stable/freqtrade/optimize/optimize_reports.py

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import logging
from datetime import timedelta
from pathlib import Path
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from typing import Dict, List, Any
from pandas import DataFrame
from tabulate import tabulate
from freqtrade.misc import file_dump_json
logger = logging.getLogger(__name__)
def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame]) -> None:
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"""
Stores backtest results to file (one file per strategy)
:param recordfilename: Destination filename
:param all_results: Dict of Dataframes, one results dataframe per strategy
"""
for strategy, results in all_results.items():
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
for index, t in results.iterrows()]
if records:
filename = recordfilename
if len(all_results) > 1:
# Inject strategy to filename
filename = Path.joinpath(
recordfilename.parent,
f'{recordfilename.stem}-{strategy}').with_suffix(recordfilename.suffix)
logger.info(f'Dumping backtest results to {filename}')
file_dump_json(filename, records)
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def _get_line_floatfmt() -> List[str]:
"""
Generate floatformat (goes in line with _generate_result_line())
"""
return ['s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', 'd', 'd', 'd']
def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
"""
Generate header lines (goes in line with _generate_result_line())
"""
return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
'Wins', 'Draws', 'Losses']
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def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: str) -> Dict:
"""
Generate one result dict, with "first_column" as key.
"""
return {
'key': first_column,
'trades': len(result.index),
'profit_mean': result.profit_percent.mean(),
'profit_mean_pct': result.profit_percent.mean() * 100.0,
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'profit_sum': result.profit_percent.sum(),
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'profit_sum_pct': result.profit_percent.sum() * 100.0,
'profit_total_abs': result.profit_abs.sum(),
'profit_total_pct': result.profit_percent.sum() * 100.0 / max_open_trades,
'duration_avg': str(timedelta(
minutes=round(result.trade_duration.mean()))
) if not result.empty else '0:00',
# 'duration_max': str(timedelta(
# minutes=round(result.trade_duration.max()))
# ) if not result.empty else '0:00',
# 'duration_min': str(timedelta(
# minutes=round(result.trade_duration.min()))
# ) if not result.empty else '0:00',
'wins': len(result[result.profit_abs > 0]),
'draws': len(result[result.profit_abs == 0]),
'losses': len(result[result.profit_abs < 0]),
}
def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
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results: DataFrame, skip_nan: bool = False) -> List[Dict]:
"""
Generates and returns a list for the given backtest data and the results dataframe
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:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
:param stake_currency: stake-currency - used to correctly name headers
:param max_open_trades: Maximum allowed open trades
:param results: Dataframe containing the backtest results
:param skip_nan: Print "left open" open trades
:return: List of Dicts containing the metrics per pair
"""
tabular_data = []
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for pair in data:
result = results[results.pair == pair]
if skip_nan and result.profit_abs.isnull().all():
continue
tabular_data.append(_generate_result_line(result, max_open_trades, pair))
# Append Total
tabular_data.append(_generate_result_line(results, max_open_trades, 'TOTAL'))
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return tabular_data
def generate_text_table(pair_results: List[Dict[str, Any]], stake_currency: str) -> str:
"""
Generates and returns a text table for the given backtest data and the results dataframe
:param pair_results: List of Dictionaries - one entry per pair + final TOTAL row
:param stake_currency: stake-currency - used to correctly name headers
:return: pretty printed table with tabulate as string
"""
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headers = _get_line_header('Pair', stake_currency)
floatfmt = _get_line_floatfmt()
output = [[
t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses']
] for t in pair_results]
# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(output, headers=headers,
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
:param max_open_trades: Max_open_trades parameter
:param results: Dataframe containing the backtest result for one strategy
:return: List of Dicts containing the metrics per Sell reason
"""
tabular_data = []
for reason, count in results['sell_reason'].value_counts().iteritems():
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result = results.loc[results['sell_reason'] == reason]
profit_mean = result['profit_percent'].mean()
profit_sum = result["profit_percent"].sum()
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profit_percent_tot = round(result['profit_percent'].sum() * 100.0 / max_open_trades, 2)
