Merge pull request #3558 from freqtrade/bt_add_maxdrawdown
Revise backtesting export format, add some metrics
This commit is contained in:
Matthias
GitHub
@@ -13,6 +13,7 @@ from pandas import DataFrame
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from freqtrade.configuration import (TimeRange, remove_credentials,
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validate_config_consistency)
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from freqtrade.constants import DATETIME_PRINT_FORMAT
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from freqtrade.data import history
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from freqtrade.data.converter import trim_dataframe
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from freqtrade.data.dataprovider import DataProvider
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@@ -20,7 +21,7 @@ from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.optimize.optimize_reports import (generate_backtest_stats,
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show_backtest_results,
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store_backtest_result)
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store_backtest_stats)
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from freqtrade.pairlist.pairlistmanager import PairListManager
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from freqtrade.persistence import Trade
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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@@ -36,14 +37,15 @@ class BacktestResult(NamedTuple):
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pair: str
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profit_percent: float
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profit_abs: float
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open_time: datetime
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close_time: datetime
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open_index: int
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close_index: int
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open_date: datetime
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open_rate: float
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open_fee: float
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close_date: datetime
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close_rate: float
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close_fee: float
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amount: float
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trade_duration: float
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open_at_end: bool
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open_rate: float
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close_rate: float
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sell_reason: SellType
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@@ -135,10 +137,10 @@ class Backtesting:
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min_date, max_date = history.get_timerange(data)
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logger.info(
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'Loading data from %s up to %s (%s days)..',
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min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days
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)
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logger.info(f'Loading data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'({(max_date - min_date).days} days)..')
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# Adjust startts forward if not enough data is available
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timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe),
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self.required_startup, min_date)
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@@ -223,7 +225,7 @@ class Backtesting:
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open_rate=buy_row.open,
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open_date=buy_row.date,
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stake_amount=stake_amount,
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amount=stake_amount / buy_row.open,
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amount=round(stake_amount / buy_row.open, 8),
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fee_open=self.fee,
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fee_close=self.fee,
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is_open=True,
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@@ -244,14 +246,15 @@ class Backtesting:
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return BacktestResult(pair=pair,
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profit_percent=trade.calc_profit_ratio(rate=closerate),
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profit_abs=trade.calc_profit(rate=closerate),
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open_time=buy_row.date,
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close_time=sell_row.date,
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trade_duration=trade_dur,
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open_index=buy_row.Index,
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close_index=sell_row.Index,
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open_at_end=False,
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open_date=buy_row.date,
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open_rate=buy_row.open,
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open_fee=self.fee,
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close_date=sell_row.date,
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close_rate=closerate,
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close_fee=self.fee,
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amount=trade.amount,
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trade_duration=trade_dur,
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open_at_end=False,
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sell_reason=sell.sell_type
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)
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if partial_ohlcv:
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@@ -260,15 +263,16 @@ class Backtesting:
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bt_res = BacktestResult(pair=pair,
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profit_percent=trade.calc_profit_ratio(rate=sell_row.open),
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profit_abs=trade.calc_profit(rate=sell_row.open),
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open_time=buy_row.date,
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close_time=sell_row.date,
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open_date=buy_row.date,
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open_rate=buy_row.open,
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open_fee=self.fee,
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close_date=sell_row.date,
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close_rate=sell_row.open,
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close_fee=self.fee,
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amount=trade.amount,
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trade_duration=int((
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sell_row.date - buy_row.date).total_seconds() // 60),
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open_index=buy_row.Index,
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close_index=sell_row.Index,
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open_at_end=True,
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open_rate=buy_row.open,
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close_rate=sell_row.open,
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sell_reason=SellType.FORCE_SELL
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)
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logger.debug(f"{pair} - Force selling still open trade, "
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@@ -354,8 +358,8 @@ class Backtesting:
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if trade_entry:
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logger.debug(f"{pair} - Locking pair till "
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f"close_time={trade_entry.close_time}")
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lock_pair_until[pair] = trade_entry.close_time
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f"close_date={trade_entry.close_date}")
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lock_pair_until[pair] = trade_entry.close_date
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trades.append(trade_entry)
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else:
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# Set lock_pair_until to end of testing period if trade could not be closed
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@@ -398,10 +402,9 @@ class Backtesting:
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preprocessed[pair] = trim_dataframe(df, timerange)
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min_date, max_date = history.get_timerange(preprocessed)
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logger.info(
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'Backtesting with data from %s up to %s (%s days)..',
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min_date.isoformat(), max_date.isoformat(), (max_date - min_date).days
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)
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logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'({(max_date - min_date).days} days)..')
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# Execute backtest and print results
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all_results[self.strategy.get_strategy_name()] = self.backtest(
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processed=preprocessed,
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@@ -412,8 +415,10 @@ class Backtesting:
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position_stacking=position_stacking,
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)
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stats = generate_backtest_stats(self.config, data, all_results,
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min_date=min_date, max_date=max_date)
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if self.config.get('export', False):
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store_backtest_result(self.config['exportfilename'], all_results)
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store_backtest_stats(self.config['exportfilename'], stats)
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# Show backtest results
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stats = generate_backtest_stats(self.config, data, all_results)
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show_backtest_results(self.config, stats)
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