Backtest-reports should calculate total gains based on starting capital

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).

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 <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

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,

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)