728 lines
26 KiB
Python
728 lines
26 KiB
Python
# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
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import json
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import math
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import random
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from typing import List
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from unittest.mock import MagicMock
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import numpy as np
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import pandas as pd
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import pytest
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from arrow import Arrow
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from freqtrade import DependencyException, constants, optimize
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from freqtrade.arguments import Arguments, TimeRange
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from freqtrade.optimize.backtesting import (Backtesting, setup_configuration,
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start)
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from freqtrade.tests.conftest import log_has, patch_exchange
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from freqtrade.strategy.interface import SellType
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from freqtrade.strategy.default_strategy import DefaultStrategy
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def get_args(args) -> List[str]:
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return Arguments(args, '').get_parsed_arg()
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def trim_dictlist(dict_list, num):
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new = {}
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for pair, pair_data in dict_list.items():
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new[pair] = pair_data[num:]
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return new
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def load_data_test(what):
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timerange = TimeRange(None, 'line', 0, -101)
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data = optimize.load_data(None, ticker_interval='1m',
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pairs=['UNITTEST/BTC'], timerange=timerange)
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pair = data['UNITTEST/BTC']
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datalen = len(pair)
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# Depending on the what parameter we now adjust the
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# loaded data looks:
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# pair :: [[ 1509836520000, unix timestamp in ms
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# 0.00162008, open
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# 0.00162008, high
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# 0.00162008, low
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# 0.00162008, close
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# 108.14853839 base volume
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# ]]
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base = 0.001
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if what == 'raise':
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return {'UNITTEST/BTC': [
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[
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pair[x][0], # Keep old dates
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x * base, # But replace O,H,L,C
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x * base + 0.0001,
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x * base - 0.0001,
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x * base,
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pair[x][5], # Keep old volume
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] for x in range(0, datalen)
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]}
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if what == 'lower':
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return {'UNITTEST/BTC': [
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[
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pair[x][0], # Keep old dates
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1 - x * base, # But replace O,H,L,C
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1 - x * base + 0.0001,
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1 - x * base - 0.0001,
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1 - x * base,
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pair[x][5] # Keep old volume
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] for x in range(0, datalen)
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]}
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if what == 'sine':
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hz = 0.1 # frequency
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return {'UNITTEST/BTC': [
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[
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pair[x][0], # Keep old dates
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math.sin(x * hz) / 1000 + base, # But replace O,H,L,C
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math.sin(x * hz) / 1000 + base + 0.0001,
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math.sin(x * hz) / 1000 + base - 0.0001,
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math.sin(x * hz) / 1000 + base,
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pair[x][5] # Keep old volume
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] for x in range(0, datalen)
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]}
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return data
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def simple_backtest(config, contour, num_results, mocker) -> None:
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patch_exchange(mocker)
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backtesting = Backtesting(config)
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data = load_data_test(contour)
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processed = backtesting.tickerdata_to_dataframe(data)
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assert isinstance(processed, dict)
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results = backtesting.backtest(
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{
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'stake_amount': config['stake_amount'],
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'processed': processed,
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'max_open_trades': 1,
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'position_stacking': False
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}
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)
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# results :: <class 'pandas.core.frame.DataFrame'>
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assert len(results) == num_results
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def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
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timerange=None, exchange=None):
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tickerdata = optimize.load_tickerdata_file(datadir, 'UNITTEST/BTC', '1m', timerange=timerange)
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pairdata = {'UNITTEST/BTC': tickerdata}
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return pairdata
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# use for mock freqtrade.exchange.get_ticker_history'
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def _load_pair_as_ticks(pair, tickfreq):
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ticks = optimize.load_data(None, ticker_interval=tickfreq, pairs=[pair])
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ticks = trim_dictlist(ticks, -201)
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return ticks[pair]
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# FIX: fixturize this?
