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71
docs/backtesting.md
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@ -237,29 +237,29 @@ The most important in the backtesting is to understand the result.
A backtesting result will look like that: A backtesting result will look like that:
``` ```
========================================================= BACKTESTING REPORT ======================================================== ========================================================= BACKTESTING REPORT ==========================================================
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | | Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins Draws Loss Win% |
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:| |:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:-------------|-------------------------:|
| ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 | 0 | 21 | | ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 0 21 40.0 |
| ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 | 0 | 8 | | ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 0 8 27.3 |
| BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 | 0 | 14 | | BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 0 14 56.2 |
| DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 | 0 | 7 | | DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 0 7 46.2 |
| ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 | 0 | 10 | | ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 0 10 44.4 |
| EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 | 0 | 20 | | EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 0 20 44.4 |
| ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 | 0 | 15 | | ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 0 15 42.3 |
| ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 | 0 | 17 | | ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 0 17 48.5 |
| IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 | 0 | 18 | | IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 0 18 43.8 |
| LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 | 0 | 9 | | LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 0 9 40.0 |
| LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 | 0 | 21 | | LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 0 21 34.4 |
| NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 | 0 | 7 | | NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 0 7 58.5 |
| NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 | 0 | 13 | | NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 0 13 43.5 |
| REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 | 0 | 5 | | REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 0 5 44.4 |
| XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 | 0 | 9 | | XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 0 9 43.8 |
| XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 | 0 | 11 | | XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 0 11 52.2 |
| XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 | 0 | 23 | | XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 0 23 34.3 |
| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 | 0 | 15 | | ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 0 15 31.8 |
| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | | TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |
========================================================= SELL REASON STATS ========================================================= ========================================================= SELL REASON STATS ==========================================================
| Sell Reason | Sells | Wins | Draws | Losses | | Sell Reason | Sells | Wins | Draws | Losses |
|:-------------------|--------:|------:|-------:|--------:| |:-------------------|--------:|------:|-------:|--------:|
| trailing_stop_loss | 205 | 150 | 0 | 55 | | trailing_stop_loss | 205 | 150 | 0 | 55 |
@ -267,11 +267,11 @@ A backtesting result will look like that:
| sell_signal | 56 | 36 | 0 | 20 | | sell_signal | 56 | 36 | 0 | 20 |
| force_sell | 2 | 0 | 0 | 2 | | force_sell | 2 | 0 | 0 | 2 |
====================================================== LEFT OPEN TRADES REPORT ====================================================== ====================================================== LEFT OPEN TRADES REPORT ======================================================
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | | Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Win Draw Loss Win% |
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:| |:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|--------------------:|
| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 | | ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 0 0 100 |
| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 | | LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 0 0 100 |
| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 | | TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 0 0 100 |
=============== SUMMARY METRICS =============== =============== SUMMARY METRICS ===============
| Metric | Value | | Metric | Value |
|-----------------------+---------------------| |-----------------------+---------------------|
@ -297,6 +297,7 @@ A backtesting result will look like that:
| Days win/draw/lose | 12 / 82 / 25 | | Days win/draw/lose | 12 / 82 / 25 |
| Avg. Duration Winners | 4:23:00 | | Avg. Duration Winners | 4:23:00 |
| Avg. Duration Loser | 6:55:00 | | Avg. Duration Loser | 6:55:00 |
| Zero Duration Trades | 4.6% (20) |
| | | | | |
| Min balance | 0.00945123 BTC | | Min balance | 0.00945123 BTC |
| Max balance | 0.01846651 BTC | | Max balance | 0.01846651 BTC |
@ -318,7 +319,7 @@ The last line will give you the overall performance of your strategy,
here: here:
``` ```
| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 243 | | TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |
``` ```
The bot has made `429` trades for an average duration of `4:12:00`, with a performance of `76.20%` (profit), that means it has The bot has made `429` trades for an average duration of `4:12:00`, with a performance of `76.20%` (profit), that means it has
@ -384,6 +385,7 @@ It contains some useful key metrics about performance of your strategy on backte
| Days win/draw/lose | 12 / 82 / 25 | | Days win/draw/lose | 12 / 82 / 25 |
| Avg. Duration Winners | 4:23:00 | | Avg. Duration Winners | 4:23:00 |
| Avg. Duration Loser | 6:55:00 | | Avg. Duration Loser | 6:55:00 |
| Zero Duration Trades | 4.6% (20) |
| | | | | |
| Min balance | 0.00945123 BTC | | Min balance | 0.00945123 BTC |
| Max balance | 0.01846651 BTC | | Max balance | 0.01846651 BTC |
@ -413,6 +415,7 @@ It contains some useful key metrics about performance of your strategy on backte
- `Best day` / `Worst day`: Best and worst day based on daily profit. - `Best day` / `Worst day`: Best and worst day based on daily profit.
