Merge pull request #5150 from cryptomeisternox/backtesting-filter

Adding command for Filtering and print trades

docs/utils.md

@@ -577,6 +577,46 @@ Common arguments:
 
 ```
 
+## Show previous Backtest results
+
+Allows you to show previous backtest results.
+Adding `--show-pair-list` outputs a sorted pair list you can easily copy/paste into your configuration (omitting bad pairs).
+
+??? Warning "Strategy overfitting"
+    Only using winning pairs can lead to an overfitted strategy, which will not work well on future data. Make sure to extensively test your strategy in dry-run before risking real money.
+
+```
+usage: freqtrade backtesting-show [-h] [-v] [--logfile FILE] [-V] [-c PATH]
+                                  [-d PATH] [--userdir PATH]
+                                  [--export-filename PATH] [--show-pair-list]
+
+optional arguments:
+  -h, --help            show this help message and exit
+  --export-filename PATH
+                        Save backtest results to the file with this filename.
+                        Requires `--export` to be set as well. Example:
+                        `--export-filename=user_data/backtest_results/backtest
+                        _today.json`
+  --show-pair-list      Show backtesting pairlist sorted by profit.
+
+Common arguments:
+  -v, --verbose         Verbose mode (-vv for more, -vvv to get all messages).
+  --logfile FILE        Log to the file specified. Special values are:
+                        'syslog', 'journald'. See the documentation for more
+                        details.
+  -V, --version         show program's version number and exit
+  -c PATH, --config PATH
+                        Specify configuration file (default:
+                        `userdir/config.json` or `config.json` whichever
+                        exists). Multiple --config options may be used. Can be
+                        set to `-` to read config from stdin.
+  -d PATH, --datadir PATH
+                        Path to directory with historical backtesting data.
+  --userdir PATH, --user-data-dir PATH
+                        Path to userdata directory.
+
+```
+
 ## List Hyperopt results
 
 You can list the hyperoptimization epochs the Hyperopt module evaluated previously with the `hyperopt-list` sub-command.

freqtrade/commands/__init__.py

@@ -16,7 +16,8 @@ from freqtrade.commands.hyperopt_commands import start_hyperopt_list, start_hype
 from freqtrade.commands.list_commands import (start_list_exchanges, start_list_markets,
                                               start_list_strategies, start_list_timeframes,
                                               start_show_trades)
-from freqtrade.commands.optimize_commands import start_backtesting, start_edge, start_hyperopt
+from freqtrade.commands.optimize_commands import (start_backtesting, start_backtesting_show,
+                                                  start_edge, start_hyperopt)
 from freqtrade.commands.pairlist_commands import start_test_pairlist
 from freqtrade.commands.plot_commands import start_plot_dataframe, start_plot_profit
 from freqtrade.commands.trade_commands import start_trading

freqtrade/commands/arguments.py

@@ -41,6 +41,8 @@ ARGS_LIST_STRATEGIES = ["strategy_path", "print_one_column", "print_colorized"]
 
 ARGS_LIST_HYPEROPTS = ["hyperopt_path", "print_one_column", "print_colorized"]
 
+ARGS_BACKTEST_SHOW = ["exportfilename", "backtest_show_pair_list"]
+
 ARGS_LIST_EXCHANGES = ["print_one_column", "list_exchanges_all"]
 
 ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"]
@@ -94,7 +96,7 @@ ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperop
 
 NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
