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Merge pull request #2714 from freqtrade/sell_reason_counts

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backtesting - Sell reason counts
This commit is contained in:
hroff-1902
2019-12-25 13:35:11 +03:00
committed by GitHub
parent 5e6e625694 63f41cf1c6
commit 32118cc1cb
3 changed files with 17 additions and 14 deletions
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13
docs/backtesting.md
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@@ -137,12 +137,12 @@ A backtesting result will look like that:
| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 | 15 | | ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 | 15 |
| 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 | 243 |
========================================================= SELL REASON STATS ========================================================= ========================================================= SELL REASON STATS =========================================================
| Sell Reason | Count | | Sell Reason | Count | Profit | Loss |
|:-------------------|--------:| |:-------------------|--------:|---------:|-------:|
| trailing_stop_loss | 205 | | trailing_stop_loss | 205 | 150 | 55 |
| stop_loss | 166 | | stop_loss | 166 | 0 | 166 |
| sell_signal | 56 | | sell_signal | 56 | 36 | 20 |
| force_sell | 2 | | force_sell | 2 | 0 | 2 |
====================================================== LEFT OPEN TRADES REPORT ====================================================== ====================================================== LEFT OPEN TRADES REPORT ======================================================
| pair | buy count | avg profit % | cum profit % | tot profit BTC | tot profit % | avg duration | profit | loss | | pair | buy count | avg profit % | cum profit % | tot profit BTC | tot profit % | avg duration | profit | loss |
|:---------|------------:|---------------:|---------------:|-----------------:|---------------:|:---------------|---------:|-------:| |:---------|------------:|---------------:|---------------:|-----------------:|---------------:|:---------------|---------:|-------:|
@@ -154,6 +154,7 @@ A backtesting result will look like that:
The 1st table contains all trades the bot made, including "left open trades". The 1st table contains all trades the bot made, including "left open trades".
The 2nd table contains a recap of sell reasons. The 2nd table contains a recap of sell reasons.
This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that).
The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture. The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture.
This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever. This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever.

6
freqtrade/optimize/backtesting.py
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@@ -183,9 +183,11 @@ class Backtesting:
Generate small table outlining Backtest results Generate small table outlining Backtest results
""" """
tabular_data = [] tabular_data = []
headers = ['Sell Reason', 'Count'] headers = ['Sell Reason', 'Count', 'Profit', 'Loss']
for reason, count in results['sell_reason'].value_counts().iteritems(): for reason, count in results['sell_reason'].value_counts().iteritems():
tabular_data.append([reason.value, count]) profit = len(results[(results['sell_reason'] == reason) & (results['profit_abs'] >= 0)])
loss = len(results[(results['sell_reason'] == reason) & (results['profit_abs'] < 0)])
tabular_data.append([reason.value, count, profit, loss])
return tabulate(tabular_data, headers=headers, tablefmt="pipe") return tabulate(tabular_data, headers=headers, tablefmt="pipe")
def _generate_text_table_strategy(self, all_results: dict) -> str: def _generate_text_table_strategy(self, all_results: dict) -> str:

12
tests/optimize/test_backtesting.py
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@@ -394,8 +394,8 @@ def test_generate_text_table_sell_reason(default_conf, mocker):
results = pd.DataFrame( results = pd.DataFrame(
{ {
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3], 'profit_percent': [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],
'profit': [2, 0, 0], 'profit': [2, 0, 0],
'loss': [0, 0, 1], 'loss': [0, 0, 1],
@@ -404,10 +404,10 @@ def test_generate_text_table_sell_reason(default_conf, mocker):
) )
result_str = ( result_str = (
'| Sell Reason | Count |\n' '| Sell Reason | Count | Profit | Loss |\n'
'|:--------------|--------:|\n' '|:--------------|--------:|---------:|-------:|\n'
'| roi | 2 |\n' '| roi | 2 | 2 | 0 |\n'
'| stop_loss | 1 |' '| stop_loss | 1 | 0 | 1 |'
) )
assert backtesting._generate_text_table_sell_reason( assert backtesting._generate_text_table_sell_reason(
data={'ETH/BTC': {}}, results=results) == result_str data={'ETH/BTC': {}}, results=results) == result_str