mirror of
https://github.com/freqtrade/freqtrade.git
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259 lines
8.4 KiB
Python
259 lines
8.4 KiB
Python
import logging
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from unittest.mock import MagicMock, PropertyMock
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import pandas as pd
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import pytest
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from freqtrade.commands.analyze_commands import start_analysis_entries_exits
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from freqtrade.commands.optimize_commands import start_backtesting
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from freqtrade.enums import ExitType
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from freqtrade.optimize.backtesting import Backtesting
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from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
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@pytest.fixture(autouse=True)
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def entryexitanalysis_cleanup() -> None:
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yield None
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Backtesting.cleanup()
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def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
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default_conf, mocker, caplog, testdatadir, user_dir, capsys
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):
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caplog.set_level(logging.INFO)
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(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
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default_conf.update(
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{
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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}
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)
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patch_exchange(mocker)
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result1 = pd.DataFrame(
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{
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"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
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"profit_ratio": [0.025, 0.05, -0.1, -0.05],
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"profit_abs": [0.5, 2.0, -4.0, -2.0],
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"open_date": pd.to_datetime(
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[
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"2018-01-29 18:40:00",
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"2018-01-30 03:30:00",
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"2018-01-30 08:10:00",
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"2018-01-31 13:30:00",
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],
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utc=True,
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),
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"close_date": pd.to_datetime(
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[
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"2018-01-29 20:45:00",
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"2018-01-30 05:35:00",
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"2018-01-30 09:10:00",
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"2018-01-31 15:00:00",
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],
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utc=True,
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),
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"trade_duration": [235, 40, 60, 90],
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"is_open": [False, False, False, False],
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"stake_amount": [0.01, 0.01, 0.01, 0.01],
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"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
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"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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"enter_tag": [
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"enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b",
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],
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"exit_reason": [
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ExitType.ROI.value,
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ExitType.EXIT_SIGNAL.value,
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ExitType.STOP_LOSS.value,
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ExitType.TRAILING_STOP_LOSS.value,
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],
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}
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)
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backtestmock = MagicMock(
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side_effect=[
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{
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"results": result1,
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"config": default_conf,
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"locks": [],
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"rejected_signals": 20,
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"timedout_entry_orders": 0,
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"timedout_exit_orders": 0,
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"canceled_trade_entries": 0,
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"canceled_entry_orders": 0,
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"replaced_entry_orders": 0,
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"final_balance": 1000,
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}
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]
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)
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mocker.patch(
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"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
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PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
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)
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mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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"backtesting",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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"--timeframe",
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"5m",
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"--timerange",
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"1515560100-1517287800",
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"--export",
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"signals",
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"--cache",
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"none",
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert "BACKTESTING REPORT" in captured.out
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assert "EXIT REASON STATS" in captured.out
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assert "LEFT OPEN TRADES REPORT" in captured.out
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base_args = [
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"backtesting-analysis",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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]
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# test group 0 and indicator list
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args = get_args(
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base_args + ["--analysis-groups", "0", "--indicator-list", "close", "rsi", "profit_abs"]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "LTC/BTC" in captured.out
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assert "ETH/BTC" in captured.out
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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assert "0.5" in captured.out
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assert "-4" in captured.out
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assert "-2" in captured.out
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assert "-3.5" in captured.out
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assert "50" in captured.out
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assert "0" in captured.out
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assert "0.016" in captured.out
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assert "34.049" in captured.out
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assert "0.104" in captured.out
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assert "52.829" in captured.out
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# assert indicator list
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assert "close (entry)" in captured.out
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assert "0.016" in captured.out
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assert "rsi (entry)" in captured.out
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assert "54.320" in captured.out
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assert "close (exit)" in captured.out
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assert "rsi (exit)" in captured.out
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assert "52.829" in captured.out
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assert "profit_abs" in captured.out
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# test group 1
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args = get_args(base_args + ["--analysis-groups", "1"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "total_profit_pct" in captured.out
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assert "-3.5" in captured.out
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assert "-1.75" in captured.out
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assert "-7.5" in captured.out
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assert "-3.75" in captured.out
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assert "0" in captured.out
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# test group 2
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args = get_args(base_args + ["--analysis-groups", "2"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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assert "total_profit_pct" in captured.out
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assert "-10" in captured.out
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assert "-5" in captured.out
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assert "2.5" in captured.out
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# test group 3
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args = get_args(base_args + ["--analysis-groups", "3"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "LTC/BTC" in captured.out
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assert "ETH/BTC" in captured.out
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "total_profit_pct" in captured.out
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assert "-7.5" in captured.out
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assert "-3.75" in captured.out
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assert "-1.75" in captured.out
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assert "0" in captured.out
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assert "2" in captured.out
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# test group 4
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args = get_args(base_args + ["--analysis-groups", "4"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "LTC/BTC" in captured.out
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assert "ETH/BTC" in captured.out
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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assert "total_profit_pct" in captured.out
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assert "-10" in captured.out
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assert "-5" in captured.out
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assert "-4" in captured.out
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assert "0.5" in captured.out
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assert "1" in captured.out
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assert "2.5" in captured.out
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# test group 5
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args = get_args(base_args + ["--analysis-groups", "5"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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# test date filtering
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args = get_args(
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base_args + ["--analysis-groups", "0", "1", "2", "--timerange", "20180129-20180130"]
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)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" not in captured.out
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# Due to the backtest mock, there's no rejected signals generated.
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args = get_args(base_args + ["--rejected-signals"])
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "no rejected signals" in captured.out
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