mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-09-20 09:31:12 +00:00
fix backtesting testsuite
This commit is contained in:
gcarq
parent
bbe3bc4423
commit
9ab4953472
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@ -6,7 +6,6 @@ import random
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from copy import deepcopy
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from typing import List
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from unittest.mock import MagicMock
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import pytest
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import numpy as np
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import pandas as pd
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@ -18,19 +17,6 @@ from freqtrade.arguments import Arguments
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from freqtrade.optimize.backtesting import Backtesting, start, setup_configuration
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from freqtrade.tests.conftest import log_has
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# Avoid to reinit the same object again and again
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_BACKTESTING = None
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_BACKTESTING_INITIALIZED = False
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@pytest.fixture(scope='function')
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def init_backtesting(default_conf, mocker):
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global _BACKTESTING_INITIALIZED, _BACKTESTING
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if not _BACKTESTING_INITIALIZED:
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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_BACKTESTING = Backtesting(default_conf)
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_BACKTESTING_INITIALIZED = True
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def get_args(args) -> List[str]:
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return Arguments(args, '').get_parsed_arg()
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@ -96,8 +82,9 @@ def load_data_test(what):
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return data
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def simple_backtest(config, contour, num_results) -> None:
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backtesting = _BACKTESTING
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def simple_backtest(config, contour, num_results, mocker) -> None:
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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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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@ -128,12 +115,14 @@ def _load_pair_as_ticks(pair, tickfreq):
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# FIX: fixturize this?
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def _make_backtest_conf(conf=None, pair='UNITTEST/BTC', record=None):
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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, -200)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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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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'processed': backtesting.tickerdata_to_dataframe(data),
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'max_open_trades': 10,
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'realistic': True,
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'record': record
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@ -169,21 +158,6 @@ def _trend_alternate(dataframe=None):
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return dataframe
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def _run_backtest_1(fun, backtest_conf):
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# strategy is a global (hidden as a singleton), so we
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# emulate strategy being pure, by override/restore here
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# if we dont do this, the override in strategy will carry over
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# to other tests
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old_buy = _BACKTESTING.populate_buy_trend
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old_sell = _BACKTESTING.populate_sell_trend
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_BACKTESTING.populate_buy_trend = fun # Override
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_BACKTESTING.populate_sell_trend = fun # Override
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results = _BACKTESTING.backtest(backtest_conf)
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_BACKTESTING.populate_buy_trend = old_buy # restore override
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_BACKTESTING.populate_sell_trend = old_sell # restore override
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return results
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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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"""
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@ -287,12 +261,13 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
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)
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def test_start(mocker, init_backtesting, fee, default_conf, caplog) -> None:
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def test_start(mocker, fee, default_conf, caplog) -> None:
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"""
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Test start() function
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"""
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start_mock = MagicMock()
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mocker.patch('freqtrade.exchange.get_fee', fee)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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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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@ -342,16 +317,16 @@ def test_backtesting_init(mocker, default_conf) -> None:
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assert callable(backtesting.populate_sell_trend)
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def test_tickerdata_to_dataframe(init_backtesting, default_conf) -> None:
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def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
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"""
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Test Backtesting.tickerdata_to_dataframe() method
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"""
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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timerange = ((None, 'line'), None, -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
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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']) == 100
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@ -361,11 +336,12 @@ def test_tickerdata_to_dataframe(init_backtesting, default_conf) -> None:
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assert data['UNITTEST/BTC'].equals(data2['UNITTEST/BTC'])
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def test_get_timeframe(init_backtesting) -> None:
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def test_get_timeframe(default_conf, mocker) -> None:
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"""
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Test Backtesting.get_timeframe() method
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"""
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backtesting = _BACKTESTING
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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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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@ -379,11 +355,12 @@ def test_get_timeframe(init_backtesting) -> None:
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assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
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def test_generate_text_table(init_backtesting):
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def test_generate_text_table(default_conf, mocker):
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"""
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Test Backtesting.generate_text_table() method
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"""
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backtesting = _BACKTESTING
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtesting = Backtesting(default_conf)
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results = pd.DataFrame(
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{
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@ -451,13 +428,13 @@ def test_backtesting_start(default_conf, mocker, caplog) -> None:
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assert log_has(line, caplog.record_tuples)
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def test_backtest(init_backtesting, default_conf, fee, mocker) -> None:
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def test_backtest(default_conf, fee, mocker) -> None:
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"""
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Test Backtesting.backtest() method
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"""
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mocker.patch('freqtrade.exchange.get_fee', fee)
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backtesting = _BACKTESTING
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtesting = Backtesting(default_conf)
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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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@ -472,13 +449,13 @@ def test_backtest(init_backtesting, default_conf, fee, mocker) -> None:
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assert not results.empty
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def test_backtest_1min_ticker_interval(init_backtesting, default_conf, fee, mocker) -> None:
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def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
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"""
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Test Backtesting.backtest() method with 1 min ticker
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"""
