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Fix backtest summary tests
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2 files changed

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‎tests/domain/models/backtesting/test_backtest_summary_metrics.py‎

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@@ -54,128 +54,3 @@ def test_open(self):
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loaded_metrics = BacktestSummaryMetrics.open(file_path)
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self.assertEqual(backtest_metrics.to_dict(), loaded_metrics.to_dict())
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def test_add(self):
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metrics = BacktestMetrics(
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backtest_start_date=datetime(2020, 1, 1),
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backtest_end_date=datetime(2020, 12, 31),
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equity_curve=[
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(0.0, datetime(2020, 1, 1)),
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(1.0, datetime(2020, 12, 31)),
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(0.5, datetime(2020, 6, 30)),
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(0.2, datetime(2020, 3, 31))
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],
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total_growth=0.0,
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total_growth_percentage=0.0,
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total_net_gain=100,
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total_net_gain_percentage=0.0,
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final_value=0.0,
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cagr=0.0,
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sharpe_ratio=0.0,
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rolling_sharpe_ratio=[
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(0.0, datetime(2020, 1, 1)),
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(1.0, datetime(2020, 12, 31)),
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(0.5, datetime(2020, 6, 30)),
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(0.2, datetime(2020, 3, 31))
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],
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sortino_ratio=0.0,
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calmar_ratio=0.0,
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profit_factor=0.0,
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gross_profit=0.0,
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gross_loss=0.0,
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annual_volatility=0.0,
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monthly_returns=[
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(0.0, datetime(2020, 1, 1)), (0.0, datetime(2020, 2, 1)),
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(0.0, datetime(2020, 3, 1)),
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(0.0, datetime(2020, 4, 1)), (0.0, datetime(2020, 5, 1)),
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(0.0, datetime(2020, 6, 1)),
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(0.0, datetime(2020, 7, 1)), (0.0, datetime(2020, 8, 1)),
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(0.0, datetime(2020, 9, 1)),
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(0.0, datetime(2020, 10, 1)), (0.0, datetime(2020, 11, 1)),
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(0.0, datetime(2020, 12, 1))
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],
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yearly_returns=[
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(0.0, date(2020, 1, 1)), (0.0, date(2020, 12, 31))
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],
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drawdown_series=[
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(0.0, datetime(2020, 1, 1)), (0.0, datetime(2020, 2, 1)),
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(0.0, datetime(2020, 3, 1)),
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(0.0, datetime(2020, 4, 1)), (0.0, datetime(2020, 5, 1)),
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(0.0, datetime(2020, 6, 1)),
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(0.0, datetime(2020, 7, 1)), (0.0, datetime(2020, 8, 1)),
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(0.0, datetime(2020, 9, 1)),
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(0.0, datetime(2020, 10, 1)), (0.0, datetime(2020, 11, 1)),
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(0.0, datetime(2020, 12, 1))
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],
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max_drawdown=0.0,
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max_drawdown_absolute=0.0,
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max_daily_drawdown=0.0,
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max_drawdown_duration=0,
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trades_per_year=0.0,
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trade_per_day=0.0,
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exposure_ratio=0.0,
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average_trade_gain=0.0,
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average_trade_gain_percentage=0.0,
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average_trade_loss=0.0,
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average_trade_loss_percentage=0.0,
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best_trade=Trade(
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id=10,
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open_price=0.0,
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opened_at=datetime(2020, 1, 1),
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closed_at=datetime(2020, 12, 31),
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orders=[],
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target_symbol="BTC",
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trading_symbol="EUR",
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amount=10.0,
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cost=1.0,
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available_amount=1.0,
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remaining=9.0,
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filled_amount=1,
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status="closed"
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),
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worst_trade=Trade(
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id=10,
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open_price=0.0,
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opened_at=datetime(2020, 1, 1),
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closed_at=datetime(2020, 12, 31),
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orders=[],
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target_symbol="BTC",
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trading_symbol="EUR",
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amount=10.0,
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cost=1.0,
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available_amount=1.0,
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remaining=9.0,
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filled_amount=1,
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status="closed"
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),
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average_trade_duration=0.0,
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number_of_trades=0,
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win_rate=0.0,
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win_loss_ratio=0.0,
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percentage_winning_months=0.0,
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percentage_winning_years=0.0,
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average_monthly_return=0.0,
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average_monthly_return_losing_months=0.0,
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average_monthly_return_winning_months=0.0,
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best_month=(0.0, datetime(2020, 1, 1)),
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best_year=(0.0, date(2020, 1, 1)),
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worst_month=(0.0, datetime(2020, 1, 1)),
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worst_year=(0.0, date(2020, 1, 1))
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)
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summary = BacktestSummaryMetrics(
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total_net_gain=0.0,
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cagr=0.0,
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sharpe_ratio=0.0,
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sortino_ratio=0.0,
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calmar_ratio=0.0,
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profit_factor=0.0,
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annual_volatility=0.0,
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max_drawdown=0.0,
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max_drawdown_duration=0,
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trades_per_year=0.0,
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number_of_trades=0,
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win_rate=0.0,
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win_loss_ratio=0.0,
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)
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summary.add(metrics)
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self.assertEqual(summary.total_net_gain, 100)

