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Merge pull request #4943 from rokups/rk/statistics

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Matthias
2021-05-23 08:38:27 +01:00
committed by GitHub
parent 74d75599a9 916ece6a29
commit 02faeb60a3
3 changed files with 125 additions and 73 deletions
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68
freqtrade/optimize/optimize_reports.py
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@@ -43,7 +43,7 @@ def _get_line_floatfmt(stake_currency: str) -> List[str]:
Generate floatformat (goes in line with _generate_result_line())
"""
return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f',
'.2f', 'd', 'd', 'd', 'd']
'.2f', 'd', 's', 's']
def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
@@ -52,7 +52,17 @@ def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
"""
return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
'Wins', 'Draws', 'Losses']
'Win Draw Loss Win%']
def _generate_wins_draws_losses(wins, draws, losses):
if wins > 0 and losses == 0:
wl_ratio = '100'
elif wins == 0:
wl_ratio = '0'
else:
wl_ratio = f'{100.0 / (wins + draws + losses) * wins:.1f}' if losses > 0 else '100'
return f'{wins:>4} {draws:>4} {losses:>4} {wl_ratio:>4}'
def _generate_result_line(result: DataFrame, starting_balance: int, first_column: str) -> Dict:
@@ -164,6 +174,17 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
tabular_data.append(_generate_result_line(
results['results'], results['config']['dry_run_wallet'], strategy)
)
try:
max_drawdown_per, _, _, _, _ = calculate_max_drawdown(results['results'],
value_col='profit_ratio')
max_drawdown_abs, _, _, _, _ = calculate_max_drawdown(results['results'],
value_col='profit_abs')
except ValueError:
max_drawdown_per = 0
max_drawdown_abs = 0
tabular_data[-1]['max_drawdown_per'] = round(max_drawdown_per * 100, 2)
tabular_data[-1]['max_drawdown_abs'] = \
round_coin_value(max_drawdown_abs, results['config']['stake_currency'], False)
return tabular_data
@@ -208,6 +229,8 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
winning_trades = results.loc[results['profit_ratio'] > 0]
draw_trades = results.loc[results['profit_ratio'] == 0]
losing_trades = results.loc[results['profit_ratio'] < 0]
zero_duration_trades = len(results.loc[(results['trade_duration'] == 0) &
(results['sell_reason'] == 'trailing_stop_loss')])
return {
'wins': len(winning_trades),
@@ -219,6 +242,7 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
if not winning_trades.empty else timedelta()),
'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
if not losing_trades.empty else timedelta()),
'zero_duration_trades': zero_duration_trades,
}
@@ -437,7 +461,8 @@ def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: st
floatfmt = _get_line_floatfmt(stake_currency)
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']
t['profit_total_pct'], t['duration_avg'],
_generate_wins_draws_losses(t['wins'], t['draws'], t['losses'])
] for t in pair_results]
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(output, headers=headers,
@@ -454,9 +479,7 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
headers = [
'Sell Reason',
'Sells',
'Wins',
'Draws',
'Losses',
'Win Draws Loss Win%',
'Avg Profit %',
'Cum Profit %',
f'Tot Profit {stake_currency}',
@@ -464,7 +487,8 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
]
output = [[
t['sell_reason'], t['trades'], t['wins'], t['draws'], t['losses'],
t['sell_reason'], t['trades'],
_generate_wins_draws_losses(t['wins'], t['draws'], t['losses']),
t['profit_mean_pct'], t['profit_sum_pct'],
round_coin_value(t['profit_total_abs'], stake_currency, False),
t['profit_total_pct'],
@@ -482,11 +506,22 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
floatfmt = _get_line_floatfmt(stake_currency)
headers = _get_line_header('Strategy', stake_currency)
# _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
# therefore we slip this column in only for strategy summary here.
headers.append('Drawdown')
# Align drawdown string on the center two space separator.
drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results]
dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results])
dd_pad_per = max([len(dd) for dd in drawdown])
drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency} {dd:>{dd_pad_per}}%'
for t, dd in zip(strategy_results, drawdown)]
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]
t['profit_total_pct'], t['duration_avg'],
_generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), drawdown]
for t, drawdown in zip(strategy_results, drawdown)]
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(output, headers=headers,
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")
@@ -496,6 +531,18 @@ def text_table_add_metrics(strat_results: Dict) -> str:
if len(strat_results['trades']) > 0:
best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio'])
# Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
# command stores these results and newer version of freqtrade must be able to handle old
# results with missing new fields.
zero_duration_trades = '--'
if 'zero_duration_trades' in strat_results:
zero_duration_trades_per = \
100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades']
zero_duration_trades = f'{zero_duration_trades_per}% ' \
f'({strat_results["zero_duration_trades"]})'
metrics = [
('Backtesting from', strat_results['backtest_start']),
('Backtesting to', strat_results['backtest_end']),
@@ -508,7 +555,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
@@ -532,6 +579,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
f"{strat_results['draw_days']} / {strat_results['losing_days']}"),
('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
('Zero Duration Trades', zero_duration_trades),
('', ''), # Empty line to improve readability
('Min balance', round_coin_value(strat_results['csum_min'],