Merge pull request #10485 from jainanuj94/feature/8902

Add exit signals to export in backtesting

tests/data/test_entryexitanalysis.py

@@ -18,7 +18,9 @@ def entryexitanalysis_cleanup() -> None:
     Backtesting.cleanup()
 
 
-def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, user_dir, capsys):
+def test_backtest_analysis_on_entry_and_rejected_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)
 
@@ -158,6 +160,15 @@ def test_backtest_analysis_nomock(default_conf, mocker, caplog, testdatadir, use
     assert "34.049" in captured.out
     assert "0.104" in captured.out
     assert "52.829" in captured.out
+    # assert indicator list
+    assert "close (entry)" in captured.out
+    assert "0.016" in captured.out
+    assert "rsi (entry)" in captured.out
+    assert "54.320" in captured.out
+    assert "close (exit)" in captured.out
+    assert "rsi (exit)" in captured.out
+    assert "52.829" in captured.out
+    assert "profit_abs" in captured.out
 
     # test group 1
     args = get_args(base_args + ["--analysis-groups", "1"])

tests/optimize/test_optimize_reports.py

@@ -293,20 +293,25 @@ def test_store_backtest_candles(testdatadir, mocker):
     candle_dict = {"DefStrat": {"UNITTEST/BTC": pd.DataFrame()}}
 
     # mock directory exporting
-    store_backtest_analysis_results(testdatadir, candle_dict, {}, "2022_01_01_15_05_13")
+    store_backtest_analysis_results(testdatadir, candle_dict, {}, {}, "2022_01_01_15_05_13")
 
-    assert dump_mock.call_count == 2
+    assert dump_mock.call_count == 3
     assert isinstance(dump_mock.call_args_list[0][0][0], Path)
     assert str(dump_mock.call_args_list[0][0][0]).endswith("_signals.pkl")
+    assert str(dump_mock.call_args_list[1][0][0]).endswith("_rejected.pkl")
+    assert str(dump_mock.call_args_list[2][0][0]).endswith("_exited.pkl")
 
     dump_mock.reset_mock()
     # mock file exporting
     filename = Path(testdatadir / "testresult")
-    store_backtest_analysis_results(filename, candle_dict, {}, "2022_01_01_15_05_13")
-    assert dump_mock.call_count == 2
+    store_backtest_analysis_results(filename, candle_dict, {}, {}, "2022_01_01_15_05_13")
+    assert dump_mock.call_count == 3
     assert isinstance(dump_mock.call_args_list[0][0][0], Path)
     # result will be testdatadir / testresult-<timestamp>_signals.pkl
     assert str(dump_mock.call_args_list[0][0][0]).endswith("_signals.pkl")
+    assert str(dump_mock.call_args_list[1][0][0]).endswith("_rejected.pkl")
+    assert str(dump_mock.call_args_list[2][0][0]).endswith("_exited.pkl")
+
     dump_mock.reset_mock()
 
 
@@ -315,7 +320,7 @@ def test_write_read_backtest_candles(tmp_path):
 
     # test directory exporting
     sample_date = "2022_01_01_15_05_13"
-    store_backtest_analysis_results(tmp_path, candle_dict, {}, sample_date)
+    store_backtest_analysis_results(tmp_path, candle_dict, {}, {}, sample_date)
     stored_file = tmp_path / f"backtest-result-{sample_date}_signals.pkl"
     with stored_file.open("rb") as scp:
         pickled_signal_candles = joblib.load(scp)
@@ -330,7 +335,7 @@ def test_write_read_backtest_candles(tmp_path):
 
     # test file exporting
     filename = tmp_path / "testresult"
-    store_backtest_analysis_results(filename, candle_dict, {}, sample_date)
+    store_backtest_analysis_results(filename, candle_dict, {}, {}, sample_date)
     stored_file = tmp_path / f"testresult-{sample_date}_signals.pkl"
     with stored_file.open("rb") as scp:
         pickled_signal_candles = joblib.load(scp)