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Add days breakdown table to backtesting

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This commit is contained in:
rextea
2021-03-26 18:40:50 +03:00
parent dd5873ef24
commit 2bed41da5d
5 changed files with 74 additions and 9 deletions
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1
docs/backtesting.md
View File

@@ -67,6 +67,7 @@ optional arguments:
Requires `--export` to be set as well. Example:
`--export-filename=user_data/backtest_results/backtest
_today.json`
--show-days Print a days breakdown table of the backtest results
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).

2
freqtrade/commands/arguments.py
View File

@@ -21,7 +21,7 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet",
"strategy_list", "export", "exportfilename"]
"strategy_list", "export", "exportfilename", "show_days"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"position_stacking", "use_max_market_positions",

6
freqtrade/commands/cli_options.py
View File

@@ -183,6 +183,12 @@ AVAILABLE_CLI_OPTIONS = {
type=float,
metavar='FLOAT',
),
"show_days": Arg(
'--show-days',
help='Print days breakdown for backtest results',
action='store_true',
default=False,
),
# Edge
"stoploss_range": Arg(
'--stoplosses',

3
freqtrade/configuration/configuration.py
View File

@@ -260,6 +260,9 @@ class Configuration:
self._args_to_config(config, argname='export',
logstring='Parameter --export detected: {} ...')
self._args_to_config(config, argname='show_days',
logstring='Parameter --show-days detected ...')
# Edge section:
if 'stoploss_range' in self.args and self.args["stoploss_range"]:
txt_range = eval(self.args["stoploss_range"])

71
freqtrade/optimize/optimize_reports.py
View File

@@ -13,7 +13,6 @@ from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
calculate_max_drawdown)
from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
logger = logging.getLogger(__name__)
@@ -32,7 +31,7 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
filename = Path.joinpath(
recordfilename.parent,
f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}'
).with_suffix(recordfilename.suffix)
).with_suffix(recordfilename.suffix)
file_dump_json(filename, stats)
latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
@@ -75,8 +74,8 @@ def _generate_result_line(result: DataFrame, starting_balance: int, first_column
'profit_total': profit_total,
'profit_total_pct': round(profit_total * 100.0, 2),
'duration_avg': str(timedelta(
minutes=round(result['trade_duration'].mean()))
) if not result.empty else '0:00',
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',
@@ -161,12 +160,11 @@ def generate_strategy_metrics(all_results: Dict) -> List[Dict]:
for strategy, results in all_results.items():
tabular_data.append(_generate_result_line(
results['results'], results['config']['dry_run_wallet'], strategy)
)
)
return tabular_data
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',
@@ -191,6 +189,29 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def generate_days_breakdown_stats(results: DataFrame, starting_balance: int) -> Dict[str, Any]:
days = results.resample('1d', on='close_date')
days_stats = []
for name, day in days:
profit_abs = day['profit_abs'].sum().round(10)
profit_total = day['profit_abs'].sum() / starting_balance
wins = sum(day['profit_abs'] > 0)
draws = sum(day['profit_abs'] == 0)
loses = sum(day['profit_abs'] < 0)
profit_percentage = round(profit_total * 100.0, 2)
days_stats.append(
{
'date': name.strftime('%d/%m/%Y'),
'profit_percentage': profit_percentage,
'profit_abs': profit_abs,
'wins': wins,
'draws': draws,
'loses': loses
}
)
return days_stats
def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
if len(results) == 0:
return {
@@ -266,6 +287,8 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
starting_balance=starting_balance,
results=results.loc[results['is_open']],
skip_nan=True)
days_breakdown_stats = generate_days_breakdown_stats(results=results,
starting_balance=starting_balance)
daily_stats = generate_daily_stats(results)
best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
@@ -283,6 +306,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
'days_breakdown_stats': days_breakdown_stats,
'total_trades': len(results),
'total_volume': float(results['stake_amount'].sum()),
'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
@@ -425,6 +449,28 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_days_breakdown(days_breakdown_stats: List[Dict[str, Any]], stake_currency: str) -> str:
"""
Generate small table with Backtest results by days
:param days_breakdown_stats: Days breakdown metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
'Day',
'Profit %',
f'Tot Profit {stake_currency}',
'Wins',
'Draws',
'Losses',
]
output = [[
d['date'], d['profit_percentage'], round_coin_value(d['profit_abs'], stake_currency, False),
d['wins'], d['draws'], d['loses'],
] for d in days_breakdown_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
Generate summary table per strategy
@@ -463,6 +509,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{round(strat_results['profit_total'] / strat_results['backtest_days'] * 100, 2)}%"),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
@@ -482,7 +530,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Worst day', round_coin_value(strat_results['backtest_worst_day_abs'],
strat_results['stake_currency'])),
('Days win/draw/lose', f"{strat_results['winning_days']} / "
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 Loser', f"{strat_results['loser_holding_avg']}"),
('', ''), # Empty line to improve readability
@@ -510,7 +558,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])
stake_amount = round_coin_value(
strat_results['stake_amount'], strat_results['stake_currency']
) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited'
) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited'
message = ("No trades made. "
f"Your starting balance was {start_balance}, "
@@ -542,6 +590,13 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
if config.get('show_days', False):
table = text_table_days_breakdown(days_breakdown_stats=results['days_breakdown_stats'],
stake_currency=stake_currency)
if isinstance(table, str) and len(table) > 0:
print(' DAYS BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_add_metrics(results)
if isinstance(table, str) and len(table) > 0:
print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '='))