Update backtesting output wording to Entries
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Matthias
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@ -107,7 +107,7 @@ Strategy arguments:
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## Test your strategy with Backtesting
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Now you have good Buy and Sell strategies and some historic data, you want to test it against
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Now you have good Entry and exit strategies and some historic data, you want to test it against
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real data. This is what we call [backtesting](https://en.wikipedia.org/wiki/Backtesting).
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Backtesting will use the crypto-currencies (pairs) from your config file and load historical candle (OHLCV) data from `user_data/data/<exchange>` by default.
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@ -215,7 +215,7 @@ Sometimes your account has certain fee rebates (fee reductions starting with a c
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To account for this in backtesting, you can use the `--fee` command line option to supply this value to backtesting.
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This fee must be a ratio, and will be applied twice (once for trade entry, and once for trade exit).
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For example, if the buying and selling commission fee is 0.1% (i.e., 0.001 written as ratio), then you would run backtesting as the following:
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For example, if the commission fee per order is 0.1% (i.e., 0.001 written as ratio), then you would run backtesting as the following:
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```bash
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freqtrade backtesting --fee 0.001
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@ -252,41 +252,41 @@ The most important in the backtesting is to understand the result.
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A backtesting result will look like that:
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```
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========================================================= BACKTESTING REPORT ==========================================================
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| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins Draws Loss Win% |
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|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:-------------|-------------------------:|
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| ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 0 21 40.0 |
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| ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 0 8 27.3 |
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| BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 0 14 56.2 |
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| DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 0 7 46.2 |
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| ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 0 10 44.4 |
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| EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 0 20 44.4 |
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| ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 0 15 42.3 |
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| ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 0 17 48.5 |
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| IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 0 18 43.8 |
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| LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 0 9 40.0 |
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| LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 0 21 34.4 |
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| NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 0 7 58.5 |
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| NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 0 13 43.5 |
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| REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 0 5 44.4 |
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| XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 0 9 43.8 |
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| XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 0 11 52.2 |
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| XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 0 23 34.3 |
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| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 0 15 31.8 |
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| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |
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========================================================= BACKTESTING REPORT =========================================================
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| Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins Draws Loss Win% |
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|:---------|--------:|---------------:|---------------:|-----------------:|---------------:|:-------------|-------------------------:|
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| ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 0 21 40.0 |
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| ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 0 8 27.3 |
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| BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 0 14 56.2 |
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| DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 0 7 46.2 |
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| ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 0 10 44.4 |
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| EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 0 20 44.4 |
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| ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 0 15 42.3 |
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| ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 0 17 48.5 |
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| IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 0 18 43.8 |
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| LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 0 9 40.0 |
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| LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 0 21 34.4 |
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| NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 0 7 58.5 |
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| NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 0 13 43.5 |
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| REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 0 5 44.4 |
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| XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 0 9 43.8 |
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| XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 0 11 52.2 |
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| XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 0 23 34.3 |
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| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 0 15 31.8 |
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| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |
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========================================================= EXIT REASON STATS ==========================================================
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| Exit Reason | Sells | Wins | Draws | Losses |
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| Exit Reason | Exits | Wins | Draws | Losses |
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|:-------------------|--------:|------:|-------:|--------:|
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| trailing_stop_loss | 205 | 150 | 0 | 55 |
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| stop_loss | 166 | 0 | 0 | 166 |
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| exit_signal | 56 | 36 | 0 | 20 |
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| force_exit | 2 | 0 | 0 | 2 |
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====================================================== LEFT OPEN TRADES REPORT ======================================================
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| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Win Draw Loss Win% |
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|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|--------------------:|
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| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 0 0 100 |
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| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 0 0 100 |
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| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 0 0 100 |
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| Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Win Draw Loss Win% |
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|:---------|---------:|---------------:|---------------:|-----------------:|---------------:|:---------------|--------------------:|
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| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 0 0 100 |
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| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 0 0 100 |
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| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 0 0 100 |
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================== SUMMARY METRICS ==================
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| Metric | Value |
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|-----------------------------+---------------------|
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@ -356,7 +356,7 @@ The column `Avg Profit %` shows the average profit for all trades made while the
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The column `Tot Profit %` shows instead the total profit % in relation to the starting balance.
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In the above results, we have a starting balance of 0.01 BTC and an absolute profit of 0.00762792 BTC - so the `Tot Profit %` will be `(0.00762792 / 0.01) * 100 ~= 76.2%`.
