mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-16 05:03:55 +00:00
218 lines
8.3 KiB
Python
218 lines
8.3 KiB
Python
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,
|
|
ExitType.EXIT_SIGNAL,
|
|
ExitType.STOP_LOSS,
|
|
ExitType.TRAILING_STOP_LOSS]
|
|
})
|
|
|
|
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 '0.01616' in captured.out
|
|
assert '34.049' in captured.out
|
|
assert '0.104411' in captured.out
|
|
assert '52.8292' 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
|