From 35e6a9ab3aa70cad59d8cc75b50bedecdce56e0a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 13 Feb 2021 09:01:05 +0100 Subject: [PATCH] Backtest-reports should calculate total gains based on starting capital --- docs/backtesting.md | 18 +++++++++++--- freqtrade/optimize/optimize_reports.py | 32 +++++++++++++++++-------- tests/conftest.py | 1 + tests/optimize/test_optimize_reports.py | 10 ++++---- 4 files changed, 44 insertions(+), 17 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 38d1af45a..eab64a7a9 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -252,7 +252,10 @@ A backtesting result will look like that: | Max open trades | 3 | | | | | Total trades | 429 | -| Total Profit % | 152.41% | +| Starting capital | 0.01000000 BTC | +| End capital | 0.01762792 BTC | +| Absolute profit | 0.00762792 BTC | +| Total Profit % | 76.2% | | Trades per day | 3.575 | | | | | Best Pair | LSK/BTC 26.26% | @@ -261,6 +264,7 @@ A backtesting result will look like that: | Worst Trade | ZEC/BTC -10.25% | | Best day | 25.27% | | Worst day | -30.67% | +| Days win/draw/lose | 12 / 82 / 25 | | Avg. Duration Winners | 4:23:00 | | Avg. Duration Loser | 6:55:00 | | | | @@ -328,7 +332,10 @@ It contains some useful key metrics about performance of your strategy on backte | Max open trades | 3 | | | | | Total trades | 429 | -| Total Profit % | 152.41% | +| Starting capital | 0.01000000 BTC | +| End capital | 0.01762792 BTC | +| Absolute profit | 0.00762792 BTC | +| Total Profit % | 76.2% | | Trades per day | 3.575 | | | | | Best Pair | LSK/BTC 26.26% | @@ -337,6 +344,7 @@ It contains some useful key metrics about performance of your strategy on backte | Worst Trade | ZEC/BTC -10.25% | | Best day | 25.27% | | Worst day | -30.67% | +| Days win/draw/lose | 12 / 82 / 25 | | Avg. Duration Winners | 4:23:00 | | Avg. Duration Loser | 6:55:00 | | | | @@ -351,11 +359,15 @@ It contains some useful key metrics about performance of your strategy on backte - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option). - `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - or number of pairs in the pairlist (whatever is lower). - `Total trades`: Identical to the total trades of the backtest output table. -- `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. +- `Starting capital`: Start capital - as given by dry-run-wallet (config or command line). +- `End capital`: Final capital - starting capital + absolute profit. +- `Absolute profit`: Profit made in stake currency. +- `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`. - `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy). - `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`. - `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade - `Best day` / `Worst day`: Best and worst day based on daily profit. +- `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade). - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. - `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced). - `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command). diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 6338b1d71..d6adfdf50 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -56,12 +56,13 @@ def _get_line_header(first_column: str, stake_currency: str) -> List[str]: 'Wins', 'Draws', 'Losses'] -def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: str) -> Dict: +def _generate_result_line(result: DataFrame, starting_balance: int, first_column: str) -> Dict: """ Generate one result dict, with "first_column" as key. """ profit_sum = result['profit_ratio'].sum() - profit_total = profit_sum / max_open_trades + # (end-capital - starting capital) / starting capital + profit_total = result['profit_abs'].sum() / starting_balance return { 'key': first_column, @@ -88,13 +89,13 @@ def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: } -def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, max_open_trades: int, +def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_balance: 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 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 starting_balance: Starting balance :param results: Dataframe containing the backtest results :param skip_nan: Print "left open" open trades :return: List of Dicts containing the metrics per pair @@ -107,10 +108,10 @@ def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, max_open_t if skip_nan and result['profit_abs'].isnull().all(): continue - tabular_data.append(_generate_result_line(result, max_open_trades, pair)) + tabular_data.append(_generate_result_line(result, starting_balance, pair)) # Append Total - tabular_data.append(_generate_result_line(results, max_open_trades, 