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Your strategy performance is influenced by your buy strategy, your exit strategy, and also by the `minimal_roi` and `stop_loss` you have set.
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Your strategy performance is influenced by your entry strategy, your exit strategy, and also by the `minimal_roi` and `stop_loss` you have set.
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For example, if your `minimal_roi` is only `"0": 0.01` you cannot expect the bot to make more profit than 1% (because it will exit every time a trade reaches 1%).
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@ -515,7 +515,7 @@ You can then load the trades to perform further analysis as shown in the [data a
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Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions:
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- Exchange [trading limits](#trading-limits-in-backtesting) are respected
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- Buys happen at open-price
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- Entries happen at open-price
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- All orders are filled at the requested price (no slippage, no unfilled orders)
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- Exit-signal exits happen at open-price of the consecutive candle
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- Exit-signal is favored over Stoploss, because exit-signals are assumed to trigger on candle's open
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@ -612,11 +612,11 @@ There will be an additional table comparing win/losses of the different strategi
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Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.
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```
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=========================================================== STRATEGY SUMMARY =========================================================================
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| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown % |
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|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
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| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | 45.2 |
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| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | 241.68 |
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=========================================================== STRATEGY SUMMARY ===========================================================================
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| Strategy | Entries | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown % |
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|:------------|---------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
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| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | 45.2 |
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| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | 241.68 |
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```
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## Next step
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@ -75,7 +75,8 @@ def _get_line_floatfmt(stake_currency: str) -> List[str]:
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'.2f', 'd', 's', 's']
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def _get_line_header(first_column: str, stake_currency: str, direction: str = 'Buys') -> List[str]:
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def _get_line_header(first_column: str, stake_currency: str,
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direction: str = 'Entries') -> List[str]:
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"""
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Generate header lines (goes in line with _generate_result_line())
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"""
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@ -642,7 +643,7 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
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if (tag_type == "enter_tag"):
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headers = _get_line_header("TAG", stake_currency)
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else:
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headers = _get_line_header("TAG", stake_currency, 'Sells')
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headers = _get_line_header("TAG", stake_currency, 'Exits')
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floatfmt = _get_line_floatfmt(stake_currency)
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output = [
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[
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@ -40,14 +40,14 @@ def test_text_table_bt_results():
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)
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result_str = (
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'| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % |'
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' Avg Duration | Win Draw Loss Win% |\n'
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'|---------+--------+----------------+----------------+------------------+----------------+'
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'----------------+-------------------------|\n'
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'| ETH/BTC | 3 | 8.33 | 25.00 | 0.50000000 | 12.50 |'
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' 0:20:00 | 2 0 1 66.7 |\n'
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'| TOTAL | 3 | 8.33 | 25.00 | 0.50000000 | 12.50 |'
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' 0:20:00 | 2 0 1 66.7 |'
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'| Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit BTC | '
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'Tot Profit % | Avg Duration | Win Draw Loss Win% |\n'
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'|---------+-----------+----------------+----------------+------------------+'
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'----------------+----------------+-------------------------|\n'
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'| ETH/BTC | 3 | 8.33 | 25.00 | 0.50000000 | '
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'12.50 | 0:20:00 | 2 0 1 66.7 |\n'
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'| TOTAL | 3 | 8.33 | 25.00 | 0.50000000 | '
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'12.50 | 0:20:00 | 2 0 1 66.7 |'
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)
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pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
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@ -402,13 +402,13 @@ def test_text_table_strategy(testdatadir):
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bt_res_data_comparison = bt_res_data.pop('strategy_comparison')
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result_str = (
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'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC |'
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'| Strategy | Entries | Avg Profit % | Cum Profit % | Tot Profit BTC |'
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' Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |\n'
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'|----------------+--------+----------------+----------------+------------------+'
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'|----------------+-----------+----------------+----------------+------------------+'
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'----------------+----------------+-------------------------+-----------------------|\n'
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'| StrategyTestV2 | 179 | 0.08 | 14.39 | 0.02608550 |'
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'| StrategyTestV2 | 179 | 0.08 | 14.39 | 0.02608550 |'
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' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |\n'
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'| TestStrategy | 179 | 0.08 | 14.39 | 0.02608550 |'
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'| TestStrategy | 179 | 0.08 | 14.39 | 0.02608550 |'
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' 260.85 | 3:40:00 | 170 0 9 95.0 | 0.00308222 BTC 8.67% |'
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)
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