‎tests/domain/models/backtesting/test_combine.py‎

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from unittest import TestCase
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from investing_algorithm_framework.domain import BacktestMetrics, \
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BacktestSummaryMetrics, Trade, generate_backtest_summary_metrics
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from datetime import datetime, date
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class TestCombine(TestCase):
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def test_add(self):
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# Metrics one: a winning backtest
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metrics_one = BacktestMetrics(
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backtest_start_date=datetime(2020, 1, 1),
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backtest_end_date=datetime(2020, 12, 31),
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equity_curve=[(1000, datetime(2020, 1, 1)),
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(1500, datetime(2020, 12, 31))],
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total_growth=500,
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total_growth_percentage=50.0,
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total_net_gain=500,
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total_net_gain_percentage=50.0,
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final_value=1500.0,
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cagr=0.1,
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sharpe_ratio=1.2,
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rolling_sharpe_ratio=[],
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sortino_ratio=1.0,
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calmar_ratio=0.8,
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profit_factor=1.5,
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gross_profit=700,
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gross_loss=-200,
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annual_volatility=0.15,
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monthly_returns=[],
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yearly_returns=[],
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drawdown_series=[],
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max_drawdown=0.15,
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max_drawdown_absolute=100,
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max_daily_drawdown=-50,
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max_drawdown_duration=10,
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trades_per_year=12,
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trade_per_day=0.05,
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exposure_ratio=0.6,
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average_trade_gain=50,
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average_trade_gain_percentage=5.0,
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average_trade_loss=-20,
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average_trade_loss_percentage=-2.0,
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best_trade=Trade(id=1, open_price=100,
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opened_at=datetime(2020, 1, 1),
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closed_at=datetime(2020, 2, 1), orders=[],
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target_symbol="BTC", trading_symbol="EUR",
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amount=1, cost=100, available_amount=1,
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remaining=0, filled_amount=1, status="closed"),
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worst_trade=Trade(id=2, open_price=100,
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opened_at=datetime(2020, 3, 1),
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closed_at=datetime(2020, 4, 1), orders=[],
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target_symbol="BTC", trading_symbol="EUR",
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amount=1, cost=100, available_amount=1,
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remaining=0, filled_amount=1, status="closed"),
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average_trade_duration=5.0,
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number_of_trades=10,
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win_rate=0.7,
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win_loss_ratio=1.5,
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percentage_winning_months=0.6,
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percentage_winning_years=1.0,
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average_monthly_return=0.04,
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average_monthly_return_losing_months=-0.02,
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average_monthly_return_winning_months=0.08,
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best_month=(0.10, datetime(2020, 5, 1)),
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best_year=(0.5, date(2020, 12, 31)),
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worst_month=(-0.05, datetime(2020, 3, 1)),
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worst_year=(-0.1, date(2020, 12, 31)),
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)
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# Metrics two: a losing backtest
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metrics_two = BacktestMetrics(
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backtest_start_date=datetime(2021, 1, 1),
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backtest_end_date=datetime(2021, 12, 31),
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equity_curve=[(2000, datetime(2021, 1, 1)),
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(1800, datetime(2021, 12, 31))],
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total_growth=-200,
