stable/freqtrade/tests/optimize/test_backtest_detail.py
2018-10-30 19:36:19 +01:00

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# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
import logging
from unittest.mock import MagicMock
from typing import NamedTuple, List
from pandas import DataFrame
import pytest
import arrow
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.strategy.interface import SellType
from freqtrade.tests.conftest import patch_exchange, log_has
ticker_start_time = arrow.get(2018, 10, 3)
ticker_interval_in_minute = 60
class BTrade(NamedTuple):
"""
Minimalistic Trade result used for functional backtesting
"""
sell_r: SellType
open_tick: int
close_tick: int
class BTContainer(NamedTuple):
"""
Minimal BacktestContainer defining Backtest inputs and results.
"""
data: List[float]
stop_loss: float
roi: float
trades: List[BTrade]
profit_perc: float
def _get_frame_time(offset):
return ticker_start_time.shift(
minutes=(offset * ticker_interval_in_minute)).datetime
def _build_dataframe(ticker_with_signals):
columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell']
frame = DataFrame.from_records(ticker_with_signals, columns=columns)
frame['date'] = frame['date'].apply(_get_frame_time)
# Ensure floats are in place
for column in ['open', 'high', 'low', 'close', 'volume']:
frame[column] = frame[column].astype('float64')
return frame
# Test 0 Minus 8% Close
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc0 = BTContainer(data=[
[0, 10000.0, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9200, 9200, 12345, 0, 0], # exit with stoploss hit
[3, 9950, 10000, 9960, 9955, 12345, 0, 0],
[4, 9955, 9975, 9955, 9990, 12345, 0, 0],
[5, 9990, 9990, 9990, 9900, 12345, 0, 0]],
stop_loss=-0.01, roi=1, profit_perc=-0.01,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 1 Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc1 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9925, 9950, 12345, 0, 0],
[3, 9950, 10000, 9600, 9925, 12345, 0, 0], # exit with stoploss hit
[4, 9925, 9975, 9875, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.03, roi=1, profit_perc=-0.03,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 3 Candle drops 4%, Recovers 1%.
# Entry Criteria Met
# Candle drops 20%
# Candle Data for test 3
# Test with Stop-Loss at 2%
# TC3: Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss
tc2 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10025, 9600, 9950, 12345, 0, 0], # exit with stoploss hit
[3, 9950, 10000, 9900, 9925, 12345, 1, 0],
[4, 9950, 10000, 9900, 9925, 12345, 0, 0], # enter trade 2 (signal on last candle)
[5, 9925, 9975, 8000, 8000, 12345, 0, 0], # exit with stoploss hit
[6, 9900, 9950, 9950, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=1, profit_perc=-0.04,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2),
BTrade(sell_r=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
)
# Test 4 Minus 3% / recovery +15%
# Candle Data for test 3 Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 11500, 9700, 11500, 12345, 0, 0], # Exit with stoploss hit
[3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9875, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.06, profit_perc=-0.02,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 4 / Drops 0.5% Closes +20%
# Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain
tc4 = BTContainer(data=[
[0, 10000, 10050, 9960, 9975, 12345, 1, 0],
[1, 10000, 10050, 9960, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10050, 9950, 9975, 12345, 0, 0],
[3, 9950, 12000, 9950, 12000, 12345, 0, 0], # ROI
[4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.01, roi=0.03, profit_perc=0.03,
trades=[BTrade(sell_r=SellType.ROI, open_tick=1, close_tick=3)]
)
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
# Candle Data for test 6
# Set stop-loss at 2% ROI at 5%
# TC6: Stop-Loss triggers 2% Loss
tc5 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10600, 9700, 10100, 12345, 0, 0], # Exit with stoploss
[3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.05, profit_perc=-0.02,
trades=[BTrade(sell_r=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve
# Candle Data for test 7
# Set stop-loss at 2% ROI at 3%
# TC7: ROI Triggers 3% Gain
tc6 = BTContainer(data=[
[0, 10000, 10050, 9950, 9975, 12345, 1, 0],
[1, 10000, 10050, 9950, 9975, 12345, 0, 0], # enter trade (signal on last candle)
[2, 9975, 10600, 9900, 10100, 12345, 0, 0], # ROI
[3, 9950, 10000, 9900, 9925, 12345, 0, 0],
[4, 9925, 9975, 9945, 9900, 12345, 0, 0],
[5, 9900, 9950, 9850, 9900, 12345, 0, 0]],
stop_loss=-0.02, roi=0.03, profit_perc=0.03,
trades=[BTrade(sell_r=SellType.ROI, open_tick=1, close_tick=2)]
)
TESTS = [
tc0,
tc1,
tc2,
tc3,
tc4,
tc5,
tc6,
]
@pytest.mark.parametrize("data", TESTS)
def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
"""
run functional tests
"""
default_conf["stoploss"] = data.stop_loss
default_conf["minimal_roi"] = {"0": data.roi}
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
# TODO: don't Mock fee to for now
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.0))
patch_exchange(mocker)
frame = _build_dataframe(data.data)
backtesting = Backtesting(default_conf)
backtesting.advise_buy = lambda a, m: frame
backtesting.advise_sell = lambda a, m: frame
caplog.set_level(logging.DEBUG)
pair = 'UNITTEST/BTC'
# Dummy data as we mock the analyze functions
data_processed = {pair: DataFrame()}
results = backtesting.backtest(
{
'stake_amount': default_conf['stake_amount'],
'processed': data_processed,
'max_open_trades': 10,
}
)
print(results.T)
assert len(results) == len(data.trades)
assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3)
# if data.sell_r == SellType.STOP_LOSS:
# assert log_has("Stop loss hit.", caplog.record_tuples)
# else:
# assert not log_has("Stop loss hit.", caplog.record_tuples)
# log_test = (f'Force_selling still open trade UNITTEST/BTC with '
# f'{results.iloc[-1].profit_percent} perc - {results.iloc[-1].profit_abs}')
# if data.sell_r == SellType.FORCE_SELL:
# assert log_has(log_test,
# caplog.record_tuples)
# else:
# assert not log_has(log_test,
# caplog.record_tuples)
for c, trade in enumerate(data.trades):
res = results.iloc[c]
assert res.sell_reason == trade.sell_r
assert res.open_time == _get_frame_time(trade.open_tick)
assert res.close_time == _get_frame_time(trade.close_tick)