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def _make_backtest_conf(mocker, conf=None, pair='UNITTEST/BTC', record=None):
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data = optimize.load_data(None, ticker_interval='8m', pairs=[pair])
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data = trim_dictlist(data, -201)
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patch_exchange(mocker)
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backtesting = Backtesting(conf)
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return {
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'stake_amount': conf['stake_amount'],
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'processed': backtesting.tickerdata_to_dataframe(data),
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'max_open_trades': 10,
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'position_stacking': False,
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'record': record
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}
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def _trend(signals, buy_value, sell_value):
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n = len(signals['low'])
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buy = np.zeros(n)
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sell = np.zeros(n)
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for i in range(0, len(signals['buy'])):
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if random.random() > 0.5: # Both buy and sell signals at same timeframe
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buy[i] = buy_value
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sell[i] = sell_value
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signals['buy'] = buy
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signals['sell'] = sell
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return signals
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def _trend_alternate(dataframe=None, metadata=None):
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signals = dataframe
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low = signals['low']
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n = len(low)
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buy = np.zeros(n)
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sell = np.zeros(n)
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for i in range(0, len(buy)):
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if i % 2 == 0:
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buy[i] = 1
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else:
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sell[i] = 1
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signals['buy'] = buy
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signals['sell'] = sell
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return dataframe
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# Unit tests
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def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> None:
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mocker.patch('freqtrade.configuration.open', mocker.mock_open(
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read_data=json.dumps(default_conf)
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))
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args = [
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'--config', 'config.json',
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'--strategy', 'DefaultStrategy',
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'backtesting'
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]
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config = setup_configuration(get_args(args))
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assert 'max_open_trades' in config
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assert 'stake_currency' in config
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assert 'stake_amount' in config
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assert 'exchange' in config
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assert 'pair_whitelist' in config['exchange']
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assert 'datadir' in config
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assert log_has(
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'Using data folder: {} ...'.format(config['datadir']),
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caplog.record_tuples
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)
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assert 'ticker_interval' in config
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assert not log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
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assert 'live' not in config
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assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
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assert 'position_stacking' not in config
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assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
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assert 'refresh_pairs' not in config
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assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
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assert 'timerange' not in config
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assert 'export' not in config
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def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> None:
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mocker.patch('freqtrade.configuration.open', mocker.mock_open(
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read_data=json.dumps(default_conf)
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))
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args = [
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'--config', 'config.json',
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'--strategy', 'DefaultStrategy',
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'--datadir', '/foo/bar',
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'backtesting',
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'--ticker-interval', '1m',
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'--live',
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'--enable-position-stacking',
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'--disable-max-market-positions',
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'--refresh-pairs-cached',
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'--timerange', ':100',
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'--export', '/bar/foo',
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'--export-filename', 'foo_bar.json'
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]
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config = setup_configuration(get_args(args))
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assert 'max_open_trades' in config
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assert 'stake_currency' in config
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assert 'stake_amount' in config
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assert 'exchange' in config
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assert 'pair_whitelist' in config['exchange']
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assert 'datadir' in config
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assert log_has(
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'Using data folder: {} ...'.format(config['datadir']),
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caplog.record_tuples
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)
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assert 'ticker_interval' in config
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assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
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assert log_has(
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'Using ticker_interval: 1m ...',
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caplog.record_tuples
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)
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assert 'live' in config
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assert log_has('Parameter -l/--live detected ...', caplog.record_tuples)
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assert 'position_stacking' in config
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assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
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assert 'use_max_market_positions' in config
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assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples)
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assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples)
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assert 'refresh_pairs' in config
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assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
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assert 'timerange' in config
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assert log_has(
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'Parameter --timerange detected: {} ...'.format(config['timerange']),
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caplog.record_tuples
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)
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assert 'export' in config
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assert log_has(
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'Parameter --export detected: {} ...'.format(config['export']),
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caplog.record_tuples
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)
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assert 'exportfilename' in config
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assert log_has(
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'Storing backtest results to {} ...'.format(config['exportfilename']),
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caplog.record_tuples
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)
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def test_setup_configuration_unlimited_stake_amount(mocker, default_conf, caplog) -> None:
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default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
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mocker.patch('freqtrade.configuration.open', mocker.mock_open(
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read_data=json.dumps(default_conf)
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))
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args = [
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'--config', 'config.json',
