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_on_entry_and_rejected_signals_nomock(
    default_conf, mocker, caplog, testdatadir, user_dir, capsys
):
    caplog.set_level(logging.INFO)
    (user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)

    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.value,
                ExitType.EXIT_SIGNAL.value,
                ExitType.STOP_LOSS.value,
                ExitType.TRAILING_STOP_LOSS.value,
            ],
        }
    )

    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(user_dir),
        "--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(user_dir),
    ]

    # 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 "0.016" in captured.out
    assert "34.049" in captured.out
    assert "0.104" in captured.out
    assert "52.829" 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

    # Due to the backtest mock, there's no rejected signals generated.
    args = get_args(base_args + ["--rejected-signals"])
    start_analysis_entries_exits(args)
    captured = capsys.readouterr()
    assert "no rejected signals" in captured.out


def test_backtest_analysis_on_exit_signals_nomock(
    default_conf, mocker, caplog, testdatadir, user_dir, capsys
):
    caplog.set_level(logging.INFO)
    (user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)

    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(
                [
                    "2018-01-30 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.value,
                ExitType.EXIT_SIGNAL.value,
                ExitType.STOP_LOSS.value,
                ExitType.TRAILING_STOP_LOSS.value,
            ],
        }
    )

    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(user_dir),
        "--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(user_dir),
    ]

    # test group 0 and indicator list
    args = get_args(
        base_args
        + [
            "--analysis-groups",
            "0",
            "--exit-signals",
            "--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 "57.654" in captured.out
    assert "-8" in captured.out
    assert "0" in captured.out
    assert "0.104" in captured.out
    assert "0.016" in captured.out
    assert "52.829" 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