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More tests to dt_helpers

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Matthias
2023-05-14 11:28:40 +02:00
parent 29fdcdbf56
commit c0713eb77f
4 changed files with 21 additions and 20 deletions
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33
tests/data/test_btanalysis.py
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@@ -1,3 +1,4 @@
from datetime import datetime, timedelta, timezone
from pathlib import Path
from unittest.mock import MagicMock
@@ -162,25 +163,25 @@ def test_extract_trades_of_period(testdatadir):
{'pair': [pair, pair, pair, pair],
'profit_ratio': [0.0, 0.1, -0.2, -0.5],
'profit_abs': [0.0, 1, -2, -5],
'open_date': to_datetime([Arrow(2017, 11, 13, 15, 40, 0).datetime,
Arrow(2017, 11, 14, 9, 41, 0).datetime,
Arrow(2017, 11, 14, 14, 20, 0).datetime,
Arrow(2017, 11, 15, 3, 40, 0).datetime,
'open_date': to_datetime([datetime(2017, 11, 13, 15, 40, 0, tzinfo=timezone.utc),
datetime(2017, 11, 14, 9, 41, 0, tzinfo=timezone.utc),
datetime(2017, 11, 14, 14, 20, 0, tzinfo=timezone.utc),
datetime(2017, 11, 15, 3, 40, 0, tzinfo=timezone.utc),
], utc=True
),
'close_date': to_datetime([Arrow(2017, 11, 13, 16, 40, 0).datetime,
Arrow(2017, 11, 14, 10, 41, 0).datetime,
Arrow(2017, 11, 14, 15, 25, 0).datetime,
Arrow(2017, 11, 15, 3, 55, 0).datetime,
'close_date': to_datetime([datetime(2017, 11, 13, 16, 40, 0, tzinfo=timezone.utc),
datetime(2017, 11, 14, 10, 41, 0, tzinfo=timezone.utc),
datetime(2017, 11, 14, 15, 25, 0, tzinfo=timezone.utc),
datetime(2017, 11, 15, 3, 55, 0, tzinfo=timezone.utc),
], utc=True)
})
trades1 = extract_trades_of_period(data, trades)
# First and last trade are dropped as they are out of range
assert len(trades1) == 2
assert trades1.iloc[0].open_date == Arrow(2017, 11, 14, 9, 41, 0).datetime
assert trades1.iloc[0].close_date == Arrow(2017, 11, 14, 10, 41, 0).datetime
assert trades1.iloc[-1].open_date == Arrow(2017, 11, 14, 14, 20, 0).datetime
assert trades1.iloc[-1].close_date == Arrow(2017, 11, 14, 15, 25, 0).datetime
assert trades1.iloc[0].open_date == datetime(2017, 11, 14, 9, 41, 0, tzinfo=timezone.utc)
assert trades1.iloc[0].close_date == datetime(2017, 11, 14, 10, 41, 0, tzinfo=timezone.utc)
assert trades1.iloc[-1].open_date == datetime(2017, 11, 14, 14, 20, 0, tzinfo=timezone.utc)
assert trades1.iloc[-1].close_date == datetime(2017, 11, 14, 15, 25, 0, tzinfo=timezone.utc)
def test_analyze_trade_parallelism(testdatadir):
@@ -454,8 +455,8 @@ def test_calculate_max_drawdown_abs(profits, relative, highd, lowd, result, resu
[1000, 500, 1000, 11000, 10000] # absolute results
[1000, 50%, 0%, 0%, ~9%] # Relative drawdowns
"""
init_date = Arrow(2020, 1, 1)
dates = [init_date.shift(days=i) for i in range(len(profits))]
init_date = datetime(2020, 1, 1, tzinfo=timezone.utc)
dates = [init_date + timedelta(days=i) for i in range(len(profits))]
df = DataFrame(zip(profits, dates), columns=['profit_abs', 'open_date'])
# sort by profit and reset index
df = df.sort_values('profit_abs').reset_index(drop=True)
@@ -467,8 +468,8 @@ def test_calculate_max_drawdown_abs(profits, relative, highd, lowd, result, resu
assert isinstance(drawdown, float)
assert isinstance(drawdown_rel, float)
assert hdate == init_date.shift(days=highd)
assert ldate == init_date.shift(days=lowd)
assert hdate == init_date + timedelta(days=highd)
assert ldate == init_date + timedelta(days=lowd)
# High must be before low
assert hdate < ldate