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Merge pull request #1018 from freqtrade/feat/sell_reason

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Record sell reason
This commit is contained in:
Janne Sinivirta
2018-07-24 09:09:45 +03:00
committed by GitHub
parent ab67822af2 0775a371fe
commit 0b3190552e
9 changed files with 162 additions and 43 deletions
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49
freqtrade/optimize/backtesting.py
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@@ -20,6 +20,7 @@ from freqtrade.configuration import Configuration
from freqtrade.exchange import Exchange
from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade
from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver
logger = logging.getLogger(__name__)
@@ -40,6 +41,7 @@ class BacktestResult(NamedTuple):
open_at_end: bool
open_rate: float
close_rate: float
sell_reason: SellType
class Backtesting(object):
@@ -120,11 +122,21 @@ class Backtesting(object):
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def _generate_text_table_sell_reason(self, data: Dict[str, Dict], results: DataFrame) -> str:
"""
Generate small table outlining Backtest results
"""
tabular_data = []
headers = ['Sell Reason', 'Count']
for reason, count in results['sell_reason'].value_counts().iteritems():
tabular_data.append([reason.value, count])
return tabulate(tabular_data, headers=headers, tablefmt="pipe")
def _store_backtest_result(self, recordfilename: Optional[str], results: DataFrame) -> None:
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.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
for index, t in results.iterrows()]
if records:
@@ -153,8 +165,9 @@ class Backtesting(object):
trade_count_lock[sell_row.date] = trade_count_lock.get(sell_row.date, 0) + 1
buy_signal = sell_row.buy
if self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell):
sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell)
if sell.sell_flag:
return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.open),
@@ -167,7 +180,8 @@ class Backtesting(object):
close_index=sell_row.Index,
open_at_end=False,
open_rate=buy_row.open,
close_rate=sell_row.open
close_rate=sell_row.open,
sell_reason=sell.sell_type
)
if partial_ticker:
# no sell condition found - trade stil open at end of backtest period
@@ -183,7 +197,8 @@ class Backtesting(object):
close_index=sell_row.Index,
open_at_end=True,
open_rate=buy_row.open,
close_rate=sell_row.open
close_rate=sell_row.open,
sell_reason=SellType.FORCE_SELL
)
logger.debug('Force_selling still open trade %s with %s perc - %s', btr.pair,
btr.profit_percent, btr.profit_abs)
@@ -318,21 +333,31 @@ class Backtesting(object):
self._store_backtest_result(self.config.get('exportfilename'), results)
logger.info(
'\n================================================= '
'BACKTESTING REPORT'
' ==================================================\n'
'\n' + '=' * 49 +
' BACKTESTING REPORT ' +
'=' * 50 + '\n'
'%s',
self._generate_text_table(
data,
results
)
)
# logger.info(
# results[['sell_reason']].groupby('sell_reason').count()
# )
logger.info(
'\n=============================================== '
'LEFT OPEN TRADES REPORT'
' ===============================================\n'
'%s',
'\n' +
' SELL READON STATS '.center(119, '=') +
'\n%s \n',
self._generate_text_table_sell_reason(data, results)
)
logger.info(
'\n' +
' LEFT OPEN TRADES REPORT '.center(119, '=') +
'\n%s',
self._generate_text_table(
data,
results.loc[results.open_at_end]