Add test for backtesitng-analysis

freqtrade/data/entryexitanalysis.py

@@ -260,8 +260,11 @@ def print_results(
     csv_path: Path,
     rejected_signals=None,
     to_csv=False,
+    exited_signals=False,
 ):
     if res_df.shape[0] > 0:
+        if exited_signals is True:
+            print("Analysing on exit signals.")
         if analysis_groups:
             _do_group_table_output(res_df, analysis_groups, to_csv=to_csv, csv_path=csv_path)
 
@@ -371,6 +374,7 @@ def process_entry_exit_reasons(config: Config):
                     rejected_signals=rej_df,
                     to_csv=to_csv,
                     csv_path=csv_path,
+                    exited_signals=do_exited,
                 )
 
     except ValueError as e:

tests/data/test_entryexitanalysis.py

@@ -140,6 +140,7 @@ def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, use
     )
     start_analysis_entries_exits(args)
     captured = capsys.readouterr()
+    assert "Analysing on exit signals." not in captured.out
     assert "LTC/BTC" in captured.out
     assert "ETH/BTC" in captured.out
     assert "enter_tag_long_a" in captured.out
@@ -245,3 +246,237 @@ def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, use
     start_analysis_entries_exits(args)
     captured = capsys.readouterr()
     assert "no rejected signals" in captured.out
+
+
+def test_backtest_analysis_on_exit_signals_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",
+            "--exit-signals",
+            "--indicator-list",
+            "close",
+            "rsi",
+            "profit_abs",
+        ]
+    )
+    start_analysis_entries_exits(args)
+    captured = capsys.readouterr()
+    assert "Analysing on exit signals." in captured.out
+    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 "nan" in captured.out
+    assert "57.654" in captured.out
+    assert "0" in captured.out
+    assert "0.104" in captured.out
+    assert "0.016" 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