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Improve backtesting tests (#256)

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* test bugfix dataframe trimming

* flake8 (as usual)

* tests backtesting cleanup and bugfix

* flake8

* test backtesting::start()

* tests cleanup set() usage

* tests: add missing assert
This commit is contained in:
kryofly 2017-12-30 11:55:23 +01:00 committed by Michael Egger
parent 9f5f0ddaaa
commit f7398e615a
2 changed files with 70 additions and 74 deletions
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131
freqtrade/tests/optimize/test_backtesting.py
View File

@ -2,9 +2,11 @@
import math
import pandas as pd
# from unittest.mock import MagicMock
from freqtrade import exchange, optimize
from freqtrade.exchange import Bittrex
from freqtrade.optimize.backtesting import backtest, generate_text_table, get_timeframe
# import freqtrade.optimize.backtesting as backtesting
def test_generate_text_table():
@ -49,77 +51,53 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
assert not results.empty
def trim_dataframe(df, num):
new = dict()
for pair, pair_data in df.items():
new[pair] = pair_data[-num:] # last 50 rows
def trim_dictlist(dl, num):
new = {}
for pair, pair_data in dl.items():
# Can't figure out why -num wont work
new[pair] = pair_data[num:]
return new
def load_data_test(what):
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
data = trim_dataframe(data, -40)
data = trim_dictlist(data, -100)
pair = data['BTC_UNITEST']
datalen = len(pair)
# Depending on the what parameter we now adjust the
# loaded data:
# loaded data looks:
# pair :: [{'O': 0.123, 'H': 0.123, 'L': 0.123,
# 'C': 0.123, 'V': 123.123,
# 'T': '2017-11-04T23:02:00', 'BV': 0.123}]
base = 0.001
if what == 'raise':
o = 0.001
h = 0.001
ll = 0.001
c = 0.001
ll -= 0.0001
h += 0.0001
for frame in pair:
o += 0.0001
h += 0.0001
ll += 0.0001
c += 0.0001
# save prices rounded to satoshis
frame['O'] = round(o, 9)
frame['H'] = round(h, 9)
frame['L'] = round(ll, 9)
frame['C'] = round(c, 9)
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': x * base, # But replace O,H,L,C
'H': x * base + 0.0001,
'L': x * base - 0.0001,
'C': x * base} for x in range(0, datalen)]}
if what == 'lower':
o = 0.001
h = 0.001
ll = 0.001
c = 0.001
ll -= 0.0001
h += 0.0001
for frame in pair:
o -= 0.0001
h -= 0.0001
ll -= 0.0001
c -= 0.0001
# save prices rounded to satoshis
frame['O'] = round(o, 9)
frame['H'] = round(h, 9)
frame['L'] = round(ll, 9)
frame['C'] = round(c, 9)
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': 1 - x * base, # But replace O,H,L,C
'H': 1 - x * base + 0.0001,
'L': 1 - x * base - 0.0001,
'C': 1 - x * base} for x in range(0, datalen)]}
if what == 'sine':
i = 0
o = (2 + math.sin(i/10)) / 1000
h = o
ll = o
c = o
h += 0.0001
ll -= 0.0001
for frame in pair:
o = (2 + math.sin(i/10)) / 1000
h = (2 + math.sin(i/10)) / 1000 + 0.0001
ll = (2 + math.sin(i/10)) / 1000 - 0.0001
c = (2 + math.sin(i/10)) / 1000 - 0.000001
# save prices rounded to satoshis
frame['O'] = round(o, 9)
frame['H'] = round(h, 9)
frame['L'] = round(ll, 9)
frame['C'] = round(c, 9)
i += 1
hz = 0.1 # frequency
return {'BTC_UNITEST':
[{'T': pair[x]['T'], # Keep old dates
'V': pair[x]['V'], # Keep old volume
'BV': pair[x]['BV'], # keep too
'O': math.sin(x*hz) / 1000 + base, # But replace O,H,L,C
'H': math.sin(x*hz) / 1000 + base + 0.0001,
'L': math.sin(x*hz) / 1000 + base - 0.0001,
'C': math.sin(x*hz) / 1000 + base} for x in range(0, datalen)]}
return data
@ -131,6 +109,7 @@ def simple_backtest(config, contour, num_results):
# results :: <class 'pandas.core.frame.DataFrame'>
assert len(results) == num_results
# Test backtest on offline data
# loaded by freqdata/optimize/__init__.py::load_data()
@ -139,18 +118,42 @@ def test_backtest2(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'], optimize.preprocess(data), 10, True)
num_resutls = len(results)
assert num_resutls > 0
assert not results.empty
def test_processed(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = load_data_test('raise')
assert optimize.preprocess(data)
dict_of_tickerrows = load_data_test('raise')
dataframes = optimize.preprocess(dict_of_tickerrows)
dataframe = dataframes['BTC_UNITEST']
cols = dataframe.columns
# assert the dataframe got some of the indicator columns
for col in ['close', 'high', 'low', 'open', 'date',
'ema50', 'ao', 'macd', 'plus_dm']:
assert col in cols
def test_raise(default_conf, mocker):
def test_backtest_pricecontours(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
tests = [['raise', 359], ['lower', 0], ['sine', 1734]]
tests = [['raise', 17], ['lower', 0], ['sine', 17]]
for [contour, numres] in tests:
simple_backtest(default_conf, contour, numres)
# Please make this work, the load_config needs to be mocked
# and cleanups.
# def test_backtest_start(default_conf, mocker):
# default_conf['exchange']['pair_whitelist'] = ['BTC_UNITEST']
# mocker.patch.dict('freqtrade.main._CONF', default_conf)
# # see https://pypi.python.org/pypi/pytest-mock/
# # and http://www.voidspace.org.uk/python/mock/patch.html
# # No usage example of simple function mocking,
# # and no documentation of side_effect
# mocker.patch('freqtrade.misc.load_config', new=lambda s, t: {})
# args = MagicMock()
# args.level = 10
# #load_config('foo')
# backtesting.start(args)
#
# Check what sideeffect backtstesting has done.
# Probably need to capture standard-output and
# check for the generated report table.

13
freqtrade/tests/test_acl_pair.py
View File

@ -5,13 +5,6 @@ from freqtrade.main import refresh_whitelist
# perhaps try to anticipate that by using some python package
def assert_list_equal(l1, l2):
for pair in l1:
assert pair in l2
for pair in l2:
assert pair in l1
def whitelist_conf():
return {
"stake_currency": "BTC",
@ -53,7 +46,7 @@ def test_refresh_whitelist(mocker):
whitelist = ['BTC_ETH', 'BTC_TKN']
pairslist = conf['exchange']['pair_whitelist']
# Ensure all except those in whitelist are removed
assert_list_equal(whitelist, pairslist)
assert set(whitelist) == set(pairslist)
def test_refresh_whitelist_dynamic(mocker):
@ -65,7 +58,7 @@ def test_refresh_whitelist_dynamic(mocker):
whitelist = ['BTC_ETH', 'BTC_TKN']
refresh_whitelist(whitelist)
pairslist = conf['exchange']['pair_whitelist']
assert_list_equal(whitelist, pairslist)
assert set(whitelist) == set(pairslist)
def test_refresh_whitelist_dynamic_empty(mocker):
@ -78,4 +71,4 @@ def test_refresh_whitelist_dynamic_empty(mocker):
conf['exchange']['pair_whitelist'] = []
refresh_whitelist(whitelist)
pairslist = conf['exchange']['pair_whitelist']
assert_list_equal(whitelist, pairslist)
assert set(whitelist) == set(pairslist)