- `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade). - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
- `Zero Duration Trades`: A number of trades that completed within same candle as they opened and had `trailing_stop_loss` sell reason. A significant amount of such trades may indicate that strategy is exploiting trailing stoploss behavior in backtesting and produces unrealistic results.
- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period. - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
- `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced). - `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
- `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost. - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
@ -472,11 +475,11 @@ There will be an additional table comparing win/losses of the different strategi
Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy. Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.
``` ```
=========================================================== STRATEGY SUMMARY =========================================================== =========================================================== STRATEGY SUMMARY =========================================================================
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown % |
|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:| |:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | | Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | 45.2 |
| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | | Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | 241.68 |
``` ```
## Next step ## Next step

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()) Generate floatformat (goes in line with _generate_result_line())
""" """
return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f', 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]: 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 %', return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration', 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: 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( tabular_data.append(_generate_result_line(
results['results'], results['config']['dry_run_wallet'], strategy) 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 return tabular_data
@ -208,6 +229,8 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
winning_trades = results.loc[results['profit_ratio'] > 0] winning_trades = results.loc[results['profit_ratio'] > 0]
draw_trades = results.loc[results['profit_ratio'] == 0] draw_trades = results.loc[results['profit_ratio'] == 0]
losing_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 { return {
'wins': len(winning_trades), 'wins': len(winning_trades),
@ -219,6 +242,7 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
if not winning_trades.empty else timedelta()), if not winning_trades.empty else timedelta()),
'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean())) 'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
if not losing_trades.empty else timedelta()), 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) floatfmt = _get_line_floatfmt(stake_currency)
output = [[ output = [[
t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], 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] ] for t in pair_results]
# Ignore type as floatfmt does allow tuples but mypy does not know that # Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(output, headers=headers, return tabulate(output, headers=headers,
@ -454,9 +479,7 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
headers = [ headers = [
'Sell Reason', 'Sell Reason',
'Sells', 'Sells',
'Wins', 'Win Draws Loss Win%',
'Draws',
'Losses',
'Avg Profit %', 'Avg Profit %',
'Cum Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', f'Tot Profit {stake_currency}',
@ -464,7 +487,8 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
] ]
output = [[ 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'], t['profit_mean_pct'], t['profit_sum_pct'],
round_coin_value(t['profit_total_abs'], stake_currency, False), round_coin_value(t['profit_total_abs'], stake_currency, False),
t['profit_total_pct'], t['profit_total_pct'],
@ -482,11 +506,22 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
""" """
floatfmt = _get_line_floatfmt(stake_currency) floatfmt = _get_line_floatfmt(stake_currency)
headers = _get_line_header('Strategy', 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 = [[ output = [[
t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], 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'],
] for t in strategy_results] _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 # Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(output, headers=headers, return tabulate(output, headers=headers,
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") 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: if len(strat_results['trades']) > 0:
best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio']) best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
worst_trade = min(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 = [ metrics = [
('Backtesting from', strat_results['backtest_start']), ('Backtesting from', strat_results['backtest_start']),
('Backtesting to', strat_results['backtest_end']), ('Backtesting to', strat_results['backtest_end']),
@ -508,7 +555,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])), strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])), 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']), ('Trades per day', strat_results['trades_per_day']),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'], ('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])), 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']}"), f"{strat_results['draw_days']} / {strat_results['losing_days']}"),
