stable/freqtrade/data/btanalysis.py

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"""
Helpers when analyzing backtest data
"""
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import logging
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from pathlib import Path
import numpy as np
import pandas as pd
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import pytz
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from freqtrade import persistence
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from freqtrade.misc import json_load
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from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
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# must align with columns in backtest.py
BT_DATA_COLUMNS = ["pair", "profitperc", "open_time", "close_time", "index", "duration",
"open_rate", "close_rate", "open_at_end", "sell_reason"]
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def load_backtest_data(filename) -> pd.DataFrame:
"""
Load backtest data file.
:param filename: pathlib.Path object, or string pointing to the file.
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:return: a dataframe with the analysis results
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"""
if isinstance(filename, str):
filename = Path(filename)
if not filename.is_file():
raise ValueError("File {filename} does not exist.")
with filename.open() as file:
data = json_load(file)
df = pd.DataFrame(data, columns=BT_DATA_COLUMNS)
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df['open_time'] = pd.to_datetime(df['open_time'],
unit='s',
utc=True,
infer_datetime_format=True
)
df['close_time'] = pd.to_datetime(df['close_time'],
unit='s',
utc=True,
infer_datetime_format=True
)
df['profitabs'] = df['close_rate'] - df['open_rate']
df = df.sort_values("open_time").reset_index(drop=True)
return df
def evaluate_result_multi(results: pd.DataFrame, freq: str, max_open_trades: int) -> pd.DataFrame:
"""
Find overlapping trades by expanding each trade once per period it was open
and then counting overlaps
:param results: Results Dataframe - can be loaded
:param freq: Frequency used for the backtest
:param max_open_trades: parameter max_open_trades used during backtest run
:return: dataframe with open-counts per time-period in freq
"""
dates = [pd.Series(pd.date_range(row[1].open_time, row[1].close_time, freq=freq))
for row in results[['open_time', 'close_time']].iterrows()]
deltas = [len(x) for x in dates]
dates = pd.Series(pd.concat(dates).values, name='date')
df2 = pd.DataFrame(np.repeat(results.values, deltas, axis=0), columns=results.columns)
df2 = df2.astype(dtype={"open_time": "datetime64", "close_time": "datetime64"})
df2 = pd.concat([dates, df2], axis=1)
df2 = df2.set_index('date')
df_final = df2.resample(freq)[['pair']].count()
return df_final[df_final['pair'] > max_open_trades]
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def load_trades_from_db(db_url: str) -> pd.DataFrame:
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"""
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Load trades from a DB (using dburl)
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:param db_url: Sqlite url (default format sqlite:///tradesv3.dry-run.sqlite)
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:return: Dataframe containing Trades
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"""
trades: pd.DataFrame = pd.DataFrame([], columns=BT_DATA_COLUMNS)
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persistence.init(db_url, clean_open_orders=False)
columns = ["pair", "profit", "open_time", "close_time",
"open_rate", "close_rate", "duration", "sell_reason",
"max_rate", "min_rate"]
trades = pd.DataFrame([(t.pair, t.calc_profit(),
t.open_date.replace(tzinfo=pytz.UTC),
t.close_date.replace(tzinfo=pytz.UTC) if t.close_date else None,
t.open_rate, t.close_rate,
t.close_date.timestamp() - t.open_date.timestamp()
if t.close_date else None,
t.sell_reason,
t.max_rate,
t.min_rate,
)
for t in Trade.query.all()],
columns=columns)
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return trades
def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame) -> pd.DataFrame:
"""
Compare trades and backtested pair DataFrames to get trades performed on backtested period
:return: the DataFrame of a trades of period
"""
trades = trades.loc[(trades['open_time'] >= dataframe.iloc[0]['date']) &
(trades['close_time'] <= dataframe.iloc[-1]['date'])]
return trades
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def create_cum_profit(df: pd.DataFrame, trades: pd.DataFrame, col_name: str):
"""
Adds a column `col_name` with the cumulative profit for the given trades array.
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:param df: DataFrame with date index
:param trades: DataFrame containing trades (requires columns close_time and profitperc)
:return: Returns df with one additional column, col_name, containing the cumulative profit.
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"""
df[col_name] = trades.set_index('close_time')['profitperc'].cumsum()
# Set first value to 0
df.loc[df.iloc[0].name, col_name] = 0
# FFill to get continuous
df[col_name] = df[col_name].ffill()
return df