freqtrade_origin/tests/data/test_entryexitanalysis.py

import logging
from unittest.mock import MagicMock, PropertyMock

import pandas as pd
import pytest

from freqtrade.commands.analyze_commands import start_analysis_entries_exits
from freqtrade.commands.optimize_commands import start_backtesting
from freqtrade.enums import ExitType
from freqtrade.optimize.backtesting import Backtesting
from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file


@pytest.fixture(autouse=True)
def entryexitanalysis_cleanup() -> None:
    yield None

    Backtesting.cleanup()


def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, tmpdir, capsys):
    caplog.set_level(logging.INFO)

    default_conf.update({
        "use_exit_signal": True,
        "exit_profit_only": False,
        "exit_profit_offset": 0.0,
        "ignore_roi_if_entry_signal": False,
    })
    patch_exchange(mocker)
    result1 = pd.DataFrame({'pair': ['ETH/BTC', 'LTC/BTC', 'ETH/BTC', 'LTC/BTC'],
                            'profit_ratio': [0.025, 0.05, -0.1, -0.05],
                            'profit_abs': [0.5, 2.0, -4.0, -2.0],
                            'open_date': pd.to_datetime(['2018-01-29 18:40:00',
                                                         '2018-01-30 03:30:00',
                                                         '2018-01-30 08:10:00',
                                                         '2018-01-31 13:30:00', ], utc=True
                                                        ),
                            'close_date': pd.to_datetime(['2018-01-29 20:45:00',
                                                          '2018-01-30 05:35:00',
                                                          '2018-01-30 09:10:00',
                                                          '2018-01-31 15:00:00', ], utc=True),
                            'trade_duration': [235, 40, 60, 90],
                            'is_open': [False, False, False, False],
                            'stake_amount': [0.01, 0.01, 0.01, 0.01],
                            'open_rate': [0.104445, 0.10302485, 0.10302485, 0.10302485],
                            'close_rate': [0.104969, 0.103541, 0.102041, 0.102541],
                            "is_short": [False, False, False, False],
                            'enter_tag': ["enter_tag_long_a",
                                          "enter_tag_long_b",
                                          "enter_tag_long_a",
                                          "enter_tag_long_b"],
                            'exit_reason': [ExitType.ROI,
                                            ExitType.EXIT_SIGNAL,
                                            ExitType.STOP_LOSS,
                                            ExitType.TRAILING_STOP_LOSS]
                            })

    backtestmock = MagicMock(side_effect=[
        {
            'results': result1,
            'config': default_conf,
            'locks': [],
            'rejected_signals': 20,
            'timedout_entry_orders': 0,
            'timedout_exit_orders': 0,
            'canceled_trade_entries': 0,
            'canceled_entry_orders': 0,
            'replaced_entry_orders': 0,
            'final_balance': 1000,
        }
    ])
    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
                 PropertyMock(return_value=['ETH/BTC', 'LTC/BTC', 'DASH/BTC']))
    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)

    patched_configuration_load_config_file(mocker, default_conf)

    args = [
        'backtesting',
        '--config', 'config.json',
        '--datadir', str(testdatadir),
        '--user-data-dir', str(tmpdir),
        '--timeframe', '5m',
        '--timerange', '1515560100-1517287800',
        '--export', 'signals',
        '--cache', 'none',
    ]
    args = get_args(args)
    start_backtesting(args)

    captured = capsys.readouterr()
    assert 'BACKTESTING REPORT' in captured.out
    assert 'EXIT REASON STATS' in captured.out
    assert 'LEFT OPEN TRADES REPORT' in captured.out

    base_args = [
        'backtesting-analysis',
        '--config', 'config.json',
        '--datadir', str(testdatadir),
        '--user-data-dir', str(tmpdir),
    ]

    # test group 0 and indicator list
    args = get_args(base_args +
                    ['--analysis-groups', "0",
                     '--indicator-list', "close", "rsi", "profit_abs"]
                    )
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'LTC/BTC' in captured.out
    assert 'ETH/BTC' in captured.out
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' in captured.out
    assert 'exit_signal' in captured.out
    assert 'roi' in captured.out
    assert 'stop_loss' in captured.out
    assert 'trailing_stop_loss' in captured.out
    assert '0.5' in captured.out
    assert '-4' in captured.out
    assert '-2' in captured.out
    assert '-3.5' in captured.out
    assert '50' in captured.out
    assert '0' in captured.out
    assert '0.01616' in captured.out
    assert '34.049' in captured.out
    assert '0.104411' in captured.out
    assert '52.8292' in captured.out

    # test group 1
    args = get_args(base_args + ['--analysis-groups', "1"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' in captured.out
    assert 'total_profit_pct' in captured.out
    assert '-3.5' in captured.out
    assert '-1.75' in captured.out
    assert '-7.5' in captured.out
    assert '-3.75' in captured.out
    assert '0' in captured.out

    # test group 2
    args = get_args(base_args + ['--analysis-groups', "2"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' in captured.out
    assert 'exit_signal' in captured.out
    assert 'roi' in captured.out
    assert 'stop_loss' in captured.out
    assert 'trailing_stop_loss' in captured.out
    assert 'total_profit_pct' in captured.out
    assert '-10' in captured.out
    assert '-5' in captured.out
    assert '2.5' in captured.out

    # test group 3
    args = get_args(base_args + ['--analysis-groups', "3"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'LTC/BTC' in captured.out
    assert 'ETH/BTC' in captured.out
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' in captured.out
    assert 'total_profit_pct' in captured.out
    assert '-7.5' in captured.out
    assert '-3.75' in captured.out
    assert '-1.75' in captured.out
    assert '0' in captured.out
    assert '2' in captured.out

    # test group 4
    args = get_args(base_args + ['--analysis-groups', "4"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'LTC/BTC' in captured.out
    assert 'ETH/BTC' in captured.out
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' in captured.out
    assert 'exit_signal' in captured.out
    assert 'roi' in captured.out
    assert 'stop_loss' in captured.out
    assert 'trailing_stop_loss' in captured.out
    assert 'total_profit_pct' in captured.out
    assert '-10' in captured.out
    assert '-5' in captured.out
    assert '-4' in captured.out
    assert '0.5' in captured.out
    assert '1' in captured.out
    assert '2.5' in captured.out

    # test group 5
    args = get_args(base_args + ['--analysis-groups', "5"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'exit_signal' in captured.out
    assert 'roi' in captured.out
    assert 'stop_loss' in captured.out
    assert 'trailing_stop_loss' in captured.out

    # test date filtering
    args = get_args(base_args +
                    ['--analysis-groups', "0", "1", "2",
                     '--timerange', "20180129-20180130"]
                    )
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert 'enter_tag_long_a' in captured.out
    assert 'enter_tag_long_b' not in captured.out

    # test rejected - how to mock this?
    # args = get_args(base_args + ['--rejected-signals'])
    # start_analysis_entries_exits(args)
    # captured = capsys.readouterr()
    # assert 'Rejected Signals:' in captured.out
    # assert False