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, 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