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'--strategy', 'DefaultStrategy',
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'backtesting'
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]
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with pytest.raises(DependencyException, match=r'.*stake amount.*'):
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setup_configuration(get_args(args))
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def test_start(mocker, fee, default_conf, caplog) -> None:
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start_mock = MagicMock()
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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patch_exchange(mocker)
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mocker.patch('freqtrade.optimize.backtesting.Backtesting.start', start_mock)
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mocker.patch('freqtrade.configuration.open', mocker.mock_open(
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read_data=json.dumps(default_conf)
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))
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args = [
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'--config', 'config.json',
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'--strategy', 'DefaultStrategy',
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'backtesting'
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]
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args = get_args(args)
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start(args)
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assert log_has(
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'Starting freqtrade in Backtesting mode',
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caplog.record_tuples
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)
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assert start_mock.call_count == 1
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def test_backtesting_init(mocker, default_conf) -> None:
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patch_exchange(mocker)
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get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
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backtesting = Backtesting(default_conf)
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assert backtesting.config == default_conf
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assert backtesting.ticker_interval == '5m'
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assert callable(backtesting.tickerdata_to_dataframe)
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assert callable(backtesting.advise_buy)
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assert callable(backtesting.advise_sell)
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get_fee.assert_called()
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assert backtesting.fee == 0.5
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def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
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patch_exchange(mocker)
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timerange = TimeRange(None, 'line', 0, -100)
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tick = optimize.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
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tickerlist = {'UNITTEST/BTC': tick}
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backtesting = Backtesting(default_conf)
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data = backtesting.tickerdata_to_dataframe(tickerlist)
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assert len(data['UNITTEST/BTC']) == 99
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# Load strategy to compare the result between Backtesting function and strategy are the same
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strategy = DefaultStrategy(default_conf)
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data2 = strategy.tickerdata_to_dataframe(tickerlist)
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assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
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def test_get_timeframe(default_conf, mocker) -> None:
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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data = backtesting.tickerdata_to_dataframe(
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optimize.load_data(
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None,
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ticker_interval='1m',
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pairs=['UNITTEST/BTC']
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)
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)
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min_date, max_date = backtesting.get_timeframe(data)
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assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
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assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
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def test_generate_text_table(default_conf, mocker):
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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results = pd.DataFrame(
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{
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'pair': ['ETH/BTC', 'ETH/BTC'],
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'profit_percent': [0.1, 0.2],
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'profit_abs': [0.2, 0.4],
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'trade_duration': [10, 30],
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'profit': [2, 0],
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'loss': [0, 0]
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}
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)
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result_str = (
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'| pair | buy count | avg profit % | cum profit % | '
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'total profit BTC | avg duration | profit | loss |\n'
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'|:--------|------------:|---------------:|---------------:|'
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'-------------------:|:---------------|---------:|-------:|\n'
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'| ETH/BTC | 2 | 15.00 | 30.00 | '
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'0.60000000 | 0:20:00 | 2 | 0 |\n'
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'| TOTAL | 2 | 15.00 | 30.00 | '
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'0.60000000 | 0:20:00 | 2 | 0 |'
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)
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assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str
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def test_generate_text_table_sell_reason(default_conf, mocker):
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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results = pd.DataFrame(
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{
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'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
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'profit_percent': [0.1, 0.2, 0.3],
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'profit_abs': [0.2, 0.4, 0.5],
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'trade_duration': [10, 30, 10],
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'profit': [2, 0, 0],
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'loss': [0, 0, 1],
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'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
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}
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)
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result_str = (
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'| Sell Reason | Count |\n'
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'|:--------------|--------:|\n'
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'| roi | 2 |\n'
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'| stop_loss | 1 |'
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)
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assert backtesting._generate_text_table_sell_reason(
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data={'ETH/BTC': {}}, results=results) == result_str
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def test_backtesting_start(default_conf, mocker, caplog) -> None:
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def get_timeframe(input1, input2):
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return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
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mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
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mocker.patch('freqtrade.exchange.Exchange.get_ticker_history')
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patch_exchange(mocker)
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mocker.patch.multiple(
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'freqtrade.optimize.backtesting.Backtesting',
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backtest=MagicMock(),
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_generate_text_table=MagicMock(return_value='1'),
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get_timeframe=get_timeframe,
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)
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default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
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default_conf['ticker_interval'] = 1
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default_conf['live'] = False
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default_conf['datadir'] = None
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default_conf['export'] = None
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default_conf['timerange'] = '-100'
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backtesting = Backtesting(default_conf)
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backtesting.start()
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# check the logs, that will contain the backtest result
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exists = [
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'Using local backtesting data (using whitelist in given config) ...',
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'Using stake_currency: BTC ...',
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'Using stake_amount: 0.001 ...',
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'Measuring data from 2017-11-14T21:17:00+00:00 '
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'up to 2017-11-14T22:59:00+00:00 (0 days)..'
