Merge pull request #3377 from freqtrade/btreport_refactor

Refactor BTReport

freqtrade/optimize/optimize_reports.py

@@ -1,7 +1,7 @@
 import logging
 from datetime import timedelta
 from pathlib import Path
-from typing import Dict
+from typing import Any, Dict, List
 
 from pandas import DataFrame
 from tabulate import tabulate
@@ -34,118 +34,173 @@ def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame
             file_dump_json(filename, records)
 
 
-def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
-                        results: DataFrame, skip_nan: bool = False) -> str:
+def _get_line_floatfmt() -> List[str]:
     """
-    Generates and returns a text table for the given backtest data and the results dataframe
+    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']
+
+
+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,
+        'profit_sum': result.profit_percent.sum(),
+        '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,
+                          results: DataFrame, skip_nan: bool = False) -> List[Dict]:
+    """
+    Generates and returns a list  for the given backtest data and the results dataframe
     :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: pretty printed table with tabulate as string
+    :return: List of Dicts containing the metrics per pair
     """
 
-    floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
     tabular_data = []
-    headers = [
-        'Pair',
-        'Buys',
-        'Avg Profit %',
-        'Cum Profit %',
-        f'Tot Profit {stake_currency}',
-        'Tot Profit %',
-        'Avg Duration',
-        'Wins',
-        'Draws',
-        'Losses'
-    ]
+
     for pair in data:
         result = results[results.pair == pair]
         if skip_nan and result.profit_abs.isnull().all():
             continue
 
-        tabular_data.append([
-            pair,
-            len(result.index),
-            result.profit_percent.mean() * 100.0,
-            result.profit_percent.sum() * 100.0,
-            result.profit_abs.sum(),
-            result.profit_percent.sum() * 100.0 / max_open_trades,
-            str(timedelta(
-                minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
-            len(result[result.profit_abs > 0]),
-            len(result[result.profit_abs == 0]),
-            len(result[result.profit_abs < 0])
-        ])
+        tabular_data.append(_generate_result_line(result, max_open_trades, pair))
 
     # Append Total
-    tabular_data.append([
-        'TOTAL',
-        len(results.index),
-        results.profit_percent.mean() * 100.0,
-        results.profit_percent.sum() * 100.0,
-        results.profit_abs.sum(),
-        results.profit_percent.sum() * 100.0 / max_open_trades,
-        str(timedelta(
-            minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
-        len(results[results.profit_abs > 0]),
-        len(results[results.profit_abs == 0]),
-        len(results[results.profit_abs < 0])
-    ])
+    tabular_data.append(_generate_result_line(results, max_open_trades, 'TOTAL'))
+    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
+    """
+
+    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
-    return tabulate(tabular_data, headers=headers,
+    return tabulate(output, headers=headers,
                     floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")  # type: ignore
 
 
-def generate_text_table_sell_reason(stake_currency: str, max_open_trades: int,
-                                    results: DataFrame) -> str:
+def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
     """
     Generate small table outlining Backtest results
-    :param stake_currency: Stakecurrency used
     :param max_open_trades: Max_open_trades parameter
-    :param results: Dataframe containing the backtest results
-    :return: pretty printed table with tabulate as string
+    :param results: Dataframe containing the backtest result for one strategy
+    :return: List of Dicts containing the metrics per Sell reason
     """
     tabular_data = []
-    headers = [
-        "Sell Reason",
-        "Sells",
-        "Wins",
-        "Draws",
-        "Losses",
-        "Avg Profit %",
-        "Cum Profit %",
-        f"Tot Profit {stake_currency}",
-        "Tot Profit %",
-    ]
+
     for reason, count in results['sell_reason'].value_counts().iteritems():
         result = results.loc[results['sell_reason'] == reason]
-        wins = len(result[result['profit_abs'] > 0])
-        draws = len(result[result['profit_abs'] == 0])
-        loss = len(result[result['profit_abs'] < 0])
-        profit_mean = round(result['profit_percent'].mean() * 100.0, 2)
-        profit_sum = round(result["profit_percent"].sum() * 100.0, 2)
-        profit_tot = result['profit_abs'].sum()
+
+        profit_mean = result['profit_percent'].mean()
+        profit_sum = result["profit_percent"].sum()
         profit_percent_tot = round(result['profit_percent'].sum() * 100.0 / max_open_trades, 2)
+
         tabular_data.append(
-            [
-                reason.value,
-                count,
-                wins,
-                draws,
-                loss,
-                profit_mean,
-                profit_sum,
-                profit_tot,
-                profit_percent_tot,
-            ]
+            {
+                '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 tabulate(tabular_data, headers=headers, tablefmt="orgtbl", stralign="right")
+    return tabular_data
 
 
-def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
-                                 all_results: Dict) -> str:
+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 %',
+    ]
+
+    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))
+    return tabular_data
+
+
+def generate_text_table_strategy(strategy_results, stake_currency: str) -> str:
     """
     Generate summary table per strategy
     :param stake_currency: stake-currency - used to correctly name headers
@@ -153,34 +208,21 @@ def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
     :param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
     :return: pretty printed table with tabulate as string
     """
+    floatfmt = _get_line_floatfmt()
+    headers = _get_line_header('Strategy', stake_currency)
 
-    floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
-    tabular_data = []
-    headers = ['Strategy', 'Buys', 'Avg Profit %', 'Cum Profit %',
-               f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
-               'Wins', 'Draws', 'Losses']
-    for strategy, results in all_results.items():
-        tabular_data.append([
-            strategy,
-            len(results.index),
-            results.profit_percent.mean() * 100.0,
-            results.profit_percent.sum() * 100.0,
-            results.profit_abs.sum(),
-            results.profit_percent.sum() * 100.0 / max_open_trades,
-            str(timedelta(
-                minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
-            len(results[results.profit_abs > 0]),
-            len(results[results.profit_abs == 0]),
-            len(results[results.profit_abs < 0])
-        ])
+    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
-    return tabulate(tabular_data, headers=headers,
+    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')
+    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',
@@ -206,38 +248,48 @@ def generate_edge_table(results: dict) -> str:
 
 def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
                           all_results: Dict[str, DataFrame]):
-    for strategy, results in all_results.items():
+    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,
+                                             results=results, skip_nan=False)
+        sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
+                                                       results=results)
+        left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
+                                                  max_open_trades=max_open_trades,
+                                                  results=results.loc[results['open_at_end']],
+                                                  skip_nan=True)
+        # Print results
         print(f"Result for strategy {strategy}")
-        table = generate_text_table(btdata, stake_currency=config['stake_currency'],
-                                    max_open_trades=config['max_open_trades'],
-                                    results=results)
+        table = generate_text_table(pair_results, stake_currency=stake_currency)
         if isinstance(table, str):
             print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
         print(table)
 
-        table = generate_text_table_sell_reason(stake_currency=config['stake_currency'],
-                                                max_open_trades=config['max_open_trades'],
-                                                results=results)
+        table = generate_text_table_sell_reason(sell_reason_stats=sell_reason_stats,
+                                                stake_currency=stake_currency,
+                                                )
         if isinstance(table, str):
             print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '='))
         print(table)
 
-        table = generate_text_table(btdata,
-                                    stake_currency=config['stake_currency'],
-                                    max_open_trades=config['max_open_trades'],
-                                    results=results.loc[results.open_at_end], skip_nan=True)
+        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
-        table = generate_text_table_strategy(config['stake_currency'],
-                                             config['max_open_trades'],
-                                             all_results=all_results)
+        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]))