Add backtesting test

tests/persistence/test_trade_custom_data.py

@@ -1,8 +1,14 @@
+from copy import deepcopy
+from unittest.mock import MagicMock
+
 import pytest
 
+from freqtrade.data.history.history_utils import get_timerange
+from freqtrade.optimize.backtesting import Backtesting
 from freqtrade.persistence import Trade, disable_database_use, enable_database_use
 from freqtrade.persistence.custom_data import CustomDataWrapper
-from tests.conftest import EXMS, create_mock_trades_usdt, get_patched_freqtradebot
+from tests.conftest import (EXMS, create_mock_trades_usdt, generate_test_data,
+                            get_patched_freqtradebot, patch_exchange)
 
 
 @pytest.mark.usefixtures("init_persistence")
@@ -49,9 +55,7 @@ def test_trade_custom_data_strategy_compat(mocker, default_conf_usdt, fee):
 
     mocker.patch(f'{EXMS}.get_rate', return_value=0.50)
     mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', return_value=None)
-    default_conf_usdt["minimal_roi"] = {
-        "0":  100
-    }
+    default_conf_usdt["minimal_roi"] = {"0":  100}
 
     freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
     create_mock_trades_usdt(fee)
@@ -81,3 +85,74 @@ def test_trade_custom_data_strategy_compat(mocker, default_conf_usdt, fee):
     assert ff_spy.call_count == 2
 
     assert trade_after.exit_reason == 'test_value_1'
+
+
+def test_trade_custom_data_strategy_backtest_compat(mocker, default_conf_usdt, fee):
+
+    mocker.patch(f'{EXMS}.get_fee', fee)
+    mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=10)
+    mocker.patch(f"{EXMS}.get_max_pair_stake_amount", return_value=float('inf'))
+    mocker.patch(f"{EXMS}.get_max_leverage", return_value=10)
+    mocker.patch(f"{EXMS}.get_maintenance_ratio_and_amt", return_value=(0.1, 0.1))
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting._run_funding_fees')
+
+    patch_exchange(mocker)
+    default_conf_usdt.update({
+        "stake_amount": 100.0,
+        "max_open_trades": 2,
+        "dry_run_wallet": 1000.0,
+        "strategy": "StrategyTestV3",
+        "trading_mode": "futures",
+        "margin_mode": "isolated",
+        "stoploss": -2,
+        "minimal_roi": {"0":  100},
+    })
+    default_conf_usdt['pairlists'] = [{'method': 'StaticPairList', 'allow_inactive': True}]
+    backtesting = Backtesting(default_conf_usdt)
+
+    df = generate_test_data(default_conf_usdt['timeframe'], 100, '2022-01-01 00:00:00+00:00')
+
+    pair_exp = 'XRP/USDT:USDT'
+
+    def custom_exit(pair, trade, **kwargs):
+        custom_val = trade.get_custom_data('test_str')
+        custom_val_i = trade.get_custom_data('test_int', 0)
+
+        if pair == pair_exp:
+            trade.set_custom_data('test_str', 'test_value')
+            trade.set_custom_data('test_int', custom_val_i + 1)
+
+        if custom_val_i >= 2:
+            return f"{custom_val}_{custom_val_i}"
+
+    backtesting._set_strategy(backtesting.strategylist[0])
+    processed = backtesting.strategy.advise_all_indicators({
+        pair_exp: df,
+        'BTC/USDT:USDT': df,
+    })
+
+    def fun(dataframe, *args, **kwargs):
+        dataframe.loc[dataframe.index == 50, 'enter_long'] = 1
+        return dataframe
+
+    backtesting.strategy.advise_entry = fun
+    backtesting.strategy.leverage = MagicMock(return_value=1)
+    backtesting.strategy.custom_exit = custom_exit
+    ff_spy = mocker.spy(backtesting.strategy, 'custom_exit')
+
+    min_date, max_date = get_timerange(processed)
+
+    result = backtesting.backtest(
+        processed=deepcopy(processed),
+        start_date=min_date,
+        end_date=max_date,
+    )
+    results = result['results']
+    assert not results.empty
+    assert len(results) == 2
+    assert results['pair'][0] == pair_exp
+    assert results['pair'][1] == 'BTC/USDT:USDT'
+    assert results['exit_reason'][0] == 'test_value_2'
+    assert results['exit_reason'][1] == 'exit_signal'
+
+    assert ff_spy.call_count == 7