                     "list-markets", "list-pairs", "list-strategies", "list-data",
-                    "hyperopt-list", "hyperopt-show",
+                    "hyperopt-list", "hyperopt-show", "backtest-filter",
                     "plot-dataframe", "plot-profit", "show-trades", "trades-to-ohlcv"]
 
 NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-strategy"]
@@ -173,7 +175,8 @@ class Arguments:
         self.parser = argparse.ArgumentParser(description='Free, open source crypto trading bot')
         self._build_args(optionlist=['version'], parser=self.parser)
 
-        from freqtrade.commands import (start_backtesting, start_convert_data, start_convert_trades,
+        from freqtrade.commands import (start_backtesting, start_backtesting_show,
+                                        start_convert_data, start_convert_trades,
                                         start_create_userdir, start_download_data, start_edge,
                                         start_hyperopt, start_hyperopt_list, start_hyperopt_show,
                                         start_install_ui, start_list_data, start_list_exchanges,
@@ -264,6 +267,15 @@ class Arguments:
         backtesting_cmd.set_defaults(func=start_backtesting)
         self._build_args(optionlist=ARGS_BACKTEST, parser=backtesting_cmd)
 
+        # Add backtesting-show subcommand
+        backtesting_show_cmd = subparsers.add_parser(
+            'backtesting-show',
+            help='Show past Backtest results',
+            parents=[_common_parser],
+        )
+        backtesting_show_cmd.set_defaults(func=start_backtesting_show)
+        self._build_args(optionlist=ARGS_BACKTEST_SHOW, parser=backtesting_show_cmd)
+
         # Add edge subcommand
         edge_cmd = subparsers.add_parser('edge', help='Edge module.',
                                          parents=[_common_parser, _strategy_parser])

freqtrade/commands/cli_options.py

@@ -152,6 +152,12 @@ AVAILABLE_CLI_OPTIONS = {
         action='store_false',
         default=True,
     ),
+    "backtest_show_pair_list": Arg(
+        '--show-pair-list',
+        help='Show backtesting pairlist sorted by profit.',
+        action='store_true',
+        default=False,
+    ),
     "enable_protections": Arg(
         '--enable-protections', '--enableprotections',
         help='Enable protections for backtesting.'

freqtrade/commands/optimize_commands.py

@@ -54,6 +54,22 @@ def start_backtesting(args: Dict[str, Any]) -> None:
     backtesting.start()
 
 
+def start_backtesting_show(args: Dict[str, Any]) -> None:
+    """
+    Show previous backtest result
+    """
+
+    config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
+
+    from freqtrade.data.btanalysis import load_backtest_stats
+    from freqtrade.optimize.optimize_reports import show_backtest_results, show_sorted_pairlist
+
+    results = load_backtest_stats(config['exportfilename'])
+
+    show_backtest_results(config, results)
+    show_sorted_pairlist(config, results)
+
+
 def start_hyperopt(args: Dict[str, Any]) -> None:
     """
     Start hyperopt script

freqtrade/configuration/configuration.py

@@ -245,6 +245,10 @@ class Configuration:
         self._args_to_config(config, argname='timeframe_detail',
                              logstring='Parameter --timeframe-detail detected, '
                              'using {} for intra-candle backtesting ...')
+
+        self._args_to_config(config, argname='backtest_show_pair_list',
+                             logstring='Parameter --show-pair-list detected.')
+
         self._args_to_config(config, argname='stake_amount',
                              logstring='Parameter --stake-amount detected, '
                              'overriding stake_amount to: {} ...')