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mocker.patch('freqtrade.exchange.get_fee', fee)
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backtesting = _BACKTESTING
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtesting = Backtesting(default_conf)
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# Run a backtesting for an exiting 5min ticker_interval
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data = optimize.load_data(None, ticker_interval='1m', pairs=['UNITTEST/BTC'])
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@ -494,11 +471,12 @@ def test_backtest_1min_ticker_interval(init_backtesting, default_conf, fee, mock
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assert not results.empty
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def test_processed(init_backtesting) -> None:
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def test_processed(default_conf, mocker) -> None:
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"""
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Test Backtesting.backtest() method with offline data
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"""
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backtesting = _BACKTESTING
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtesting = Backtesting(default_conf)
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dict_of_tickerrows = load_data_test('raise')
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dataframes = backtesting.tickerdata_to_dataframe(dict_of_tickerrows)
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@ -510,69 +488,90 @@ def test_processed(init_backtesting) -> None:
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assert col in cols
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def test_backtest_pricecontours(init_backtesting, default_conf, fee, mocker) -> None:
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def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
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mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
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tests = [['raise', 17], ['lower', 0], ['sine', 17]]
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for [contour, numres] in tests:
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simple_backtest(default_conf, contour, numres)
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simple_backtest(default_conf, contour, numres, mocker)
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# Test backtest using offline data (testdata directory)
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def test_backtest_ticks(init_backtesting, default_conf, fee, mocker):
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def test_backtest_ticks(default_conf, fee, mocker):
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mocker.patch('freqtrade.exchange.get_fee', fee)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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ticks = [1, 5]
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fun = _BACKTESTING.populate_buy_trend
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fun = Backtesting(default_conf).populate_buy_trend
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for _ in ticks:
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backtest_conf = _make_backtest_conf(conf=default_conf)
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results = _run_backtest_1(fun, backtest_conf)
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
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backtesting = Backtesting(default_conf)
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backtesting.populate_buy_trend = fun # Override
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backtesting.populate_sell_trend = fun # Override
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results = backtesting.backtest(backtest_conf)
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assert not results.empty
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def test_backtest_clash_buy_sell(init_backtesting, default_conf):
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def test_backtest_clash_buy_sell(mocker, default_conf):
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# Override the default buy trend function in our default_strategy
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def fun(dataframe=None):
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buy_value = 1
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sell_value = 1
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return _trend(dataframe, buy_value, sell_value)
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backtest_conf = _make_backtest_conf(conf=default_conf)
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results = _run_backtest_1(fun, backtest_conf)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
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backtesting = Backtesting(default_conf)
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backtesting.populate_buy_trend = fun # Override
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backtesting.populate_sell_trend = fun # Override
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results = backtesting.backtest(backtest_conf)
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assert results.empty
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def test_backtest_only_sell(init_backtesting, default_conf):
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def test_backtest_only_sell(mocker, default_conf):
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# Override the default buy trend function in our default_strategy
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def fun(dataframe=None):
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buy_value = 0
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sell_value = 1
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return _trend(dataframe, buy_value, sell_value)
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backtest_conf = _make_backtest_conf(conf=default_conf)
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results = _run_backtest_1(fun, backtest_conf)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf)
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backtesting = Backtesting(default_conf)
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backtesting.populate_buy_trend = fun # Override
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backtesting.populate_sell_trend = fun # Override
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results = backtesting.backtest(backtest_conf)
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assert results.empty
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def test_backtest_alternate_buy_sell(init_backtesting, default_conf, fee, mocker):
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def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
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mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
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backtest_conf = _make_backtest_conf(conf=default_conf, pair='UNITTEST/BTC')
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results = _run_backtest_1(_trend_alternate, backtest_conf)
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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backtest_conf = _make_backtest_conf(mocker, conf=default_conf, pair='UNITTEST/BTC')
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backtesting = Backtesting(default_conf)
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backtesting.populate_buy_trend = _trend_alternate # Override
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backtesting.populate_sell_trend = _trend_alternate # Override
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results = backtesting.backtest(backtest_conf)
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assert len(results) == 3
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def test_backtest_record(init_backtesting, default_conf, fee, mocker):
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def test_backtest_record(default_conf, fee, mocker):
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names = []
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records = []
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
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mocker.patch(
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'freqtrade.optimize.backtesting.file_dump_json',
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new=lambda n, r: (names.append(n), records.append(r))
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)
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backtest_conf = _make_backtest_conf(
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mocker,
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conf=default_conf,
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pair='UNITTEST/BTC',
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record="trades"
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)
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results = _run_backtest_1(_trend_alternate, backtest_conf)
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backtesting = Backtesting(default_conf)
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backtesting.populate_buy_trend = _trend_alternate # Override
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backtesting.populate_sell_trend = _trend_alternate # Override
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results = backtesting.backtest(backtest_conf)
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assert len(results) == 3
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# Assert file_dump_json was only called once
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assert names == ['backtest-result.json']
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@ -595,7 +594,7 @@ def test_backtest_record(init_backtesting, default_conf, fee, mocker):
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assert dur > 0
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def test_backtest_start_live(init_backtesting, default_conf, mocker, caplog):
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def test_backtest_start_live(default_conf, mocker, caplog):
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conf = deepcopy(default_conf)
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conf['exchange']['pair_whitelist'] = ['UNITTEST/BTC']
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mocker.patch('freqtrade.exchange.get_ticker_history',
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