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]
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for line in exists:
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assert log_has(line, caplog.record_tuples)
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def test_backtesting_start_no_data(default_conf, mocker, caplog) -> None:
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def get_timeframe(input1, input2):
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return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
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mocker.patch('freqtrade.optimize.load_data', MagicMock(return_value={}))
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mocker.patch('freqtrade.exchange.Exchange.get_ticker_history')
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patch_exchange(mocker)
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mocker.patch.multiple(
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'freqtrade.optimize.backtesting.Backtesting',
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backtest=MagicMock(),
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_generate_text_table=MagicMock(return_value='1'),
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get_timeframe=get_timeframe,
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)
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default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
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default_conf['ticker_interval'] = "1m"
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default_conf['live'] = False
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default_conf['datadir'] = None
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default_conf['export'] = None
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default_conf['timerange'] = '20180101-20180102'
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backtesting = Backtesting(default_conf)
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backtesting.start()
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# check the logs, that will contain the backtest result
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assert log_has('No data found. Terminating.', caplog.record_tuples)
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def test_backtest(default_conf, fee, mocker) -> None:
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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pair = 'UNITTEST/BTC'
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data = optimize.load_data(None, ticker_interval='5m', pairs=['UNITTEST/BTC'])
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data = trim_dictlist(data, -200)
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data_processed = backtesting.tickerdata_to_dataframe(data)
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results = backtesting.backtest(
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{
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'stake_amount': default_conf['stake_amount'],
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'processed': data_processed,
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'max_open_trades': 10,
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'position_stacking': False
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}
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)
|
|
assert not results.empty
|
|
assert len(results) == 2
|
|
|
|
expected = pd.DataFrame(
|
|
{'pair': [pair, pair],
|
|
'profit_percent': [0.00029975, 0.00056708],
|
|
'profit_abs': [1.49e-06, 7.6e-07],
|
|
'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime,
|
|
Arrow(2018, 1, 30, 3, 30, 0).datetime],
|
|
'close_time': [Arrow(2018, 1, 29, 22, 40, 0).datetime,
|
|
Arrow(2018, 1, 30, 4, 20, 0).datetime],
|
|
'open_index': [77, 183],
|
|
'close_index': [125, 193],
|
|
'trade_duration': [240, 50],
|
|
'open_at_end': [False, False],
|
|
'open_rate': [0.104445, 0.10302485],
|
|
'close_rate': [0.105, 0.10359999],
|
|
'sell_reason': [SellType.ROI, SellType.ROI]
|
|
})
|
|
pd.testing.assert_frame_equal(results, expected)
|
|