('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
('Zero Duration Trades', zero_duration_trades),
('', ''), # Empty line to improve readability ('', ''), # Empty line to improve readability
('Min balance', round_coin_value(strat_results['csum_min'], ('Min balance', round_coin_value(strat_results['csum_min'],

59
tests/optimize/test_optimize_reports.py
View File

@ -1,3 +1,4 @@
import datetime
import re import re
from datetime import timedelta from datetime import timedelta
from pathlib import Path from pathlib import Path
@ -27,25 +28,22 @@ def test_text_table_bt_results():
results = pd.DataFrame( results = pd.DataFrame(
{ {
'pair': ['ETH/BTC', 'ETH/BTC'], 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_ratio': [0.1, 0.2], 'profit_ratio': [0.1, 0.2, -0.05],
'profit_abs': [0.2, 0.4], 'profit_abs': [0.2, 0.4, -0.1],
'trade_duration': [10, 30], 'trade_duration': [10, 30, 20],
'wins': [2, 0],
'draws': [0, 0],
'losses': [0, 0]
} }
) )
result_str = ( result_str = (
'| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |' '| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % |'
' Tot Profit % | Avg Duration | Wins | Draws | Losses |\n' ' Avg Duration | Win Draw Loss Win% |\n'
'|---------+--------+----------------+----------------+------------------+' '|---------+--------+----------------+----------------+------------------+----------------+'
'----------------+----------------+--------+---------+----------|\n' '----------------+-------------------------|\n'
'| ETH/BTC | 2 | 15.00 | 30.00 | 0.60000000 |' '| ETH/BTC | 3 | 8.33 | 25.00 | 0.50000000 | 12.50 |'
' 15.00 | 0:20:00 | 2 | 0 | 0 |\n' ' 0:20:00 | 2 0 1 66.7 |\n'
'| TOTAL | 2 | 15.00 | 30.00 | 0.60000000 |' '| TOTAL | 3 | 8.33 | 25.00 | 0.50000000 | 12.50 |'
' 15.00 | 0:20:00 | 2 | 0 | 0 |' ' 0:20:00 | 2 0 1 66.7 |'
) )
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC', pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
@ -270,14 +268,14 @@ def test_text_table_sell_reason():
) )
result_str = ( result_str = (
'| Sell Reason | Sells | Wins | Draws | Losses |' '| Sell Reason | Sells | Win Draws Loss Win% | Avg Profit % | Cum Profit % |'
' Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % |\n' ' Tot Profit BTC | Tot Profit % |\n'
'|---------------+---------+--------+---------+----------+' '|---------------+---------+--------------------------+----------------+----------------+'
'----------------+----------------+------------------+----------------|\n' '------------------+----------------|\n'
'| roi | 2 | 2 | 0 | 0 |' '| roi | 2 | 2 0 0 100 | 15 | 30 |'
' 15 | 30 | 0.6 | 15 |\n' ' 0.6 | 15 |\n'
'| stop_loss | 1 | 0 | 0 | 1 |' '| stop_loss | 1 | 0 0 1 0 | -10 | -10 |'
' -10 | -10 | -0.2 | -5 |' ' -0.2 | -5 |'
) )
sell_reason_stats = generate_sell_reason_stats(max_open_trades=2, sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
@ -325,9 +323,12 @@ def test_text_table_strategy(default_conf):
default_conf['max_open_trades'] = 2 default_conf['max_open_trades'] = 2
default_conf['dry_run_wallet'] = 3 default_conf['dry_run_wallet'] = 3
results = {} results = {}
date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
delta = datetime.timedelta(days=1)
results['TestStrategy1'] = {'results': pd.DataFrame( results['TestStrategy1'] = {'results': pd.DataFrame(
{ {
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.1, 0.2, 0.3], 'profit_ratio': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5], 'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10], 'trade_duration': [10, 30, 10],
@ -340,6 +341,7 @@ def test_text_table_strategy(default_conf):
results['TestStrategy2'] = {'results': pd.DataFrame( results['TestStrategy2'] = {'results': pd.DataFrame(
{ {
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'], 'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
'close_date': [date, date + delta, date + delta * 2],
'profit_ratio': [0.4, 0.2, 0.3], 'profit_ratio': [0.4, 0.2, 0.3],
'profit_abs': [0.4, 0.4, 0.5], 'profit_abs': [0.4, 0.4, 0.5],
'trade_duration': [15, 30, 15], 'trade_duration': [15, 30, 15],
@ -351,18 +353,17 @@ def test_text_table_strategy(default_conf):
), 'config': default_conf} ), 'config': default_conf}
result_str = ( result_str = (
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot' '| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
' Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |\n' ' Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |\n'
'|---------------+--------+----------------+----------------+------------------+' '|---------------+--------+----------------+----------------+------------------+'
'----------------+----------------+--------+---------+----------|\n' '----------------+----------------+-------------------------+-----------------------|\n'
'| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |' '| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |'
' 36.67 | 0:17:00 | 3 | 0 | 0 |\n' ' 36.67 | 0:17:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |\n'
'| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |' '| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |'
' 43.33 | 0:20:00 | 3 | 0 | 0 |' ' 43.33 | 0:20:00 | 3 0 0 100 | 0.00000000 BTC 0.00% |'
) )
strategy_results = generate_strategy_comparison(all_results=results) strategy_results = generate_strategy_comparison(all_results=results)
assert text_table_strategy(strategy_results, 'BTC') == result_str assert text_table_strategy(strategy_results, 'BTC') == result_str