stable/freqtrade/tests/test_backtesting.py

81 lines
2.8 KiB
Python

# pragma pylint: disable=missing-docstring
import json
import logging
import os
import pytest
import arrow
from pandas import DataFrame
from freqtrade.analyze import analyze_ticker
from freqtrade.main import should_sell
from freqtrade.persistence import Trade
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
def print_results(results):
print('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_results(results[results.currency == pair])
@pytest.fixture
def pairs():
return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc']
@pytest.fixture
def conf():
return {
"minimal_roi": {
"50": 0.0,
"40": 0.01,
"30": 0.02,
"0": 0.045
},
"stoploss": -0.40
}
def backtest(conf, pairs, mocker):
trades = []
mocker.patch.dict('freqtrade.main._CONF', conf)
for pair in pairs:
with open('freqtrade/tests/testdata/'+pair+'.json') as data_file:
data = json.load(data_file)
mocker.patch('freqtrade.analyze.get_ticker_history', return_value=data)
mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
ticker = analyze_ticker(pair)
# for each buy point
for index, row in ticker[ticker.buy == 1].iterrows():
trade = Trade(
open_rate=row['close'],
open_date=arrow.get(row['date']).datetime,
amount=1,
)
# calculate win/lose forwards from buy point
for index2, row2 in ticker[index:].iterrows():
if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime):
current_profit = (row2['close'] - trade.open_rate) / trade.open_rate
trades.append((pair, current_profit, index2 - 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, pairs, mocker, report=True):
results = backtest(conf, pairs, mocker)
print('====================== BACKTESTING REPORT ================================')
[print_pair_results(pair, results) for pair in pairs]
print('TOTAL OVER ALL TRADES:')
print_results(results)