freqtrade/optimize/optimize_reports.py

@@ -735,3 +735,13 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
         print(table)
         print('=' * len(table.splitlines()[0]))
         print('\nFor more details, please look at the detail tables above')
+
+
+def show_sorted_pairlist(config: Dict, backtest_stats: Dict):
+    if config.get('backtest_show_pair_list', False):
+        for strategy, results in backtest_stats['strategy'].items():
+            print(f"Pairs for Strategy {strategy}: \n[")
+            for result in results['results_per_pair']:
+                if result["key"] != 'TOTAL':
+                    print(f'"{result["key"]}",  // {round(result["profit_mean_pct"], 2)}%')
+            print("]")

tests/commands/test_commands.py

@@ -8,12 +8,12 @@ from zipfile import ZipFile
 import arrow
 import pytest
 
-from freqtrade.commands import (start_convert_data, start_convert_trades, start_create_userdir,
-                                start_download_data, start_hyperopt_list, start_hyperopt_show,
-                                start_install_ui, start_list_data, start_list_exchanges,
-                                start_list_markets, start_list_strategies, start_list_timeframes,
-                                start_new_strategy, start_show_trades, start_test_pairlist,
-                                start_trading, start_webserver)
+from freqtrade.commands import (start_backtesting_show, start_convert_data, start_convert_trades,
+                                start_create_userdir, start_download_data, start_hyperopt_list,
+                                start_hyperopt_show, start_install_ui, start_list_data,
+                                start_list_exchanges, start_list_markets, start_list_strategies,
+                                start_list_timeframes, start_new_strategy, start_show_trades,
+                                start_test_pairlist, start_trading, start_webserver)
 from freqtrade.commands.deploy_commands import (clean_ui_subdir, download_and_install_ui,
                                                 get_ui_download_url, read_ui_version)
 from freqtrade.configuration import setup_utils_configuration
@@ -1389,3 +1389,19 @@ def test_show_trades(mocker, fee, capsys, caplog):
 
     with pytest.raises(OperationalException, match=r"--db-url is required for this command."):
         start_show_trades(pargs)
+
+
+def test_backtesting_show(mocker, testdatadir, capsys):
+    sbr = mocker.patch('freqtrade.optimize.optimize_reports.show_backtest_results')
+    args = [
+        "backtesting-show",
+        "--export-filename",
+        f"{testdatadir / 'backtest-result_new.json'}",
+        "--show-pair-list"
+    ]
+    pargs = get_args(args)
+    pargs['config'] = None
+    start_backtesting_show(pargs)
+    assert sbr.call_count == 1
+    out, err = capsys.readouterr()
+    assert "Pairs for Strategy" in out

tests/optimize/test_optimize_reports.py

@@ -10,7 +10,8 @@ from arrow import Arrow
 from freqtrade.configuration import TimeRange
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN
 from freqtrade.data import history
-from freqtrade.data.btanalysis import get_latest_backtest_filename, load_backtest_data
+from freqtrade.data.btanalysis import (get_latest_backtest_filename, load_backtest_data,
+                                       load_backtest_stats)
 from freqtrade.edge import PairInfo
 from freqtrade.enums import SellType
 from freqtrade.optimize.optimize_reports import (_get_resample_from_period, generate_backtest_stats,
@@ -19,9 +20,9 @@ from freqtrade.optimize.optimize_reports import (_get_resample_from_period, gene
                                                  generate_periodic_breakdown_stats,
                                                  generate_sell_reason_stats,
                                                  generate_strategy_comparison,
-                                                 generate_trading_stats, store_backtest_stats,
-                                                 text_table_bt_results, text_table_sell_reason,
-                                                 text_table_strategy)
+                                                 generate_trading_stats, show_sorted_pairlist,
+                                                 store_backtest_stats, text_table_bt_results,
+                                                 text_table_sell_reason, text_table_strategy)
 from freqtrade.resolvers.strategy_resolver import StrategyResolver
 from tests.data.test_history import _backup_file, _clean_test_file
 
@@ -407,3 +408,16 @@ def test__get_resample_from_period():
     assert _get_resample_from_period('month') == '1M'
     with pytest.raises(ValueError, match=r"Period noooo is not supported."):
         _get_resample_from_period('noooo')
+
+
+def test_show_sorted_pairlist(testdatadir, default_conf, capsys):
+    filename = testdatadir / "backtest-result_new.json"
+    bt_data = load_backtest_stats(filename)
+    default_conf['backtest_show_pair_list'] = True
+
+    show_sorted_pairlist(default_conf, bt_data)
+
+    out, err = capsys.readouterr()
+    assert 'Pairs for Strategy StrategyTestV2: \n[' in out
+    assert 'TOTAL' not in out
+    assert '"ETH/BTC",  // ' in out