'TOTAL')) + tabular_data.append(_generate_result_line(results, starting_balance, 'TOTAL')) return tabular_data @@ -159,7 +160,7 @@ def generate_strategy_metrics(all_results: Dict) -> List[Dict]: tabular_data = [] for strategy, results in all_results.items(): tabular_data.append(_generate_result_line( - results['results'], results['config']['max_open_trades'], strategy) + results['results'], results['config']['dry_run_wallet'], strategy) ) return tabular_data @@ -246,15 +247,16 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], continue config = content['config'] max_open_trades = min(config['max_open_trades'], len(btdata.keys())) + starting_balance = config['dry_run_wallet'] stake_currency = config['stake_currency'] pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency, - max_open_trades=max_open_trades, + starting_balance=starting_balance, 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, + starting_balance=starting_balance, results=results.loc[results['is_open']], skip_nan=True) daily_stats = generate_daily_stats(results) @@ -276,7 +278,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'left_open_trades': left_open_results, 'total_trades': len(results), 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, - 'profit_total': results['profit_ratio'].sum() / max_open_trades, + 'profit_total': results['profit_abs'].sum() / starting_balance, 'profit_total_abs': results['profit_abs'].sum(), 'backtest_start': min_date.datetime, 'backtest_start_ts': min_date.int_timestamp * 1000, @@ -292,6 +294,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'pairlist': list(btdata.keys()), 'stake_amount': config['stake_amount'], 'stake_currency': config['stake_currency'], + 'starting_balance': starting_balance, + 'dry_run_wallet': starting_balance, + 'final_balance': content['final_balance'], 'max_open_trades': max_open_trades, 'max_open_trades_setting': (config['max_open_trades'] if config['max_open_trades'] != float('inf') else -1), @@ -431,6 +436,13 @@ def text_table_add_metrics(strat_results: Dict) -> str: ('Max open trades', strat_results['max_open_trades']), ('', ''), # Empty line to improve readability ('Total trades', strat_results['total_trades']), + ('Starting capital', round_coin_value(strat_results['starting_balance'], + strat_results['stake_currency'])), + ('End capital', round_coin_value(strat_results['final_balance'], + strat_results['stake_currency'])), + ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], + strat_results['stake_currency'])), + ('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"), ('Trades per day', strat_results['trades_per_day']), ('', ''), # Empty line to improve readability diff --git a/tests/conftest.py b/tests/conftest.py index 946ae1fb5..6e70603b1 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -261,6 +261,7 @@ def get_default_conf(testdatadir): "20": 0.02, "0": 0.04 }, + "dry_run_wallet": 1000, "stoploss": -0.10, "unfilledtimeout": { "buy": 10, diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 8b64c2764..405cc599b 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -48,7 +48,7 @@ def test_text_table_bt_results(): ) pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC', - max_open_trades=2, results=results) + starting_balance=4, results=results) assert text_table_bt_results(pair_results, stake_currency='BTC') == result_str @@ -78,6 +78,7 @@ def test_generate_backtest_stats(default_conf, testdatadir): }), 'config': default_conf, 'locks': [], + 'final_balance': 1000.02, 'backtest_start_time': Arrow.utcnow().int_timestamp, 'backtest_end_time': Arrow.utcnow().int_timestamp, } @@ -189,7 +190,7 @@ def test_generate_pair_metrics(): ) pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC', - max_open_trades=2, results=results) + starting_balance=2, results=results) assert isinstance(pair_results, list) assert len(pair_results) == 2 assert pair_results[-1]['key'] == 'TOTAL' @@ -291,6 +292,7 @@ def test_generate_sell_reason_stats(): def test_text_table_strategy(default_conf): default_conf['max_open_trades'] = 2 + default_conf['dry_run_wallet'] = 3 results = {} results['TestStrategy1'] = {'results': pd.DataFrame( { @@ -323,9 +325,9 @@ def test_text_table_strategy(default_conf): '|---------------+--------+----------------+----------------+------------------+' '----------------+----------------+--------+---------+----------|\n' '| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |' - ' 30.00 | 0:17:00 | 3 | 0 | 0 |\n' + ' 36.67 | 0:17:00 | 3 | 0 | 0 |\n' '| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |' - ' 45.00 | 0:20:00 | 3 | 0 | 0 |' + ' 43.33 | 0:20:00 | 3 | 0 | 0 |' ) strategy_results = generate_strategy_metrics(all_results=results)