tabular_data.append(
{
'sell_reason': reason.value,
'trades': count,
'wins': len(result[result['profit_abs'] > 0]),
'draws': len(result[result['profit_abs'] == 0]),
'losses': len(result[result['profit_abs'] < 0]),
'profit_mean': profit_mean,
'profit_mean_pct': round(profit_mean * 100, 2),
'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100, 2),
'profit_total_abs': result['profit_abs'].sum(),
'profit_pct_total': profit_percent_tot,
}
)
return tabular_data
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def generate_text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]],
stake_currency: str) -> str:
"""
Generate small table outlining Backtest results
:param sell_reason_stats: Sell reason metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
'Sell Reason',
'Sells',
'Wins',
'Draws',
'Losses',
'Avg Profit %',
'Cum Profit %',
f'Tot Profit {stake_currency}',
'Tot Profit %',
]
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output = [[
t['sell_reason'], t['trades'], t['wins'], t['draws'], t['losses'],
t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_pct_total'],
] for t in sell_reason_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def generate_strategy_metrics(stake_currency: str, max_open_trades: int,
all_results: Dict) -> List[Dict]:
"""
Generate summary per strategy
:param stake_currency: stake-currency - used to correctly name headers
:param max_open_trades: Maximum allowed open trades used for backtest
:param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
:return: List of Dicts containing the metrics per Strategy
"""
tabular_data = []
for strategy, results in all_results.items():
tabular_data.append(_generate_result_line(results, max_open_trades, strategy))
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return tabular_data
def generate_text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
Generate summary table per strategy
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:param stake_currency: stake-currency - used to correctly name headers
:param max_open_trades: Maximum allowed open trades used for backtest
:param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
:return: pretty printed table with tabulate as string
"""
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floatfmt = _get_line_floatfmt()
headers = _get_line_header('Strategy', stake_currency)
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output = [[
t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses']
] for t in strategy_results]
# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(output, headers=headers,
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def generate_edge_table(results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', 'd', 'd')
tabular_data = []
headers = ['Pair', 'Stoploss', 'Win Rate', 'Risk Reward Ratio',
'Required Risk Reward', 'Expectancy', 'Total Number of Trades',
'Average Duration (min)']
for result in results.items():
if result[1].nb_trades > 0:
tabular_data.append([
result[0],
result[1].stoploss,
result[1].winrate,
result[1].risk_reward_ratio,
result[1].required_risk_reward,
result[1].expectancy,
result[1].nb_trades,
round(result[1].avg_trade_duration)
])
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(tabular_data, headers=headers,
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame]):
stake_currency = config['stake_currency']
max_open_trades = config['max_open_trades']
for strategy, results in all_results.items():
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
max_open_trades=max_open_trades,
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results=results, skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
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results=results)
left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
max_open_trades=max_open_trades,
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results=results.loc[results['open_at_end']],
skip_nan=True)
# Print results
print(f"Result for strategy {strategy}")
table = generate_text_table(pair_results, stake_currency=stake_currency)
if isinstance(table, str):
print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
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table = generate_text_table_sell_reason(sell_reason_stats=sell_reason_stats,
stake_currency=stake_currency,
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)
if isinstance(table, str):
print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '='))
print(table)
table = generate_text_table(left_open_results, stake_currency=stake_currency)
if isinstance(table, str):
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
if isinstance(table, str):
print('=' * len(table.splitlines()[0]))
print()
if len(all_results) > 1:
# Print Strategy summary table
strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
max_open_trades=max_open_trades,
all_results=all_results)
table = generate_text_table_strategy(strategy_results, stake_currency)
print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '='))
print(table)
print('=' * len(table.splitlines()[0]))
print('\nFor more details, please look at the detail tables above')