data_pair = data_processed[pair]
|
|
for _, t in results.iterrows():
|
|
ln = data_pair.loc[data_pair["date"] == t["open_time"]]
|
|
# Check open trade rate alignes to open rate
|
|
assert ln is not None
|
|
assert round(ln.iloc[0]["open"], 6) == round(t["open_rate"], 6)
|
|
# check close trade rate alignes to close rate
|
|
ln = data_pair.loc[data_pair["date"] == t["close_time"]]
|
|
assert round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6)
|
|
|
|
|
|
def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
|
|
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
|
patch_exchange(mocker)
|
|
backtesting = Backtesting(default_conf)
|
|
|
|
# Run a backtesting for an exiting 5min ticker_interval
|
|
data = optimize.load_data(None, ticker_interval='1m', pairs=['UNITTEST/BTC'])
|
|
data = trim_dictlist(data, -200)
|
|
results = backtesting.backtest(
|
|
{
|
|
'stake_amount': default_conf['stake_amount'],
|
|
'processed': backtesting.tickerdata_to_dataframe(data),
|
|
'max_open_trades': 1,
|
|
'position_stacking': False
|
|
}
|
|
)
|
|
assert not results.empty
|
|
assert len(results) == 1
|
|
|
|
|
|
def test_processed(default_conf, mocker) -> None:
|
|
patch_exchange(mocker)
|
|
backtesting = Backtesting(default_conf)
|
|
|
|
dict_of_tickerrows = load_data_test('raise')
|
|
dataframes = backtesting.tickerdata_to_dataframe(dict_of_tickerrows)
|
|
dataframe = dataframes['UNITTEST/BTC']
|
|
cols = dataframe.columns
|
|
# assert the dataframe got some of the indicator columns
|
|
for col in ['close', 'high', 'low', 'open', 'date',
|
|
'ema50', 'ao', 'macd', 'plus_dm']:
|
|
assert col in cols
|
|
|
|
|
|
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
|
|
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
|
tests = [['raise', 18], ['lower', 0], ['sine', 16]]
|
|
for [contour, numres] in tests:
|
|
simple_backtest(default_conf, contour, numres, mocker)
|
|
|
|
|
|
# Test backtest using offline data (testdata directory)
|
|
def test_backtest_ticks(default_conf, fee, mocker):
|
|
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
|
patch_exchange(mocker)
|
|
ticks = [1, 5]
|
|
fun = Backtesting(default_conf).advise_buy
|
|
for _ in ticks:
|
|
backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
|
|
backtesting = Backtesting(default_conf)
|
|
backtesting.advise_buy = fun # Override
|
|
backtesting.advise_sell = fun # Override
|
|
results = backtesting.backtest(backtest_conf)
|
|
assert not results.empty
|
|
|
|
|
|
def test_backtest_clash_buy_sell(mocker, default_conf):
|
|
# Override the default buy trend function in our default_strategy
|
|
def fun(dataframe=None, pair=None):
|
|
buy_value = 1
|
|
sell_value = 1
|
|
return _trend(dataframe, buy_value, sell_value)
|
|
|
|
backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
|
|
backtesting = Backtesting(default_conf)
|
|
backtesting.advise_buy = fun # Override
|
|
backtesting.advise_sell = fun # Override
|
|
results = backtesting.backtest(backtest_conf)
|
|
assert results.empty
|
|
|
|
|
|
def test_backtest_only_sell(mocker, default_conf):
|
|
# Override the default buy trend function in our default_strategy
|
|
def fun(dataframe=None, pair=None):
|
|
buy_value = 0
|
|
sell_value = 1
|
|
return _trend(dataframe, buy_value, sell_value)
|
|
|
|
backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
|
|
backtesting = Backtesting(default_conf)
|
|
backtesting.advise_buy = fun # Override
|
|
backtesting.advise_sell = fun # Override
|
|
results = backtesting.backtest(backtest_conf)
|
|
assert results.empty
|
|
|
|
|
|
def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
|
|
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
|
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, pair='UNITTEST/BTC')
|
|
backtesting = Backtesting(default_conf)
|
|
backtesting.advise_buy = _trend_alternate # Override
|
|
backtesting.advise_sell = _trend_alternate # Override
|
|
results = backtesting.backtest(backtest_conf)
|
|
backtesting._store_backtest_result("test_.json", results)
|
|
assert len(results) == 4
|
|
# One trade was force-closed at the end
|
|
assert len(results.loc[results.open_at_end]) == 1
|
|
|
|
|
|
def test_backtest_record(default_conf, fee, mocker):