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total_growth_percentage=-10.0,
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total_net_gain=-200,
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total_net_gain_percentage=-10.0,
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final_value=1800.0,
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cagr=-0.05,
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sharpe_ratio=-0.5,
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rolling_sharpe_ratio=[],
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sortino_ratio=-0.4,
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calmar_ratio=-0.3,
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profit_factor=0.7,
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gross_profit=300,
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gross_loss=-500,
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annual_volatility=0.25,
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monthly_returns=[],
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yearly_returns=[],
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drawdown_series=[],
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max_drawdown=0.2,
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max_drawdown_absolute=400,
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max_daily_drawdown=-150,
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max_drawdown_duration=30,
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trades_per_year=24,
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trade_per_day=0.1,
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exposure_ratio=0.8,
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average_trade_gain=20,
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average_trade_gain_percentage=2.0,
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average_trade_loss=-50,
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average_trade_loss_percentage=-5.0,
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best_trade=Trade(id=3, open_price=200,
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opened_at=datetime(2021, 1, 1),
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closed_at=datetime(2021, 2, 1), orders=[],
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target_symbol="ETH", trading_symbol="EUR",
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amount=2, cost=200, available_amount=2,
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remaining=0, filled_amount=2, status="closed"),
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worst_trade=Trade(id=4, open_price=200,
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opened_at=datetime(2021, 3, 1),
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closed_at=datetime(2021, 4, 1), orders=[],
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target_symbol="ETH", trading_symbol="EUR",
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amount=2, cost=200, available_amount=2,
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remaining=0, filled_amount=2, status="closed"),
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average_trade_duration=7.0,
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number_of_trades=20,
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win_rate=0.3,
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win_loss_ratio=0.6,
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percentage_winning_months=0.3,
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percentage_winning_years=0.0,
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average_monthly_return=-0.02,
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average_monthly_return_losing_months=-0.05,
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average_monthly_return_winning_months=0.03,
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best_month=(0.07, datetime(2021, 7, 1)),
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best_year=(0.2, date(2021, 12, 31)),
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worst_month=(-0.15, datetime(2021, 6, 1)),
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worst_year=(-0.2, date(2021, 12, 31)),
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)
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summary: BacktestSummaryMetrics = generate_backtest_summary_metrics(
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[metrics_one, metrics_two])
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# --- Assertions ---
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# Sum metrics
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self.assertEqual(summary.total_net_gain, 300) # 500 + (-200)
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self.assertEqual(summary.total_loss, -700) # -200 + -500
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self.assertEqual(summary.number_of_trades, 30) # 10 + 20
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# Mean metrics
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self.assertAlmostEqual(summary.cagr, (0.1 + -0.05) / 2, places=2)
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self.assertAlmostEqual(summary.sharpe_ratio, (1.2 + -0.5) / 2, places=2)
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self.assertAlmostEqual(summary.sortino_ratio, (1.0 + -0.4) / 2, places=2)
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self.assertAlmostEqual(summary.calmar_ratio, (0.8 + -0.3) / 2, places=2)
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self.assertAlmostEqual(summary.profit_factor, (1.5 + 0.7) / 2, places=2)
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self.assertAlmostEqual(summary.win_rate, (0.7 + 0.3) / 2, places=2)
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# Extreme metrics
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self.assertEqual(summary.max_drawdown, 0.2) # worst of the two
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self.assertEqual(summary.max_drawdown_duration, 30) # longest

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