def test_convert_trades_format(mocker, default_conf, testdatadir):
files = [{'old': testdatadir / "XRP_ETH-trades.json.gz",
'new': testdatadir / "XRP_ETH-trades.json"},
{'old': testdatadir / "XRP_OLD-trades.json.gz",
'new': testdatadir / "XRP_OLD-trades.json"},
]
for file in files:
_backup_file(file['old'], copy_file=True)
assert not file['new'].exists()
default_conf['datadir'] = testdatadir
convert_trades_format(default_conf, convert_from='jsongz',
convert_to='json', erase=False)
for file in files:
assert file['new'].exists()
assert file['old'].exists()
# Remove original file
file['old'].unlink()
# Convert back
convert_trades_format(default_conf, convert_from='json',
convert_to='jsongz', erase=True)
for file in files:
assert file['old'].exists()
assert not file['new'].exists()
_clean_test_file(file['old'])
if file['new'].exists():
file['new'].unlink()
def test_convert_trades_format(mocker, default_conf, testdatadir):
file = testdatadir / "XRP_ETH-trades.json.gz"
file_new = testdatadir / "XRP_ETH-trades.json"
_backup_file(file, copy_file=True)
default_conf['datadir'] = testdatadir
assert not file_new.exists()
convert_trades_format(default_conf,
convert_from='jsongz',
convert_to='json',
erase=False)
assert file_new.exists()
assert file.exists()
# Remove original file
file.unlink()
# Convert back
convert_trades_format(default_conf,
convert_from='json',
convert_to='jsongz',
erase=True)
assert file.exists()
assert not file_new.exists()
_clean_test_file(file)
if file_new.exists():
file_new.unlink()
def test_write_read_backtest_candles(tmpdir):
candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}
# test directory exporting
stored_file = store_backtest_signal_candles(Path(tmpdir), candle_dict)
scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp)
scp.close()
assert pickled_signal_candles.keys() == candle_dict.keys()
assert pickled_signal_candles['DefStrat'].keys(
) == pickled_signal_candles['DefStrat'].keys()
assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
.equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
_clean_test_file(stored_file)
# test file exporting
filename = Path(tmpdir / 'testresult')
stored_file = store_backtest_signal_candles(filename, candle_dict)
scp = open(stored_file, "rb")
pickled_signal_candles = joblib.load(scp)
scp.close()
assert pickled_signal_candles.keys() == candle_dict.keys()
assert pickled_signal_candles['DefStrat'].keys(
) == pickled_signal_candles['DefStrat'].keys()
assert pickled_signal_candles['DefStrat']['UNITTEST/BTC'] \
.equals(pickled_signal_candles['DefStrat']['UNITTEST/BTC'])
_clean_test_file(stored_file)
def test_convert_ohlcv_format(mocker, default_conf, testdatadir):
file1 = testdatadir / "XRP_ETH-5m.json"
file1_new = testdatadir / "XRP_ETH-5m.json.gz"
file2 = testdatadir / "XRP_ETH-1m.json"
file2_new = testdatadir / "XRP_ETH-1m.json.gz"
_backup_file(file1, copy_file=True)
_backup_file(file2, copy_file=True)
default_conf['datadir'] = testdatadir
default_conf['pairs'] = ['XRP_ETH']
default_conf['timeframes'] = ['1m', '5m']
assert not file1_new.exists()
assert not file2_new.exists()
convert_ohlcv_format(default_conf,
convert_from='json',
convert_to='jsongz',
erase=False)
assert file1_new.exists()
assert file2_new.exists()
assert file1.exists()
assert file2.exists()
# Remove original files
file1.unlink()
file2.unlink()
# Convert back
convert_ohlcv_format(default_conf,
convert_from='jsongz',
convert_to='json',
erase=True)
assert file1.exists()
assert file2.exists()
assert not file1_new.exists()
assert not file2_new.exists()
_clean_test_file(file1)
_clean_test_file(file2)
if file1_new.exists():
file1_new.unlink()
if file2_new.exists():
file2_new.unlink()
def test_convert_trades_format(default_conf, testdatadir, tmpdir):
tmpdir1 = Path(tmpdir)
files = [
{
'old': tmpdir1 / "XRP_ETH-trades.json.gz",
'new': tmpdir1 / "XRP_ETH-trades.json"
},
{
'old': tmpdir1 / "XRP_OLD-trades.json.gz",
'new': tmpdir1 / "XRP_OLD-trades.json"
},
]
for file in files:
copyfile(testdatadir / file['old'].name, file['old'])
assert not file['new'].exists()
default_conf['datadir'] = tmpdir1
convert_trades_format(default_conf,
convert_from='jsongz',
convert_to='json',
erase=False)
for file in files:
assert file['new'].exists()
assert file['old'].exists()
# Remove original file
file['old'].unlink()
# Convert back
convert_trades_format(default_conf,
convert_from='json',
convert_to='jsongz',