|
|
names = []
|
|
records = []
|
|
patch_exchange(mocker)
|
|
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
|
|
mocker.patch(
|
|
'freqtrade.optimize.backtesting.file_dump_json',
|
|
new=lambda n, r: (names.append(n), records.append(r))
|
|
)
|
|
|
|
backtesting = Backtesting(default_conf)
|
|
results = pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
|
|
"UNITTEST/BTC", "UNITTEST/BTC"],
|
|
"profit_percent": [0.003312, 0.010801, 0.013803, 0.002780],
|
|
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
|
|
"open_time": [Arrow(2017, 11, 14, 19, 32, 00).datetime,
|
|
Arrow(2017, 11, 14, 21, 36, 00).datetime,
|
|
Arrow(2017, 11, 14, 22, 12, 00).datetime,
|
|
Arrow(2017, 11, 14, 22, 44, 00).datetime],
|
|
"close_time": [Arrow(2017, 11, 14, 21, 35, 00).datetime,
|
|
Arrow(2017, 11, 14, 22, 10, 00).datetime,
|
|
Arrow(2017, 11, 14, 22, 43, 00).datetime,
|
|
Arrow(2017, 11, 14, 22, 58, 00).datetime],
|
|
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
|
|
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
|
|
"open_index": [1, 119, 153, 185],
|
|
"close_index": [118, 151, 184, 199],
|
|
"trade_duration": [123, 34, 31, 14],
|
|
"open_at_end": [False, False, False, True],
|
|
"sell_reason": [SellType.ROI, SellType.STOP_LOSS,
|
|
SellType.ROI, SellType.FORCE_SELL]
|
|
})
|
|
backtesting._store_backtest_result("backtest-result.json", results)
|
|
assert len(results) == 4
|
|
# Assert file_dump_json was only called once
|
|
assert names == ['backtest-result.json']
|
|
records = records[0]
|
|
# Ensure records are of correct type
|
|
assert len(records) == 4
|
|
# ('UNITTEST/BTC', 0.00331158, '1510684320', '1510691700', 0, 117)
|
|
# Below follows just a typecheck of the schema/type of trade-records
|
|
oix = None
|
|
for (pair, profit, date_buy, date_sell, buy_index, dur,
|
|
openr, closer, open_at_end, sell_reason) in records:
|
|
assert pair == 'UNITTEST/BTC'
|
|
assert isinstance(profit, float)
|
|
# FIX: buy/sell should be converted to ints
|
|
assert isinstance(date_buy, float)
|
|
assert isinstance(date_sell, float)
|
|
assert isinstance(openr, float)
|
|
assert isinstance(closer, float)
|
|
assert isinstance(open_at_end, bool)
|
|
assert isinstance(sell_reason, str)
|
|
isinstance(buy_index, pd._libs.tslib.Timestamp)
|
|
if oix:
|
|
assert buy_index > oix
|
|
oix = buy_index
|
|
assert dur > 0
|
|
|
|
|
|
def test_backtest_start_live(default_conf, mocker, caplog):
|
|
default_conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
|
|
mocker.patch('freqtrade.exchange.Exchange.get_ticker_history',
|
|
new=lambda s, n, i: _load_pair_as_ticks(n, i))
|
|
patch_exchange(mocker)
|
|
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
|
|
mocker.patch('freqtrade.optimize.backtesting.Backtesting._generate_text_table', MagicMock())
|
|
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
|
|
read_data=json.dumps(default_conf)
|
|
))
|
|
|
|
args = MagicMock()
|
|
args.ticker_interval = 1
|
|
args.level = 10
|
|
args.live = True
|
|
args.datadir = None
|
|
args.export = None
|
|
args.strategy = 'DefaultStrategy'
|
|
args.timerange = '-100' # needed due to MagicMock malleability
|
|
|
|
args = [
|
|
'--config', 'config.json',
|
|
'--strategy', 'DefaultStrategy',
|
|
'--datadir', 'freqtrade/tests/testdata',
|
|
'backtesting',
|
|
'--ticker-interval', '1m',
|
|
'--live',
|
|
'--timerange', '-100',
|
|
'--enable-position-stacking',
|
|
'--disable-max-market-positions'
|
|
]
|
|
args = get_args(args)
|
|
start(args)
|
|
# check the logs, that will contain the backtest result
|
|
exists = [
|
|
'Parameter -i/--ticker-interval detected ...',
|
|
'Using ticker_interval: 1m ...',
|
|
'Parameter -l/--live detected ...',
|
|
'Ignoring max_open_trades (--disable-max-market-positions was used) ...',
|
|
'Parameter --timerange detected: -100 ...',
|
|
'Using data folder: freqtrade/tests/testdata ...',
|
|
'Using stake_currency: BTC ...',
|
|
'Using stake_amount: 0.001 ...',
|
|
'Downloading data for all pairs in whitelist ...',
|
|
'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
|
|
'Parameter --enable-position-stacking detected ...'
|
|
]
|
|
|
|
for line in exists:
|
|
assert log_has(line, caplog.record_tuples)
|