Add CAGR calculation to backtesting

freqtrade/data/btanalysis.py

@@ -553,3 +553,14 @@ def calculate_csum(trades: pd.DataFrame, starting_balance: float = 0) -> Tuple[f
     csum_max = csum_df['sum'].max() + starting_balance
 
     return csum_min, csum_max
+
+
+def calculate_cagr(days_passed: int, starting_balance: float, final_balance: float) -> float:
+    """
+    Calculate CAGR
+    :param days_passed: Days passed between start and ending balance
+    :param starting_balance: Starting balance
+    :param final_balance: Final balance to calculate CAGR against
+    :return: CAGR
+    """
+    return (final_balance / starting_balance) ** (1 / (days_passed / 365)) - 1

freqtrade/optimize/optimize_reports.py

@@ -9,7 +9,7 @@ from pandas import DataFrame, to_datetime
 from tabulate import tabulate
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
-from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
+from freqtrade.data.btanalysis import (calculate_cagr, calculate_csum, calculate_market_change,
                                        calculate_max_drawdown)
 from freqtrade.misc import (decimals_per_coin, file_dump_joblib, file_dump_json,
                             get_backtest_metadata_filename, round_coin_value)
@@ -446,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
         'profit_total_abs': results['profit_abs'].sum(),
         'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
         'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
+        'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
         'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
         'backtest_start_ts': int(min_date.timestamp() * 1000),
         'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -746,6 +747,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
                                                   strat_results['stake_currency'])),
             ('Total profit %', f"{strat_results['profit_total']:.2%}"),
+            ('CAGR %', f"{strat_results['cagr']:.2%}"),
             ('Trades per day', strat_results['trades_per_day']),
             ('Avg. daily profit %',
              f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),