erase=True)
for file in files:
assert file['old'].exists()
assert not file['new'].exists()
_clean_test_file(file['old'])
if file['new'].exists():
file['new'].unlink()
def test_generate_backtest_stats(default_conf, testdatadir):
default_conf.update({'strategy': 'DefaultStrategy'})
StrategyResolver.load_strategy(default_conf)
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
default_conf,
'locks': [],
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
btdata = history.load_data(testdatadir,
'1m', ['UNITTEST/BTC'],
timerange=timerange,
fill_up_missing=True)
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['backtest_start'] == min_date.datetime
assert strat_stats['backtest_end'] == max_date.datetime
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, -0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, -0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
"trade_duration": [123, 34, 31, 14],
"open_at_end": [False, False, False, True],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
default_conf
}
}
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['drawdown_start'] == datetime(1970,
1,
1,
tzinfo=timezone.utc)
assert strat_stats['drawdown_end'] == datetime(1970,
1,
1,
tzinfo=timezone.utc)
assert strat_stats['drawdown_end_ts'] == 0
assert strat_stats['drawdown_start_ts'] == 0
assert strat_stats['pairlist'] == ['UNITTEST/BTC']
# Test storing stats
filename = Path(testdatadir / 'btresult.json')
filename_last = Path(testdatadir / LAST_BT_RESULT_FN)
_backup_file(filename_last, copy_file=True)
assert not filename.is_file()
store_backtest_stats(filename, stats)
# get real Filename (it's btresult-<date>.json)
last_fn = get_latest_backtest_filename(filename_last.parent)
assert re.match(r"btresult-.*\.json", last_fn)
filename1 = (testdatadir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown' in content
assert 'strategy' in content
assert 'pairlist' in content
assert filename_last.is_file()
_clean_test_file(filename_last)
filename1.unlink()
def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
default_conf.update({'strategy': CURRENT_TEST_STRATEGY})
StrategyResolver.load_strategy(default_conf)
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [
ExitType.ROI, ExitType.STOP_LOSS, ExitType.ROI,
ExitType.FORCE_EXIT
]
}),
'config':
default_conf,
'locks': [],
'final_balance':
1000.02,
'rejected_signals':
20,
'timedout_entry_orders':
0,
'timedout_exit_orders':
0,
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
'run_id':
'123',
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
btdata = history.load_data(testdatadir,
'1m', ['UNITTEST/BTC'],
timerange=timerange,
fill_up_missing=True)
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['backtest_start'] == min_date.strftime(
DATETIME_PRINT_FORMAT)
assert strat_stats['backtest_end'] == max_date.strftime(
DATETIME_PRINT_FORMAT)
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown_account'] == 0.0
# Retry with losing trade
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, -0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, -0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [
ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS,
ExitType.FORCE_EXIT
]
}),
'config':
default_conf,
'locks': [],
'final_balance':
1000.02,
'rejected_signals':
20,
'timedout_entry_orders':
0,
'timedout_exit_orders':
0,
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
'run_id':
'124',
}
}
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert pytest.approx(strat_stats['max_drawdown_account']) == 1.399999e-08
assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
assert strat_stats['drawdown_end_ts'] == 1510699380000
assert strat_stats['drawdown_start_ts'] == 1510697400000
assert strat_stats['pairlist'] == ['UNITTEST/BTC']
# Test storing stats
filename = Path(tmpdir / 'btresult.json')
filename_last = Path(tmpdir / LAST_BT_RESULT_FN)
_backup_file(filename_last, copy_file=True)
assert not filename.is_file()
store_backtest_stats(filename, stats)
# get real Filename (it's btresult-<date>.json)
last_fn = get_latest_backtest_filename(filename_last.parent)
assert re.match(r"btresult-.*\.json", last_fn)
filename1 = Path(tmpdir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown_account' in content
assert 'strategy' in content
assert 'pairlist' in content
assert filename_last.is_file()
_clean_test_file(filename_last)
filename1.unlink()
