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Backtest-reports should calculate total gains based on starting capital

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This commit is contained in:
Matthias
2021-02-13 09:01:05 +01:00
parent 8d61a26382
commit 35e6a9ab3a
4 changed files with 44 additions and 17 deletions
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32
freqtrade/optimize/optimize_reports.py
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@@ -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 <pair: dataframe> 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