From 2bed41da5dcc899b45c0d984b81b44cfc5094340 Mon Sep 17 00:00:00 2001 From: rextea Date: Fri, 26 Mar 2021 18:40:50 +0300 Subject: [PATCH] Add days breakdown table to backtesting --- docs/backtesting.md | 1 + freqtrade/commands/arguments.py | 2 +- freqtrade/commands/cli_options.py | 6 ++ freqtrade/configuration/configuration.py | 3 + freqtrade/optimize/optimize_reports.py | 71 +++++++++++++++++++++--- 5 files changed, 74 insertions(+), 9 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index d02c59f05..91faa07bb 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -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). diff --git a/freqtrade/commands/arguments.py b/freqtrade/commands/arguments.py index 9468a7f7d..b71819ef2 100644 --- a/freqtrade/commands/arguments.py +++ b/freqtrade/commands/arguments.py @@ -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", diff --git a/freqtrade/commands/cli_options.py b/freqtrade/commands/cli_options.py index 15c13cec9..dc193ee4f 100644 --- a/freqtrade/commands/cli_options.py +++ b/freqtrade/commands/cli_options.py @@ -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', diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index a40a4fd83..1eb6351d0 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -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"]) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 099976aa9..d15988669 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -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]), '='))