, current_profit, index2 - 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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print('====================== BACKTESTING REPORT ================================')
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for pair in self.pairs:
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print('For currency {}:'.format(pair))
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print_results(results[results.currency == pair])
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print('TOTAL OVER ALL TRADES:')
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print_results(results)
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